Risk and Drawdown Metrics

Current balance drawdown describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Current balance drawdown percentage measures the decline from the relevant running account peak.

Formula or calculation

(Observed account value ÷ prior running peak − 1) × 100; maximum metrics use the deepest observation.

Why it is useful

Shows the proportion of capital lost from a previous high and allows comparison across account sizes.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Maximum balance drawdown describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Maximum balance drawdown percentage measures the decline from the relevant running account peak.

Formula or calculation

(Observed account value ÷ prior running peak − 1) × 100; maximum metrics use the deepest observation.

Why it is useful

Shows the proportion of capital lost from a previous high and allows comparison across account sizes.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Current equity drawdown describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Current equity drawdown percentage measures the decline from the relevant running account peak.

Formula or calculation

(Observed account value ÷ prior running peak − 1) × 100; maximum metrics use the deepest observation.

Why it is useful

Shows the proportion of capital lost from a previous high and allows comparison across account sizes.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Maximum equity drawdown describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Maximum equity drawdown percentage measures the decline from the relevant running account peak.

Formula or calculation

(Observed account value ÷ prior running peak − 1) × 100; maximum metrics use the deepest observation.

Why it is useful

Shows the proportion of capital lost from a previous high and allows comparison across account sizes.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Average drawdown depth describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Median drawdown depth describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Drawdown pain area describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

How long the account has remained below its latest unrecovered equity peak.

Formula or calculation

Latest observation time − timestamp of the current episode peak.

Why it is useful

Shows the age of the drawdown the trader is experiencing now.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

The longest time the account remained below a previous equity peak.

Formula or calculation

Maximum elapsed time from an equity peak until recovery to that peak; open episodes remain identified.

Why it is useful

Distinguishes a brief deep loss from a prolonged period of unrecovered capital.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Time underwater share expresses the matching observations as a proportion of the eligible sample.

Formula or calculation

Matching eligible observations ÷ all eligible observations × 100.

Why it is useful

Makes how long losses persist and how quickly peaks are recovered. comparable across scopes and sample sizes.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Drawdown episodes describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Open drawdown episodes describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Average drawdown duration describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Median drawdown duration describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Maximum time to trough identifies the strongest or largest eligible observation in the selected scope.

Formula or calculation

Maximum valid observation after applying the selected account, period, and filters.

Why it is useful

Highlights the upper extreme and helps identify outsized drivers of the result.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Average time to trough is the arithmetic mean for eligible observations in the selected scope.

Formula or calculation

Sum of valid observed values ÷ number of valid observations.

Why it is useful

Summarises the typical level of time to trough while reviewing how long losses persist and how quickly peaks are recovered.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Maximum recovery time identifies the strongest or largest eligible observation in the selected scope.

Formula or calculation

Maximum valid observation after applying the selected account, period, and filters.

Why it is useful

Highlights the upper extreme and helps identify outsized drivers of the result.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Average recovery time is the arithmetic mean for eligible observations in the selected scope.

Formula or calculation

Sum of valid observed values ÷ number of valid observations.

Why it is useful

Summarises the typical level of recovery time while reviewing how long losses persist and how quickly peaks are recovered.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Maximum drawdown peak date describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Maximum drawdown trough date describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Maximum drawdown recovery date describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Current drawdown peak date describes an account decline from a previous running peak.

Formula or calculation

Prior running peak − observed account value, using the stated balance or equity basis.

Why it is useful

Helps assess the depth, persistence, or recovery cost of losing periods.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

The annualised variability of the canonical daily return series.

Formula or calculation

Sample deviation of daily returns × √ approved trading periods per year.

Why it is useful

Shows how widely returns fluctuate and provides the risk denominator for several comparison ratios.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Annualised variation of returns that fall below the minimum acceptable return.

Formula or calculation

√ periods/year × square root of mean squared negative shortfalls from the approved target.

Why it is useful

Measures harmful variation without penalising returns above the target.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Annualised excess return earned per unit of total return volatility.

Formula or calculation

√252 × mean(flow-adjusted daily equity return) ÷ sample deviation of daily returns; risk-free return is currently fixed at 0%.

Why it is useful

Compares return efficiency, while treating upside and downside volatility equally.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Annualised excess return earned per unit of harmful downside variation.

Formula or calculation

√252 × mean(flow-adjusted daily equity return) ÷ downside deviation; minimum acceptable return is currently 0%.

Why it is useful

Focuses on undesirable volatility and does not penalise unusually strong positive days.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Annualised return relative to the deepest equity decline.

Formula or calculation

Annualised compounded return ÷ absolute maximum equity drawdown percentage.

Why it is useful

Shows whether return has adequately compensated for the worst observed drawdown.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

Net profit earned relative to the largest drawdown on the same monetary basis.

Formula or calculation

Net profit ÷ absolute maximum drawdown.

Why it is useful

Measures how effectively the account generated profit compared with the capital decline endured.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

The typical depth of percentage drawdowns across the account curve.

Formula or calculation

Square root of the mean of squared percentage drawdowns from prior peaks.

Why it is useful

Captures both repeated and deep drawdowns instead of considering only the single worst event.

Interpretation note

Calculated only from eligible imported observations in the selected account, period and filters; missing source data or an insufficient sample can make it unavailable.

Annualised excess return relative to the Ulcer Index.

Formula or calculation

Annualised excess return ÷ Ulcer Index.

Why it is useful

Rewards returns that were achieved with shallow and infrequent drawdowns.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

Probability-weighted gains above a target return relative to shortfalls below it.

Formula or calculation

Sum of returns above the target ÷ absolute sum of returns below the target.

Why it is useful

Uses the full return distribution and can reveal asymmetry hidden by volatility ratios.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

The loss threshold exceeded by the worst 5% of observed daily returns.

Formula or calculation

The 5th percentile of the canonical historical daily-return distribution.

Why it is useful

Provides a distribution-based view of unusually bad days without assuming normal returns.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

The average loss on days worse than the 95% historical value-at-risk threshold.

Formula or calculation

Mean daily return among observations at or below historical VaR (95%).

Why it is useful

Shows the typical severity of tail losses after the VaR boundary has already been breached.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

The size of unusually strong returns relative to unusually poor returns.

Formula or calculation

Upper return percentile ÷ absolute lower return percentile, using the approved symmetric quantiles.

Why it is useful

Shows whether the return distribution has a more favourable upside or downside tail.

Interpretation note

The value can be unavailable when its denominator is zero or the eligible sample is too small. Compare the same account, period, timezone and filters.

The asymmetry of the canonical periodic return distribution.

Formula or calculation

Bias-corrected third standardized moment of periodic returns.

Why it is useful

Highlights whether extreme outcomes tend to occur more strongly on the profitable or losing side.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.

The tail heaviness of returns relative to a normal distribution.

Formula or calculation

Bias-corrected fourth standardized moment minus 3.

Why it is useful

Warns when extreme returns occur more often than volatility alone would suggest.

Interpretation note

Requires sufficient account equity or periodic-return history. Some equity metrics are unavailable for portfolio scope or when trade-level filters would make the result inconsistent.