Drawdown

According to an article published on CFI (Maximum Drawdown: https://corporate
financeinstitute.com/resources/capital-markets/maximum-drawdown/), “A maximum drawdown (MDD) measures the maximum fall in the value of the investment, as given by the difference between the value of the lowest trough and that of the highest peak before the trough.” We already saw an illustration of the drawdown in Figure 13.4 and it is quite easy to understand. However, real equity curves never look like ideal sine waves used for illustration purposes, so drawdown is not a constant value; it changes over time and these changes also may say a lot about the volatility of returns.

So, we want to calculate a new time series according to the following algorithm:

1. Let the first (leftmost) data point in the equity curve be the current historical high (maximum).
2. Compare the next value with the current one.
3. If the next value is greater than the current, let the next...