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Maximum drawdown for the period

  1. #1
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    Maximum drawdown for the period

    Hello guys!

    I searched through the forum for "Drawdown" but still couldn't find an answer to my question.

    My task is to find return and drawdown (risk) for the specified period.

    I have calculated the return for the period using Index and Match functions.
    But I don't know how to calculate drawdown (DD) for the same period.

    The main problem is that during the period, my equity can set new highs repeatedly, which leads to a constant recalculation of the DD and finding a new maximum DD value.

    So I have to choose the maximum DD for the selected period of several DD for the period.

    I've attached a file with an example and description.

    Thanks in advance for any help
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    Last edited by NBVC; 09-07-2010 at 11:33 AM.

  2. #2
    Forum Expert NBVC's Avatar
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    Re: Maximum drawdown for the period

    See attached...

    Insert 2 columns after column E for helper columns.

    In new F3 enter:

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    confirmed with CTRL+SHIFT+ENTER
    not just ENTER so you see { } brackets surround the formula... then copy down.

    then in G3 enter:

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    confirmed with CTRL+SHIFT+ENTER
    not just ENTER and copy down

    then in K7 to get final result enter:

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    confirmed with normal ENTER only.
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    Last edited by NBVC; 09-07-2010 at 10:47 AM.
    Where there is a will there are many ways.

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  3. #3
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    Re: Maximum drawdown for the period

    Thank you very much for your help. That's exactly I was looking for

  4. #4
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    Re: Maximum drawdown for the period

    Hi there,

    I tried to modified your example to work for my case; however, I am getting N/A error in the cell. Can you help?
    Attached Files Attached Files

  5. #5
    Forum Expert NBVC's Avatar
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    Re: Maximum drawdown for the period

    Since you seem to be use exactly the same template, then give this a try:

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    confirmed with CTRL+SHIFT+ENTER not just ENTER.

    If this doesn't work, please start a new thread with a link to this thread if needed.

  6. #6
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    Re: Maximum drawdown for the period

    There's a VBA function to calculate Maximum Drawdown in Excel here

  7. #7
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    Thumbs up Re: Maximum drawdown for the period

    thanks for this I've been trying to figure it out for ages

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