ZigZag
ZigZag provides functions for identifying the peaks and valleys of a time series. Additionally, it provides a function for computing the maximum drawdown.
For fastest understanding, view the IPython notebook demo tutorial.
Contributing
This is an admittedly small project. Still, if you have any contributions, please fork this project on github and send me a pull request. You can email me, John B Nelson, at jbn@pathdependent.com with any questions.