Conditional Drawdown Exploration

May 31, 2012

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown:


In Strub’s paper, he uses conditional drawdown (cdar) and conditional var (cvar) to calculate the position size on directional (breakout determined) long/short currency positions.  The results were interesting enough to attempt to replicate with slight changes.  For this post, I will use cdar to determine the position size on a long-only Mebane Faber 10-month moving average strategy.  We will start with an efficient frontier comparison and then abandon the frontier for a systematic approach.

From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio


R code from GIST:

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