By Keel Research Team · Updated May 12, 2026
Compute the maximum peak-to-trough drawdown of any equity curve or returns series — plus duration, recovery time, and a reference table showing how your number compares to historical drawdowns in BTC, ETH, SOL, S&P 500, Nasdaq, Gold, and 60/40 portfolios.
Paste equity-curve values, comma- or space-separated. Min 2 values.
Significant — comparable to traditional-market bear cycles (S&P 500 lost ~57% peak-to-trough in 2007–09).
| Asset / Portfolio | Cycle | Max DD | Duration |
|---|---|---|---|
| BTC | Dec 2017 → Dec 2018 | −84% | ~12mo |
| BTC | Nov 2021 → Nov 2022 | −77% | ~12mo |
| ETH | Nov 2021 → Jun 2022 | −82% | ~7mo |
| SOL | Nov 2021 → Dec 2022 | −96% | ~13mo |
| S&P 500 | Oct 2007 → Mar 2009 | −57% | ~17mo |
| Nasdaq Composite | Mar 2000 → Oct 2002 | −78% | ~31mo |
| Gold (USD spot) | Aug 2011 → Dec 2015 | −45% | ~52mo |
| 60% S&P 500 / 40% US Treasuries | Jan 2022 → Oct 2022 | −21% | ~9mo |
Sources: CoinGecko, Yahoo Finance, S&P historical data, World Gold Council. Cycles are completed market events; numbers don’t change.
Max drawdown is the largest peak-to-trough decline an equity curve has experienced, expressed as a fraction of the prior peak:
max_dd = max((peak − trough) / peak) over all rolling peak/trough pairsThe calculator walks the equity curve once, tracking the running peak. At each step it computes the current drawdown vs that peak; the maximum observed is the max DD. We also surface duration (bars from peak to trough) and recovery (bars from trough back to prior peak, or “not yet recovered”).
Why the reference table matters. A 35% max DD reads very differently for a crypto strategy than an equity portfolio. The reference numbers below — completed market-cycle drawdowns — let you frame your own result: is your strategy “within normal crypto range” or “abnormal even for crypto”? The closest historical analog is highlighted automatically.
Numbers in the reference table are sourced from CoinGecko, Yahoo Finance, S&P historical data, and World Gold Council. They’re completed historical cycles and don’t change.
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Max drawdown is the largest peak-to-trough decline in an equity curve, expressed as a percentage of the prior peak. If a strategy went $100 → $130 → $80, the max DD is (130−80)/130 = ~38%. It's the single most important risk metric — it tells you the worst you would have endured historically, which is a lower bound on what you'll endure going forward.
Volatility (standard deviation) treats upside and downside the same. Drawdown measures only the painful side — actual loss from peak. Two strategies can have the same Sharpe ratio with very different drawdown profiles; the one with lower max DD is far more survivable in practice, because path-dependent risk-of-ruin is real.
Depends on the asset class and strategy. Liquid trend-following strategies often recover in months; deep-bear crypto positions can take years (BTC 2018: ~2.5 years to break even). The reference table on this page shows recovery durations for major historical drawdowns. A strategy that never recovers from its max DD is broken, regardless of past Sharpe.
Highly subjective, but rough benchmarks: under 20% is institutional-grade; 20–35% is normal for trend-following on liquid crypto; 35–50% is aggressive (carry strategies during regime flips fall here); over 50% is usually a strategy that took asymmetric risk on a single regime or got over-leveraged. For comparison, holding spot BTC through 2022 was −77%.
Every Keel backtest reports max DD alongside Sharpe, total return, win rate, and duration. Open any backtest in the Keel app — the metrics card includes max drawdown by default. The /strategies/funding-carry page is a worked example: −9.7% max DD over a 20-month backtest.