Return tells you what a strategy pays. Drawdown tells you whether you would still be there to collect it. Of the two, drawdown is the number that decides outcomes, and it is the one most results pages bury.
The definition
A drawdown is the fall from a peak in the equity curve to the lowest point before a new peak is made. If an account runs to $10,000, falls to $7,500, and then climbs to $12,000, the drawdown was $2,500 - 25% - and it ended when the account passed $10,000 again, not when it started rising.
Three numbers describe it, and most pages publish only the first:
- Depth - how far it fell. This decides whether the account survives.
- Duration - how long from the peak to the bottom. This decides whether *you* survive.
- Recovery - how long from the bottom back to a new high. This is usually the longest of the three and the one nobody plans for.
Why duration is the hard half
A 30% drawdown that resolves in three weeks is uncomfortable. The same 30% spread over fourteen months is what makes people quit - usually near the bottom, and usually right before the recovery they had already paid for.
Nothing about the strategy differs between those two cases. The arithmetic is identical. What differs is how long a person has to keep following rules that are currently losing money, which is a psychological problem rather than a mathematical one - and it is the reason most abandoned strategies were abandoned.
The worst one in our record
In the published backtest, the deepest drawdown is +10,115p, running from 2024-04-12 to 2024-08-12-122 days of falling, then 359 days to make a new high.
The worst full year was 2024 at -3,481.9p across 72 legs. That year is not hidden anywhere on this site - it is listed with the good ones on the worst of it, which also converts the drawdown into money at several lot sizes.
How to use the number before you commit
- 1.Take the worst published drawdown and convert it to money at the size you would actually trade.
- 2.Assume the real one will be worse, because the worst drawdown in any sample is by definition the worst that has happened so far, not the worst that can.
- 3.Ask whether you would keep following the rules through it - for the duration, not just the depth.
- 4.If the answer is no at that size, the size is wrong. That is the whole calculation.