Drawdown Duration Analyzer
Understand how long you spend in drawdown periods. This tool analyzes your equity curve to calculate average drawdown duration, longest drawdown period, drawdown frequency, and time spent underwater. Essential for understanding strategy resilience and recovery patterns.
Enter your equity curve data or trade history, and set a drawdown threshold. See average drawdown duration, longest drawdown period, drawdown frequency, time in drawdown (%), and duration distribution.
Starting account balance
Equity curve values or trade P&L history
Minimum drawdown to count as a drawdown period
Account values over time (comma or newline separated)
How It Works
Calculation Methodology
This tool analyzes drawdown duration by identifying all periods where equity is below a threshold from the peak, calculating how long each drawdown lasts, and providing statistics on time spent in drawdown.
Key Insight: Time in drawdown is a critical psychological and financial metric. Spending 50% of your time in drawdown means you're underwater half the time, which is psychologically challenging. Average duration shows typical recovery time — if it's increasing, your strategy may be degrading. Longest duration shows worst-case scenario. Understanding these metrics helps you assess strategy resilience and set realistic expectations for recovery times.
Learn more about drawdown analysis:
Risk management guideExample Scenario
Setup: 40 periods of equity data with multiple drawdowns, 5% threshold
What this means: You experienced 3 drawdown periods with average duration of 8.7 periods. You spent 65% of your time in drawdown, which is high — you're underwater most of the time. The longest drawdown lasted 12 periods. This suggests your strategy may need improvement to reduce time in drawdown.
Common Mistakes & Warnings
- ⚠Ignoring time in drawdown: Spending 50%+ of your time in drawdown is psychologically challenging and can lead to poor decision-making. If time in drawdown is high, consider improving your strategy to reduce drawdown frequency or duration.
- ⚠Not setting appropriate threshold: Threshold too low (1-2%) counts minor fluctuations as drawdowns. Threshold too high (20%+) misses significant drawdowns. Use 5-10% for most analyses.
- ⚠Not tracking ongoing drawdowns: If you're currently in a drawdown, it's counted as ongoing. This helps you understand current status and compare to historical patterns.
- ⚠Focusing only on maximum drawdown: Maximum drawdown shows worst case, but average duration and frequency show typical experience. A strategy with frequent short drawdowns may be better than one with rare long drawdowns.
Example Scenarios
Try these realistic scenarios to understand drawdown duration patterns.
Scenario 1: Frequent Short Drawdowns
Many small drawdowns with quick recovery. Lower psychological impact.
What this means: Frequent but short drawdowns with quick recovery. You spend 40% of time in drawdown, but durations are short (2-3 periods). This pattern is psychologically easier to handle than long drawdowns.
Scenario 2: Few Long Drawdowns
Rare but extended drawdowns. Higher psychological impact.
What this means: Few but long drawdowns with slow recovery. You spend 50% of time in drawdown, and durations are long (10-15 periods). This pattern is psychologically challenging — long periods underwater can lead to poor decision-making and strategy abandonment.
Frequently Asked Questions
When should I use this tool?
Use this tool to analyze how long you spend in drawdown periods. Understanding drawdown duration helps you assess strategy resilience, set realistic expectations, and identify if you're spending too much time underwater. Essential for understanding the psychological and financial impact of drawdowns over time.
What is drawdown duration?
Drawdown duration is the time (in periods) from when equity drops below a threshold from a peak until it recovers above that threshold. For example, if your account peaks at $10,000, drops to $9,000 (10% drawdown), and takes 20 periods to recover to $10,000, the drawdown duration is 20 periods.
What is the drawdown threshold?
The drawdown threshold is the minimum drawdown percentage that counts as a 'drawdown period'. For example, with a 5% threshold, only periods where drawdown exceeds 5% are counted. This filters out minor fluctuations and focuses on significant drawdowns. Common thresholds are 5%, 10%, or 20%.
How is average drawdown duration calculated?
Average drawdown duration = total time in drawdown / number of drawdown periods. For example, if you have 3 drawdown periods lasting 10, 15, and 20 periods, average duration = (10 + 15 + 20) / 3 = 15 periods. This shows typical time spent in drawdown.
What is time in drawdown (%)?
Time in drawdown is the percentage of total periods spent in drawdown. If you have 100 periods and 30 of them are in drawdown, time in drawdown = 30%. Higher percentage means you spend more time underwater, which can indicate strategy issues or high volatility.
What is drawdown frequency?
Drawdown frequency is the number of distinct drawdown periods. A drawdown period starts when equity drops below the threshold and ends when it recovers. Higher frequency means more drawdown episodes, which can indicate inconsistent performance or high volatility.
What's a good average drawdown duration?
It depends on your strategy and risk tolerance. Conservative strategies might have 5-10 period average duration, moderate strategies 10-20 periods, aggressive strategies 20-50+ periods. The key is consistency — if average duration is increasing over time, your strategy may be degrading.
How does this relate to Maximum Drawdown Calculator?
Maximum Drawdown Calculator shows the worst single drawdown (peak to trough). Drawdown Duration Analyzer shows all drawdown periods and how long you spend in drawdown. They're complementary — use Maximum Drawdown for worst-case risk, Duration Analyzer for time-underwater analysis.
What if I'm currently in a drawdown?
If you're currently in a drawdown that hasn't recovered, it's counted as an ongoing drawdown. The tool will show it as an incomplete period. This helps you understand current drawdown status and how it compares to historical patterns.
How can I reduce drawdown duration?
To reduce drawdown duration: (1) Improve win rate or risk/reward ratio, (2) Reduce position sizes, (3) Add stop losses, (4) Take profits more consistently, (5) Avoid revenge trading, (6) Diversify positions. Faster recovery means less time underwater and better psychological state.
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