Term Glossary

Maximum Drawdown

Maximum Drawdown (MDD) is a measure of how sustained one’s losses. MDD measures the largest single drop from peak to bottom in the value of an asset (before a new peak is achieved). $$MDD_{t}=max_{u\in[0,t]}D_{u}$$

$D_{t}$
drawdown value computed as $max_{u\in[0,t]}S_{u} - S_{t}$
$S_{t}$
asset price at time t

The MDD is closely related to the Calmar ratio.

Function Reference
portfolio_maxDrawdown, position_maxDrawdown