Suppose I have a strategy (model it as the usual geometric Brownian motion with a drift). Question is, how does max drawdown grow as a function of duration?
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1$\begingroup$ This should do: math.stackexchange.com/questions/1053294/… $\endgroup$ – Lipton Jan 24 '18 at 19:55
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$\begingroup$ @Lipton Do tell. $\endgroup$ – Igor Rivin Jan 24 '18 at 21:10
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$\begingroup$ After a second thought, realised that i was thinking of min rather than max drawdown, and thought that if we know the distribution of the min for a Brownian motion with drift, then we can figure out the distribution of the asked min. But in any case, this question seems to have answered it: quant.stackexchange.com/questions/17589/… $\endgroup$ – Lipton Jan 24 '18 at 22:33
