Maximum Drawdown calculate and plot as a chart
3 views (last 30 days)
Show older comments
Hello, i want create a skript which calculate the drawdown of a stock like this: https://twitter.com/charliebilello/status/1126104370012131328
I've tried programming something like that but it doesn't worked:
function [] = MAXDRAWDOWN(r)
% Maximum drawdown is defined as the largest drop from a peak to a bottom
% experienced in a certain time period.
%
% INPUTS:
% r... vector of returns
% size of r
n = max(size(r));
% calculate vector of cum returns
cr = cumsum(r);
% calculate drawdown vector
classification = zeros( length(r),1 );
for i = 1:n
dd(i) = max(cr(1:i))-cr(i);
classification = dd
end
end
Can anybody help me with my project?
0 Comments
Answers (0)
See Also
Categories
Find more on Downloads in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!