Max drawdown (MDD) is the largest fall from a running peak to a later low, in percent of the peak. It is the loss you would have had to sit through at the worst moment, which makes it the most practical risk number for deciding whether you could actually hold a strategy.
MDD = min over time of (value ÷ highest value so far − 1)
Mega-Cap Price Acceleration and Quality Engine had a max drawdown of -14.0%: a $10,000 account at its peak would have fallen to about $8,597 at the worst point. Getting back to the peak from there takes a 16.3% gain, which is why deep drawdowns are so much harder to recover from than they look.
Across 27 re-run strategies the max drawdown ranges from 14.0% to 66.8%, median 27.0%.
Each dot is one strategy: further left is a shallower worst fall, higher up is a higher annual rate. The upper-left corner is where return came with the least drawdown.
Low-drawdown strategies — full table
Guide: max drawdown in trading bots
MDD = min over time of (value ÷ highest value so far − 1)
Mega-Cap Price Acceleration and Quality Engine had a max drawdown of -14.0%: a $10,000 account at its peak would have fallen to about $8,597 at the worst point. Getting back to the peak from there takes a 16.3% gain, which is why deep drawdowns are so much harder to recover from than they look.
Across 27 re-run strategies the max drawdown ranges from 14.0% to 66.8%, median 27.0%.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.