![]() ![]() The stock market is similar to the shopping malls we often see. At the same time, price swings in the stock market have moderated the VIX, which measures the implied volatility of the S&P 500, dropped below 15, the lowest level since prior to the pandemic. Under normal circumstances, a stock drawdown is not suitable because trading is light, no one is buying or selling, and the market is like a pool of stagnant water lacking vitality. Since the start of second quarter, the maximum drawdown has been just -3. However, in the docs for Statistics.DrawdownValue, (a related method) it refers to "equityOverTime" as "Array of portfolio value over time", suggesting it is a literal array (ie: a list) of floats (doubles). Therefore, how good a stock drawdown is depended mainly on how the market moves during the same period. Looking at C#'s definition of a 'SortedDictionary', it seems this is a dictionary where the key is a datetime. In the docs for Statistics.DrawdownPercent, i see the following method signature:īut there's no details of what is expected for 'equityOverTime'. A drawdown in trading refers to the degree to which your trading account or a particular investment drops down from their peak, before recovering. This can be in a stock, a fund or your trading, or a retirement account. According to Shillers data, the maximum drawdown in this years correction (just shy of -20) ranks as the 14th deepest peak-to-trough decline since 1871 for US stocks. ![]() ![]() So far i'm able to easily calculate % return and sharpe ratio (there's actually an indicator for sharpe), but I need a little guidance in calculating Drawdown percent for a stock over a period of time, using the in-built statistics method: A drawdown measures the peak to trough decline during a specific period of time. I'm exploring the use of portfolio metrics to evaluate asset performance (after all, portfolio equity over time and asset price over time are both time series). ![]()
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