Measuring Drawdown Duration from Reconstructed Equity Curves
Summary
The article explains why maximum drawdown alone misses how long an account remains below its previous peak. It describes a dashboard that rebuilds an equity curve from closed deal history, then records each drawdown’s start, lowest point, recovery, depth, and duration. Episodes still unresolved at the end of the selected period are marked open so their elapsed time is not presented as a completed recovery duration.
The method sorts closing deals chronologically and accumulates profit, swap, and commission from a supplied starting balance. A peak-tracking analyzer identifies episodes, while summary statistics, a shaded timeline, and a table ordered by duration present the results. The article says a verification script checks episode detection, depth, duration, open status, and summary calculations against hand-worked examples. It also identifies limitations: the starting balance is not independently verified, chart spacing reflects point index rather than elapsed time, and open and closed episodes are not directly comparable on equal footing. This is an analytics aid, not a trading strategy.
Key ideas
- Maximum drawdown depth does not describe how long an account takes to recover.
- Reconstruct the equity curve by sorting closed deals by time and accumulating profit, swap, and commission.
- Track each episode’s prior peak, trough, recovery, depth, and open status.
- A duration-sorted table and timeline expose long underwater periods that a single drawdown figure hides.
- Results depend on the supplied starting balance, and the chart’s horizontal spacing is not proportional to elapsed time.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.