The largest fall from a previous peak in the equity curve. The single best measure of how painful a strategy was to hold.
Max drawdown = min over t of (Equity_t / max(Equity_0..t) − 1)A 50% drawdown needs a 100% gain to recover. Most people abandon a strategy during a deep drawdown, so a system with a slightly lower return and a much smaller drawdown is often the one that actually gets followed.
Depth is only half of the story. A 20% drawdown that recovers in two months feels very different from one that lasts three years. The drawdown chart on every strategy page shows both depth and how long the equity stayed under water.
| Strategy | Maximum Drawdown |
|---|---|
| STAT-11 Cointegration Basket | -6.4% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | -6.5% |
| ADX-01 ADX Trend Filter | -7.1% |
| MR-01 RSI Mean Reversion | -7.2% |
| MR-14 Detrended Price Oscillator | -7.5% |
| Strategy | Maximum Drawdown |
|---|---|
| TREND-14 Linear Regression Channel | -32.8% |
| MACRO-02 Risk-On/Risk-Off Switch | -28.2% |
| RISK-01 Drawdown Control | -25.8% |
| SAR-01 Parabolic SAR | -22.7% |
| MOM-01 Time-Series Momentum | -22.6% |