Calmar Ratio Calculator
Calculate an entered-window Calmar ratio as compound annual growth rate divided by maximum percentage drawdown from the same ordered account-value path. The convention and window are explicit; the result is not a rating or forecast.
Enter the path and elapsed period
Use earliest-to-latest like-for-like account values and the exact elapsed years between the first and final row.
Exact time between the first and final observation; no date inference occurs.
One non-negative value per line, earliest first. Use one currency and one balance-or-equity definition.
Annualized return-to-drawdown ratio
Observed Equity Drawdown 1.0.0.
The entered-window Calmar convention used
Calmar ratio = CAGR ÷ Maximum percentage drawdown
The model uses the complete entered window rather than assuming a fixed 36-month history. Elapsed years must describe the exact first-to-final period.
Maximum percentage drawdown scans every row against the running peak. Both numerator and denominator therefore come from the same entered window.
Assumptions and limits
- This explicit entered-window CAGR convention can differ from fixed-window or arithmetic-return Calmar implementations.
- External cash flows can invalidate CAGR and distort the drawdown path.
- Sparse observations can miss a deeper drawdown between rows.
- CAGR smooths endpoints and does not describe the sequence of returns within the window.
- No ratio threshold, strategy grade, suitability assessment or future-performance claim is applied.
Worked example from the audited fixture
Use the audited path 10,000 → 10,500 → 9,800 → 11,000 → 9,000 → 12,100 and an entered elapsed period of 2 years. The first-to-final gain is 21.0000%, but Calmar uses compound annual growth rather than that total return.
Calmar ratio = 10.0000% ÷ 18.1818% maximum drawdown = 0.55
How to interpret the result
Both components are percentages from the same entered window: annualized endpoint growth in the numerator and maximum percentage drawdown in the denominator. Changing the elapsed years changes CAGR even when the values stay fixed. The 0.55 fixture output is not a universal rating.
Frequently asked questions
- It divides CAGR over the exact entered elapsed years by maximum percentage drawdown from the same ordered account-value window.
- Elapsed years convert the first-to-final value change into a compound annual growth rate. The page does not infer dates or sampling frequency.
- Each entered value is compared with the running peak before it. The largest peak-to-later-trough decline as a fraction of that peak is used.
- The numeric ratio is undefined because maximum percentage drawdown is zero. CAGR and the other descriptive outputs remain available.
- Yes. A final value below the starting value produces a negative CAGR while maximum drawdown remains a positive denominator.
- Implementations can use different windows, return definitions, cash-flow treatments or drawdown series. This page states its entered-window CAGR convention explicitly.
- Yes. External cash flows can distort both CAGR and the observed path unless the series is adjusted consistently before entry.
- No. It describes one supplied path and window and does not establish robustness, persistence or future returns.
Sources and methodology
- Wiley — Risk-adjusted performance measurement excerpt — Publisher reference for compound annualized return divided by maximum drawdown.
- MQL5 Reference — Testing Statistics — Official definitions for maximum balance and equity drawdown statistics.
- CFTC — Trading system claims advisory — Official caution on hypothetical and past-performance presentations.
Continue the performance review
Verify account records and charges
Confirm valuation basis, deposits, withdrawals and trading charges before deriving the path.
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