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Results tagged with drawdown
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user 2114
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.
4
votes
Accepted
Drawdown calculation for strategies
I concur with Richard here. Generally draw downs are measured on invested capital not raw pnl. Thus if you start out with 1 million xyz currency units and suffer a loss on the first trade of 100,000 x …
- 14.6k
0
votes
Accepted
Expected length and depth of drawdown
Here you go,
http://arxiv.org/pdf/cond-mat/9808295.pdf
http://www.cs.rpi.edu/~magdon/talks/mdd_NYU04.pdf
http://www.intelligenthedgefundinvesting.com/pubs/rb-kwcmlr.pdf
However, you mentioned you …
- 14.6k
7
votes
Fastest algorithm for calculating retrospective maximum drawdown
I won't give you the answer delivered on a silver platter but hopefully the following will get your started:
a) you need to define exactly over which look-back period you aim to derive the maximum drawdown …
- 14.6k