trade
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A JavaScript backtesting library to validate trading strategies for stocks, futures, crypto currencies etc. based on historical data.
20 lines (14 loc) • 461 B
JavaScript
import test from 'ava';
import maxDrawdown from './maxDrawdown.mjs';
test('returns drawdown', (t) => {
t.is(maxDrawdown([]), 0);
t.is(maxDrawdown([1]), 0);
t.is(maxDrawdown([1, 2]), 0);
t.is(maxDrawdown([2, 1]), 1);
t.is(maxDrawdown([2, 1, 3, 2, 5, 1]), 4);
});
test('returns relative drawdown', (t) => {
t.is(maxDrawdown([], true), 0);
t.is(maxDrawdown([1], true), 0);
t.is(maxDrawdown([2, 1, 3, 2, 5, 1], true), 0.8);
});