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Andreas Bonelli

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02 Aug 2007 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli maximum drawdown, analysis, modeling, risk management, finance 41 4
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19 May 2009 FAST CONVEX HULL ALGORITHM Totally m-code routine to compute convex hull in 2D space faster than the Matlab native convhull. Author: Luigi Giaccari

15 Apr 2009 Variable Precision Integer Arithmetic Arithmetic with integers of fully arbitrary size. Arrays and vectors of vpi numbers are supported. Author: John D'Errico

15 Apr 2009 Variable Precision Integer Arithmetic Arithmetic with integers of fully arbitrary size. Arrays and vectors of vpi numbers are supported. Author: John D'Errico

Great submission, but there seems to be a bug with vpi2english for numbers from 1 to 99:

>> vpi2english(vpi('1'))
??? Index exceeds matrix dimensions.

Error in ==> vpi.vpi2base at 114
    B(i) = base2dec(fliplr(cdigits(ind)),10);

Error in ==> vpi.vpi2english at 53
base1000 = vpi2base(N,1000);

10 Nov 2008 Maximum Drawdown Maximum relative drawdown of time-series data Author: 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.

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30 Jun 2009 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli Acquatella, Paul

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 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli Bonelli, Andreas

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 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli Adad, Alexc

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 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli Steiner, Andreas

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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vis2009, analysis, finance, maximum drawdown, modeling
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08 Apr 2009 Published M-Files Finding the Similar Entries: A Quantitative Approach based on CPU Runtime Behavior Entry to Matlab contest Spring 2009 Author: C Jethro Lam vis2009 13 7
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01 Apr 2009 Published M-Files MATLAB Contest Statistics The code used to generate the "Statistics" page for the MATLAB Contest. Author: Matthew Simoneau vis2009, matlab contest, datavis, contest 112 7
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02 Aug 2007 Maximum Drawdown Maximum relative drawdown of time-series data Author: Andreas Bonelli maximum drawdown, analysis, modeling, risk management, finance 41 4
  • 3.5
3.5 | 2 ratings
 

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