# Tagged Questions

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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 / ...
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.
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### 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 ...
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### 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 - ...
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### 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 ...
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### 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 ...
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### 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 ...