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Subject: Re: Interpretation of emaxdrawdown results
Date: Sat, 16 Jul 2011 21:11:08 +0000 (UTC)
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>  However according to the documentation of 'emaxdrawdown', it can only
> have either 'arithmetic' or 'geometric' formats.
This does not make a difference...
emaxdrawdown(0.05,0.25,30) =  1.2206
emaxdrawdown(0.05-0.5*0.25^2,0.25,30) = 1.5051
...in both cases, I cannot interpret the results.

> Read the documentation
I have done that.

> "Note: To compare the actual results from maxdrawdown with the expected results
> of emaxdrawdown, ...
This is not my question, my question is: "what is the interpretation of emaxdrawdown results > 1?".

> That would indicate that 'emaxdrawdown' never uses percentage for its output
> format.
If the result is not a percentage figure - what is the unit of the output and what is it supposed to represent?

With regards,
Andi