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Maximum Drawdown – Excel 2003

P: 47
As I couldn’t find suitable calculation by using Google:

I am using Excel 2003 and I am trying to calculate maximum drawdown for given data sample.

Various data is recorded in column D (positive and negative values), with D3 being first cell that has numeric value while D500 has last numeric value.

I’ve created graph for range L3:L500* and from it I can manually calculate maximum drawdown and I would like to learn how to create formula which would do the same for me, with maximum drawdown being defined as “tool which measures the peak-to-trough decline over a period of negative performance” or “largest difference from peak to valley after portfolio recovers to value which is greater than value at peak from which drop was measured”.

Guidelines and assistance in learning how to calculate this would be truly appreciated.

Thank you.

*L3 = 0+D3; L4 = L3+D4, etc.
Feb 15 '10 #1
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P: 47
I was kind of lucky to stumble upon something:

If I introduce in N3 the following:

=MAX($L$3:$L3)-L3

And if I fun run this down to N500 where it will end as:

=MAX($L$3:$L500)-L500

And than I type in some cell (where I want Maximum Drawdown displayed) the following:

=-MAX($N3:$N500)

All in all, this looks as it is giving me solution for my problem, so just wanted to share it with all.
Feb 15 '10 #2

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