max_drawdown

std.stats.max_drawdown · Level L2

Maximum drawdown: the largest fall from a running peak to a later value, as used for price series.

maxₜ (maxⱼ≤ₜ xⱼ − xₜ)

Signature

max_drawdown(x: f64[n]) → f64[]

Structure

The function as NOVA stores it: one box per input, operation and output, and arrows that carry values. A double border marks another library function this one runs — called once, or by Scan once per element; select it to open that function.

xf64[n]CumMaxpeakSubtractdropReduceMaxworstworstf64[]
  • input
  • operation
  • constant
  • call
  • output

Verification

  • Signature proven by NOVA’s shape solver, for every size.
  • Equal to the reference max over t of (max(x[:t+1]) - x[t]) in exact rational arithmetic, on all 40 test cases.
  • All 40 float64 results inside the running error bound; the closest uses 75% of it.
  • Interpreter and NumPy backend return bit-identical results.
Accuracy in detail
correctly rounded (the float64 nearest the exact value)
100%
bit-equal to the NumPy formula in float64
100%
largest error, in units in the last place
0.50

Identity

Calls
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Called by
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sha256:4c484eb5e19e57da736b7c2072a276195fe5b5499b2c626ce98d8e5734fdc7ff

The semantic hash of the graph. It changes when the program changes, and never when only its documentation does.