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The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if is a stochastic process with , the drawdown at time , denoted ,is defined as: The average drawdown (AvDD) up to time is the time average of drawdowns that have occurred up to time :The maximum drawdown (MDD) up to time is the maximum of the drawdown over the history of the variable. More formally, the MDD is defined as:

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  • Maximum Drawdown (de)
  • Drawdown (economics) (en)
  • Drawdown (pt)
  • 回撤 (經濟學) (zh)
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  • Der Anglizismus Maximum Drawdown (deutsch „maximaler Wertverlust“) ist im Bankwesen ein asymmetrisches Risikomaß, das den höchsten Kursverlust bei Finanzinstrumenten misst, der von einem Anleger während einer Rechnungsperiode erzielt werden kann. Gegensatz ist der maximale Kursgewinn (englisch maximum upswing) als „Best Case“. (de)
  • The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if is a stochastic process with , the drawdown at time , denoted ,is defined as: The average drawdown (AvDD) up to time is the time average of drawdowns that have occurred up to time :The maximum drawdown (MDD) up to time is the maximum of the drawdown over the history of the variable. More formally, the MDD is defined as: (en)
  • O drawdown é a medida do declínio de um pico histórico em alguma variável (normalmente o lucro cumulativo ou o patrimônio líquido total de uma estratégia de negociação financeira). Um pouco mais formalmente, se é um processo estocástico com , a redução na hora , denotado , é definido como: O médio drawdown (AvDD) até o momento é a média de tempo de rebaixamentos que ocorreram até o momento :O máximo drawdown (MDD) até o momento é o máximo do drawdown ao longo do histórico da variável. Mais formalmente, o MDD é definido como: (pt)
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  • Der Anglizismus Maximum Drawdown (deutsch „maximaler Wertverlust“) ist im Bankwesen ein asymmetrisches Risikomaß, das den höchsten Kursverlust bei Finanzinstrumenten misst, der von einem Anleger während einer Rechnungsperiode erzielt werden kann. Gegensatz ist der maximale Kursgewinn (englisch maximum upswing) als „Best Case“. (de)
  • The drawdown is the measure of the decline from a historical peak in some variable (typically the cumulative profit or total open equity of a financial trading strategy). Somewhat more formally, if is a stochastic process with , the drawdown at time , denoted ,is defined as: The average drawdown (AvDD) up to time is the time average of drawdowns that have occurred up to time :The maximum drawdown (MDD) up to time is the maximum of the drawdown over the history of the variable. More formally, the MDD is defined as: (en)
  • O drawdown é a medida do declínio de um pico histórico em alguma variável (normalmente o lucro cumulativo ou o patrimônio líquido total de uma estratégia de negociação financeira). Um pouco mais formalmente, se é um processo estocástico com , a redução na hora , denotado , é definido como: O médio drawdown (AvDD) até o momento é a média de tempo de rebaixamentos que ocorreram até o momento :O máximo drawdown (MDD) até o momento é o máximo do drawdown ao longo do histórico da variável. Mais formalmente, o MDD é definido como: (pt)
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