# Questions tagged [drawdown]

The cumulative decline in price or value after a series of consecutive decreases or from a relative peak to a relative trough. The duration for a drawdown can be as noteworthy as its magnitude.

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### Drawdown distribution mentioned in Expert Trading Systems (John Wolberg)

In equation 2.13 of Chapter 2 (pg. 41), in his book "Expert Trading Systems: modeling financial markets with kernel regression," John Wolberg writes the probability of drawdown of $P$ ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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...
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### 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 - ...
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1 vote
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### 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, ...
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### 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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### 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 ...
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### 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 ...
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### 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 ...
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