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# Questions tagged [maximum-drawdown]

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### 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 ...
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 ...
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. ...
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 ...
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 - ...
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 ...