Re: Meaning of Average Drawdown

[Dan <dcash@xxxxxxxxxxxx>]

Angel,
Please provide and go through an example for me.
Thanks,
Dan
Angel Ibarra wrote:
 
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.RegardsAngel
Ibarra 
-----Mensaje
original-----
De: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]En nombre de CRLeBeau@xxxxxxx
Enviado el: viernes, 06 de
julio de 2001 18:40
Para: metastock@xxxxxxxxxxxxx
Asunto: Re: Meaning of Average
Drawdown
 
In a message dated 7/5/01 12:27:42
PM Pacific Daylight Time, e.glass@xxxxxxx
writes:
 
 
> 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