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Aug 21, 2017 The drawdown at any point is the difference of the max portfolio value so far minus the current value. Unoptimized Python code to compute this.... Start, End and Duration of Maximum Drawdown in Python. Solution: Just find out where running maximum minus current value is largest: n = 1000 xs... b8d0503c82 serikhar
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A maximum drawdown (MDD) measures the maximum fall in the value of the investment, as given by the difference between the value of the lowest trough and.
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