what is drawdown_recovery ?

[tombohub]

Hello,

I am trying to figure out what this stat represent.

As I can see it seems to be difference in years between max_closed_out_drawdown_end_date and max_closed_out_drawdown_start_date.

And the result is something like : -0.25

My question is, why those two dates and why not difference between max_closed_out_drawdown_recovery_date and max_closed_out_drawdown_end_date ?

And why is the value negative?

Thanks

[fja05680]

tombohub, good points. What I have is properly called loss-recovery-period, which covers both the loss-period and the reovery-period. I'm thinking of including all three, i.e.
drawdown_loss_recovery_period
drawdown_loss_period
drawdown_recovery_period

I agree, they should all be positive. How does that sound?

This website was informative:
https://www.greystonefs.co.uk/wp-content/uploads/2018/11/GWM_Time-To-Recovery_VT-Greystone-Conservative-Managed_Jan19.pdf

[fja05680]

tombohub,

I just merged a fix for this issue. Now there is
stats['drawdown_loss_period']
stats['drawdown_recovery_period']
stats['annualized_return_over_max_drawdown']

See double-7s example which I updated to demonstrate this fix.

Thanks for pointing this out these issues with drawdown statistics. Farrell

[tombohub]

@fja05680 that sounds good!

Me personally I would like to see that numbers in days or months. It seems more easier to reason than for example 0.25years.
But, it's your decision, we can always manipulate in excel or code if needed.

no problem, thank for fixing it so quick

[fja05680]

Thanks. It is in days. Will actually print 284 days, for example.

…

On Tue, Feb 16, 2021, 5:04 PM tombohub ***@***.***> wrote: @fja05680 <https://github.com/fja05680> that sounds good! Me personally I would like to see that numbers in days or months. It seems more easier to reason than for example 0.25years. But, it's your decision, we can always manipulate in excel or code if needed. no problem, thank for fixing it so quick — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#23 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ACD3KHQ72VAXSZJ3U563VPLS7LTVDANCNFSM4XVPFMQQ> .