{
  "slug": "max-drawdown",
  "name": "Maximum Drawdown",
  "category": "Risk Management",
  "description": "Largest peak-to-trough decline in cumulative wealth over a period.",
  "formula": "MDD = max_t [Peak(t) - Trough(t)] / Peak(t)",
  "formula_latex": "\\text{MDD} = \\max_t \\dfrac{\\text{Peak}(t) - \\text{Trough}(t)}{\\text{Peak}(t)}",
  "parameters": [
    {
      "name": "Cumulative return series",
      "symbol": "W",
      "type": "vector",
      "default": []
    }
  ],
  "outputs": [
    {
      "name": "Max Drawdown",
      "symbol": "MDD",
      "type": "percent"
    },
    {
      "name": "Drawdown duration (days)",
      "symbol": "D",
      "type": "integer"
    },
    {
      "name": "Recovery time (days)",
      "symbol": "R",
      "type": "integer"
    }
  ],
  "related_terms": [
    "max-drawdown",
    "drawdown",
    "underwater-curve"
  ]
}