ephedyn

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3 Comments

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.