Coding
Quant Python

The n Largest Drawdowns

Premium
Difficulty

Asked at Balyasny Asset Management

Theory: Quant Python That Survives Review

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x xxxxxxxx xxxxx xxxxxxxx xxxxxx xxxxxxxxxx xxx xxxx xx xxx xxxx: xxxxxx xxx x xxxxxxx xxxxxxxxx xx x xxxxxx xxxxxx. xxxx xxxxxxx xxxxx xxx xxx xxxxx xxxx xxxxxxx, xxxxx xx xxx xxxxxxxxxx xxx xxxx. xxx xxxx xxxxx x xxxxxxxxxx, xxx xxx xxxxx xxx xx xx xxx xx xxxx, xxxxxxx "x xxxxxxxx" xxx xxxx xxx xxxx xxxx xxx xxxxxxx xxxxx, xxx xxx xxxxxxx xxx xx xxxxx xxx xxx xxxxxx xxx xxxx xxxxx. x xxxx xxxxxx xxxxx xxxxxxxxx xxxx: xxx xxxxxx xx xxx xxxx xxxxxxxx, xxx xxx xxxxxxx xxxx, xxx xxx xxxxxxxx xxx xxxxxx.

xxx xxxxxxxx xxx xxxxxxxx, xxx xxxxx xxxxxxxx xxxxxxx xx xxxx xxxxxxxxx, xxxx xxx xxx xxxxxx: xxx xxxxxxx xxxx xxxx xxx xxxxxxx xxxx. xxxx xxxxxxx xxxx xxx xxx x xxxxxxx xxxxxxxx, xxxx xxxxx xxxxx xxx xxxxxxx.

xxxxxxxxx x_xxxxxxx_xxxxxxxxx(xxxxxx, x), xxxxx xxxxxx xx x xxxx xx xxxxxxx xxxxxx xx xxxxx. xxxxx xxxxxx xx xxxxxx; xxxxx xx xxx xxxxxx.

xx xxxxxxx xxxxxx xx x xxxxxxx-xxxx xxxxx ( x ): x xxxxx xxxx xx x xxxxxx xxxxxxx xx xxxxx xxxxx xxxxxx xx. xxx xxxxx xxxxx xxxxxx xx x xxxxxxx xxxx. xxx xxxxxxx xxxx xxxxx xxx xxxxx xxxx xxxxxx xxx xxxx xxxxxxx xxxx, xx xx xxx xxx xx xxx xxxxxx. xxx xxxxxx ( x ) xx xxx xxxxx xx xxx xxxxxxx xxxxx xxxxxx xxx xxxxxxx, xxx xxxxx xxxx xxxxx xx x xxx, xxx xxx xxxxx xx xxxxxx[x] - xxxxxx[x]. xx xxxxxxx xxxx xxxxx x xx xxx x xxxxxxxx.

xxxxxx xxx x xxxxxxx xxxxxxxx xx (xxxxx, x, x) xxxxxx, xxxxxx xx xxxxx xxxxxxxxxx, xxxx xx x xxxxxxxxx. xxxxxx xxxxx xxxxxxx xxxx xxxxx xxxx x xxxxx, xxx xx xxxxx xxxx xxxx x <= x xx xxxxx xxx xxxxx xxxx xxx xxxxxx.

xxxxxxxx

x_xxxxxxx_xxxxxxxxx([xx, x, x, xx, x, x, xx, xx, xx], x)
# [(x, x, x), (x, x, x)]

x_xxxxxxx_xxxxxxxxx([x, x, x, x, x], xx)
# [(x, x, x), (x, x, x)]

xxx xxxxx xxxxxx xxx xxxxx xxxxxxxx: xxxx xxx xxxx xx xx xx xxxxx x xxxx xx x (xxxxx x), xxxx xx xx xxxxx x xxxx xx x (xxxxx x), xxx xxxx xx xx xxxxx x xxxx xx xx (xxxxx x). xxx xxx xxxxxxx xxx xxxxxxxx, xxx xxx xxx xx xxxxx x xxxxx xx xx xxxxx x xxxxx. xxx xxxxxx xxxxxx xxx xxxx xxx xxxxxxxx, xx xxxx xxxx xxxx.

xxxxxxxxxxx

  • x <= xxx(xxxxxx) <= xx^x, xxxxxx xxx xxxxxxxx.
  • x xx xx xxxxxxx xxx xxx xx x xx xxxxxxxx.
  • x xxxxx xxxxx xx xxx xxxxxxx xxxx xx xxx x xxx xxxx, xx xx xxxxx xxxxxx xxx xxxxxxx xxxxxxx. x xxxxx xxxxx xx xxx xxxxxxx'x xxxxxx xx xxx xxxx xxx xxxx xxx xxxxxx.
  • xxxxxxxxx xxxxx xxxx xxxx xxxxx xxxxx xxxxxx xx ( x(x^x) ), xxxxx xx ( xx^{xx} ) xxxxxxxxxxx xx xxx xxxxxx xxxxxxxxxxx xxxx. xxx xxxx xxxx xxxxxx xx xxxxxxx xx xxxxx xxx xxxx, xxxxxxxx xx x xxxx xx xxx xxxxxxxx, xx xxxx xxxxxxxx.

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Language: Python 3.12n_largest_drawdowns

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