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Maximum Drawdown

May 5, 2009

Of late, I had been pretty busy in developing an intraday range system and analysing our market analytics. The market analytics which I was busy running and designing over the weekend, were pan-marketic. Studying the average gap down, average percent of volatility, mean gap down on days it filled the gap etc.

I will try to post my findings soon. In the meanwhile,my google searches led me to this:

It a fantastic article on Maximum Drawdowns from CalTech.

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