Maximum drawdown

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 ${\displaystyle X=(X(t),t\geq 0)}$ is a random process with X(0) = 0, the drawdown at time T, denoted ${\displaystyle D(T)}$, is defined as

${\displaystyle D(T)=\max \left\{0,\max _{t\in (0,T)}X(t)-X(T)\right\}}$

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