Maximum Drawdown in Monte Carlo
Author: joannakim
Creation Date: 8/13/2010 12:44 PM
profile picture

joannakim

#1
Hi. I noticed that there are Average Drawdown and Maximum Drawdown in Monte Carlo but not Maximum Drawdown. I would really like to know the Maximum Drawdown of a system so that I know what my absolute maximum risk is. How do I get Maximum Drawdown in Monte Carlo?
profile picture

Eugene

#2
Hi,

Are you talking about the Analysis tab of the Monte Carlo visualizer? (There's Monte Carlo optimizer in Wealth-Lab as well, and the phrase "there are ... Maximum Drawdown ... but not Maximum Drawdown" isn't clear).
profile picture

joannakim

#3
yes, I am talking about the Analysis tab of the Monte Carlo where we get a histogram of drawdowns, and at the bottom there are " Average Drawdown," and "Median Drawdown," but no "Maximum Drawdown."
I would like to get Maximum Drawdown after doing Monte Carlo analysis.
profile picture

Eugene

#4
All the numbers apply to maximum drawdown %. Average and Median Drawdown represent the average/median values in a distribution from all of the Monte Carlo simulations runs. What you need is the "Largest" drawdown extreme there.
profile picture

joannakim

#5
Are you saying that "Average Drawdown" and " Median Drawdown" is the Average and Median respectively of all the Maximum Drawdowns of all the Monte Carlo runs?

And is there a way to get the "Largest Drawdown?"

Joanna
profile picture

Eugene

#6
Yes, I'm saying that. Have you already checked the User Guide, Preferences > Visualizers > Monte Carlo?

Did I mention: "What you need is the "Largest" drawdown extreme there" ?