General Topics
Markets
Technical Topics
Brokerage Firms
Community Lounge
Site Support

Excel formula for max. drawdown

Discussion in 'Trading Software' started by patrickpope, Nov 11, 2002.

1. patrickpope

Hi all

am not massively proficient with spreadsheets - and would love it if someone had to hand a ready made formula for returning a figure for maximum drawdown using Excel. I list my daily equity in a column, so I guess it would use some sort of VLOOKUP function .....

Thankin' you -

P.

Here's how I do it, although there might be a more elegant way of calculating it:

Assuming Column A contains your equity curve:

Cell B2 : =max(A2,B1)
cell C2 : =if(A2=B2,0,MAX(C1,B2-A2)
cell D2 : =if(and(C1>0,C2=0),C1,"")

Fill columns B to D down the page next to your equity curve. Column B should give you every maximum drawdown from a new equity high.

Then you can use the Max(d:d) function to get your biggest drawdown, or large(d,d,5) to get the fifth largest drawdown, etc.

Hope this helps.

rb7 likes this.
3. patrickpope

Ding ! Perfect.

Zentrader - thank you - I really appreciate that. All seems perfectly obvious now .......

ET IS FREE BECAUSE OF THE FINANCIAL SUPPORT FROM THESE COMPANIES: