Do you want to compare the max drawdown to the max run up as a percent, regardless of whether they occur consecutively or not? That makes sense to me. It is a ratio that is independent of starting point or place in the equity curve.
I look at drawdown in its most basic definition. Here, the one from Investopedia is useful: "The peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough."
See, it evens mentions in the second sentence that drawdown is usually quoted as the percentage. But Zorro for some reasons insists on dollar value as more important and adds percentage after, but I'm not sure if that percentage number is really usable and what I'm looking for? That's the whole reason behind this whole thread.
Also, I don't understand why time, point or place in the equite curve is coming as a topic in this thread, when I'm specifically interested only in value, not time?
This is one of those topics where I have specific and very simple issue, yet even after many longish explanations from my side, I'm unable to get this simple answers. I had so many such in the past and did really stupid things because I never got my answer. This time I will persist and not continue with anything until this is resolved. I understand there're language barriers, english is not my primary language, and automated trading is complex subject. Yet...
Another example:
Strategy A drawdowns in time (quoted as percentage): 5.1%, 7%, 12%, 3%, 2%
Strategy B drawdowns in time (quoted as percentage): 12%, 7%, 5.1%, 3%, 2%
For strategy A I want to know max drawdown quoted as percentage. It's 12%.
For strategy B I want to know the same thing. It's also 12%.
Notice how the time when the drawdown happened doesn't matter, I simply want to know what's the biggest value.
Notice also how I do not care about dollar value of drawdown, because it is useless without additional context. But value quoted as percentage is useful without any additional info.
Additional examples:
I have this strategy and it has only 10% drawdown, you can trade it as it is (i.e apply full optimal capital to it), because the drawdown is reasonable. I have another experimental one which has 80% drawdown. I wouldn't recommend trading it with more than 20% of your capital, otherwise the risk od margin call is way too high. Do you agree with those statements? Are they simple and understandable enough?
Now third example: I have a strategy that has $55 drawdown. Is it good or not? Would you trade it or not?
