D’oh!

Yes, what you’ve posted kind-of makes the point for me that this problem is harder than it looks. With your solution you’ll find that if the low comes before the high you’ll be showing a peak-to-trough that could never have occurred. In this case you’ll be showing the trough-to-peak gain! Which investors care about too but not for this measure.

Steve

(Apologies if this is a repost – it hasn’t popped up yet, so having to retype)… The second solution – isn’t it a case of two if’s?

My python is pretty weak (har har), but if I’ve translated correctly into C#, doesn’t the below code do the same, but in a simpler fashion?

        public static double DrawDown( double[] prices, out double minValue, out double maxValue )
        {
            maxValue = double.MinValue;
            minValue = double.MaxValue;

            for( int i = 0; i < prices.Length; i++ )
            {
                if( prices[i] > maxValue )
                    maxValue = prices[i];
                if( prices[i] < minValue )
                    minValue = prices[i];
            }
            return maxValue - minValue;
        }