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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