@livefolio/sdk / drawdown

Function: drawdown()

drawdown(series, period): Series

Defined in: features/indicators/drawdown.ts:53

Computes the rolling drawdown relative to the period high for each bar.

Math definition:

rollingMax[i] = max(series[i-period+1], ..., series[i])
drawdown[i]   = (series[i] - rollingMax[i]) / rollingMax[i]

The result is a non-positive fraction (e.g. -0.15 means the current price is 15 % below the period high). A value of 0 means the current price equals the rolling maximum — i.e. the asset is at a new high within the window.

Warmup: the first output point corresponds to input index period - 1 (the first complete window). The output array is shorter than the input by period - 1 points (no undefined placeholders).

Edge cases:

• period <= 0 — throws Error.
• series.length < period — returns [].
• All prices in a window are equal — returns 0 (current equals max).
• Zero prices in the window — produces NaN (division by zero); callers should guard against zero-price series.

Parameters

Parameter	Type	Description
series	Series	Input price series sorted in ascending timestamp order. Values should be positive (non-zero) to avoid NaN results.
period	number	Rolling window size in bars. Must be a positive integer. A value of 1 always returns 0 (current equals one-bar max).

Returns

Series

A Series of length max(0, series.length - period + 1). Each point's timestamp t is taken from series[i] (the last bar in its window). Values are in the range (-∞, 0] but in practice within [-1, 0] for positive price series.

Example

import { drawdown } from '@livefolio/sdk';

const prices = [
  { t: new Date('2023-01-02'), v: 100 },
  { t: new Date('2023-01-03'), v: 105 },
  { t: new Date('2023-01-04'), v: 95  },
  { t: new Date('2023-01-05'), v: 98  },
];

const dd = drawdown(prices, 3);
// dd.length === 2
// dd[0].t => new Date('2023-01-04'), dd[0].v => (95-105)/105 ≈ -0.095
// dd[1].t => new Date('2023-01-05'), dd[1].v => (98-105)/105 ≈ -0.067