Term Glossary

Metrics, Models & Concepts

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). \begin{equation} MDD_{t}=max_{u\in[0,t]}D_{u} \end{equation}

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

The MDD is closely related to the Calmar ratio.

Function Reference
portfolio_maxDrawdown, position_maxDrawdown