The maximum-drawdown tag has no wiki summary.
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437 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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2answers
110 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?
