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Strategies & Market Trends : From the Trading Desk

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To: Christopher who wrote (2728)	3/20/1998 11:55:00 AM
From: Ira Player	of 4969

I've seen the term used when evaluating (by backtesting) trading systems. Usually expressed as "Maximum drawdown $**." It's an attempt to represent the maximum loss sustained by the system. However, most that I have seen provide the maximum NEGATIVE equity value. This will depend on when you happen to start the data being tested. A more useful value would be the largest loss from a previous maximum. This would be start time independent. Enjoy the ride, IRa

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