Dave,

You still need to have a better criteria than that. The largest peak to
valley is simply MAX(dataset)-MIN(dataset), but you seem to want to do more
than than, finding transients. Perhaps you could define what a major peak
or major valley is: some percent greater than or less than previous or
future values (within some timeframe), so that it can be expressed
mathematically.

HTH,
Bernie
MS Excel MVP


"pno1" wrote in message
...

Bernie,

thanks for your reply. You are correct in that they are peaks and lows.
I
am trying to find the largest peak to valley in the data set in terms of
dollars and also in number of days.

Between 11/10 and 11/24, we experienced a drawdown of $5944. This was teh
lowest point in $ terms before a new equity high greater than the first
high
of $105221 on 11/10. The new high of $106869 on 12/6 completes the
drawdown
of the first cycle. It is this dollar amount and also time in days that I
am
going forward to determine if there are any periods where we incur a
bigger $
drop in equity or in number days between old high and new equity high.
When
looking at the data, assume it is a new number everyday, hence I have the
privelege of looking at a data set today but I want to keep analyzing the
data as it is collocted.

So, I know the biggest drawdown as of 11/24 is $5944. Then on 12/6, I
exceeded the 11/10 equity peak. so it would be a new high if you displayed
the data in a chart. I am now looking for any setback from the new high
on
12/6 or any later date that is greater than $5944. I continued to make
new
equity highs until 12/27 when I reached $112974. I then can manually
calculate a new drawdown between 12/27 and 1/28 of $6209. I cannot confirm
that this is a new max drawdown until we exceed the 12/27 equity of
$112974.
On 2/22, we reach a new equity high of $113001 which then confirms that
the
first drawdown in November of $5944 has been exceeded.

If you are familiar with a bar chart or a simple graph, if would simply be
the largest peak to vally $ amount that I am trying to measure and
assuming
that over time it (the graph/chart) continues to make new equity highs, or
an
uptrending graph.

I hope this can explain what I am trying to do. I am looking for the
biggest drawdown, whether it is over 1 month, 1 year, or 10 years.

thanks for your help once again.

dave "pno1"

--
pno1


"Bernie Deitrick" wrote:

pno1,

Please explain why the in-line commented values are not peaks and lows.

HTH,
Bernie
MS Excel MVP


"pno1" wrote in message
...
I have reached my limited capacity in excel, but am looking to do a
variable
referencing based on historical data. The data is simply the date and
equity(simple number). I am trying to calculate both in dollar terms
and
time the amount from equity peak to low before going to a new equity
peak.
I
am trying to search historical data for the greatest drawdown in
equity
terms
and in time terms before equity goes to new highs. It appears to have
to
start with first drawdown and look for forward first for new equity
highs,
and then for drawdowns greater than previously idenitified.

10/1/2004 $99,978 start equity date
10/4/2004 $99,515
10/5/2004 $99,453 LOW?
10/6/2004 $99,565 PEAK?
10/7/2004 $99,415 LOW?
10/8/2004 $99,799 PEAK?
10/11/2004 $99,374
10/12/2004 $98,907 LOW?
10/13/2004 $101,012
10/14/2004 $102,090 PEAK?
10/15/2004 $100,899
10/18/2004 $99,483 LOW?
10/19/2004 $100,966
10/20/2004 $101,023 PEAK?
10/21/2004 $100,677