Average pain is the average, across the start months a strategy is tested from, of the deepest it fell below the value it had on each start date. Where drawdown measures the drop from a running peak, pain is anchored to the day you began — how far underwater the strategy went relative to the value it started that run with. Averaging that across every start month tested gives a single figure for the typical worst pain a start date put you through.
Also seen as: Avg pain
How is average pain calculated?
For one start month, its pain is the deepest fall from the value the strategy held on that start date to the lowest value it reached before the holding window ended.
where: the lowest value is the deepest point reached between the start date and the end of that holding window, and the figure is zero when the strategy never closed below where it began. Average pain is the mean of this figure across every start month tested for a given window length.
What counts as a good value?
A pain closer to zero is generally preferable: it means a typical start date left the strategy less far below the value it began with. It describes the depth of the worst dip per start date, not how long the strategy stayed underwater, so read it next to a duration measure such as longest drawdown for the fuller picture.
Defaults in Fincanva
- Average pain appears on the start-date sensitivity view as the Avg pain row of the summary-statistics table, alongside the CAGR rows for the same set of start months, one column per holding window.
- It is anchored to the value the strategy held on each start date, so unlike max drawdown — which is measured from a running peak — the two figures are not comparable.
- It is reported as a negative percentage, and it is zero only when no start month ever closed below where it began.
- It is a depth measure only — it says nothing about how long the strategy stayed below its start value.
Worked example
A strategy is started at the beginning of one month and, before that holding window ends, its value falls as low as 28% below where it began. That start month's pain is −28%. Average pain takes that start-anchored figure for every start month tested at the same window length and averages them, so one unlucky start's deep dip is balanced against the shallow dips of the others.
These figures describe what a strategy would have done on historical data, not what it will do, and no pain figure is a limit on future losses. Fincanva provides no financial advice — see Is this financial advice?.
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Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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