qka 2.4.5.dev2__py3-none-any.whl → 2.4.6.dev2__py3-none-any.whl

qka/core/indicator.py

@@ -105,8 +105,13 @@ def max_drawdown(df: pd.DataFrame, symbol: str, window: int) -> pd.Series:
     cum_values = cum.values
     result = np.full(len(cum_values), np.nan)
     for i in range(window - 1, len(cum_values)):
-        peak = np.max(cum_values[i - window + 1 : i + 1])
-        result[i] = (cum_values[i] - peak) / peak
+        seg = cum_values[i - window + 1 : i + 1]
+        # 窗口内逐日刷新峰值，再取「任意时刻从峰到谷」最深的那一次。
+        # 旧实现只算 (末值 - 窗口峰值) / 窗口峰值 —— 那是「当前回撤」（现在离最高点多远），
+        # 会漏掉中间已经发生过的深坑：净值 1 → 1.2 → 0.6 → 1.3，旧算法给 0，
+        # 实际最深跌过 -50%。与 analysis.max_drawdown 的口径也不一致。
+        peak = np.maximum.accumulate(seg)
+        result[i] = np.min(seg / peak - 1.0)
     return pd.Series(result, index=cum.index)
 
 

{qka-2.4.5.dev2.dist-info → qka-2.4.6.dev2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.5
 Name: qka
-Version: 2.4.5.dev2
+Version: 2.4.6.dev2
 Summary: QKA（快量化 / Quant Kit for A-shares）- 简洁易用的 A 股量化回测框架
 Project-URL: Home, https://github.com/zsrl/qka
 Project-URL: Repository, https://github.com/zsrl/qka

{qka-2.4.5.dev2.dist-info → qka-2.4.6.dev2.dist-info}/RECORD

@@ -6,7 +6,7 @@ qka/core/analysis.py,sha256=EXCO4qhzd2av5Yb4jihcNji1V-VFPOceUHKtg-q8bLs,11142
 qka/core/backtest.py,sha256=kzMAFbyGFvGE--Qypiot6wAp0jTiEsOPbaPd8Zs3o1M,13541
 qka/core/broker.py,sha256=FxeHh9qZ9M6FNFLd8EXwztA4kmC9zZzkrXin2hdVFa4,9662
 qka/core/data.py,sha256=VKXgFLsUJnD-36yYWb0Na84kqeJWr3_vSetG3mJCMGE,95301
-qka/core/indicator.py,sha256=OId8bgYFCzDgjPr27rb6zHYxkPYX0XrjlWylGSQ2KCU,6447
+qka/core/indicator.py,sha256=CR6b-WYXb70VPqiRYkGaBeZRjc1hmKbUojB6n_laMpo,6895
 qka/core/report.py,sha256=TaZoxWk7ZIPLhA9Ss9UOmxWY2ymzKJRUnxSzmyPcBTI,22386
 qka/core/simulate.py,sha256=bdThckUFj0Y3GyAj5ahLIGv3HetJFTbyxbEcX2SUKn0,2915
 qka/core/sizing.py,sha256=xMLHUPnmmwnm51EaJu9cgsN3Yp7t9pVt8yv-yJ6X4wc,6334
@@ -21,8 +21,8 @@ qka/skills/qka/references/broker.md,sha256=wr62v1asRM-wBdsADIsB406eXm_ENYcrwGMAN
 qka/skills/qka/references/data.md,sha256=6mL44eGOk_xXLqQ62Wmv1DFYcXn3kayYWYWMd8-hFOk,28857
 qka/skills/qka/references/sizing.md,sha256=3SsX2ddQoHjE177dberW0Q7wYxW-M_2DG_-sV3CCo9A,656
 qka/skills/qka/references/strategy.md,sha256=-6xa_oigTTj77Siity5bTC5MbdF3UKfld9imnevlAAc,4455
-qka-2.4.5.dev2.dist-info/METADATA,sha256=GGgy1pKolxfDgtl_g9oFQYzlubVc_56mk2hw_FUExrk,7545
-qka-2.4.5.dev2.dist-info/WHEEL,sha256=W3fkpkm7-wf9vBI5Z-7s0eWkeM-spu78I8Neb98DeEg,87
-qka-2.4.5.dev2.dist-info/entry_points.txt,sha256=quG9zg-rOKKtbg-6FiXkoxkUUTMltMBD0hZ0QUnJ6RM,37
-qka-2.4.5.dev2.dist-info/licenses/LICENSE,sha256=3iIG35SnJNF11yIzm3vxa2QUvy9SS5rktM3O1DL2vqM,1075
-qka-2.4.5.dev2.dist-info/RECORD,,
+qka-2.4.6.dev2.dist-info/METADATA,sha256=s5mrtfJD_td6KFH2ZKzDVmd6w2YLwKvPr6OF6fsQIHg,7545
+qka-2.4.6.dev2.dist-info/WHEEL,sha256=W3fkpkm7-wf9vBI5Z-7s0eWkeM-spu78I8Neb98DeEg,87
+qka-2.4.6.dev2.dist-info/entry_points.txt,sha256=quG9zg-rOKKtbg-6FiXkoxkUUTMltMBD0hZ0QUnJ6RM,37
+qka-2.4.6.dev2.dist-info/licenses/LICENSE,sha256=3iIG35SnJNF11yIzm3vxa2QUvy9SS5rktM3O1DL2vqM,1075
+qka-2.4.6.dev2.dist-info/RECORD,,