Recovery Time and Frequency of New Highs

Two strategies can have identical maximum drawdown and identical Sharpe ratio and still feel completely different to trade, because one recovers quickly and the other doesn't. Recovery time measures exactly this: the number of days (or months) between a drawdown's trough and the point the equity curve climbs back to its prior peak. A strategy that loses 10% and recovers in six weeks is far easier to sit through, and far less likely to trigger a redemption or a risk-committee shutdown, than one that loses the same 10% and takes two years to recover, even though both dented the account by the same amount at the low point.

A closely related and often more informative metric is new-high frequency — how often, over a given period, the equity curve sets a fresh all-time high. A strategy that makes new highs every few weeks is spending most of its life either near its peak or climbing toward one; a strategy that goes a year or more without a new high is spending most of its life underwater even if its long-run average return looks fine on paper. Plotting the fraction of trading days spent at a new high, or the distribution of gaps between new highs, often reveals psychological pain that a single drawdown number hides.

Both metrics are cheap to compute from a return series and are worth reporting alongside maximum drawdown, since a strategy's "livability" — whether an allocator can actually stay invested through the rough patches — depends more on how long the pain lasts than on how deep it gets.