File Exchange

image thumbnail

Maximum Drawdown

version 1.0 (1.27 KB) by

Maximum relative drawdown of time-series data

2.66667
3 Ratings

3 Downloads

Updated

View License

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.

Comments and Ratings (5)

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.

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).

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.

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?

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).

MATLAB Release
MATLAB 7.4 (R2007a)
Acknowledgements

Inspired by: Maximum Drawdown

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video