sf_quant.performance.generate_drawdown_chart

sf_quant.performance.generate_drawdown_chart(drawdowns: DrawdownSchema, title: str, subtitle: str | None = None, file_name: str | None = None) → None

Plot portfolio drawdowns over time.

This function generates a line chart of drawdowns. Drawdowns are expressed as negative percentages from the peak value.

Parameters

drawdownsDrawdownSchema

Portfolio drawdowns validated against DrawdownSchema. Must include the following columns:

• date (date): The observation date.

• drawdown (float): Daily portfolio drawdown.

titlestr

The chart’s main title.

subtitlestr or None, optional

The chart’s subtitle, shown beneath the main title. Defaults to None.

file_namestr, optional

If not None, the plot is saved to the given file path. Defaults to just displaying the chart.

Returns

None

Displays the drawdown chart using Matplotlib and Seaborn.

Notes

Drawdowns are expressed in percentages for visualization.