cummdd
Syntax
cummdd(X, [ratio=true])
Arguments
X is a numeric vector, indicating the input data for calculating maximum drawdown (MDD), commonly cumulative return (or rate).
ratio (optional) is a Boolean scalar indicating whether to express the MDD in ratio or absolute value.
- true (default): Return the ratio of MDD over the peak.
- false: Return the absolute value of MDD.
Please see Cumulative Window Functions for the windowing logic.
Details
Cumulatively calculate the maximum drawdown for the input X. NULL values are ignored in calculation.
Return value: A scalar of the same type as X.
Examples
Suppose the daily returns for a portfolio are as follows:
| Date | Returns |
|---|---|
| 2024-10-01 | 36 |
| 2024-10-02 | 96 |
| 2024-10-03 | 42 |
| 2024-10-04 | 100 |
| 2024-10-05 | 59 |
| 2024-10-06 | 86 |
| 2024-10-07 | 25 |
| 2024-10-08 | 72 |
Calculate the maximum drawdown:
x = [36,96,42,100,59,86,25,64,72]
cummdd(x)
// Output: [0,0,0.5625,0.5625,0.5625,0.5625,0.75,0.75,0.75]
cummdd(x, false)
// Output: [0,0,54,54,54,54,75,75,75]