Hi all,
Cannot seem to wrap my head around this and was hoping to get some input.
Say I have daily pricing history of SPX dating back to 1990, and want to determine all of the corrections that occurred (defining correction as a pullback of 10% or more).
Given a correction can take place over the span of 1 day, 3 days, a week, 2 months, etc... One way I have tried to pinpoint these pullbacks is by calculating rolling returns from several perspectives (2 day, 5 day, 10 day, 1 month, 3 month, etc.)
The issue I have is that this results in different figures; for instance in some situations there will be corrections on a 3 month basis but nothing else, other dates are in correction range for all date ranges, etc.
So which date range do I focus on in determining when corrections occurred? IS there another way to carry this out?
thanks
bump
Just calculate the drawdown from a prior peak. Have a column where you type the 'max' formula where you lock the first day and then calculate the return for each day from that prior maximum. It's pretty basic.
Is it possible to determine this from price data alone? don't you need some context as well? Given the varying time span for corrections how do you reliably differentiate a peak (or bottom) from a local maximum (or local minimum)?
Column A: Dates Column B: price history Column C: =max($B$2:current cell) Column D: =(B/C)-1
This will tell you each point the market had a drawdown and how big it was. You can copy and paste values and then sort them with dates.
If the market is at a then all-time high, the return in column C will be 0%. If the peak was 100 and the current price is 80, it would be -20%.
Can't tell if you guys are just fucking with me or not.
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