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Originalmente inviato da Pek
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ottimo
il MDD storico di 6130 si otterrebbe usando la formula
The following pseudocode computes the Drawdown ("DD") and Max Drawdown ("MDD") of the varialbe "NAV", the Net Asset Value of an investment. Drawdown and Max Drawdown are calculated as percentages:
MDD = 0
peak = -99999
for i = 1 to N step 1
if(NAV[i] > peak) then peak = NAV[i]
DD[i] = 100.0 * (peak - NAV[i]) / peak
if(DD[i] > MDD) then MDD = DD[i]
endfor
giusto?
