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Normalized maximum drawdown #474366
10/09/18 15:35
10/09/18 15:35
Joined: Apr 2017
Posts: 106
3
3dgamelight Offline OP
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3dgamelight  Offline OP
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3

Joined: Apr 2017
Posts: 106
How to calculate normalized maximum drawdown?

Re: Normalized maximum drawdown [Re: 3dgamelight] #474388
10/11/18 07:44
10/11/18 07:44
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Multiply drawdown with the square root of 3 years divided by the test period.


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