What is the definition of a "drawdown" used in ReturnUlcer (and other) drawdown calculations?
Specifically:
- which prices are used: closes or adverse extremes?
- is 1-bar drawdown considered a drawdown?
It would also be helpful if Zorro explicitly exposed AverageDrawdown as a statistic. It would then allow more robust usage in custom fitness functions, as Peak Equity - used in ReturnUlcer calcs - is just a single data point.