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I've been running backtest data (using Excel) on weekly and monthly trades, and I need to annualize the statistics.

The one I'm not quite sure about is MaxDD. I'm pretty sure that it needs to be annualized. It seems the best way is to compute the running 12 month (or 52 week) drawdowns, and then report the biggest as the MaxDD. Alternatives would be to do the Jan-Dec dd's, or to annualize the max monthly (weekly) dd. But these seem inferior methods. Comments?

These are the formulas used for other ststs:
To annualize monthly stats:
CAGR = CMGR ^ 12 (Where CMGR is the geomean of the monthly gains.)
annual_stdev = monthly_stdev * SQRT(12)
(Don't ask me why sqrt(12). I don't understand why, but that's what a google search says to do.)

To annualize weekly stats, replace "12" with "52".
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