🧰 UtlKit

Drawdown Calculator

Analyze peak-to-trough declines in your portfolio value series.

Frequently Asked Questions

What is Maximum Drawdown?

Maximum Drawdown is the largest peak-to-trough decline in portfolio value. It measures the worst-case loss scenario.

What is a good max drawdown?

It depends on the strategy. Generally, <15% is good for most strategies, <25% is acceptable, and >50% indicates a very risky strategy.

How is drawdown calculated?

Drawdown = (Peak - Current) / Peak × 100%. The maximum drawdown is the largest such decline observed over the entire period.

What is recovery duration?

Recovery duration is the time (in periods) it takes for the portfolio to return to its previous peak after the maximum drawdown.

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📊 Data Summary (auto-filled)

Tool: Drawdown Calculator · /tools/max-drawdown/

mode: data

What is this tool?

The Maximum Drawdown Calculator computes the largest peak-to-trough decline in a portfolio or asset price series. Input historical price data (one price per line, in chronological order) to see the maximum drawdown percentage, duration in days, peak and trough dates, recovery status, and a visual drawdown curve over time.

How to use

  1. 1

    Enter price data

    Paste prices chronologically, one per line (e.g., daily closing prices).

  2. 2

    Set parameters

    Optionally set the initial date and frequency (daily/weekly).

  3. 3

    View drawdown analysis

    See maximum drawdown %, duration, peak/trough details, and drawdown curve chart.

Frequently Asked Questions

What is maximum drawdown?

Maximum drawdown is the largest percentage decline from a peak to a trough before a new peak is reached. A 20% max drawdown means the worst loss was 20% from a previous high.

Why is max drawdown important?

It measures the worst-case loss scenario, which is crucial for risk management. Investors use it to evaluate if a strategy's drawdown is within their tolerance. A smaller max drawdown typically means less risk.

What is a good max drawdown?

This depends on strategy and risk tolerance. Conservative portfolios typically target <10%. Growth strategies may have 15-25% max drawdown. High-risk strategies can see 30%+. Compare against benchmarks like the S&P 500 (historical max ~50%).

How is maximum drawdown calculated?

Track the running peak of the price series. At each point the drawdown is the percentage decline from that peak: (peak minus price) divided by peak times 100. The maximum drawdown is the largest value in that series, reported together with the peak and the trough that produced it. Example: a price that rises to 120 and then falls to 60 has a drawdown of 50%.

What is a drawdown?

A drawdown is the decline from a peak value to a trough before a new peak is reached - usually expressed as a percentage. If an account grows from $10,000 to $12,000 and then falls to $9,000, the maximum drawdown is 25% (measured from the $12,000 peak). It is the standard risk metric for comparing portfolios and trading strategies.

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