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Brownian Motion & Max Drawdown from Wolfram
Started:October 3rd, 2010 (03:08 AM) by DummyWill Views / Replies:1,779 / 2
Last Reply:March 27th, 2012 (04:06 PM) Attachments:0

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Brownian Motion & Max Drawdown from Wolfram

Old October 3rd, 2010, 03:08 AM   #1 (permalink)
Just starting out...
Louisiana mostly
Futures Experience: Advanced
Platform: MultiCharts, Excel
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Favorite Futures: TF, IWM, Options, ES
Posts: 10 since Aug 2010
Thanks: 3 given, 17 received

Brownian Motion & Max Drawdown from Wolfram

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 Drawdown - 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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Old October 3rd, 2010, 03:08 AM   #2 (permalink)
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Old March 27th, 2012, 04:06 PM   #3 (permalink)
Phoenix AZ
Futures Experience: None
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Posts: 12 since Sep 2011
Thanks: 7 given, 6 received

Little late to the party...

Hey, I just searched to see if Wolfram has any tools available and I'm glad I did. This thing is nifty! WolframAlpha ( 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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Reply > Futures Trading, News, Charts and Platforms > Platforms and Indicators > Brownian Motion & Max Drawdown from Wolfram

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