ENH: add expected max drawdown function (#90)

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.

https://quantopian.github.io/empyrical

Apache License 2.0

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ENH: add expected max drawdown function (#90) #128

Open pepicello opened 4 years ago

pepicello commented 4 years ago

I needed the expected maximum drawdown function for Brownian motion, as described in #90, so I decided to create a PR! It does not fully solve the issue, as I do not compute the Calmar ratio, but it should be trivial to build that on top of this function.