Maximum Drawdown
The largest peak-to-trough loss a strategy experienced over a test window, expressed as a percentage. It answers 'what's the worst this would have felt like?' and is the standard companion to CAGR when judging a backtest: two strategies with equal returns and different max drawdowns are not equal strategies.
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Related terms
DrawdownThe percentage decline from a portfolio's (or asset's) peak value to a…CAGR (Compound Annual Growth Rate)The constant yearly growth rate that would turn the starting value int…Sharpe RatioAverage excess return divided by the volatility of returns — return pe…
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.