How Does Amibroker Measure The Maximum Historical Drawdown Of A Trading System In The Backtest?
13 May 2022 · 1 min

1:03
Short explainer (from Adrian Reid) describing how maximum historical drawdown is calculated in a backtest: at every new equity-curve high the software finds the subsequent low (which may occur any time later) and computes the percentage drop; the maximum of all such drops across the backtest is the maximum historical drawdown.
Questions this video answers
It scans the entire backtest for every equity-curve high, finds each subsequent low (which may occur any time later), computes the percentage drop from each high to its subsequent low, and the maximum of those percentage drops is reported as the maximum historical drawdown.











