#BITCOIN MAXIMUM DRAWDOWN SERIES#

Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money ( dollar amount withdrawal).

Months: number of months with positive/negative return.

Rolling Returns: returns over a time frame (best, worst, % of positive returns).

A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Compared to the Sharpe ratio, alphas and maximum drawdown metrics lead to diverging CF.

Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The choice of the performance measure affects the rank orders of CFs.

This is normally calculated by getting the difference between a relative peaks in equity capital minus a relative trough.

#BITCOIN MAXIMUM DRAWDOWN SERIES#

It is the reduction in asset value after a series of losing trades. Maximum Drawdown (or MDD) is another indicator of risk. Maximum Drawdown (or MDD) is another indicator of risk. Simplify Bitcoin Strategy has current Maximum Drawdown of 6.64. It's a modification of the Sharpe Ratio (same formula but the denominator is the Commodity downside standard deviation). Bitcoin Fund Unit has current Maximum Drawdown of 0.0. Sortino Ratio: another measure of risk-adjusted performance of the Commodity.

The risk-free rate here considered is the 1-3 Mth T-Bill return. It's calculated by dividing the excess return of the Commodity over the risk-free rate by the Commodity standard deviation. Sharpe Ratio: it's a measure of risk-adjusted performance of the Commodity.Standard Deviation: it's a measure of the dispersion of returns around the mean.Annualized Portfolio Return: it's the annualized geometric mean return of the Commodity 21Shares Bitcoin Maximum DrawdownMaximum Drawdown (or MDD) is another indicator of risk.

Bitcoin maximum drawdown