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Brownian Motion & Max Drawdown from Wolfram


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Brownian Motion & Max Drawdown from Wolfram

  #1 (permalink)
DummyWill
Louisiana mostly
 
Posts: 9 since Aug 2010
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Hopefully some other (non-recovering) backtesters/coders will find this widget interesting. Great demonstration of returns, standard deviation and associated maximum drawdown:

Brownian Motion Path and Maximum [AUTOLINK]Drawdown[/AUTOLINK] - Wolfram Demonstrations Project

"We illustrate the evolution of a geometric Brownian motion simulating a daily stock return series.. Adjusting the mean and standard deviation sliders demonstrates how the cumulative return and maximum drawdown change with respect to these parameters for a given underlying set of random shocks."

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  #3 (permalink)
Benq
Phoenix AZ
 
Posts: 11 since Sep 2011
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Hey, I just searched to see if Wolfram has any tools available and I'm glad I did. This thing is nifty! WolframAlpha (wolframalpha.com) utilizes some of its features, I think.

I guess there are better tools out there, but I love Wolfram's stuff!

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Last Updated on March 27, 2012


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