计算收益最大回撤的思想和代码

returns = [1.0, 1.01, 1.05, 1.1, 1.11, 1.07, 1.03, 1.03, 1.01, 1.02, 1.04, 1.05, 1.07, 1.06, 1.05, 1.06, 1.07, 1.09, 1.12, 1.18, 1.15, 1.15, 1.18, 1.16, 1.19, 1.17, 1.17, 1.18, 1.19, 1.23, 1.24, 1.25, 1.24, 1.25, 1.24, 1.25, 1.24, 1.25, 1.24, 1.27, 1.23, 1.22, 1.18, 1.2, 1.22, 1.25, 1.25, 1.27, 1.26, 1.31, 1.32, 1.31, 1.33, 1.33, 1.36, 1.33, 1.35, 1.38, 1.4, 1.42, 1.45, 1.43, 1.46, 1.48, 1.52, 1.53, 1.52, 1.55, 1.54, 1.53, 1.55, 1.54, 1.52, 1.53, 1.53, 1.5, 1.45, 1.43, 1.42, 1.41, 1.43, 1.42, 1.45, 1.45, 1.49, 1.49, 1.51, 1.54, 1.53, 1.56, 1.52, 1.53, 1.58, 1.58, 1.58, 1.61, 1.63, 1.61, 1.59, 1.58, 1.6, 1.6, 1.61, 1.61, 1.62, 1.6, 1.61, 1.61, 1.62, 1.64, 1.64, 1.67, 1.66, 1.67, 1.66, 1.67, 1.68, 1.68, 1.7, 1.72, 1.73, 1.73, 1.74, 1.76, 1.75, 1.75, 1.75, 1.73, 1.73, 1.73, 1.73, 1.75, 1.74, 1.74, 1.74, 1.75, 1.75, 1.74, 1.74, 1.74, 1.76, 1.78, 1.81, 1.79, 1.81, 1.8, 1.79, 1.8, 1.8, 1.82, 1.8, 1.8, 1.81, 1.82, 1.82, 1.83, 1.81, 1.78, 1.76, 1.75, 1.72, 1.68, 1.69, 1.69, 1.7, 1.71, 1.71, 1.71, 1.71, 1.68, 1.64, 1.65, 1.65, 1.63, 1.62, 1.63, 1.65, 1.62, 1.64, 1.64, 1.67, 1.66, 1.64, 1.63, 1.63, 1.63, 1.65, 1.65, 1.67, 1.68, 1.68, 1.71, 1.69, 1.69, 1.7, 1.68, 1.7, 1.7, 1.7, 1.7, 1.71, 1.72, 1.74, 1.76, 1.79, 1.81, 1.81, 1.82, 1.83, 1.85, 1.84, 1.85, 1.86, 1.82, 1.84, 1.86, 1.85, 1.84, 1.85, 1.86, 1.87, 1.85, 1.84, 1.84, 1.82, 1.84, 1.83, 1.82, 1.82, 1.83, 1.82, 1.85, 1.85, 1.84, 1.83, 1.84, 1.84, 1.84, 1.87, 1.88, 1.9, 1.9, 1.91, 1.89, 1.9, 1.92, 1.92, 1.91, 1.85, 1.87, 1.87, 1.87, 1.89, 1.86, 1.85, 1.85, 1.81, 1.83, 1.83, 1.83, 1.84, 1.83, 1.83, 1.83, 1.82, 1.75, 1.74, 1.77, 1.8, 1.81, 1.81, 1.82, 1.83, 1.84, 1.84, 1.84, 1.87, 1.89, 1.9, 1.88, 1.89, 1.9, 1.89, 1.91, 1.91, 1.94, 1.96, 1.93, 1.95, 1.98, 1.97, 1.96, 1.97, 1.98, 1.97, 1.93, 1.94, 1.95, 1.93, 1.93, 1.93, 1.95, 1.95, 1.98, 2.0, 1.98, 1.97, 1.95, 1.94, 1.94, 1.92, 1.9, 1.91, 1.91, 1.92, 1.93, 1.94, 1.93, 1.93, 1.94, 1.95, 1.95, 1.95, 1.96, 1.96, 1.95, 1.94, 1.93, 1.89, 1.87, 1.9, 1.89, 1.89, 1.88, 1.88, 1.89, 1.89, 1.89, 1.89, 1.89, 1.9, 1.88, 1.88, 1.84, 1.85, 1.84, 1.86, 1.87, 1.88, 1.88, 1.87, 1.87, 1.87, 1.85, 1.85, 1.85, 1.84, 1.83, 1.82, 1.83, 1.82, 1.81, 1.81, 1.78, 1.78, 1.78, 1.78, 1.8, 1.78, 1.75, 1.73, 1.71, 1.69, 1.63, 1.61, 1.64, 1.61, 1.61, 1.54, 1.54, 1.54, 1.58, 1.63, 1.64, 1.61, 1.6, 1.58, 1.58, 1.58, 1.58, 1.55, 1.55, 1.53, 1.48, 1.49, 1.5, 1.49, 1.48, 1.46, 1.51, 1.51, 1.5, 1.45, 1.49, 1.5, 1.49, 1.48, 1.45, 1.43, 1.44, 1.45, 1.44, 1.44, 1.43, 1.43, 1.4, 1.39, 1.39, 1.36, 1.38, 1.34, 1.31, 1.34, 1.34, 1.31, 1.3, 1.28, 1.26, 1.24, 1.34, 1.38, 1.34, 1.34, 1.36, 1.34, 1.36, 1.37, 1.36, 1.35, 1.35, 1.27, 1.25, 1.27, 1.27, 1.26, 1.27, 1.27, 1.29, 1.31, 1.35, 1.36, 1.38, 1.4, 1.39, 1.41, 1.42, 1.42, 1.44, 1.45, 1.45, 1.43, 1.45, 1.45, 1.45, 1.42, 1.41, 1.39, 1.37, 1.35, 1.37, 1.35, 1.31, 1.32, 1.3, 1.31, 1.33, 1.31, 1.31, 1.3, 1.28, 1.26, 1.25, 1.23, 1.21, 1.2, 1.14, 1.14, 1.16, 1.1, 1.11, 1.08, 1.08, 1.17, 1.18, 1.19, 1.1, 1.12, 1.12, 1.2, 1.21, 1.26, 1.26, 1.24, 1.27, 1.27, 1.29, 1.29, 1.31, 1.32, 1.29, 1.33, 1.36, 1.38, 1.42, 1.45, 1.48, 1.49, 1.44, 1.48, 1.45, 1.46, 1.48, 1.5, 1.51, 1.5, 1.5, 1.48, 1.47, 1.46, 1.42, 1.44, 1.41, 1.4, 1.44, 1.42, 1.43, 1.46, 1.48, 1.46, 1.47, 1.47, 1.46, 1.46, 1.43, 1.45, 1.45, 1.44, 1.43, 1.42, 1.46, 1.49, 1.48, 1.48, 1.48, 1.47, 1.46, 1.46, 1.44, 1.38, 1.4, 1.38, 1.44, 1.43, 1.44, 1.4, 1.41, 1.42, 1.4, 1.4, 1.39, 1.37, 1.38, 1.34, 1.4, 1.42, 1.4, 1.41, 1.4, 1.39, 1.37, 1.37, 1.4, 1.38, 1.39, 1.44, 1.54, 1.55, 1.55, 1.55, 1.55, 1.55, 1.55, 1.55, 1.54, 1.55, 1.56, 1.54, 1.52, 1.52, 1.52, 1.51, 1.51, 1.51, 1.51, 1.52, 1.51, 1.5, 1.49, 1.49, 1.49, 1.5, 1.5, 1.5, 1.5, 1.51, 1.51, 1.52, 1.53, 1.51, 1.5, 1.49, 1.5, 1.5, 1.5, 1.51, 1.5, 1.51, 1.52, 1.53, 1.52, 1.52, 1.52, 1.52, 1.52, 1.52, 1.52, 1.53, 1.52, 1.51, 1.51, 1.5, 1.5, 1.49, 1.49, 1.49, 1.48, 1.48, 1.47, 1.49, 1.48, 1.48, 1.48, 1.48, 1.46, 1.45, 1.45, 1.41, 1.4, 1.39, 1.39, 1.39, 1.41, 1.38, 1.38, 1.39, 1.42, 1.43, 1.41, 1.39, 1.37, 1.39, 1.4, 1.39, 1.39, 1.42, 1.45, 1.44, 1.45, 1.4, 1.38, 1.36, 1.35, 1.33, 1.33, 1.32, 1.33, 1.28, 1.24, 1.25, 1.26, 1.22, 1.23, 1.26, 1.27, 1.23, 1.24, 1.26, 1.25, 1.25, 1.25, 1.23, 1.23, 1.24, 1.26, 1.27, 1.28, 1.29, 1.29, 1.31, 1.3, 1.3, 1.29, 1.25, 1.25, 1.23, 1.23, 1.19, 1.18, 1.2, 1.2, 1.23, 1.25, 1.25, 1.25, 1.31, 1.32, 1.34, 1.34, 1.34, 1.31, 1.31, 1.31, 1.33, 1.35, 1.35, 1.35, 1.33, 1.35, 1.37, 1.37, 1.38, 1.38, 1.37, 1.38, 1.38, 1.36, 1.35, 1.39, 1.39, 1.39, 1.39, 1.4, 1.4, 1.39, 1.38, 1.37, 1.35, 1.35, 1.35, 1.35, 1.35, 1.34, 1.33, 1.32, 1.32, 1.33, 1.34, 1.33, 1.32, 1.35, 1.35, 1.36, 1.38, 1.39, 1.39, 1.4, 1.41, 1.4, 1.4, 1.43, 1.45, 1.49, 1.5, 1.46, 1.45, 1.45, 1.43, 1.43, 1.42, 1.39, 1.37, 1.36, 1.35, 1.36, 1.34, 1.28, 1.3, 1.35, 1.38, 1.4, 1.38, 1.37, 1.37, 1.38, 1.39, 1.41, 1.4, 1.41, 1.44, 1.45, 1.43, 1.42, 1.42, 1.41, 1.4, 1.41, 1.42, 1.42, 1.43, 1.43, 1.43, 1.42, 1.41, 1.4, 1.39, 1.4, 1.39, 1.39, 1.39, 1.38, 1.37, 1.37, 1.36, 1.36, 1.35, 1.37, 1.37, 1.38, 1.37, 1.36, 1.38, 1.38, 1.38, 1.36, 1.35, 1.36, 1.36, 1.35, 1.34, 1.34, 1.35, 1.35, 1.35, 1.35, 1.36, 1.37, 1.37, 1.38, 1.37, 1.37, 1.38, 1.37, 1.36, 1.35, 1.35, 1.35, 1.35, 1.35, 1.35, 1.33, 1.33, 1.33, 1.33, 1.33, 1.35, 1.35, 1.36, 1.36, 1.34, 1.34, 1.34, 1.34, 1.34, 1.31, 1.29, 1.3, 1.28, 1.27, 1.27, 1.28, 1.28, 1.28, 1.27, 1.25, 1.24, 1.25, 1.25, 1.25, 1.28, 1.28, 1.27, 1.27, 1.26, 1.26, 1.25, 1.26, 1.3, 1.29, 1.29, 1.26, 1.24, 1.22, 1.21, 1.21, 1.21, 1.22, 1.19, 1.13, 1.12, 1.11, 1.12, 1.11, 1.12, 1.14, 1.13, 1.12, 1.15, 1.21, 1.19, 1.24, 1.27, 1.27, 1.24, 1.26, 1.29, 1.29, 1.3, 1.3, 1.33, 1.31, 1.31, 1.31, 1.3, 1.31, 1.3, 1.29, 1.27, 1.26, 1.23, 1.26, 1.27, 1.26, 1.26, 1.26, 1.25, 1.25, 1.25, 1.25, 1.27, 1.27, 1.29, 1.31, 1.32, 1.32, 1.35, 1.35, 1.37, 1.37, 1.42, 1.4, 1.45, 1.5, 1.52, 1.54, 1.52, 1.55, 1.56, 1.58, 1.59, 1.58, 1.62, 1.63, 1.64, 1.64, 1.67, 1.64, 1.62, 1.59, 1.6, 1.62, 1.63, 1.63, 1.61, 1.61, 1.6, 1.57, 1.55, 1.59, 1.6, 1.6, 1.63, 1.64, 1.64, 1.62, 1.64, 1.66, 1.66, 1.65, 1.67, 1.67, 1.65, 1.66, 1.67, 1.68, 1.7, 1.71, 1.74, 1.75, 1.74, 1.72, 1.72, 1.71, 1.68, 1.67, 1.69, 1.68, 1.67, 1.66, 1.68, 1.66, 1.63, 1.61, 1.61, 1.59, 1.59, 1.56, 1.56, 1.59, 1.58, 1.55, 1.53, 1.58, 1.58, 1.57, 1.59, 1.57, 1.53, 1.54, 1.58, 1.57, 1.57, 1.59, 1.58, 1.56, 1.57, 1.55, 1.53, 1.52, 1.54, 1.53, 1.48, 1.51, 1.53, 1.48, 1.47, 1.49, 1.5, 1.48, 1.46, 1.44, 1.41, 1.45, 1.43, 1.49, 1.5, 1.49, 1.5, 1.48, 1.49, 1.47, 1.42, 1.41, 1.39, 1.4, 1.44, 1.45, 1.45, 1.45, 1.4, 1.41, 1.38, 1.37, 1.38, 1.41, 1.38, 1.36, 1.35, 1.38, 1.36, 1.37, 1.36, 1.36, 1.34, 1.32, 1.32, 1.3, 1.29, 1.29, 1.27, 1.27, 1.26, 1.28, 1.28, 1.27, 1.25, 1.26, 1.28, 1.27, 1.28, 1.28, 1.27, 1.27, 1.27, 1.23, 1.24, 1.19, 1.23, 1.29, 1.32, 1.37, 1.41, 1.42, 1.39, 1.42, 1.39, 1.4, 1.39, 1.37, 1.35, 1.37, 1.38, 1.37, 1.38, 1.32, 1.32, 1.34, 1.33, 1.31, 1.32, 1.34, 1.33, 1.35, 1.39, 1.38, 1.34, 1.3, 1.29, 1.32, 1.32, 1.32, 1.33, 1.34, 1.39, 1.38, 1.37, 1.4, 1.39, 1.38, 1.4, 1.41, 1.41, 1.42, 1.41, 1.4, 1.4, 1.38, 1.38, 1.39, 1.39, 1.4, 1.39, 1.37, 1.37, 1.38, 1.36, 1.36, 1.36, 1.37, 1.38, 1.37, 1.35, 1.36, 1.4, 1.37, 1.37, 1.35, 1.34, 1.35, 1.33, 1.31, 1.29, 1.3, 1.3, 1.32, 1.32, 1.33, 1.34, 1.33, 1.3, 1.28, 1.3, 1.31, 1.27, 1.3, 1.34, 1.33, 1.31, 1.3, 1.28, 1.28, 1.27, 1.32, 1.32, 1.35, 1.35, 1.36, 1.34, 1.36, 1.41, 1.42, 1.43, 1.42, 1.42, 1.43, 1.4, 1.4, 1.39, 1.39, 1.42, 1.43, 1.39, 1.39, 1.37, 1.36, 1.34, 1.33, 1.32, 1.31, 1.26, 1.27, 1.3, 1.28, 1.25, 1.23, 1.21, 1.23, 1.26, 1.22, 1.19, 1.17, 1.18, 1.22, 1.22, 1.18, 1.23, 1.23, 1.19, 1.17, 1.17, 1.13, 1.1, 1.1, 1.08, 1.1, 1.08, 1.09, 1.08, 1.05, 1.05, 1.06, 1.04, 1.04, 1.03, 1.04, 1.05, 1.05, 1.06, 1.03, 1.05, 1.04, 1.03, 1.03, 1.03, 1.03, 1.0, 0.99, 0.99, 1.01, 1.01, 1.09, 1.1, 1.08, 1.08, 1.07, 1.03, 1.04, 1.04, 1.06, 1.06, 1.07, 1.06, 1.07, 1.1, 1.09, 1.09, 1.06, 1.02, 1.02, 1.01, 1.0, 1.01, 0.98, 0.96, 0.98, 0.97, 0.98, 0.97, 0.96, 0.97, 0.98, 0.98, 1.0, 1.0, 1.03, 1.06, 1.06, 1.07, 1.06, 1.09, 1.1, 1.1, 1.14, 1.14, 1.15, 1.16, 1.19, 1.16, 1.19, 1.2, 1.21, 1.18, 1.2, 1.21, 1.19, 1.2, 1.2, 1.2, 1.18, 1.2, 1.24, 1.25, 1.27, 1.28, 1.25, 1.27, 1.28, 1.26, 1.26, 1.29, 1.32, 1.32, 1.32, 1.34, 1.34, 1.33, 1.29, 1.28, 1.28, 1.27, 1.27, 1.27, 1.28, 1.27, 1.29, 1.29, 1.27, 1.26, 1.27, 1.3, 1.29, 1.27, 1.28, 1.28, 1.26, 1.23, 1.22, 1.17, 1.18, 1.18, 1.19, 1.18, 1.19, 1.19, 1.2, 1.2, 1.17, 1.18, 1.19, 1.16, 1.16, 1.17, 1.2, 1.21, 1.19, 1.2, 1.21, 1.2, 1.18, 1.17, 1.18, 1.18, 1.18, 1.16, 1.16, 1.18, 1.17, 1.21, 1.22, 1.21, 1.22, 1.21, 1.23, 1.24, 1.24, 1.24, 1.25, 1.28, 1.29, 1.29, 1.29, 1.31, 1.29, 1.31, 1.33, 1.34, 1.36, 1.36, 1.33, 1.35, 1.36, 1.35, 1.35, 1.39, 1.4, 1.41, 1.41, 1.43, 1.43, 1.48, 1.48, 1.51, 1.5, 1.51, 1.51, 1.51, 1.49, 1.44, 1.43, 1.42, 1.45, 1.45, 1.45, 1.47, 1.47, 1.47, 1.48, 1.46, 1.48, 1.47, 1.44, 1.43, 1.43, 1.44, 1.44, 1.44, 1.44, 1.45, 1.45, 1.48, 1.48, 1.49, 1.51, 1.49, 1.49, 1.48, 1.5, 1.48, 1.48, 1.52, 1.55, 1.57, 1.57, 1.59, 1.61, 1.64, 1.62, 1.57, 1.59, 1.6, 1.59, 1.57, 1.54, 1.56, 1.54, 1.52, 1.58, 1.61, 1.63, 1.66, 1.73, 1.77, 1.73, 1.81, 1.9, 1.88, 1.91, 1.91, 1.96, 2.05, 1.92, 1.92, 1.99, 2.01, 2.05, 2.09, 2.05, 2.11, 2.12, 2.19, 2.14, 1.98, 1.96, 1.94, 1.93, 1.94, 1.94, 1.96, 2.0, 2.05, 2.08, 2.08, 2.08, 2.11, 2.13, 2.13, 2.12, 2.16, 2.17, 2.21, 2.2, 2.19, 2.24, 2.25, 2.25, 2.26, 2.26, 2.16, 2.17, 2.23, 2.22, 2.15, 2.18, 2.2, 2.2, 2.23, 2.23, 2.21, 2.24, 2.18, 2.18, 2.15, 2.13, 2.08, 2.05, 2.07, 2.08, 2.11, 2.12, 2.09, 2.13, 2.2, 2.18, 2.17, 2.17, 2.2, 2.2, 2.22, 2.22, 2.26, 2.28, 2.3, 2.33, 2.3, 2.34, 2.36, 2.38, 2.34, 2.33, 2.36, 2.38, 2.36, 2.36, 2.39, 2.42, 2.42, 2.41, 2.44, 2.4, 2.37, 2.36, 2.4, 2.41, 2.43, 2.48, 2.49, 2.48, 2.54, 2.53, 2.53, 2.59, 2.58, 2.56, 2.57, 2.51, 2.53, 2.5, 2.48, 2.41, 2.44, 2.45, 2.53, 2.54, 2.55, 2.56, 2.56, 2.53, 2.52, 2.5, 2.43, 2.43, 2.46, 2.42, 2.43, 2.43, 2.45, 2.48, 2.52, 2.55, 2.69, 2.7, 2.7, 2.75, 2.79, 2.84, 2.84, 2.82, 2.79, 2.67, 2.74, 2.75, 2.77, 2.82, 2.83, 2.92, 2.97, 3.0, 2.98, 2.97, 2.98, 2.94, 2.95, 2.87, 2.92, 2.96, 3.04, 3.15, 3.23, 3.28, 3.34, 3.19, 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# # Bak Performance 
# max_draw_down = 0
# for i in range(1, len(returns)):
#     for j in range(0, i):
#         temp_draw_down = returns[i]/returns[j] - 1
#         max_draw_down = min(max_draw_down, temp_draw_down)
# print(str(max_draw_down))

# Good Performance 
max_draw_down = 0
temp_max_value = 0
for i in range(1, len(returns)):
    temp_max_value = max(temp_max_value, returns[i-1])
    max_draw_down = min(max_draw_down, returns[i]/temp_max_value-1)
print(str(max_draw_down))