Analyzing Drawdown Episodes, Recovery, and Strategy Resilience
Summary
This document describes a script for analyzing the structure of a strategy’s drawdowns from daily profit-and-loss data. It rebuilds an equity curve from a starting capital value, derives an underwater curve, and separates that curve into individual drawdown episodes. For each episode, it reports depth, time spent declining, recovery time, and total time below a previous peak. It also summarizes maximum and average drawdown, underwater duration, Ulcer and Pain indexes, and Recovery Factor.
The script combines depth, recovery, and stability measures into a letter-graded resilience score, with recommendations, and prints the analysis in the platform’s Experts tab. It accepts a CSV with dates and daily P&L; an included helper can export daily results from trade history. The description explains the inputs and outputs but provides no sample findings, validation, or evidence that the composite grade predicts future performance. The score depends on its selected weights and minimum episode-depth threshold, and the analysis reflects only the supplied history and its data quality.
Key ideas
- Maximum drawdown alone omits how often losses occur and how long recovery takes.
- The script reconstructs an equity curve and underwater curve from daily profit and loss.
- Drawdown episodes are described by depth, decline duration, recovery time, and total underwater length.
- Additional metrics include Ulcer Index, Pain Index, and Recovery Factor.
- A weighted resilience grade depends on configurable metric weights and a minimum episode-depth threshold.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.