We were born to suffer
What is the observed dispersion of the “interval between high watermarks” distribution? I am guessing would be a very interesting distribution
This assumes a fixed sharpe ratio but it is never constant - especially not when you will have a drawdown ?
My obsession with drawdown probabilities and other functions of B_t got started with your X post almost a year ago.
Also there seems to be a smol typo in Drawdown_formulas Eq (10) which contains letter w before the last equality, that should be 2 instead.
What is the observed dispersion of the “interval between high watermarks” distribution? I am guessing would be a very interesting distribution
This assumes a fixed sharpe ratio but it is never constant - especially not when you will have a drawdown ?
My obsession with drawdown probabilities and other functions of B_t got started with your X post almost a year ago.
Also there seems to be a smol typo in Drawdown_formulas Eq (10) which contains letter w before the last equality, that should be 2 instead.