Recovery factor
Net profit divided by the largest drawdown: how many times over the worst loss was earned back.
Formula
Recovery factor = Net profit ÷ Maximum drawdown ($)
How to use it
Asks whether the strategy earned enough to justify its worst stretch.
In Kereon
Strategies. Final equity minus starting capital, ÷ the largest dollar gap between the running high of equity and equity.
Investing · price record. The total return over the loaded history ÷ the deepest drawdown, both as fractions.
Also called: recovery factor.