The drawdown tag has no wiki summary.
13
votes
5answers
894 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 / ...
2
votes
1answer
439 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 ...
