The Max Wait analytic tells you how long you may have to wait until a strategy turns a profit.

Max Drawdown Duration tells us the longest period of time the strategy has gone without recording a net profit.


I really like relating risk to periods of time.

Dollars are important, but it's easier to ask your boss for a raise than the grim reaper for more time.

More prosaically, let's convert gold into time.

Every century, in a galaxy of a 100 billion stars, over a period lasting 1 minute in total certain very large stars will go supernova and explode.

Creating conditions (lasting for just 15 seconds each) which produce gold and other heavy elements.

That is how rare gold is, and the reason for its value is most accurately measured by those 15 seconds out of a very large star's lifetime measured in billions of years.


Back to the point!

Max Drawdown Duration is nice, but it's often swallowed up by the context.

E.g. sure the backtest shows you were losing for 6 months straight at one point, but holding out leads to big bucks further down the line, especially if the backtest period stretches over many decades.

Perhaps also ignoring clusters of dips which is ignored by Max Drawdown Duration.

Whereas with Max Wait, the goal is to holistically report how long we may have to wait from the time we invest until we are profitable and reflect overall performance consistency.