Performance: Avg equity drawdown

The average decline of equity during all drawdown phases of the strategy (from a local maximum to a new low). Shows how much, on average, the capital decreases during drawdown periods.

Calculation:

1. Identify all drawdown periods (from a peak to the recovery to the previous peak).
   
   
2. Calculate each drawdown:
   

3. Average the drawdowns:
   

Notes:

Uses close-to-close equity.