Maximum drawdown
The largest peak-to-trough decline in value over the period.
Track the highest value reached so far at every point; the drawdown is how far below that high the value sits. The maximum drawdown is the deepest of those readings — the loss someone would have lived through buying at the worst possible top.
Formula
Max drawdown = min over time of (Value ÷ Highest value so far − 1)
How to read it
Closer to 0% is better. It measures pain rather than variability: a smooth, persistent decline can have low volatility and a deep drawdown.
How to use it
Ask whether you could have held through it: the maximum drawdown is the most practical measure of pain.
Limitations
One episode; the next one can be deeper.
In Kereon
Portfolio. On the growth curve of today's weights held constant back through their price history — a risk model, not your account's actual record.
Strategies. On the backtest's daily equity curve. The dollar figure is the largest gap between the running high of equity and equity.
Investing · price record. On closing prices over the whole history loaded. Max DD 1y uses only the last 252 sessions, measured from the highest close inside that window.
Charts · Compare. On each series' values over the chosen window.
Also called: max drawdown, maximum drawdown, max dd, worst drawdown, max drawdown ($), worst drawdown, dollars, max dd / benchmark max dd.