topic Maximum Drawdown in QlikView

Maximum Drawdown

Fri, 04 Dec 2015 20:35:19 GMT

Hi,

is it possible to compute this maximum drawdown in Qlikview instead of Excel?

Thanks for helping me!

Re: Maximum Drawdown

sunny_talwar — Fri, 04 Dec 2015 20:54:40 GMT

Are you looking for a script based solution or front end?

Re: Maximum Drawdown

swuehl — Fri, 04 Dec 2015 21:01:24 GMT

Try a straight table chart with dimension Date and expressions

Course:

=Course // or how you do the course calculation

Max:

=RangeMax( Above( YourCourseExpression, 0, RowNo() ))

DrawDown:

=Column(2) / Column(1) -1

Re: Maximum Drawdown

joris_lansdaal — Fri, 04 Dec 2015 21:02:50 GMT

Hi, you can try:

Sum(Aggr(Sum(Course),Date)/Aggr(Sum(Max),Date))/Count(DISTINCT Date)-1

Re: Maximum Drawdown

sunny_talwar — Fri, 04 Dec 2015 21:03:30 GMT

Script based:

Table:

LOAD *,

Num(Max/Course - 1, '#,##0.0%') as Drawdown;

LOAD *,

RangeMax(Course, Peek('Max')) as Max;

LOAD * INLINE [

Date, Course

12/1/2015, 100

12/2/2015, 110

12/3/2015, 120

12/4/2015, 115

12/5/2015, 110

12/6/2015, 120

12/7/2015, 160

12/8/2015, 200

12/9/2015, 180

12/10/2015, 220

];

Re: Maximum Drawdown

Tue, 08 Dec 2015 21:25:56 GMT

Hi sunny,

thanks for helping me! Also thanks to swuehl and Joris.

But sunny's method doesn't work for now. I think it's because I use the Excelsheet and didn't know how to Change the script that it fits. Your Scriptcode with Inline works fine but is unuseful for me.

This is the way my script looks like:

LOAD Date,
Course
FROM

(ooxml, embedded labels, table is Tabelle1);

Table:
LOAD *,
Num(Max/Course - 1, '#,##0.0%') as Drawdown;
LOAD *,
RangeMax(Course, Peek('Max')) as Max;

There is no Errormessage, but the Fields don't load.

Re: Maximum Drawdown

sunny_talwar — Tue, 08 Dec 2015 21:29:28 GMT

Your order is incorrect, try this:

Table:

LOAD *,

Num(Max/Course - 1, '#,##0.0%') as Drawdown;

LOAD *,

RangeMax(Course, Peek('Max')) as Max;

LOAD Date,
Course
FROM

(ooxml, embedded labels, table is Tabelle1);