Drawdown — Drawdown Analysis & Risk Measurement Reference
Quick-reference skill for understanding, calculating, and applying drawdown metrics in portfolio management and risk analysis.
When to Use
- - Measuring maximum drawdown of a portfolio or strategy
- Comparing risk profiles of different investments
- Setting stop-loss levels based on historical drawdowns
- Stress-testing strategies against worst-case scenarios
- Evaluating fund manager performance through drawdown lens
Commands
intro
CODEBLOCK0
Overview of drawdown — definition, significance, and types.
calculate
CODEBLOCK1
How to calculate drawdown — formulas, step-by-step, and time series methods.
metrics
CODEBLOCK2
Key drawdown metrics — MDD, Calmar ratio, Ulcer Index, pain index.
historical
CODEBLOCK3
Major historical drawdowns — market crashes, recovery timelines.
management
CODEBLOCK4
Drawdown management — position sizing, stop-losses, risk budgeting.
recovery
CODEBLOCK5
Recovery analysis — math of recovery, time to recover, asymmetry of losses.
comparison
CODEBLOCK6
Drawdown vs other risk measures — volatility, VaR, CVaR, Sortino.
examples
CODEBLOCK7
Worked examples with calculations and strategy evaluation.
help
CODEBLOCK8
version
CODEBLOCK9
Configuration
| Variable | Description |
|---|
| INLINECODE10 | Data directory (default: ~/.drawdown/) |
Powered by BytesAgain | bytesagain.com | hello@bytesagain.com回撤 — 回撤分析与风险衡量参考手册
用于投资组合管理与风险分析中理解、计算及应用回撤指标的快速参考技能。
适用场景
- - 衡量投资组合或策略的最大回撤
- 比较不同投资的风险特征
- 基于历史回撤设定止损水平
- 针对最坏情景进行策略压力测试
- 通过回撤视角评估基金经理业绩
命令
intro
bash
scripts/script.sh intro
回撤概述——定义、重要性及类型。
calculate
bash
scripts/script.sh calculate
如何计算回撤——公式、分步方法及时间序列方法。
metrics
bash
scripts/script.sh metrics
关键回撤指标——最大回撤、卡尔玛比率、溃疡指数、痛苦指数。
historical
bash
scripts/script.sh historical
重大历史回撤事件——市场崩盘、恢复时间线。
management
bash
scripts/script.sh management
回撤管理——仓位规模、止损、风险预算。
recovery
bash
scripts/script.sh recovery
恢复分析——恢复数学原理、恢复时间、损失的不对称性。
comparison
bash
scripts/script.sh comparison
回撤与其他风险衡量指标对比——波动率、VaR、CVaR、索提诺比率。
examples
bash
scripts/script.sh examples
包含计算和策略评估的实操示例。
help
bash
scripts/script.sh help
version
bash
scripts/script.sh version
配置
| 变量 | 描述 |
|---|
| DRAWDOWN_DIR | 数据目录（默认：~/.drawdown/） |
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