Let $$ X_t = \mu t + \sigma B_t $$ be a linear Brownian motion with drift. Let $$ S_t = \max(X_u, u \le t) $$ denote the process of the running max, then the draw down is given by $$ DD_t = S_t - ...
I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
Simple question - what would be the fastest algorithm for calculating retrospective maximum drawdown ? I've found some interesting talks but I was wondering what people thought of this question here. ...
Does anyone know of any model to estimate the distribution of drawdown length and depth assuming a certain portfolio dynamics? The arcsine law seems to suggest that a portfolio can spend a large ...
I am developing a trading strategy for currencies. I am trying to find an indication for risk, something like Sharpe ratio or Sterling ration; for that, I thought of using the (maximum) drawdown ...
I have been testing a trend following strategy. The results shows massive drawdowns which makes the equity curve very unstable. I just wanted to know what are some ways in which I can reduce the ...
A fairly naive approach to estimate the probability of drawdown / ruin is to calculate the probabilities of all the permutations of your sample returns, keeping track of those that hit your drawdown / ...