Compute maximum drawdown for one or more price series
MaxDD = maxdrawdown(Data) MaxDD = maxdrawdown(Data,Format
) [MaxDD, MaxDDIndex] = maxdrawdown(Data,Format
)


 (Optional) MATLAB^{®} string indicating format of data. Possible values are: 
 
$$dX\left(t\right)=\mu dt+\sigma dW\left(t\right).$$  
$$dS\left(t\right)={\mu}_{0}S\left(t\right)dt+{\sigma}_{0}S\left(t\right)dW\left(t\right)$$ 
MaxDD = maxdrawdown(Data,
computes
maximum drawdown for each series in an Format
)N
vector MaxDD
and
identifies start and end indexes of maximum drawdown periods for each
series in a 2
x N
matrix MaxDDIndex
.
To summarize the outputs of maxdrawdown
:
MaxDD
is a 1
byN
vector
with maximum drawdown for each of N
time series.
MaxDDIndex
is a 2
byN
vector
of start and end indexes for each maximum drawdown period for each
total equity time series, where the first row contains the start indexes
and the second row contains the end indexes of each maximum drawdown
period.
Notes

Christian S. Pederson and Ted RudholmAlfvin, "Selecting a RiskAdjusted Shareholder Performance Measure," Journal of Asset Management, Vol. 4, No. 3, 2003, pp. 152172.