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Post# of 1986
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russellm

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russellm

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Thursday, 07/30/2009 9:26:17 AM

Thursday, July 30, 2009 9:26:17 AM

Post# of 1986
Largest Drawdown

Would very much like a stat in oddsmaker for largest drawdown, defined as the largest peak-to-trough decline during a specific record period of an investment. Useful to know because even if a stock finishes >10%, if the drawdown was -20%, probably won't invest in it. Right now you can arrive at this indirectly by gradually moving up a very wide stop-loss order in backtesting.
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