Risk & performance
Drawdown
Also known as: max drawdown, maximum drawdown
Drawdown is the decline from an equity peak to a subsequent trough, usually expressed as a percentage.
Maximum drawdown is the largest such peak-to-trough drop over a period and is a key measure of downside risk and the pain a strategy can inflict. Two strategies with the same return can have very different drawdowns; lower is generally better. Algovex reports max drawdown in every backtest.
Related terms
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