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Drawdown & Profit Factor Explained: The Backtest Metrics That Actually Matter
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0:00lesson
Backtesting Metrics and Drawdown Analysis
- Backtest metrics include daily return series, drawdown depth, and duration
- Profit factor calculated via winning/losing trade ratios and average P&L
- Drawdown duration matters more than absolute depth
- Benchmark comparison critical for equity strategies
- Sample data limitations affect backtest reliability
2:10lesson
Drawdown Duration and Capital Impact
- 4-month drawdown recovery period observed
- 50% drawdown risks capital erosion
- Strategy performance compared to S&P 500 benchmark
- Drawdown depth vs. duration tradeoff analysis
- Entry condition adjustments for drawdown scenarios
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