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 - ...
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. ...
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, ...
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 ...
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 / ...
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 ...