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Dan,
If you have a chronological list of trades with their closed profits or
losses, you can only calculate the Closed Maximum Drawdown (makes sense,
huh?). Although this is useful information, another statistic you should
try to nail down is the Open Maximum Drawdown. This shows how low your
portfolio got before snapping back, whereas the closed maximum drawdown
only looks at when you closed the trade. You can calculate this on any
time scale---seconds, minutes, days, weeks, months, etc...
With the limited data you have, you would go about calculating the max
closed trade drawdown like this:
1. Start with the beginning equity balance in cell b1
2. List your trades' profits and losses in column A starting in cell 2
3. In cell b2, enter the following formula (without the quotes): "=b1+a2"
---copy this formula all the way down column b to where the trades end
(this is your equity)
4. In cell c2 enter the following formula:
"=if(b2=max($b$1:b2),0,(max($b$1:b2)-b2)/max($b$1:b2))" --this will give
you drawdown in PERCENTAGE terms;
if you want drawdown in dollar terms, enter this formula in c2:
"=if(b2=max($b$1:b2),0,max($b$1:b2)-b2)
5. You can copy cell c2 all the way down to where the trades end, too
(this is your drawdown)--to find MAX drawdown, just enter
"=max(c2:cx)"--"x" being the row number where the trades end. (if trades
end in row 82, the formula would be, "=max(c2:c82). I am sure there are
other ways of doing it, but this is the way I do it. Hope this helps.
Bill Bancroft
Dan Tierney wrote:
> Does anyone know the answer to this question?
>
> If I have a trade by trade list with P/L in an Excel spreadsheet, how
> can I program the spreadsheet to calculate the Max Draw Down?
>
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