We’re rewarding the question askers & reputations are being recalculated! Read more.

Questions tagged [maximum-drawdown]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1
vote
2answers
250 views

How to calculate the Maximum Drawdown for a portfolio in MATLAB?

I would like to verify my approach of calculating the Maximum Drawdown for a portfolio in MATLAB. I've got a vector of returns for the portfolio, to which I add 1 for every return. Afterwards I ...
0
votes
3answers
93 views

How to determine the optimal start capital for a strategy?

Suppose my strategy generates a stream of daily profits distributed like 𝒩[μ=1€, σ=10€]. Intuitively, if I trade with 10€ start capital: I could very well be ruined on the first day, if the first ...
1
vote
1answer
389 views

What is the Probability Distribution of Max-Drawdown?

How to obtain the probability distribution of Maximum Drawdown, starting from the probability distribution of Daily Returns? Here the details: Suppose I have a time serie of N=1000 daily returns. ...
2
votes
1answer
737 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 ...
8
votes
1answer
807 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
3answers
816 views

Sharpe Ratio vs Net Profit vs max drawdown

When evaluating the performance of an algorithm, what should hold more importance? Sharpe Ratio , Net profit or max drawdown? For instance, I have two algorithms one performs very good on Stocks with ...
4
votes
2answers
662 views

Comparison of Brownian Motion Expected Drawdown and simulated results

Can anyone tell me whether results as predicted by Brownian Motion for a given mean and std, match what you get by measuring actual drawdown from simulated results over a number of iterations?
14
votes
8answers
10k 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.