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2
votes
2answers
190 views

Comparison of Brownian Motion Expected Drawdown and simulated results

Can anyone tell me whether results as predicted by Brownian Motion for a given mean and std, match what you get by measuring actual drawdown from simulated results over a number of iterations?
4
votes
4answers
1k 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. ...