quantitivecalc/dist/RiskAndVolatilityAnalysis/calculateMaxDrawdown.d.ts

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

/**
 * Calculates the maximum drawdown for a time series of values.
 *
 * The function iterates through the provided data array, tracking the peak value and computing the drawdown
 * at each point. The maximum drawdown observed up to each row is stored in the specified result column.
 *
 * @param data - An array of objects representing the time series data.
 * @param sourceColumn - The key in each object from which to read the numeric value for drawdown calculation.
 * @param resultColumn - The key in which to store the calculated maximum drawdown for each row (default: 'maxDrawdown').
 * @returns A new array of objects, each including the calculated maximum drawdown in the specified result column.
 *
 * @remarks
 * - If the value in `sourceColumn` is not a valid number, the previous row's drawdown value is used.
 * - The drawdown is calculated as `(peak - value) / peak`, where `peak` is the highest value observed so far.
 * - If the input data is empty or undefined, an empty array is returned.
 */
export declare function calculateMaxDrawdown(data: Array<Record<string, unknown>>, sourceColumn: string, resultColumn?: string): Array<Record<string, unknown>>;
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