tzu::MDD Class Reference

#include <indicators.h>

Inheritance diagram for tzu::MDD:

Public Member Functions
double	get () const noexcept
double	update (double value)
Public Member Functions inherited from tzu::Indicator< MDD, double, double >
double	get () const noexcept
double	update (double value)

Detailed Description

Maximum Drawdown (MDD)

Calculates the maximum drawdown, which is the largest percentage drop from a peak to a trough in the value of an investment. Returns 0.0 until at least one value has been added. Once values are added, it updates the peak value and calculates the current drawdown as the proportion drop from the peak. If the current drawdown is greater than the previously recorded maximum drawdown, it updates the maximum drawdown value. The MDD is expressed as a negative value.

Member Function Documentation

get()

double tzu::MDD::get ( ) const

inlinenoexcept

update()

double tzu::MDD::update ( double value )

inline

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The documentation for this class was generated from the following file:

• include/tzu/indicators.h