Glossary ยท Lesson 6.12
Drawdown
Max drawdown is the largest percentage drop from a previous high. It is the loss a strategy actually asks you to sit through.
Definition
Max drawdown is the largest percentage drop from a previous high. It is the loss a strategy actually asks you to sit through.
In FactorSage
Reported alongside CAGR in backtest results. Read the two together rather than CAGR in isolation.
Related
- Reading backtest resultsBacktesting