Compute maximum drawdown for one or more price series
computes maximum drawdown for each series in an MaxDD
= maxdrawdown(Data
)N
-vector
MaxDD
and identifies start and end indexes of maximum
drawdown periods for each series in a 2
-by-N
matrix MaxDDIndex
.
[
adds an optional output for MaxDD
,MaxDDIndex
] = maxdrawdown(___)MaxDDIndex
.
[1] Christian S. Pederson and Ted Rudholm-Alfvin. "Selecting a Risk-Adjusted Shareholder Performance Measure." Journal of Asset Management. Vol. 4, No. 3, 2003, pp. 152–172.