Finding a Backtest’s Maximum Drawdown Date with a Risk Overview

Summary

The document answers how to identify when a strategy’s maximum drawdown occurred in a backtest. It recommends adding a strategy risk overview module after the backtest module, which reports the drawdown and its associated date.

The example reports a maximum drawdown of -15.12% occurring on 2021-02-08. The post also says that the drawdown could later be shown directly on a return curve. It is a brief tool-oriented answer rather than a discussion of drawdown calculation, peak-to-trough intervals, or the broader interpretation of risk metrics, and it does not provide enough context to assess the underlying strategy or backtest.

Key ideas

• A strategy risk overview module can be added after a backtest to inspect maximum drawdown timing.
• The example identifies a drawdown of -15.12% on 2021-02-08.
• The author notes that drawdown timing could also be displayed on the return curve.
• The post does not explain drawdown methodology or provide context about the tested strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.