Trader A finishes the year up 35% after having a max drawdown of 50%. Trader B finishes the year up 25% after having a max drawdown of 5%. I think Trader B is the better trader because conservation of capital is the most important skill/talent of any trader/investor. Loss and decay is all around in the market and the universe. Its called entropy. You drop a TV from 100 feet high, it doesn't turn into Green-Blue Chimpanzee with Buffulo Wings and fly away. No it gets smashed into 1000 pieces. You are not a hero after coming back from a huge loss, you're just a lucky. Reward is always related to risk, and by risking more to come back you risk total ruin.