Maximum Drawdown calculate and plot as a chart

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Mark S 2020-7-11

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/563315-maximum-drawdown-calculate-and-plot-as-a-chart

编辑： Mark S 2020-7-11

Hello, i want create a skript which calculate the drawdown of a stock like this: https://twitter.com/charliebilello/status/1126104370012131328

I've tried programming something like that but it doesn't worked:

function [] = MAXDRAWDOWN(r)
% Maximum drawdown is defined as the largest drop from a peak to a bottom
% experienced in a certain time period.
%
% INPUTS:
% r...      vector of returns
% size of r
n = max(size(r));
% calculate vector of cum returns
cr = cumsum(r);
% calculate drawdown vector
classification = zeros( length(r),1 );
for i = 1:n
    dd(i) = max(cr(1:i))-cr(i);
    classification = dd
end
end