Max Drawdown
The maximum peak-to-trough percentage decline over a window. Measures worst-case downside risk.
Max Drawdown
Definition
The maximum peak-to-trough percentage decline over a window. Measures worst-case downside risk.
Parameters
Asset, Lookback period
Output range: Unbounded (negative percentage)
Example
`Max Drawdown(SPY, 30 days) > -10` (Drawdown hasn't exceeded 10% in the last 30 days)
Full indicator reference