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Aug
26
awarded  Teacher
Aug
26
answered HFT to blame for Flash Crashes?
Jan
25
comment Are Papers and Funds reporting Monthly drawdowns using daily granularity?
The macro execution logic of most strategies is not MOO/MOC. In the bigger picture, maximum drawdown on each single day is not path-independent. As such, sticking to the topic on hand, you should generally use the highest resolution of data that is available to you, even if the strategies have holding periods measured in days.
Jan
25
comment Are Papers and Funds reporting Monthly drawdowns using daily granularity?
Yes, using highs and lows is half-hearted but I understand that you might have your own interests. Since few strategies are MOO/MOC, and maximum drawdown on each single day is not path-independent, you should use the highest resolution of data that is available to you, even if the strategies have holding periods measured in days.
Jan
25
comment Are Papers and Funds reporting Monthly drawdowns using daily granularity?
I was thinking in the context of intraday strategies. Using highs and lows requires the assumption that the executions are MOC or MOO.
Jan
25
answered Are Papers and Funds reporting Monthly drawdowns using daily granularity?
Jan
17
awarded  Editor