Maximum Drawdown

Calculates max drawdown, start/end of msx drawdown period, end of recovery period

Description

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).

• Acknowledgements: This submission has inspired the following:; Maximum Drawdown
• MATLAB release: MATLAB 7.0.4 (R14SP2)

[juan jose fernandez]

great and useful

[Andreas Bonelli]

Calculating the maximum of all previous elements in each iteration is not necessary. You can store the previous maximum and simply calculate the maximum of two elements in every loop.

mx = 0;
for i = 1:n
    mx = max([lastmax, cr(i)]);
    dd(i) = mx - cr(i);
end;

This has a huge impact on the function's performance. (Complexity reduction from O(n^2) to O(n).)

Depending on the shape of the curve avoiding writing mx in each iteration should yield a significant speedup as well:

mx = 0;
for i = 1:n
    if cr(i) > mx mx = cr(i); end
    dd(i) = mx - cr(i);
end;

[Rick Jacobs]

Max Drawdown is so easy to calculate in your head.

[Hae Kyung Im]

Good, since it gets the job done. Just add Andreas Bonelli's efficiency improvement.

[Andy Bibombe]