Rolling Max Drawdown

Problem

Compute the rolling maximum drawdown with window size k: for each window, the largest peak-to-trough decline (peak - price) / peak seen in chronological order.

Return an empty list if k is not positive or exceeds the series. A window that only makes new highs produces 0.0.

Hint

Track the running peak inside each window, not the window maximum.

Test cases

case 1

in: [[1,2,3],3]

expected: [0]

case 2

in: [[3,2,1],3]

expected: [0.6666666666666666]

case 3

in: [[1,5,2,6],3]

expected: [0.6,0.6]

case 4

in: [[2,1,2,1],2]

expected: [0.5,0,0.5]

Starter codePython

def rolling_max_drawdown(prices, k):
    # Your code here
    pass

4 test cases · run your code against them in the editor