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Maximum drawdown calculator
The worst peak-to-trough decline in a series — the risk statistic that maps to how losing actually feels. Paste account values or prices in order; everything runs in your browser, nothing is sent or stored.
How it's computed
Walk the series keeping a running peak; at each point measure the decline from that peak; the maximum drawdown is the deepest such decline: MDD = max over t of (peak≤t − valuet) / peak≤t.
Why drawdown deserves more attention than volatility
- It's the number you experience. Nobody abandons a plan because annualised σ hit 19%; people abandon plans 30% below their high-water mark.
- Recovery is asymmetric. A 50% drawdown needs a 100% gain to recover. The arithmetic of losses is why our composite's validation weighs consistency over average performance.
- It exposes sequence risk that volatility hides — two series with identical σ can have wildly different drawdowns.
Limits: maximum drawdown is a single worst case from one particular history — it says nothing about how likely a repeat is, and short series understate it almost by definition.