Maximum drawdown (MaxDD) is the worst drawdown observed across the whole back-test or live history of an equity curve. It is the single number most often quoted alongside Sharpe to describe how painful a strategy was at its worst point.
Maximum drawdown is path-dependent — two strategies with identical CAGR and Sharpe can have very different MaxDDs depending on when their losing streaks clustered. It is also sample-dependent: a 5-year back-test gives a noisier MaxDD estimate than a 20-year one.
Recovery math is asymmetric: a 50% drawdown requires a 100% gain to break even, a 75% drawdown requires 300%. This is why most allocators treat MaxDD as a hard constraint rather than something to optimize against.
Formel
MaxDD = max_t [(Peak_t − Equity_t) / Peak_t]
Beispiel
Equity history peaks at 15,000, troughs at 9,750, recovers, peaks at 17,000, troughs at 14,000. MaxDD = max(0.35, 0.176) = 35%.
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Drawdown recovery calculator →Verwandte Begriffe
- Risiko
Drawdown
Peak-to-trough decline in equity, expressed as a percent of the prior peak.
- Statistik
Calmar ratio
Annualized return divided by absolute maximum drawdown. Pain-adjusted return.
- Statistik
Sharpe ratio
Excess return over the risk-free rate per unit of total volatility.
- Statistik
Sortino ratio
Sharpe variant that penalizes only downside volatility, not total volatility.