大概這樣:
P(t) = day t price
For continuous records:
Rolling Max(t) = Max { P(s): 0 <= s <= t}
For discreted time (say, daily data):
Rolling Max(0) = P(0)
Rolling Max(t) = Max[Rolling Max(t-1), P(t)]
Drowdown(t) = [P(t) - Rolling Max(t)] / Rolling Max(t)
我從 Yahoo Finance 下載了 S&P 500 Index daily close(沒算分紅再投資),用上麵公式計算 Drawdown,圖如下。我不負責上述公式的正確性,不負責數據正確性,也不負責我的計算是否符合上述公式。僅供大家參考