maxDrawdown
Syntax
maxDrawdown(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.
Details
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]
maxDrawdown(x)
// Output: 0.75
maxDrawdown(x, false)
// Output: 75