Toán học của drawdown

Losses and gains are not symmetric, and the gap widens fast. Lose 10% and you need 11.1% to get back. Lose 25% and you need 33.3%. Lose 50% and you need a full 100% — you must double what remains simply to return to where you started. This is arithmetic, not pessimism, and it is the single most persuasive argument for keeping per-trade risk small.

The asymmetry compounds with time as well as size. A deep drawdown does not only demand a bigger percentage gain; it demands that gain while you are trading a smaller account, which means each winning trade contributes fewer dollars than the losing ones took. Recovery is slower than the fall by construction, and slower still if confidence has taken the account down with it.

It is useful to separate two numbers. Maximum drawdown is the worst peak-to-trough decline your account has actually experienced. Expected drawdown is what your strategy's win rate and reward-to-risk imply you should expect eventually. A strategy that wins 40% of the time will produce a run of six losses roughly once every hundred trades — not as bad luck, but as ordinary mathematics.

A run of six losses is not bad luck at a 40% win rate. It is Tuesday, arriving roughly once every hundred trades.

Which leads to the practical planning step: decide in advance what drawdown level triggers action, and what that action is. Many traders use a monthly stop — down 6% on the month, size halves; down 10%, stop trading until the next month and review the journal. The rule exists to convert a spiral into a pause.

Finally, plan the drawdown you will actually live through, not the one in the backtest. Equity curves in reviews are smooth because they are compressed; the same curve lived forward is weeks of nothing working. Knowing the number in advance is what stops you abandoning a working system in its ordinary bad month.