In my mind maximum draw down should be how big your maximum loss would have been at any point.

So that is your biggest negative equity from closed trades at any point + the maximum loss of the any open trade at that point.

Draw down percentage should be calculated based on starting equity in my mind rather than on the equity at the time the maximum draw down occurred this way we know that if we started with a capital of £10000 and max draw down was £6000 or 60% across all our test data then the strategy would have survived no matter if we had started it just before the £6000 draw down occurred.

I don’t pay too much attention to PRT’s draw down calculations for the above reason and because they are always wrong unless you refresh the results window!