用cython提升python的性能
Boosting performance with Cython
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def drawdown(pnl):
"""
calculate max drawdown and duration
Returns:
drawdown : vector of drawdwon values
duration : vector of drawdown duration
"""
cumret = pnl
highwatermark = [ 0 ]
idx = pnl.index
drawdown = pd.Series(index = idx)
drawdowndur = pd.Series(index = idx)
for t in range ( 1 , len (idx)) :
highwatermark.append( max (highwatermark[t - 1 ], cumret[t]))
drawdown[t] = (highwatermark[t] - cumret[t])
drawdowndur[t] = ( 0 if drawdown[t] = = 0 else drawdowndur[t - 1 ] + 1 )
return drawdown, drawdowndur
% timeit drawdown(spy)
1 loops, best of 3 : 1.21 s per loop
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def dd(s):
# ''' simple drawdown function ''' highwatermark = np.zeros( len (s))
drawdown = np.zeros( len (s))
drawdowndur = np.zeros( len (s))
for t in range ( 1 , len (s)):
highwatermark[t] = max (highwatermark[t - 1 ], s[t])
drawdown[t] = (highwatermark[t] - s[t])
drawdowndur[t] = ( 0 if drawdown[t] = = 0 else drawdowndur[t - 1 ] + 1 )
return drawdown , drawdowndur
% timeit dd(spy.values)
10 loops, best of 3 : 27.9 ms per loop
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