Drawdown Analysis — QQQ
How unusual is the current drawdown? Drawdown duration, max drawdown, time to recovery and Kaplan-Meier against the ticker's own history.
Current drawdown
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- Peak
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- Drawdown duration
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- Trough so far
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- Evaluated up to
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Drawdown duration of earlier episodes
Max drawdown and drawdown duration of each episode
Dauer ab dem Drawdown bis zur Recovery
Handelstage vom Peak bis zum Drawdown
Kaplan-Meier: share still without recovery
Drawdown calendar
For each calendar year the deepest distance from the prior high (high since start of data, bars) and the Ulcer Index (line, right axis).
Forward Returns nach einem Drawdown
| Horizon | n | without full horizon | Mean | Median | positive | Interim loss (mean) | Base n | Base mean | Base positive | overlapping pairs |
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Drawdown curve
Drawdown from the most recent peak on every trading day. The selected period is shaded.
Drawdown-Episoden
| Peak | Trough | Recovery | Max Drawdown | Peak to Trough | Time to Recovery | Drawdown duration | Calendar days | ab −x % bis Recovery |
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Methodology
- Data: stored daily (log) returns from closing prices. Whether dividends are included depends on the instrument and is verified only for the indices flagged above (price index without, performance index with dividends); for all other tickers the status above says it is not verified.
- Episode: from the peak (prior high) to the recovery, the first close that reaches the peak again. Trough = lowest close in between. Max drawdown = distance from trough to peak, peak to trough = trading days from peak to trough, time to recovery = trading days from trough to recovery, drawdown duration = trading days from peak to recovery.
- Evaluated up to: last completed session before today's exchange date (crypto: last completed UTC day). Today's session does not count, even after the close.
- Period: an episode is included if its peak lies within the period. Episodes with an earlier peak are listed separately below the table.
- Ranks: share of completed episodes with at least the selected max drawdown whose drawdown duration was shorter, or whose max drawdown was larger. Because the current drawdown is still running, the ranks say nothing about its final duration.
- Time from −x% to recovery: for earlier episodes that reached at least −x%, the trading days from first reaching that level to the recovery. Describes past cases, not a forecast.
- Kaplan-Meier: share of episodes that had not yet recovered n trading days after first reaching −x%. The current drawdown enters as an open (censored) observation. The lines above and below are pointwise, nominal 95% intervals, not a confidence band.
- Forward returns: return after 20, 60 and 120 trading days from the close of the day an episode first reached −x% (one observation per episode), with the lowest interim level, against all trading days of the period as the base. Windows can overlap; no significance test.
- Drawdown calendar: deepest distance from the prior high within the year (high since start of data, not the yearly high) and Ulcer Index = square root of the mean squared drawdown of the year.
- Observed closing prices: the analysis uses the available closing prices; all counts are trading days with a price. In years whose exchange calendar is not verified (and for currencies), single days without a price count as closed if the next row's return covers both days; their number is shown above. In years with a verified calendar and for crypto, a missing price row is a real gap: the path from there is unknown, earlier completed episodes remain valid. No significance test, no trading recommendation.
Frequently asked questions about drawdowns
What is a drawdown?
A drawdown is the percentage distance of a price from its prior high. It starts at the peak and ends with the recovery, when the price reaches the old high again.
What is the difference between time to recovery and drawdown duration?
Time to recovery counts the trading days from the low point (trough) to the recovery. Drawdown duration counts from the peak to the recovery, so it includes the decline.
What does the Ulcer Index measure?
The Ulcer Index combines the depth and duration of drawdowns in one number: the square root of the mean squared drawdown. Long, deep declines raise it sharply, short pullbacks barely.
Can the page predict when a drawdown ends?
No. It shows how long earlier drawdowns of the same ticker lasted. That is not a forecast for the current one.