StockFetcher Forums · General Discussion · How about a max drawdown function?<< 1 2 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #116952
Ignore Kevin_in_GA
11/21/2013 10:18:23 PM

Thank you. This is actually quite useful for comparing performance and risk over different time frames. Is there a maximum number of days one can look back?

alf44
2,025 posts
msg #116953
Ignore alf44
modified
11/21/2013 10:25:16 PM

.

Kevin ... eager to hear more about how this is working for you !

.

Kevin_in_GA
4,548 posts
msg #116989
Ignore Kevin_in_GA
11/22/2013 9:22:40 PM

I'm using it to calculate Calmar ratios for the various asset classes, to see how they compare in a TAA-like allocation strategy. What this has highlighted for me is the need to make all look back periods at least go back a year - right now things like ROC and sum only go back 100 days.

StockFetcher Forums · General Discussion · How about a max drawdown function?<< 1 2 >>Post Follow-up

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