Computing the MAR Ratio - Using what sort of drawdown?
Posted: Thu Apr 17, 2003 10:54 am
How do you compute the MAR ratio?
I know it is basically: annualized return / maximum drawdown
However, the MAR group uses month end drawdowns based on total equity including open positions. Is this what Trading Recipes uses?
Do you base this on the account balance of closed out trades or total equity? Only on the month end drawdowns or does it include drawdowns that are based on prices occuring during the month?
I know it is basically: annualized return / maximum drawdown
However, the MAR group uses month end drawdowns based on total equity including open positions. Is this what Trading Recipes uses?
Do you base this on the account balance of closed out trades or total equity? Only on the month end drawdowns or does it include drawdowns that are based on prices occuring during the month?