Pair Trading Lab > Questions & Answers

How are you calculating/accumulating the search statistics?

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Thomas Carlson:
On the site, for statistics such as CAGR, DD, etc., over the 10 year and 5 year horizon....are you taking the average (or median, max, min, etc) over each individual occurrences, or by year?  And if the answer is "by year", how do you go about accumulating the statistics for a year?  Thanks for your help.

Tom C

admin:
Hello,

for max dd - we just take the worst dd over the whole period.

CAGR is calculated as an average, using the regular formula for the whole period:
http://en.wikipedia.org/wiki/Compound_annual_growth_rate

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