gs_quant.timeseries.statistics.max_

max_(x, w=<gs_quant.timeseries.helper.Window object>)

Maximum value of series over given window

Parameters:

• x (Union[Series, List[Series]]) – series: a timeseries or an array of timeseries

• w (Union[Window, int, str]) – window: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. If w is a string, it should be a relative time duration like ‘1m’, ‘5d’, etc. Window size defaults to length of series.

Return type:

Series

Returns:

timeseries of maximum value

Usage

Returns the maximum value of the series over each window.

If \(x\) is a series:

\(R_t = max(X_{t-w+1}:X_t)\)

where \(w\) is the size of the rolling window.

If \(x\) is an array of series:

\(R_t = max(X_{1, t-w+1}:X_{n, t})\)

where \(w\) is the size of the rolling window, and \(n\) is the number of series.

If window is not provided, returns the maximum value over the full series. If the window size is greater than the available data, will return maximum of available values.

If \(w\) is a string, it should be a relative time duration such as ‘1m’, ‘5d’, etc. The available frequency strings can be found below:

Frequency	Description
y	one year
m	one month
w	one week
d	one day
h	one hour

Examples

Maximum value of price series over the last \(22\) observations:

>>> prices = generate_series(100)
>>> max_(prices, 22)

See also

min_()