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⚡ [performance] Optimize max_drawdown calculation to O(N)#205

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refraction-ray merged 1 commit into
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performance-optimize-max-drawdown-9225084732163863234
Jun 11, 2026
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⚡ [performance] Optimize max_drawdown calculation to O(N)#205
refraction-ray merged 1 commit into
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performance-optimize-max-drawdown-9225084732163863234

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💡 What:

Optimized the max_drawdown method in xalpha/indicator.py by replacing a nested loop $O(N^2)$ algorithm with a single-pass $O(N)$ peak-tracking algorithm. The implementation also switches from iterrows() to itertuples(index=False) for more efficient Pandas iteration.

🎯 Why:

The previous $O(N^2)$ implementation caused significant performance bottlenecks as the price series grew, making drawdown analysis of long-term portfolios or high-frequency data unnecessarily slow.

📊 Measured Improvement:

Using a benchmark with 2000 random data points:

  • Baseline (Original $O(N^2)$): ~1.06 seconds
  • Optimized ($O(N)$): ~0.00047 seconds
  • Improvement: Approximately 2200x speedup.

The optimization preserves the original behavior, including chronological tie-breaking and raising a ValueError when given fewer than 2 data points.


PR created automatically by Jules for task 9225084732163863234 started by @refraction-ray

Replaced the suboptimal O(N^2) nested loop in xalpha/indicator.py with a single-pass O(N) algorithm that tracks the running peak. Switched from iterrows() to itertuples(index=False) for improved iteration performance in Pandas. Added explicit handling for insufficient data to preserve legacy ValueError behavior.

Co-authored-by: refraction-ray <35157286+refraction-ray@users.noreply.github.com>
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@refraction-ray refraction-ray merged commit b3ad10c into master Jun 11, 2026
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@refraction-ray refraction-ray deleted the performance-optimize-max-drawdown-9225084732163863234 branch June 11, 2026 02:58
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