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To
calculate the average drawdown I prefer to calculate the drawdown daily
( diference in % between the historic maximum of the equity and its
actual value ). Then, the average drawdown is the mean value of the daily
drawdown in the last N days.
I
think this is a good description about the characteristics of your sistem and
if you are now inside a drawdown or not.
<SPAN
class=710432619-08072001>Regards
<SPAN
class=710432619-08072001>Angel Ibarra
<FONT face=Tahoma
size=2>-----Mensaje original-----De: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]En nombre de
CRLeBeau@xxxxxxxEnviado el: viernes, 06 de julio de 2001
18:40Para: metastock@xxxxxxxxxxxxxAsunto: Re: Meaning of
Average Drawdown<FONT
size=2>In a message dated 7/5/01 12:27:42 PM Pacific Daylight Time,
e.glass@xxxxxxx writes:
<BLOCKQUOTE
style="BORDER-LEFT: #0000ff 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px"
TYPE="CITE">Now I think I know what an equity curve is, which shows the low
point (or drawdown) over time. But what is average drawdown?
Good question. The number of drawdowns
in the average is usually stated (as in "the average of the ten largest
drawdowns".) As you are aware, you are either making a new equity
peak or you are in a drawdown - so the total number of drawdowns that can
be measured can be substantial. I usually see the ten largest
drawdowns as the number commonly used to create an average drawdown
calculation. Chuck LeBeau www.traderclub.com
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