Excel formula for max. drawdown

P

patrickpope

Hi all

am not massively proficient with spreadsheets - and would love it if someone had to hand a ready made formula for returning a figure for maximum drawdown using Excel. I list my daily equity in a column, so I guess it would use some sort of VLOOKUP function .....

Thankin' you -

P.
 
Here's how I do it, although there might be a more elegant way of calculating it:

Assuming Column A contains your equity curve:

Cell B2 : =max(A2,B1)
cell C2 : =if(A2=B2,0,MAX(C1,B2-A2)
cell D2 : =if(and(C1>0,C2=0),C1,"")

Fill columns B to D down the page next to your equity curve. Column B should give you every maximum drawdown from a new equity high.

Then you can use the Max(d:d) function to get your biggest drawdown, or large(d,d,5) to get the fifth largest drawdown, etc.


Hope this helps.
 
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