(38, 6) NOT NULL,ĬONSTRAINT PRIMARY KEY NONCLUSTEREDĬREATE CLUSTERED INDEX ON. IF EXISTS (SELECT * FROM sys.objects WHERE object_id = OBJECT_ID(N'.') AND type in (N'U')) You can ignore the market as that's not relevant, really. Here's the sample data and table definition. You could think of it as the largest percentage decrease in the account equity from a peak to a trough. I need a query that returns the largest drawdown in terms of percentage of the account. So, if we start with $1,000 we could see the final balance being $1,607.16. In the sample data below, you could seed the account with any number and at the end get a final account balance. The data I have is tradeId, market, tradeDateTime, pctAccountChange. From this the largest drawdown in percentage terms should be able to be calculated. I do not have the account balances, but I do have the percent change on the account per trade.
#Max drawdown trading series
Drawdown is defined as the largest percent loss in equity that has happened over a series of trades.
I'm looking for a query on some financial data to show me the largest drawdown that has occurred on an account.
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