maximum drawdown

The biggest drop your money ever took from a high point to a low point.

The fuller meaning

The largest peak-to-trough decline in an equity curve over a test or track record. It is a key review statistic, next to expectancy, win rate and profit factor, and Monte Carlo reshuffles show that the worst drawdown ahead can be deeper than the one a single backtest produced.

maximum drawdown, also called max drawdown.

maximum drawdown

The fuller meaning

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