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7
votes
5answers
3k views

Fastest algorithm for calculating retrospective maximum drawdown

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.
2
votes
0answers
52 views

Leverage and Drawdown

What are the risks of deleveraging a leveraged long/short equity portfolio when going into a drawdown at certain drawdown stops, like deleveraging by 30% when breaching a -5% drawdown, deleveraging a ...
-2
votes
1answer
31 views

What is the formula for calculating Draw down recovery percentage?

I need the formula to calculate Drawdown recovery percentage showing in this picture. If you know please share. Thank you...
4
votes
1answer
134 views

Expectation of maximum draw down in the Brownian motion case

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 - ...
1
vote
1answer
192 views

Are Papers and Funds reporting Monthly drawdowns using daily granularity?

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, ...
1
vote
1answer
216 views

Expected length and depth of drawdown

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 ...
2
votes
1answer
4k views

Drawdown calculation for strategies

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 ...
16
votes
5answers
2k views

How to estimate the probability of drawdown / ruin?

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 / ...
7
votes
2answers
622 views

System Development / Optimization

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 ...