Struct DrawdownAnalysis 

pub struct DrawdownAnalysis;

Maximum drawdown calculator for a single path

Implementations

impl DrawdownAnalysis

pub fn max_drawdown(values: &[f64]) -> f64

Calculate maximum drawdown from a value series

Maximum drawdown = max((peak - trough) / peak)

Arguments

• values - Time series of portfolio values

Returns

Maximum drawdown as a positive fraction (0.1 = 10% drawdown)

Example

use aprender::monte_carlo::risk::DrawdownAnalysis;

let values = vec![100.0, 110.0, 90.0, 95.0, 85.0, 100.0];
let max_dd = DrawdownAnalysis::max_drawdown(&values);
// Peak was 110, trough was 85: (110-85)/110 ≈ 0.227
assert!(max_dd > 0.22 && max_dd < 0.24);

pub fn drawdown_series(values: &[f64]) -> Vec<f64>

Calculate drawdown series from values

Returns the drawdown at each time point relative to the running peak

pub fn max_drawdown_duration(values: &[f64]) -> usize

Calculate drawdown duration (time to recovery)

Returns the maximum number of periods spent in drawdown

pub fn ulcer_index(values: &[f64]) -> f64

Calculate Ulcer Index (quadratic mean of drawdowns)

UI = sqrt(mean(drawdown^2))

Penalizes deep drawdowns more than shallow ones

pub fn pain_index(values: &[f64]) -> f64

Calculate Pain Index (average drawdown)

pub fn from_paths(paths: &[SimulationPath]) -> DrawdownStatistics

Calculate drawdown statistics from simulation paths

pub fn recovery_factor(values: &[f64]) -> f64

Calculate recovery factor

Recovery Factor = Total Return / Max Drawdown

Higher is better - shows how well returns compensate for risk

Trait Implementations

impl Clone for DrawdownAnalysis

fn clone(&self) -> DrawdownAnalysis

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for DrawdownAnalysis

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.