Drawdown

Drawdown analysis reference — maximum drawdown, peak-to-trough, recovery time, risk metrics. Use when evaluating portfolio risk, stress-testing strategies, o...

Drawdown — Drawdown Analysis & Risk Measurement Reference

Quick-reference skill for understanding, calculating, and applying drawdown metrics in portfolio management and risk analysis.

When to Use

• Measuring maximum drawdown of a portfolio or strategy
• Comparing risk profiles of different investments
• Setting stop-loss levels based on historical drawdowns
• Stress-testing strategies against worst-case scenarios
• Evaluating fund manager performance through drawdown lens

Commands

intro

scripts/script.sh intro

Overview of drawdown — definition, significance, and types.

calculate

scripts/script.sh calculate

How to calculate drawdown — formulas, step-by-step, and time series methods.

metrics

scripts/script.sh metrics

Key drawdown metrics — MDD, Calmar ratio, Ulcer Index, pain index.

historical

scripts/script.sh historical

Major historical drawdowns — market crashes, recovery timelines.

management

scripts/script.sh management

Drawdown management — position sizing, stop-losses, risk budgeting.

recovery

scripts/script.sh recovery

Recovery analysis — math of recovery, time to recover, asymmetry of losses.

comparison

scripts/script.sh comparison

Drawdown vs other risk measures — volatility, VaR, CVaR, Sortino.

examples

scripts/script.sh examples

Worked examples with calculations and strategy evaluation.

help

scripts/script.sh help

version

scripts/script.sh version

Configuration

Variable	Description
DRAWDOWN_DIR	Data directory (default: ~/.drawdown/)

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