交易回测在DolphinDB中的实现，可以参考：交易回测系列-技术信号回测
上述案例可以通过下面的函数实现：
defg maxDrawDown(price){ return max(1.0 - price\price.cummax()) } tb = table(rand(1 2 3 , 10) as id, rand(1.5, 10) as price) select maxDrawDown(price) as group_max_drawdown from tb group by id
DolphinDB中有没有适合计算金融中最大回撤的函数？
2 个回答
代码简化：
tb = table(rand(1 2 3 , 10) as id, rand(1.5, 10) as price)
defg maxDrawDown(price): max(1.0 - price\price.cummax())
select maxDrawDown(price) as group_max_drawdown from tb group by id