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Brownian Motion & Max Drawdown from Wolfram
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Brownian Motion & Max Drawdown from Wolfram

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Just starting out...
Louisiana mostly
 
Futures Experience: Advanced
Platform: MultiCharts, Excel
Broker/Data: IB, AMTD
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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 Vendor: www.intellitraders.com 
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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 (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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