Find max drawdown in excel11/22/2023 I didn’t want to further add to the design and other tabs until I got this MaxDD metric down and working efficiently so this is just a working mock up. I made a couple notes in red on the tabs. When 1-2 years is selected in the Trade date slider the performance is ok, but when the entire date range is selected it’s extremely slow when you start slicing the data. It would be great to have both, but it’s not necessary due to the shorter hold times.Īttached is what I have so far showcased in PowerBI. Great question, I’m not using intraday drawdown, just Trade Close to Trade Close Drawdown so it simplifies things a bit. One thing you might notice is that I’m not using the date table as the way I approached this didn’t help, but made things worse. Hey Sam, I’m glad to hear you think it’s achievable! I think I got close, but maybe I over complicated things and missed something important along the way. Profit (in the data model table), Cumulative Profit, Peak Profit, Drawdown, maxDD There are essentially 3 main calculations that can be derived from drawdown and then you take the max(or min if drawdown is shown as a negative number) to determine the maximum drawdown. This metric is most commonly used in the financial trading/investing industry to calculate the actual or potential risk in trading system or portfolio, but can really be used for anything such as customer revenue, accounts receivables, etc.įor my dashboard, besides profit this is the most important metric as it represents risk and I can’t figure out an efficient calculation for this! I think the screenshot below provide more clarification on how this is calculated and what this looks like. A drawdown is a measure of decline in an equity curve from a peak to a trough and the maximum drawdown (MaxDD) is simply the largest drawdown in the equity curve. I need help creating an efficient calculation for drawdown and maximum drawdown in an equity curve (which is a cumulative sum of net profit or revenue, etc).
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