Max drawdown

The largest fall, in units, from a high point of a strategy's running total to a later low point. It measures the worst losing stretch you would have had to sit through, which a win rate or ROI on its own hides.

• Unit — A standardized stake (typically 1–2% of bankroll) used to track results independent of dollar amounts, e.g. +12.5u.
• Variance — The luck-driven swing of results around their long-run expectation. Even +EV bettors have losing stretches from it.
• Bankroll — The money set aside for betting. Units and Kelly stakes are sized as a percentage of it.