Functions to compute the probability of drawdown and ruin
1 2 |
lsp |
A |
DD |
The maximum drawdown ( |
horizon |
The number of holding periods. |
calc.max |
If |
error |
Error level to determine permutation sample size. |
sigma |
Confidence level to determine permutation sample size. |
snow |
An optional |
The probability of drawdown or ruin, for all holding periods between 1 and horizon
.
Joshua Ulrich
Vince, Ralph (2007) The Handbook of Portfolio Mathematics.
New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model.
New York: John Wiley & Sons, Inc.
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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