Compute maximum drawdown for one or more price series
MaxDD = maxdrawdown(Data) MaxDD = maxdrawdown(Data, Format) [MaxDD, MaxDDIndex] = maxdrawdown(Data, Format)
T-by-N matrix with T samples of N total return price series (also known as total equity).
(Optional) MATLAB® string indicating format of data. Possible values are:
'return' (default): Maximum drawdown in terms of maximum percentage drop from a peak.
'arithmetic': Maximum drawdown of an arithmetic Brownian motion with drift (differences of data from peak to trough) using the equation
'geometric': Maximum drawdown of a geometric Brownian motion with drift (differences of log of data from peak to trough) using the equation
MaxDD = maxdrawdown(Data, Format) computes maximum drawdown for each series in an 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-by-N vector with maximum drawdown for each of N time series.
MaxDDIndex is a 2-by-N 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.
See Maximum Drawdown.
Christian S. Pederson and Ted Rudholm-Alfvin, "Selecting a Risk-Adjusted Shareholder Performance Measure," Journal of Asset Management, Vol. 4, No. 3, 2003, pp. 152-172.