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#474366 - 10/09/18 17:35 Normalized maximum drawdown
3dgamelight Offline
Member

Registered: 04/24/17
Posts: 106
How to calculate normalized maximum drawdown?

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#474388 - 10/11/18 09:44 Re: Normalized maximum drawdown [Re: 3dgamelight]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26841
Loc: Frankfurt
Multiply drawdown with the square root of 3 years divided by the test period.

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