I have a load of walk forward periods I want to compare, and I want to do it with a fairly simple annualised risk adjusted rate of return. The thing is, the periods are typically 3-6 months. Annualising the profit is easy, but I have a few options about what do with max drawdown:
1. just use the drawdown given
2. try and annualise it in some way
I don't really want to get a real annual drawdown, since that would be manual and I want to keep this fairly simple and automated. I could just use the one given, but obviously longer period is more likely to have achieved a bigger drawdown.
I could adjust it based on the length of the period, and come up with a simple formula, like for three months increase it by 1/3, for six months increase it 1/6