Barclays Interview Question: describe how to compute the maximum drawdown

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Barclays Quantitative Summer Intern interview

Barclays Interview Question

Quantitative Summer Intern Interview

describe how to compute the maximum drawdown

Interview Answers

Anonymous

Feb 28, 2014

the simplest way is at each time, look back the full history and compute the max drawdown, then the result is the max of those max drawdown

Anonymous

Nov 24, 2016

It is fairly simple : a. initialise temp_max_DD=max_DD=previous_max_DD=0; b. loop through the values of your array starting at the second one : if the current value in the array is higher than the previous one then temp_max_DD =temp_max_DD - (current_value - previous_value) else temp_max_DD=0 if temp_max_DD

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