A drawdown is defined as a loss of equity from a peak to valley in a single month or period of consecutive months. The Drawdown Report presents data on the percentage drawdowns during the trading program's performance history ranked in order of magnitude of loss.
Depth: Percentage loss from peak to valley
Length: Duration of drawdown in months from peak to valley
Recovery: Number of months from valley to new high
Start Date: Month in which peak occurs.
End Date: Month in which valley occurs.
- Time Windows definition
- Value Added Monthly Index VAMI definition
- Average Recovery Time ART definition
- Macro definition
- Sharpe Ratio definition