Maximum Drawdown Calculator
Measure the largest peak-to-trough loss in an investment, portfolio, or trading equity curve. Enter account values or periodic returns; the calculator also reports recovery, current drawdown, annualized return, and the Calmar ratio.
| Observation | Value | Running peak | Drawdown | Status |
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What maximum drawdown measures
Maximum drawdown (MDD) is the largest percentage decline from a previous high to a later low. It answers a different question from volatility: instead of measuring how widely returns vary, it shows the worst historical loss an investor would have experienced before a new high.
The tool treats “maximum drawdown,” “max drawdown,” “portfolio drawdown,” and “trading drawdown” as the same calculation. Retirement income drawdown is a separate problem and is not modeled here.
Maximum drawdown formula
Running peak: Pt = max(V0, …, Vt)
Drawdown: Dt = Vt / Pt − 1
Maximum drawdown: MDD = min(Dt)
Recovery gain: P / T − 1, where P is the peak value and T is the trough value.
A 25% loss needs a 33.33% gain to recover because the gain starts from a smaller base. The Calmar ratio shown here is the annualized return over the full series divided by the absolute maximum drawdown.
Verified example
For values 100, 120, 90, 95, 130, 104, and 140, the running peak reaches 120 and the next trough is 90. The drawdown is 90 ÷ 120 − 1 = −25%. A later fall from 130 to 104 is −20%, so the maximum remains −25%. The gain required to move from 90 back to 120 is 33.33%.
How to use the calculator
- Choose account values or periodic percentage returns.
- Paste observations from oldest to newest. For returns, enter −5 for a −5% period.
- Select the correct number of observations per year.
- Calculate and inspect the peak, trough, recovery, current drawdown, and row-by-row path.
Limits and assumptions
Cash flows matter. Portfolio values should be adjusted for deposits and withdrawals. Otherwise a withdrawal can look like an investment loss. Use time-weighted return when you need to neutralize external cash flows.
- Values must be nonnegative and no greater than 1 quadrillion. At least two values are required.
- Returns must be between −100% and 1,000,000%. A return below −100% is impossible for an unlevered long-only investment.
- The tool accepts at most 1,000 observations and assumes equal time spacing for annualization.
- Maximum drawdown is historical, path-dependent, and does not predict the next loss.
- If the series never falls below a prior peak, maximum drawdown is 0% and the Calmar ratio is not defined.
- If a trough reaches zero, the percentage gain needed for recovery is infinite.
Frequently asked questions
Is maximum drawdown the same as loss?
No. A total loss compares the first and last values. Maximum drawdown compares every value with the highest value reached before it, so the path can reveal a much larger temporary loss.
What is a good maximum drawdown?
There is no universal cutoff. Compare drawdown with the strategy’s objective, leverage, liquidity, time horizon, and benchmark. A smaller drawdown is generally easier to recover from, but it should not be evaluated without return.
What is drawdown duration?
Peak-to-trough duration counts the periods from the prior high to the lowest point. Full recovery duration counts from that peak until the value first meets or exceeds it again.
Can I calculate drawdown from returns?
Yes. This tool compounds the return series from a starting index of 100, then applies the same running-peak formula to the resulting equity curve.