egutierrez
113c6dfd71
11 funciones puras con implementación real: SMA, EMA, RSI, BollingerBands, VWAP, LogReturn, AnnualizedVolatility, SharpeRatio, MaxDrawdown, NormalizeOHLCV, TickToOHLCV 4 funciones impuras (stubs): FetchOHLCV, StreamTicks, WriteOHLCVToParquet, LoadOHLCVFromDuckDB Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
28 lines
674 B
Go
28 lines
674 B
Go
package finance
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// MaxDrawdown calcula el maximo drawdown de una serie de valores (e.g. equity curve).
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// Retorna la magnitud del drawdown (valor positivo entre 0 y 1 como fraccion del pico),
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// y los indices de inicio (pico) y fin (valle) del peor drawdown.
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// Si la serie tiene menos de 2 elementos, retorna 0, 0, 0.
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func MaxDrawdown(values []float64) (maxDD float64, start, end int) {
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n := len(values)
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if n < 2 {
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return 0, 0, 0
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}
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peakIdx := 0
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peak := values[0]
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for i := 1; i < n; i++ {
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if values[i] > peak {
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peak = values[i]
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peakIdx = i
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}
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dd := (peak - values[i]) / peak
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if dd > maxDD {
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maxDD = dd
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start = peakIdx
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end = i
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}
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}
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return
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}
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