4/16/2023 0 Comments Max drawdown formula![]() , data. , data.drawdown * 100 AS drawdownPercentage , a.standardDeviationCalc * a.sqrtTimeSeries AS volatility , vehicleShareClassGroup_fk ORDER BY valueDate ROWS BETWEEN UNBOUNDED PRECEDING AND 0 PRECEDING) AS minimumDrawdown , MAX(drawdown) OVER(PARTITION BY currency_fk , vehicleShareClassGroup_fk ORDER BY valueDate ROWS BETWEEN UNBOUNDED PRECEDING AND 0 PRECEDING) AS maximumDrawdown , MIN(drawdown) OVER(PARTITION BY currency_fk , vehicleShareClassGroup_fk ORDER BY valueDate) AS standardDeviationCalc , STDEV(logCalc) OVER(PARTITION BY currency_fk , vehicleShareClassGroup_fk ORDER BY valueDate) - 1 AS drawdown , NAVLocal / MAX(previousInvestorLevelNAV) OVER(PARTITION BY currency_fk We can repeat this procedure as many times as we want and calculate some overall statistics over the values of the maximum drawdown we get. , vehicleShareClassGroup_fk ORDER BY valueDate)) AS sqrtTimeSeries , SQRT(COUNT(NAVLocal) OVER(PARTITION BY currency_fk , vehicleShareClassGroup_fk ORDER BY valueDate) / NAVLocal), 0) AS logCalc This profit is equivalent to 3.1R per month. We have a profit of about 171,800 usd if we place a fixed 500 usd/order (equivalent to 343R for over 9 years). This profit is equivalent to 250 per year. citation needed In finance, the use of the maximum drawdown as an indicator of risk is particularly popular in the world of commodity trading advisors through the widespread use of three performance. , isnull(LOG(LAG(NAVLocal) OVER(PARTITION BY currency_fk The maximum Balance Drawdown is about 17. The Maximum Drawdown, more commonly referred to as Max DD, is the worst (the maximum) peak to valley loss since the investment’s inception. , vehicleShareClassGroup_fk ORDER BY valueDate) AS previousInvestorLevelNAV ![]() , LAG(NAVLocal) OVER(PARTITION BY currency_fk ![]() On each row, I want to perform the calculation from current row to -3 years. I am not sure how to do it.Īdding AND valueDate >= DATEADD(yy, -3, GETDATE()) to the WHERE clause doesn't give me what I need: I need to perform 3 years calculation from the current valueDate record. For a given date, I want to do the calculation only on the past 3 years. The query below is doing the calculation on all records. The goal is to calculate the drawdown and volatility over a 3 year period rather than the full period. In my real scenario I can have at least 10 years of daily prices. Each record is associated to a ShareClassID, a currency, a date, and an amount. I have a table with daily prices as below and in this SQLfiddle. ![]()
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