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They mark-to-market everyday. That means the drawdown in the example below
(assuming the trade took several days) would be $10000 not $2000.
At 10:49 AM 6/21/02 -0500, you wrote:
>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
> >
> >
Bill Brower
Email: 1000mileman@xxxxxxxxxxxxxx
Web Site: http://www.insideedge.net
Web Site: http://www.portfolioriskanalysis.com
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