Compute maximum drawdown for one or more price series
MaxDD = maxdrawdown(Data) MaxDD = maxdrawdown(Data,
Format) [MaxDD,MaxDDIndex] = maxdrawdown(Data,
(Optional) MATLAB® character vector indicating format of data. Possible values are:
MaxDD = maxdrawdown(Data, computes
maximum drawdown for each series in an
identifies start and end indexes of maximum drawdown periods for each
series in a
To summarize the outputs of
MaxDD is a
with maximum drawdown for each of
N time series.
MaxDDIndex is a
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
Drawdown is the percentage drop in total returns from the start to the end of a period. If the total equity time series is increasing over an entire period, drawdown is 0. Otherwise, it is a positive number. Maximum drawdown is an ex-ante proxy for downside risk that computes the largest drawdown over all intervals of time that can be formed within a specified interval of time.
Maximum drawdown is sensitive to quantization error.
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.