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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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5 answers
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How to estimate the probability of drawdown / ruin?

A fairly naive approach to estimate the probability of drawdown / ruin is to calculate the probabilities of all the permutations of your sample returns, keeping track of those that hit your drawdown / …
Joshua Ulrich's user avatar