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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Maximum Drawdown ： ウィキペディア英語版 Drawdown (economics) The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if $X\; =\; (X(t),\; t\; \backslash ge\; 0)$ is a random process with ''X''(0) = 0, the drawdown at time ''T'', denoted $D(T)$, is defined as $D(T)=\backslash max\; \backslash left\backslash$ The maximum drawdown (MDD) up to time $T$ is the maximum of the Drawdown over the history of the variable. More formally, $\backslash text(T)=\backslash max\_\backslash left(\backslash in\; (0,\backslash tau)\}\; X(t)-\; X(\backslash tau)\; \backslash right)$ The following pseudocode computes the Drawdown ("DD") and Max Drawdown ("MDD") of the variable "NAV", the Net Asset Value of an investment. Drawdown and Max Drawdown are calculated as percentages: MDD = 0 peak = -99999 for i = 1 to N step 1 if (NAV() > peak) # peak will be the maximum value seen so far (0 to i) peak = NAV() endif DD() = 100.0 * (peak - NAV()) / peak if (DD() > MDD) # Same idea as peak variable, MDD keeps track of the maximum drawdown so far. MDD = DD() endif endfor ==Finance Definitions== There are two main definitions of a drawdown: 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Drawdown (economics)」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.