|
PureBytes Links
Trading Reference Links
|
OK...so HOW DO money managers compute drawdown?
Inquiring minds want to know.......
----- Original Message -----
From: "William Brower" <1000mileman@xxxxxxxxxxxxxx>
To: <Michael.Mueller@xxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Friday, June 21, 2002 10:38
Subject: Re: Calculating Drawdown
> 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
>
>
|