From 18bd95305e7d890ae1636d4ca7cebf1b6d3fb696 Mon Sep 17 00:00:00 2001
From: gord chung <5091603+chungg@users.noreply.github.com>
Date: Mon, 22 Jul 2024 10:18:45 -0400
Subject: [PATCH] performance functions

---
 src/lib.rs         |  1 +
 src/performance.rs | 18 ++++++++++++++++++
 2 files changed, 19 insertions(+)
 create mode 100644 src/performance.rs

diff --git a/src/lib.rs b/src/lib.rs
index 5665480..89a7388 100644
--- a/src/lib.rs
+++ b/src/lib.rs
@@ -2,6 +2,7 @@
 
 pub mod correlation;
 pub mod momentum;
+pub mod performance;
 pub mod smooth;
 pub mod statistic;
 pub mod trend;
diff --git a/src/performance.rs b/src/performance.rs
new file mode 100644
index 0000000..7cd7e38
--- /dev/null
+++ b/src/performance.rs
@@ -0,0 +1,18 @@
+use itertools::izip;
+
+use crate::smooth;
+
+/// Drawdown
+///
+/// Measures an investment or trading account's decline from the peak before it recovers back
+/// to that peak.
+///
+/// ## Sources
+///
+/// [[1]](https://www.investopedia.com/terms/d/drawdown.asp)
+pub fn drawdown(data: &[f64]) -> impl Iterator<Item = f64> + '_ {
+    data.iter().scan(data[0], |state, &x| {
+        *state = state.max(x);
+        Some(1.0 - (x / *state))
+    })
+}