可以通过如下函数计算最大的回测收益,回测天数,回测的开始和结束日期
defg maxWithdraw(r){ cumret = cumsum(r) return max(cumret.cummax() - cumret) } defg maxWithdrawTime(t, r){ cumret = cumsum(r) cumretMax = cummax(cumret) indexMaxWithdraw = imax(cumretMax - cumret) indexPeak = at(cumret.subarray(0:(indexMaxWithdraw+1)) == cumretMax[indexMaxWithdraw]).tail() return max(cumret.cummax() - cumret),t[indexMaxWithdraw] - t[indexPeak],t[indexPeak],t[indexMaxWithdraw] } t = 2022.01.01 + 0..7 r = 10 20 100 -20 -50 -20 50 50 maxWithdraw(r) maxWithdrawTime(t, r)