|
PureBytes Links
Trading Reference Links
|
If you enter a trade, and it goes against you by $2,000 and then recovers
and goes in your favor $25,000 and then you close out with a $15,000
profit, TS would compute your DD as $2000. This is not the Mark-to-market
DD that is commonly used by money managers and you need to do your own
computation of that statistic.
At 04:50 PM 6/21/02 +0200, you wrote:
>Does anybody on the list have an algorithm of how max. drawdown is calculated.
>Are there any variations on how DD is calculated,
>what are the pros and cons of these variations ?
>
>Thx
>
>Michael
Bill Brower
Email: 1000mileman@xxxxxxxxxxxxxx
Web Site: http://www.insideedge.net
Web Site: http://www.portfolioriskanalysis.com
|