Maximum Drawdown Calculator
Paste an equity series to find the largest peak-to-trough fall and the recovery factor of the run.
Quick answer: Maximum drawdown is the deepest peak-to-trough decline an equity curve suffers, measured as a percentage of the peak. The tool walks your equity series, tracks the running high-water mark, and records the largest percentage fall below it. It also reports the recovery factor, the net profit divided by the rupee size of that worst drawdown, and draws the curve with the drawdown period marked.
How to use it
Paste the value of your account or backtest equity at successive points in time, separated by commas, spaces or new lines. The output is the maximum drawdown as a percentage of the peak, the rupee depth of that drawdown, the net profit, and the recovery factor (net profit divided by the worst drawdown). The chart shows the equity curve with the peak-to-trough fall highlighted.
Formula
Max drawdown% = max over t of ( Peak so far − Equity[t] ) ÷ Peak so far × 100 ; Recovery factor = Net profit ÷ Max drawdown (₹)
Peak so far is the highest equity value seen up to and including point t. Net profit is the last value minus the first.
Limitations of the Maximum Drawdown Calculator
The Maximum Drawdown Calculator is a teaching aid, not a live risk system. It does not model the following:
- Future drawdowns, which frequently exceed the worst decline seen in the sample
- The duration of the drawdown and the time to recover, which the single depth figure omits
- Path dependence from the exact sample window chosen
- Trading costs and slippage, which the equity series must already reflect
Frequently asked questions
Why does a backtest's maximum drawdown get worse with more data?
Because it is an extreme-value statistic defined by the single worst episode. Adding history can only reveal an equal or deeper worst fall, never a shallower one, so longer backtests tend to show larger maximum drawdowns — one reason a short backtest's drawdown is optimistic.
Does the historical maximum drawdown cap my future losses?
No, and assuming so is dangerous. The observed maximum is an optimistic single sample; the future can deliver a deeper drawdown than any the finite backtest contained, so you should plan around a worse figure than the one your test produced.
Why is a suspiciously small backtested drawdown a warning?
Because it often signals overfitting or too short a sample rather than genuine robustness. A drawdown that looks too good should be judged against the length and realism of the test and stress-tested by resampling before it is believed.
How should I plan for drawdown when the historical number is optimistic?
Estimate a distribution of maximum drawdowns using Monte Carlo resampling of the trade sequence, then plan around a high percentile such as the 95th rather than the single historical value. The drawdown you prepare for should be worse than the one your backtest showed.
What should I report alongside a backtested maximum drawdown?
Its duration and the longest underwater period, plus ideally a Monte Carlo drawdown distribution. Depth alone hides how long the pain lasted and how much worse it could plausibly have been, so a single number is not enough for an honest backtest report.
Runs entirely in your browser — no data leaves your device. Illustrative and educational only; real-world charges and market conditions apply in practice.