Hi,
I want to calculate MaxDrawdown per all stock in universe (for full hisotry), for some stocks I got results bigger than 1 (100%).
How is that possible? Isnt it aginst the MaxDrawdown definition?
See code below
from quantopian.pipeline import Pipeline
from quantopian.research import run_pipeline
from quantopian.pipeline.data import EquityPricing
from quantopian.pipeline.factors import MaxDrawdown
pipe = Pipeline()
def make_pipeline():
# lets assume 3030 days is since begining of ages
dd = MaxDrawdown([EquityPricing.close], window_length=3030)
filter_ = dd>0.9
return Pipeline(
columns={
'dd': dd,
},
screen=(
filter_
)
)
results = run_pipeline(make_pipeline(), '2018-12-20', '2018-12-20')
print results 