Maximum Drawdown Calculator
Measure the largest percentage drawdown, its value decline, trough to recovery observations, and Ulcer Index in an ordered value series.
Earlier editorial review
- Reviewed
- 2026-09-22
- Methodology
- 1.1
Sources
How it works
Paste a chronological series of nonnegative portfolio values, prices, or index levels. Use commas, spaces, or new lines between observations. Values use a period for decimals, with no thousands separators. The first value must be positive, and a comma always starts a new observation.
At each observation, the calculator compares the value with the highest earlier value. It identifies the largest percentage decline, its peak and trough, and the first later observation that recovers that peak. The timeline marks the selected peak, trough, recovery, and each drawdown from a running peak.
The Ulcer Index is the square root of the average squared percentage drawdown across all observations. Each observation receives equal weight, so irregularly spaced data can distort its interpretation. The displayed recovery count runs from the trough to recovery, not from the peak.
Use adjusted or unitized values if external cash flows or distributions would otherwise change the series. Compare series with the same currency, scale, valuation convention, and observation frequency. No dates or elapsed calendar time are inferred.
Step by step
- Enter the values in chronological order using commas, spaces, or new lines.
- Check the selected peak, trough, percentage decline, and recovery count.
- Read the Ulcer Index as an observation based summary, not a forecast or grade.
Worked example
For the sequence 100, 120, 90, 110, 120, the largest percentage drawdown is 25%, from the peak value 120 at observation 2 to the trough value 90 at observation 3. The decline for that episode is 30 units.
The value first returns to the peak at observation 5, so recovery takes 2 observations from the trough. The Ulcer Index is 11.79: the square root of the mean of the five squared percentage drawdowns from each running peak. These results are reproduced by the unit test.
When to use this calculator
Use the calculator to summarize the largest percentage decline and the recovery count in a sequence. The Ulcer Index adds an observation based view of the depth of drawdowns across the full series.
For investment comparisons, use adjusted or unitized series and align their currency, scale, valuation convention, and observation frequency. Drawdown measures describe the sample; they do not forecast future performance or replace a broader analysis.
Common mistakes
Do not include dates, currency symbols, thousands separators, or text. A comma separates observations, so 1,000 is read as two values rather than one thousand. Any invalid token rejects the entire series. Keep values chronological and use the same valuation convention throughout.
Do not treat the observation count as calendar time, or compare a price only series with a total return series. Deposits and withdrawals can distort account balance drawdowns. A low result in this sample does not limit future losses.
Formula and units
running_peak[i] = max(values[0..i])
drawdown[i] = (running_peak[i] − value[i]) / running_peak[i]
maximum_drawdown = max(drawdown[i]) × 100
selected_episode_decline = selected_peak_value − selected_trough_value
recovery_observations = recovery_index − trough_index
ulcer_index = √(mean(drawdown[i]²)) × 100
The first value must be positive and all later values must be finite and nonnegative. Equal peaks keep the earliest peak, and tied maximum percentage drawdowns keep the earliest episode. The displayed value decline belongs to the episode selected by percentage drawdown. Recovery counts observations from its trough to the first later value at or above its peak.
Assumptions and limitations
The result describes only the supplied sequence and does not predict future losses or their probability. It has no inferred dates, calendar duration, or annualization. Irregular observation spacing gives some stretches more weight in the Ulcer Index because every observation is counted equally. Deposits, withdrawals, fees, and distributions can affect raw account balances or prices; adjust or unitize the series before comparing investment performance. The first value must be positive, while later values may be zero, including a full loss. Value decline depends on the scale and units of the series.
Key terms
- Maximum drawdown
- The largest percentage decline from a running peak to a later trough in the entered sequence.
- Ulcer Index
- The square root of the mean of squared percentage drawdowns from each running peak across the observations.
- Recovery observations
- The number of observations from the selected trough to the first later value at or above that episode’s peak.
Compare alternatives
Maximum drawdown identifies the largest percentage decline from a running peak in the entered sequence. Sharpe Sortino Ratio relates returns to variation, while Sequence of Returns Calculator shows how return order affects a withdrawal scenario. Each answers a different question.
Portfolio Temperature examines concentration in a stress scenario, while Lost Decade Backtester explores a selected historical window. Those tools add context that a single value series cannot provide.
FAQ
What does maximum drawdown measure?
Maximum drawdown is the largest percentage decline from a running peak to a later trough in the entered sequence. The value decline shown is for that same episode. Another episode can have a larger value fall but a smaller percentage drawdown.
How is the Ulcer Index calculated?
The Ulcer Index is the square root of the mean of squared percentage drawdowns from each running peak. It weights each observation equally, so use a regularly sampled series when interpreting it. It has no universal grading threshold in this calculator.
How does the recovery count work?
Recovery counts observations from the trough of the selected maximum drawdown to the first later value at or above that episode’s peak. If the sequence ends first, the result says not yet recovered. The calculator does not infer calendar dates or elapsed time.
What format should the value series use?
Enter values in chronological order, separated by commas, spaces, or new lines. Use a period for a decimal point and do not use thousands separators. A comma always separates observations. The first value must be positive; later values can be zero. Dates and currency symbols are not accepted.
Can I use raw account balances to compare performance?
Deposits and withdrawals can change an account balance without representing investment performance. Use a time weighted or unitized series, or adjust values for external cash flows before comparing drawdowns. Keep currency, scale, valuation convention, and observation frequency consistent.
Related Tools
Use Sharpe Sortino Ratio to compare return and variation, Sequence of Returns Calculator to examine withdrawal timing, Portfolio Temperature to inspect concentration, and Lost Decade Backtester to explore a historical window. Each uses different inputs and assumptions.