Benchmerking the answers in [this question] (http://quant.stackexchange.com/q/4886/23871). My only work was to implement the vectorized method using Math.NET.
Jay-Jay-D/MaxDrawDownBenchmarking
The name is self explanatory
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The name is self explanatory
Benchmerking the answers in [this question] (http://quant.stackexchange.com/q/4886/23871). My only work was to implement the vectorized method using Math.NET.