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Questions tagged [drawdown]

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4
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0answers
86 views

Reference request for research on the maximum drawdown **ratio** (NOT value)

Let's suppose the asset price process follows a Geometric Brownian motion $S_t \sim GBM(\mu, \sigma),\,t\ge 0$, and define the two process: $$ \begin{align} \text{MSF}_t &:= \max_{\tau\in[0,t]} S_\...
1
vote
1answer
322 views

In R, Performance Analytics package, chart.Drawdown, plot several drawdowns curves on the same plot

Dear Stack Exchange community, Using Performance Analytics package, chart.Drawdown, I would like to plot several drawdowns curves on the same plot to be able to visually compare them. I know how to ...
2
votes
1answer
502 views

Reproduce findDrawdowns and maxDrawdown functions in R given return series

Is there any formula to calculate all drawdowns (and maximum drawdown) directly from return series? Or is it always necessary to convert the returns into implied "prices" first and then proceed with ...
3
votes
1answer
179 views

Leverage and Drawdown

What are the risks of deleveraging a leveraged long/short equity portfolio when going into a drawdown at certain drawdown stops, like deleveraging by 30% when breaching a -5% drawdown, deleveraging a ...
-2
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1answer
1k views

What is the formula for calculating Draw down recovery percentage?

I need the formula to calculate Drawdown recovery percentage showing in this picture. If you know please share. Thank you...
7
votes
1answer
610 views

Expectation of maximum draw down in the Brownian motion case

Let $$ X_t = \mu t + \sigma B_t $$ be a linear Brownian motion with drift. Let $$ S_t = \max(X_u, u \le t) $$ denote the process of the running max, then the draw down is given by $$ DD_t = S_t - ...
1
vote
1answer
220 views

Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
13
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8answers
9k 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.
1
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1answer
428 views

Expected length and depth of drawdown

Does anyone know of any model to estimate the distribution of drawdown length and depth assuming a certain portfolio dynamics? The arcsine law seems to suggest that a portfolio can spend a large ...
3
votes
1answer
6k views

Drawdown calculation for strategies

I am developing a trading strategy for currencies. I am trying to find an indication for risk, something like Sharpe ratio or Sterling ration; for that, I thought of using the (maximum) drawdown ...
8
votes
2answers
656 views

System Development / Optimization

I have been testing a trend following strategy. The results shows massive drawdowns which makes the equity curve very unstable. I just wanted to know what are some ways in which I can reduce the ...
19
votes
5answers
2k views

How to estimate the probability of drawdown / ruin?

A fairly naive approach to estimate the probability of drawdown / ruin is to calculate the probabilities of all the permutations of your sample returns, keeping track of those that hit your drawdown / ...