📉Maximum Drawdown

Maximum Drawdown is a percentage that displays the difference between the minimum portfolio return and the maximum portfolio return within the past 20 days.

$$Maximum\_Drawdown= \sum_{i=1}^N \big(w_{i} \times \big( \frac{Min\_Retuen_{i} - Max\_Retuen_{i}}{Max\_Retuen_{i}} \times 100 \big) \big)$$