8/8/2023 0 Comments Excel maximum drawdown![]() Test the solution provided in the youtube video and see if it really works. Once you can identify the peaks and troughs, getting the maximum drawdown should be straightforward. The maximum drawdown can then be simply calculated by MAX (G:G) or MAX (K:K). It operates upon a chain of buy-sell signals (C:C), and gives the drawdowns through an equity curve (D:D/H:H). If this is what you are trying to do, the hardest part is the peak and trough identification. The enclosed template is an example of maximum drawdown calculation. I did not explore in detail if that is an adequate algorithm to find the peak to trough numbers, but he seemed to think it was.Ģ) Once you can compute your drawdowns (peaks to troughs), then it should be a simple MIN() to find the maximum drawdown. Another return from my internet search was this video He uses a simple "to date" maximum to compute the peaks. In order to get your maximum drawdown, calculate your running percent profit and loss total, then use the Excel MIN function to get the maximum drawdown, which is the most negative number. This kind of "signal processing" algorithm can get quite involved, but will be a key part of how you perform the calculation. Maximum drawdown (MDD) is calculated in percent, and is the most that your account has lost between high watermarks. ![]() I will agree with alansidman, your post assumes that we are all financial experts who know exactly what maximum drawdown is and how it should be calculated.Ī quick internet search found this page that talks about maximum drawdown: Can we assume that this is the definition and computation procedure you are wanting to use for what you call maximum drawdown?Īssuming the investopedia article represents the calculation you are trying to do, here's how I would expect to proceed (note that, without using a VBA UDF or similar, I would expect this to require several helper columns).ġ) You need some way to locate your peaks and troughs.
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