![]() This cookie is native to PHP applications. ![]() It allows the website owner to implement or change the website's content in real-time. This cookie is used by the website's WordPress theme. The cookie is used to store the user consent for the cookies in the category "Performance". This cookie is set by GDPR Cookie Consent plugin. The cookie is used to store the user consent for the cookies in the category "Other. The cookies is used to store the user consent for the cookies in the category "Necessary". The cookie is set by GDPR cookie consent to record the user consent for the cookies in the category "Functional". The cookie is used to store the user consent for the cookies in the category "Analytics". The cookie is set by GDPR cookie consent to record the user consent for the cookies in the category "Advertisement". These cookies ensure basic functionalities and security features of the website, anonymously. Necessary cookies are absolutely essential for the website to function properly. Information on this site is not directed at residents in any country or jurisdiction where such distribution or use would be contrary to local law or regulation. All program fees are used for operation costs including, but not limited to, staff, technology and other business related expenses. Purchases of programs should not be considered deposits. MyForexFunds does not act as or conduct services as a custodian. MyForexFunds does not act as or conduct services as a broker. If you require financial advice, it is recommended that you speak to a financial adviser or licensed professional. MyForexFunds does not take into consideration your personal financial situation. People who register for our programs do so at their own volition. MyForexFunds does not directly solicit customers from Canada. And that MT4/MT5 is operating under Traders Global Group Incorporated, with registration number 1264617-0 and having its registered office at 9131 Keele Street, Vaughan, Ontario, ON L4K 2N, Canada. We use maximum drawdown as one of the key statistics for evaluating our quantitative investment strategies and for deciding on the introduction of new variables in our models.MyForexFunds is owned and operated by Traders Global Group Incorporated. Most investors would strongly prefer the first strategy, because it has a much lower maximum drawdown than the second strategy! Furthermore, the length of the drawdown period is shorter. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.įor example: two strategies can have the same average outperformance, tracking error, information ratio and volatility, but their maximum drawdowns compared to the benchmark can be very different.įor instance, suppose that the first one achieves a monthly performance of 1%, -0.5%, 1%, -0.5% and so on versus the benchmark, while the second strategy achieve an outperformance of 1% each month during the first half of the sample, but an underperformance of 0.5% each month during the second half of the sample. ![]() The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. It is usually quoted as a percentage of the peak value. ![]() Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period.
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