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计算收益最大回撤的思想和代码

在财务风险指标中,最大回撤是一个很重要的指标。

自己在计算最大回撤时,最开始是网上想找一些成熟的解决方案。

但是最后发现,要不是代码不通用,要不就是性能不好,还有一些本来就是错误的。

所以最后只能理解最大回撤的算法思路,再写出代码,最后再优化性能了!

 

例子:

初始资金是1块钱的话,资金连续一周的变化如下:

周一:1.01

周二:1.02

周三:0.98

周四:1.0

周五:0.97

那么我们要计算的样本为:[1, 1.01, 1.02, 0.98, 1.0, 0.97]

如果计算截至到周二的最大回撤,那么我们要拿到周二的值:1.02,再拿周二之前最大的值,即,周一的1.01,再计算回撤:(1.02/1.01-1)*100=0.99%,这时间 0.99% >0 ,所以是不存在回撤的。

如果计算截至到周三的最大回撤,那么我们要拿到周三的值:0.98,再拿周三之前最大的值,即,周二的1.02,再计算回撤:(0.98/1.02-1)*100=-3.9215%,这时间 -3.9215% < 0 ,所以是存在回撤的。

如果计算截至到周五的最大回撤,那么我们要拿到周五的值:0.97,再拿周五之前最大的值,即,周二的1.02,再计算回撤:(0.97/1.02-1)*100=-4.9019%,这时间 -4.9019% < 0 ,所以是存在回撤的。

这时间再比较 Min(-4.9019%, -3.9215%),得出最大回撤为 -4.9019%。

 

用Python 代码来实现:

returns = [1.0, 1.01, 1.05, 1.1, 1.11, 1.07, 1.03, 1.03, 1.01, 1.02, 1.04, 1.05, 1.07, 1.06, 1.05, 1.06, 1.07, 1.09, 1.12, 1.18, 1.15, 1.15, 1.18, 1.16, 1.19, 1.17, 1.17, 1.18, 1.19, 1.23, 1.24, 1.25, 1.24, 1.25, 1.24, 1.25, 1.24, 1.25, 1.24, 1.27, 1.23, 1.22, 1.18, 1.2, 1.22, 1.25, 1.25, 1.27, 1.26, 1.31, 1.32, 1.31, 1.33, 1.33, 1.36, 1.33, 1.35, 1.38, 1.4, 1.42, 1.45, 1.43, 1.46, 1.48, 1.52, 1.53, 1.52, 1.55, 1.54, 1.53, 1.55, 1.54, 1.52, 1.53, 1.53, 1.5, 1.45, 1.43, 1.42, 1.41, 1.43, 1.42, 1.45, 1.45, 1.49, 1.49, 1.51, 1.54, 1.53, 1.56, 1.52, 1.53, 1.58, 1.58, 1.58, 1.61, 1.63, 1.61, 1.59, 1.58, 1.6, 1.6, 1.61, 1.61, 1.62, 1.6, 1.61, 1.61, 1.62, 1.64, 1.64, 1.67, 1.66, 1.67, 1.66, 1.67, 1.68, 1.68, 1.7, 1.72, 1.73, 1.73, 1.74, 1.76, 1.75, 1.75, 1.75, 1.73, 1.73, 1.73, 1.73, 1.75, 1.74, 1.74, 1.74, 1.75, 1.75, 1.74, 1.74, 1.74, 1.76, 1.78, 1.81, 1.79, 1.81, 1.8, 1.79, 1.8, 1.8, 1.82, 1.8, 1.8, 1.81, 1.82, 1.82, 1.83, 1.81, 1.78, 1.76, 1.75, 1.72, 1.68, 1.69, 1.69, 1.7, 1.71, 1.71, 1.71, 1.71, 1.68, 1.64, 1.65, 1.65, 1.63, 1.62, 1.63, 1.65, 1.62, 1.64, 1.64, 1.67, 1.66, 1.64, 1.63, 1.63, 1.63, 1.65, 1.65, 1.67, 1.68, 1.68, 1.71, 1.69, 1.69, 1.7, 1.68, 1.7, 1.7, 1.7, 1.7, 1.71, 1.72, 1.74, 1.76, 1.79, 1.81, 1.81, 1.82, 1.83, 1.85, 1.84, 1.85, 1.86, 1.82, 1.84, 1.86, 1.85, 1.84, 1.85, 1.86, 1.87, 1.85, 1.84, 1.84, 1.82, 1.84, 1.83, 1.82, 1.82, 1.83, 1.82, 1.85, 1.85, 1.84, 1.83, 1.84, 1.84, 1.84, 1.87, 1.88, 1.9, 1.9, 1.91, 1.89, 1.9, 1.92, 1.92, 1.91, 1.85, 1.87, 1.87, 1.87, 1.89, 1.86, 1.85, 1.85, 1.81, 1.83, 1.83, 1.83, 1.84, 1.83, 1.83, 1.83, 1.82, 1.75, 1.74, 1.77, 1.8, 1.81, 1.81, 1.82, 1.83, 1.84, 1.84, 1.84, 1.87, 1.89, 1.9, 1.88, 1.89, 1.9, 1.89, 1.91, 1.91, 1.94, 1.96, 1.93, 1.95, 1.98, 1.97, 1.96, 1.97, 1.98, 1.97, 1.93, 1.94, 1.95, 1.93, 1.93, 1.93, 1.95, 1.95, 1.98, 2.0, 1.98, 1.97, 1.95, 1.94, 1.94, 1.92, 1.9, 1.91, 1.91, 1.92, 1.93, 1.94, 1.93, 1.93, 1.94, 1.95, 1.95, 1.95, 1.96, 1.96, 1.95, 1.94, 1.93, 1.89, 1.87, 1.9, 1.89, 1.89, 1.88, 1.88, 1.89, 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22.64, 22.33, 22.52, 22.71, 22.69, 22.58, 22.84, 22.9, 23.03, 22.95, 22.72, 22.62, 22.46, 22.39, 22.09, 21.76, 21.9, 21.64, 21.43, 21.08, 21.14, 21.11, 21.51, 21.64, 21.56, 21.44, 21.47, 21.17, 21.05, 20.9, 20.75, 21.26, 20.88, 21.17, 21.06, 21.37, 21.61, 21.64, 21.59, 21.48, 21.44, 21.67, 22.19, 22.15, 22.37, 22.2, 22.43, 22.67, 23.56, 23.67, 23.04, 22.78, 22.27, 22.75, 22.77, 22.92, 23.12, 22.81, 22.61, 22.51, 22.47, 21.89, 21.62, 22.02, 22.33, 22.2, 21.73, 21.67, 21.67, 22.24, 22.7, 22.56, 22.54, 22.47, 22.22, 22.84, 22.58, 22.78, 23.1, 22.3, 23.18, 23.79, 24.25, 23.86, 24.39, 24.47, 24.74, 24.54, 24.42, 24.2, 24.49, 24.19, 24.02, 23.6, 23.6, 23.63, 24.07, 24.44, 24.74, 25.35, 25.5, 25.33, 25.74, 25.84, 26.29, 26.31, 26.87, 27.01, 27.23, 27.32, 27.72, 27.62, 27.66, 28.0, 28.72, 28.99, 29.38, 29.71, 29.57, 30.17, 30.5, 30.91, 31.09, 31.3, 31.77, 31.72, 33.11, 33.42, 33.51, 34.23, 34.9, 35.18, 35.55, 36.22, 35.97, 34.72, 35.37, 36.37, 36.03, 37.38, 38.57, 37.85, 39.12, 39.02, 37.53, 38.06, 37.67, 38.23, 37.91, 38.06, 38.22, 39.58, 41.15, 41.15, 40.71, 40.74, 40.17, 40.62, 42.18, 42.15, 42.97, 45.09, 45.47, 46.82, 47.71, 45.47, 44.47, 45.83, 47.91, 47.13, 46.26, 46.83, 47.68, 47.13, 48.06, 48.78, 49.61, 49.26, 48.11, 48.46, 46.74, 44.42, 44.39, 44.44, 42.71, 40.17, 40.06, 42.69, 39.34, 37.67, 37.56, 36.3, 35.61, 33.08, 33.4, 33.52, 36.7, 37.0, 36.69, 37.06, 38.56, 39.04, 39.08, 38.54, 39.69, 39.09, 35.27, 34.7, 34.71, 33.23, 32.28, 32.1, 33.05, 32.58, 32.87, 33.85, 35.81, 35.67, 35.3, 36.54, 36.67, 37.44, 34.04, 34.4, 33.22, 31.9, 30.49, 29.65, 28.65, 30.15, 32.08, 31.97, 30.18, 30.07, 30.47, 32.63, 33.04, 32.89, 32.6, 29.64, 29.34, 31.51, 31.35, 31.72, 33.12, 34.18, 33.38, 33.93, 32.59, 33.32, 32.75, 32.81, 34.74, 35.12, 37.06, 37.14, 38.55, 39.55, 40.8, 40.24, 40.64, 38.31, 39.28, 40.37, 40.63, 40.19, 39.22, 39.28, 39.99, 39.65, 39.52, 42.01, 43.66, 44.12, 44.23, 44.03, 45.04, 45.68, 45.2, 46.62, 45.83, 46.43, 48.94, 49.12, 48.93, 48.82, 48.95, 48.98, 45.65, 44.61, 44.75, 46.22, 46.49, 45.73, 45.86, 44.22, 44.39, 44.18, 44.01, 45.2, 45.04, 45.27, 46.3, 46.11, 47.07, 47.17, 46.72, 46.02, 46.38, 44.92, 45.47, 45.69, 45.62, 41.74, 42.07, 43.26, 39.5, 39.38, 37.87, 38.18, 36.78, 37.17, 35.93, 36.35, 37.48, 38.84, 36.6, 37.39, 37.54, 34.87, 33.79, 33.43, 34.78, 35.84, 36.28, 36.23, 37.01, 36.82, 37.32, 38.32, 38.81, 38.65, 38.67, 40.04, 39.71, 40.24, 36.92, 36.9, 36.21, 37.0, 38.97, 39.07, 37.72, 38.51, 39.11, 38.57, 38.08, 38.19, 39.45, 39.75, 39.12, 40.27, 41.82, 42.73, 42.32, 42.61, 41.84, 42.26, 42.12, 41.37, 43.51, 43.32, 42.94, 43.85, 44.29, 44.23, 45.6, 46.51, 45.9, 46.31, 46.56, 46.5, 45.55, 45.57, 43.05, 42.73, 42.87, 42.37, 43.07, 42.75, 42.74, 42.66, 43.72, 43.78, 43.9, 42.31, 40.69, 40.64, 40.32, 39.92, 39.68, 40.31, 40.06, 38.88, 39.01, 39.34, 39.97, 39.43, 39.87, 39.98, 39.86, 39.75, 41.57, 41.68, 41.9, 41.94, 41.62, 41.75, 41.76, 39.69, 39.83, 42.21, 42.66, 42.56, 42.68, 42.31, 42.86, 43.27, 43.14, 43.71, 44.19, 44.96, 44.69, 46.44, 47.02, 47.32, 48.67, 48.58, 48.14, 48.43, 48.87, 49.78, 49.58, 50.77, 50.93, 51.85, 52.03, 54.28, 53.86, 54.3, 54.69, 52.35, 52.89, 53.76, 52.5, 52.74, 52.52, 52.72, 52.68, 53.03, 54.01, 54.19, 53.43, 54.66, 56.23, 56.97, 56.7, 56.95, 56.89, 55.66, 55.84, 55.75, 55.43, 55.69, 56.03, 55.92, 56.12, 56.45, 56.38, 55.91, 56.34, 56.26, 56.03, 55.82, 54.24, 54.14, 53.95, 54.26, 54.45, 54.53, 54.87, 54.51, 53.53, 53.81, 53.69, 53.95, 54.41, 55.63, 56.34, 56.2, 56.0, 55.96, 55.47, 56.09, 56.2, 57.04, 56.33, 56.73, 56.77, 54.96, 55.0, 54.78, 54.66, 54.81, 54.54, 55.28, 55.67, 55.44, 56.24, 55.21, 56.22, 56.42, 56.64, 57.22, 57.41, 56.9, 56.69, 56.36, 57.11, 58.08, 57.77, 58.15, 58.19, 58.38, 58.49, 58.46, 57.78, 57.77, 57.49, 58.34, 57.81, 57.55, 55.81, 55.58, 55.11, 55.41, 56.05, 56.31, 56.36, 56.59, 56.59, 56.08, 56.56, 56.36, 56.6, 56.25, 56.31]# # Bak Performance # max_draw_down = 0# for i in range(1, len(returns)):#     for j in range(0, i):#         temp_draw_down = returns[i]/returns[j] - 1#         max_draw_down = min(max_draw_down, temp_draw_down)# print(str(max_draw_down))# Good Performance max_draw_down = 0temp_max_value = 0for i in range(1, len(returns)):    temp_max_value = max(temp_max_value, returns[i-1])    max_draw_down = min(max_draw_down, returns[i]/temp_max_value-1)print(str(max_draw_down))

注视掉的代码是性能很差劲,请勿使用。

同时,如果你拿到到的是每日的涨跌幅,而不是资金总量变化,计算思想和上面类似,但是要考虑回撤的复利情况,不能直接套用, 但是思想相同!

计算收益最大回撤的思想和代码