How to calculate average annual max drawdown for lookback period
Author: JohnFCig
Creation Date: 6/24/2016 1:40 PM
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JohnFCig

#1
Hi,
Is there a relatively simple way to have WLP calculate the avg annual max draw down for a back test. preferably providing this data in a table or is there a way to export back test data into Excel and have Excel calculate avg annual max draw down. Thx!
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Eugene

#2
Hi,

There are at least two options using tools already available:

1. The closest one is to copy the annual Max DD% and average the series in Excel. For this you can select Annually on the By Period tab, right-click on the table and choose "Copy data".

2. The Performance+ visualizer (part of the Performance Visualizers extension) contains a metric called "Average drawdown %". Although it's not exactly the annual drawdown and there's no lookback period, this metric averages all drawdowns (%) the system has incurred.

Before you're able to download the extension, first we have to verify your Fidelity WLP entitlement. To complete this quick and easy procedure please create a support ticket.
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JohnFCig

#3
Thx Eugene much appreciated.