Questions tagged [maximum-drawdown]
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Clustering of Maximum Drawdown Values in Monte Carlo Simulations (Jaekle & Tomasini example)
Hope this question isn't too naive. I've been trying to replicate the Monte Carlo method using sampling without replacement as described in the Jaekle & Tomasini book (Trading Systems: A New ...
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Difference between Maximum Drawdown and Largest Individual Drawdown
Bacon in Practical Portfolio Performance Measurement and Attribution distinguishes between the two, specifying that "Maximum drawdown represents the maximum loss an investor can suffer in the ...
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Average drawdown and average drawdown length in Python
I'm trying to use Python to give me more information about drawdowns than just the max drawdown and the duration of the max drawdown. I would like to determine the number of drawdowns that have ...
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Mixing Max Drawdown and Sharpe Ratio in a single utility function : is there a standard approach?
We know that 2 strategies can give the same Sharpe Ratio, but with different Maximum Drawdown. I computed myself these 2 strategies having the same cumulative return and SR, but with considerably ...
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How to compare algorithmic trading strategy risk/reward performance? [closed]
I am setting up different algorithmic trading strategies with varying performance characteristics. I am new to this. The strategies vary greatly with their aggressiveness. I would like to find a way ...
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alternatives of sharpe's ratio with respect to maximum-drawdown(mdd)
Given a window, expected return divided by standard deviation is sharpe's ratio.
But I want to form another figure for mdd-adjusted return.
mdd divided by expected return can be suggested but it seems ...
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Contribution to Drawdown?
I am trying to learn about the contribution to drawdown as a risk measure. While it is common to look at volatility and VaR/CVaR contributions, I have never seen the contribution of each portfolio or ...
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S&P e mini price difference between close and opening
Why on some days is there a price gap on the S&P futures market. Meaning why is there a major difference in the closing price and opening price. Example on 2/18/2022 market closed at 4343.5 and ...
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Distribution of Geometric Brownian Motion drawdowns from realizations of multivariate Normal and Laplace distributions
I am trying to simulate the distribution of Geometric Brownian Motion drawdowns from samples of multivariate Normal and Laplace distributions under the same covariance structure. Drawdowns are defined ...
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Statistical distribution of Max Drawdown
Are there any good papers/ references on the statistical distribution of Max Drawdown over a specified amount of time given a specified Sharpe? Assuming returns are iid normally distributed
I’ve been ...
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Theoretical Expected Maximum Drawdown vs Empirical Maximum Drawdown
I have been looking at the approach for calculating the expected maximum drawdown of a Brownian Motion [1] and the corresponding function maxddStats in the fBasics package in R [2].
I do not ...
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Implementation of Maximum Drawdown in python working directly with returns
I have a strategy on a stock (such as Buy and Hold) on which I have to calculate the maximum drawdown. The problem is that I'm working on returns expressed in percentages, so I do not have the time ...
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Global Maximum Drawdown and Maximum Drawdown Duration Implementation in Python
Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted to try ...
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May Calmar ratio be considered to satisfy monotonicity?
We have the following definitions
$\text{Gain-loss ratio} = \frac{E[X^+]}{|E[X^-]|}=\frac{E[X^+]}{-E[X^-]}=\frac{E[X]}{-E[X^-]}+1$;
where $X$ are the returns, $E[X^+]$ is the expected gain, i.e. $E[X|...
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Which metric is most predictive: Mean, Sharpe, Calmar, ...?
Suppose you have created a new trading algorithm:
by varying the params of the algorithm, you get a large number of similar trading strategies (e.g. slightly different trigger thresholds, stop loss ...
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Cumulative return calculation with monthly return [closed]
I am working on calculate the cumulative return and I have monthly return rate as input. So I found formula of cumulative return:
$$
\text{cumulative} = (1 + r_1) (1 + r_2)(1 + r_3) - 1
$$
so I used <...
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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 ...
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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 ...
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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.
...
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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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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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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 ...
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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?
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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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