What is maximum drawdown duration?

Maximum drawdown duration is the longest time an investment stayed below a prior peak, measured from the peak date until the portfolio fully recovered to that peak.

How is maximum drawdown duration different from maximum drawdown?

Maximum drawdown focuses on the deepest loss in percentage terms. Maximum drawdown duration focuses on time—specifically, the longest peak-to-recovery interval. The deepest drawdown isn't always the longest-lasting.

How do you calculate maximum drawdown duration?

Build an equity curve, identify each peak-to-recovery episode where the series falls below the peak and later recovers, measure each episode's length in periods/days, and take the maximum. Ongoing unrecovered episodes can optionally be reported as open durations.

What inputs do I need?

Provide a series of prices or returns and choose whether returns are simple or log. Select the data frequency (daily, weekly, monthly, etc.) so durations can be labelled in periods and days.

Optimly Calculators | Maximum Drawdown Duration Calculator

Investment data

Data type:

Add / remove rows

Performance settings

Portfolio balance (£)

Calculator options

Data frequency:

Return type