performance functions

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;

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))
+    })
+}