Drawdown
Max drawdown calculator ulcer index included
Peak to trough, the ulcer index, the pain index, and the worst drawdowns in the window. One close series, four ways the path hurt.
BTC
Max drawdown 20.9%
Ulcer index 6.6%. The worst hole was deeper than the typical time spent underwater.
- Max drawdown
- 20.9%
- Ulcer index
- 6.6%
- Average drawdown
- 4.8%
- Pain index
- 4.8%
Worst peak to trough
RMS of drawdowns
Mean depth
Average drawdown through the window
- BTC
| Depth | Start row | Bottom row | End row |
|---|---|---|---|
| 20.9% | 37 | 90 | open |
| 6.8% | 18 | 31 | 34 |
| 3.8% | 11 | 17 | 18 |
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
Depth is not the whole injury
Max drawdown is the worst peak-to-trough loss in the window. It says nothing about whether you sat in that hole for a week or a year.
The ulcer index is the root-mean-square of the drawdowns, so a long grind scores worse than a one-day spike that recovered. The pain index is the average drawdown. Together they describe the path a Sharpe ratio smooths over.
How this page runs it
Closes are treated as portfolio values. Thrive's portfolio engine returns the maximum drawdown, the ulcer index, the average drawdown, the pain index, and the worst few episodes with start and bottom.
Drawdown is a fraction of the prior peak. A print of 30% means the series gave back 30% from a high inside this window, not from your entry.
How to run it
- Paste closes, oldest first.
- Run the drawdown set.
- Read max drawdown next to the ulcer index. A shallow max with a high ulcer means you lived underwater.
- Check the worst episodes for how long the hole lasted.
FAQ
People also ask
It is the square root of the mean squared drawdown over the window. Martin designed it so a strategy that stays 10% underwater for months scores worse than one that dips 10% and snaps back.
No. Max drawdown measures the worst decline from a peak inside the series. If you bought the top, they match. If you bought lower, your personal loss is smaller than the series drawdown.
Up to three, with the depth and the observation where each one started and bottomed.
Yes. Drawdown does not need an annualization choice. The frequency control is there so the same series can be reused on the Sharpe and Sortino pages.
Related
Sortino and Calmar calculator
Sortino uses downside deviation instead of total volatility. Calmar divides annualized return by max drawdown. Same closes, two ratios that punish different mistakes.
Sharpe ratio calculator
Paste a close series. The engine returns the Sharpe ratio, the 95% band, and the probabilistic Sharpe: the chance the true ratio beats zero.
VaR and CVaR calculator
Empirical value at risk and conditional value at risk from the closes you paste. VaR is the loss you only breach on the bad days. CVaR is the average loss on those days.
Position size calculator
Vol and drawdown tell you the path. Size tells you what you can hold.
Trading journal
The ratio on a pasted series is a lab result. The journal is the book you actually traded.
Bitcoin volatility
The live 90-close vol print for the BTC sample.
Know the hole before you size it.
Drawdown on a chart is history. Drawdown on your account is the number that knocks you out. Thrive tracks it on the fills.