Using CAGR, Maximum Drawdown, and Calmar Ratio to Assess Performance

Summary

This ProRealTime indicator evaluates price performance between user-selected start and end dates. It calculates compound annual growth rate (CAGR) from the two closing prices and the estimated elapsed years, scans intervening bars for the largest percentage decline from a prior peak, and divides CAGR by the absolute maximum drawdown to produce a Calmar ratio. The indicator also marks the chosen points and interval on the chart and displays the three metrics. It estimates annual periods using different assumptions for monthly, weekly, and daily or shorter charts.

The document presents the formulas, configuration requirements, chart behavior, and warnings for missing data or an invalid date range. These measures offer a compact view of return and drawdown risk, but the example is a price-based calculation over one interval, not a complete portfolio or strategy evaluation. Results depend on loaded data, selected dates, timeframe assumptions, and how bars are counted; the document provides no empirical comparison or validation of the implementation.

Key ideas

• CAGR annualizes the change between the selected start and end closing prices.
• Maximum drawdown is calculated by tracking declines from successive peaks within the selected interval.
• The Calmar ratio compares CAGR with the magnitude of maximum drawdown.
• Timeframe-specific annualization assumptions affect the reported CAGR.
• The indicator requires usable data at both endpoints and enough bars across the interval.

Tags

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