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Why do I receive answers from postings that I never got, or get I get the
answer first and then the posting.....
Volker Knapp
Wealth-Lab Inc.
http://www.wealth-lab.com
http://www.wealth-lab.de
++-----Ursprüngliche Nachricht-----
++Von: Gerald Marisch [mailto:gm@xxxxxxxxxxxxx]
++Gesendet: Freitag, 21. Juni 2002 17:49
++An: William Brower; Michael.Mueller@xxxxxxxxx; omega-list@xxxxxxxxxx
++Betreff: Re: Calculating Drawdown
++
++
++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
++>
++>
++
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