return dd2here.min()
if __name__ == '__main__':
    np.random.seed(0)
n = 100
s = pd.Series(np.random.randn(n).cumsum())
window_length = 10
rolling_dd = pd.rolling_apply(s, window_length, max_dd, min_periods=0)
df = pd.concat([s, rolling_dd], axis=1)
df.columns = ['s', 'rol_dd_%d' % window_length]
df.plot(linewidth=3, alpha=0.4)
my_rmdd = rolling_max_dd(s.values, window_length, min_periods=1)
plt.plot(my_rmdd, 'g.')
plt.show()
Compute *rolling* maximum drawdown of pandas Series