Maximum drawdown calculator
Maximum drawdown is the largest fall of an investment from a high point to a later low, in percent. Paste a series of account values or prices in time order. The calculator finds the worst drawdown, its peak and trough, when the value got back to the peak, the gain that was needed, the drawdown at the end of the series and the total return.
Runs in your browser: nothing you enter is sent anywhere.
How to use it
- Paste the values in time order: daily or monthly account balances, fund prices or index levels.
- Read the maximum drawdown, the peak and trough positions and the recovery.
Positions count from 1, the first value you entered.
How it works
The calculator walks through the series keeping the running peak:
- Drawdown at each point = 1 − value ÷ highest value so far
- Maximum drawdown = the largest drawdown
- Recovery = the first later value at or above that peak
- Gain needed = drawdown ÷ (1 − drawdown)
- Current drawdown = 1 − last value ÷ highest value
Worked example
Monthly values 10,000, 11,200, 10,500, 12,000, 9,000, 9,800, 11,500, 12,600, 11,800:
- The peak is 12,000 (#4), the trough after it 9,000 (#5).
- Maximum drawdown = 1 − 9,000 ÷ 12,000 = 25 %, a fall of 3,000.
- Recovered at #8 (3): 12,600 is three months after the trough.
- Gain needed to recover: 33.33 %.
- The last value 11,800 is 6.35 % below the high of 12,600; total return 18 %.
Tips
- Compare drawdowns over the same period and at the same data frequency.
- A strategy’s maximum drawdown in a backtest is a minimum to expect, not a ceiling.
- For one drawdown figure you already know, the drawdown recovery calculator shows the gain and time needed.
Frequently asked questions
How do you calculate maximum drawdown?
Go through the values in order and keep the highest value so far. At each point the drawdown is 1 − value ÷ that peak. The maximum drawdown is the largest of these. From 12,000 down to 9,000 is 1 − 9,000 ÷ 12,000 = 25%.
Why does a 25% drawdown need a 33% gain to recover?
The gain is measured from the lower value. 9,000 has to grow by 3,000 to get back to 12,000, which is 3,000 ÷ 9,000 = 33.33%. In general the gain needed is d ÷ (1 − d).
Should I enter prices or returns?
Values: account balances or prices, oldest first. If you only have returns, turn them into a value series first, for example start at 100 and multiply by (1 + return) each period.
Does the result depend on how often I record values?
Yes. Monthly values miss falls that recover within the month, so daily data usually shows a deeper maximum drawdown than monthly data for the same investment.