use-drawdown

Primitive drawdown vocabulary for RustUse quantitative crates.

use-drawdown uses the convention current / peak - 1.0, capped at 0.0 for new highs. Drawdowns are therefore zero or negative finite f64 values.

Example

use use_drawdown::Drawdown;

let drawdown = Drawdown::from_peak_current(120.0, 90.0)?;
let maximum = Drawdown::maximum_from_values(&[100.0, 120.0, 90.0, 130.0])?;

assert_eq!(drawdown.value(), -0.25);
assert_eq!(maximum.value(), -0.25);
# Ok::<(), Box<dyn std::error::Error>>(())

Scope

Use this crate for drawdown values and small peak/current calculations. It does not implement performance analytics, reporting, or charts.

License

Licensed under either MIT or Apache-2.0.