I am looking for a way to estimate maximum drawdowns for my portfolio (mostly options). I have a trackrecord in a spreadsheet with historical data, account size would be 20k and maximum risk 2%. I ...
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. ...
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?