  It is shown that the ratio between the expected diameter of an L2-bounded
martingale and the standard deviation of its last term cannot exceed sqrt(3).
Moreover, a one-parameter family of stopping times on standard Brownian Motion
is exhibited, for which the sqrt(3) upper bound is attained. These stopping
times, one for each cost-rate c, are optimal when the payoff for stopping at
time t is the diameter D(t) obtained up to time t minus the hitherto
accumulated cost c t. A quantity related to diameter, maximal drawdown (or
rise), is introduced and its expectation is shown to be bounded by sqrt(2)
times the standard deviation of the last term of the martingale. These results
complement the Dubins and Schwarz respective bounds 1 and sqrt(2) for the
ratios between the expected maximum and maximal absolute value of the
martingale and the standard deviation of its last term. Dynamic programming
(gambling theory) methods are used for the proof of optimality.
