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Maximum Drawdown

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Maximum Drawdown

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02 Aug 2007 (Updated )

Maximum relative drawdown of time-series data

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Description

This function returns the maximum relative drawdown of time-series data, as well as the start and end indices of the period when this drawdown was experienced.

Acknowledgements

Maximum Drawdown inspired this file.

MATLAB release MATLAB 7.4 (R2007a)
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Comments and Ratings (5)
29 Jul 2010 Andres Licona

If you are really interested in the downside risk Steiner's version is the best. Then you have more insight about the tail. This is very important when looking at regimes.

30 Jun 2009 Paul Acquatella

I think this version is more practical and quite better than Steiner's. Also, is faster since it does not computes the whole drawdown vector (which I don't need in particular) and its more understandable. Advantage vs. MATLAB's routine: data can be <= 0, and still computes (i.e. MaxDD = 120%, for instance).

10 Nov 2008 Andreas Bonelli

Alexc, I don't have the Financial Toolbox, so I can't help you wih MATLAB's maxdrawdown routine. My Version simply computes the maximum relative drawdown of a given time series.

08 Nov 2008 Alexc Adad

I have been trying to figure out the what the difference between your version and the one provided by Mathworks? Could you please help me?

16 Aug 2007 Andreas Steiner

The input for your function is a vector of cummulative returns, not a period return vector. You should point that out in your description of the arguments.
Personally, I prefer my version because it allos not only computation of maximum drawdown, but computation of the full drawdown vector to for example plot time-under-water charts and calculation of the average of the n-th largest drawdowns (needed in the calc of certain risk-adjusted performance measures).

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