Max Drawdown

Definition

最大回撤（MDD）是投资组合在达到新高之前，从峰值到谷值所观测到的最大损失幅度。

Formula

$\text{Maximum Drawdown} = \frac{\text{Peak Value} - \text{Trough Value}}{\text{Peak Value}}$

where the Peak Value is the highest portfolio value, and the Trough Value is the lowest portfolio value during a drawdown period.