Conditional Drawdown

[gauravks3]

Hi I want to calculate drawdown so that I am in a position to ascertain if the following statements are correct:

SPX
For the period 1900 – 2010, 5% corrections occurred three times per year
on average, 10% corrections occurred once per year
on average, and 20% corrections occurred once every
3.5 years on average

Is there a way to calculate that in excel presuming I have the data. Each type of Drawdown (5%, 10%, 20%) being independent. t. For
example, the market does not typically see four 5% drawdowns and one 10%
drawdown in the same year, but rather those 5% drawdowns may compound into a
single 10% drawdown for the year

regards

 

[tomorton]

Don't fear the drawdowns. Climbing a mountain wouldn't be any achievement if there wasn't a 500ft drop under your feet. The trick is to make sure you stay at the top of that and every 500ft.

 

[options-george]

Hi I want to calculate drawdown so that I am in a position to ascertain if the following statements are correct:

SPX
For the period 1900 – 2010, 5% corrections occurred three times per year
on average, 10% corrections occurred once per year
on average, and 20% corrections occurred once every
3.5 years on average

Is there a way to calculate that in excel presuming I have the data. Each type of Drawdown (5%, 10%, 20%) being independent. t. For
example, the market does not typically see four 5% drawdowns and one 10%
drawdown in the same year, but rather those 5% drawdowns may compound into a
single 10% drawdown for the year

regards

Just had a quick think about this, as I have often used Excel to try to questions like that in the past.

No, it shouldn't be difficult to do that in Excel provided you know what you are doing. If you are not sure how to go about just sit down with a friend or colleague and the data and explain what you are trying to do. Shouldn't take more than 2-3 hours for someone who is reasonably competent with MS Excel.

 

[gauravks3]

Just had a quick think about this, as I have often used Excel to try to questions like that in the past.

No, it shouldn't be difficult to do that in Excel provided you know what you are doing. If you are not sure how to go about just sit down with a friend or colleague and the data and explain what you are trying to do. Shouldn't take more than 2-3 hours for someone who is reasonably competent with MS Excel.

tried whatever I could but still not able to solve it. Appreciate if anybody may have encountered this previously and can help....

 

[options-george]

tried whatever I could but still not able to solve it. Appreciate if anybody may have encountered this previously and can help....

Sorry to hear that - do try to get a Excel-competent friend to help you. It is not going to be that difficult.
I am quite snowed under with all my own trading work, so I don't have the time to spare to do it myself right now