I have a column of share prices and i want to insert columns of forumlas to generate the largest drawdowns from it. I saw a very similar problem solved on this site a few months ago. Prices = sheet.Range(sheet.Cells(first_row, price_column), sheet.Cells(last_row, price_column)). 1 First time user here I am trying to calculate the largest drawdown in percentages. Returns(i) = Log(prices(i + 1, 1) / prices(i, 1)) ^ 2ĭVOL = Sqr( 252 * WorksheetFunction.Average(returns))įunction DDVOL(first_price_cell As Range) As Double Link maxTradeDrawDown () > maxDrawdown 0.0 for tradeNo 0 to strategy.closedtrades - 1 maxDrawdown : math. Prices = sheet.Range(sheet.Cells(first_row, price_column), sheet.Cells(last_row, price_column)).Value2 ' copy prices to new array so we don't recalc 1 Answer Sorted by: 0 It can be fairly simple depending on what exactly you need. ReDim returns( 1 To (last_row - first_row)) Last_row = sheet.Cells(, price_column).End(xlUp).Row ' get the last rowĭo Until IsNumeric(sheet.Cells(last_row, price_column).Value2) Or last_row = 1ĭIRR = (sheet.Cells(last_row, price_column).Value2 / sheet.Cells(first_row, price_column).Value2) ^ ( 1 / WorksheetFunction.YearFrac(sheet.Cells(first_row, date_column).Value, sheet.Cells(last_row, date_column).Value, 1)) - 1įunction DVOL(first_price_cell As Range) As Doubleĭim first_row As Long, last_row As Long, price_column As Long, sheet As Worksheet Set sheet = first_price_cell.Worksheet ' sheet for price The MDD is a measure capturing the maximum movement (. There are multiple variables that you might want to optimize, such as the total return, the Sharpe Ratio, the volatility, the maximum drawdown, or even a. Price_column = first_price_cell.Column ' price columnĭate_column = first_date_cell.Column ' date column The drawdown is the measure of the cumulative decline of value from a peak point to the next low point. As an example, consider what would be written into Excel. Function DIRR(first_price_cell As Range, first_date_cell As Range) As Doubleĭim first_row As Long, last_row As Long, price_column As Long, date_column As Long, sheet As Worksheetįirst_row = first_price_cell.Row ' first row If you use a spreadsheet to calculate drawdown (which I highly recommend), each cell in the.
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