Maximum Drawdown

Version 1.0.0.0 (597 Bytes) by Andreas Steiner
Calculates max drawdown, start/end of msx drawdown period, end of recovery period
3.2
(5)
5.4K Downloads
Updated 16 Mar 2006

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Maximum drawdown can be defined as the largest drop from a peak to a bottom in a certain time period. This MATLAB function calculate max drawdown value, start and end of max drawdown period as well as the end of the recovery period (if any).

Cite As

Andreas Steiner (2024). Maximum Drawdown (https://www.mathworks.com/matlabcentral/fileexchange/10367-maximum-drawdown), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP2
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Maximum Drawdown

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Version Published Release Notes
1.0.0.0