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Equity drawdown recovery

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  1. #1
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    Equity drawdown recovery

    Hi, in ref to the attached excel, I am looking for a formula to calculate recovery time for multiple drawdowns in a time series (draw length). Recovery time refers to the time a value takes to return to its previous peak. The point to be noted here is that - since the trading dates are specific, the no. of days that would be the outcome for this would be calendar days and not trading days.

    I have already applied a formula in the attached excel from another thread (formula suggested by Bernie Deitrick) to calculate the draw length, but that takes into account the trading days and not calendar days.

    Thanks!


    Forum post - Draw size and length..xlsx

  2. #2
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    Re: Equity drawdown recovery

    The following formula subtracts the date of last previous draw of 0% from the date of the current draw of 0%:
    Formula: copy to clipboard
    =IF(AND(C2<0,C3=0),A3-INDEX(A$2:A2,AGGREGATE(14,6,(ROW(A$2:A2)-ROW(A$1))/((C$2:C2=0)*(C$3:C3<0)),1)),"-")

    Note that in the sample file every day between 4-Jan and 4-April is listed so the results will be the same as those yielded by Bernie's formula.
    Let us know if you have any questions.
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