Maximum Drawdown Calculation - Quant Researcher Interview Question
Difficulty: Easy
Category: backtesting
Asked at: Point72, Citadel, WorldQuant, Two Sigma, AQR Capital Management, Millennium
Topics: risk-management, numpy, finance
Problem Description
Maximum Drawdown (MDD) measures the largest percentage decline in an asset's value from a historical peak before a new peak is achieved. This metric is fundamental in quantitative risk management for evaluating the worst-case historical loss of a trading strategy or portfolio.
Task
Implement the calculate_max_drawdown function to determine the maximum drawdown of a price series. The function accepts a list of floats prices representing asset prices ordered by time and returns the maximum percen
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