Drawdown Duration Analyzer
Identify recovered and open drawdown-duration episodes in strictly ordered timestamped balance or equity observations. The analyzer measures only what the supplied sampling captured; it does not interpolate, predict recovery or grade a strategy.
Enter ordered observations
Use one consistent account-value and cash-flow basis.
This label does not change the duration arithmetic.
Loaded locally into the same validator; maximum 1 MB.
One observation per line. Timestamps must include Z or an explicit UTC offset and must already be strictly increasing.
Observed duration episodes
Observed Drawdown Duration 1.0.0.
Out of date — recalculate after changing an input.
| Episode & status | Peak & first below | Trough & terminal | Observed durations |
|---|
How observed drawdown duration is measured
A lower observation opens an episode from the latest prior equal-or-higher peak. The first later observation at or above that peak closes it. If the sample ends below the peak, the episode remains open.
Observed underwater duration = Recovery or sample-end time - First-below time
The earliest equal trough is retained. Irregularly spaced observations use elapsed timestamps, not the number of rows.
Assumptions and limits
- Observations must be strictly ordered, comparable and on one consistent balance or equity basis.
- No interpolation occurs between rows; a sparse sample can miss an intervening recovery.
- Deposits and withdrawals can create false peaks or recoveries. Use a cash-flow-adjusted series or confirm external flows are absent.
- The analyzer does not calculate loss depth, recovery gain, trading costs or future drawdown probability.
- No result is an acceptable-duration threshold, strategy rating, recovery forecast or recommendation.
Worked example from the audited fixture
The ten daily observations begin at 100 on 1 January 2026, reach 110 on 2 January, recover to 110 on 6 January, reach a new 120 peak on 7 January, and finish below that peak at 117 on 10 January.
Episode 2: 7 January peak → 10 January sample end = 3 elapsed days; first-below to sample end = 2 days
How to interpret the result
The fixture contains two observed episodes—one recovered and one still open at the final supplied timestamp. The second duration ends at the sample boundary; the analyzer does not infer when a later recovery might occur.
Frequently asked questions
- It begins when a supplied observation first falls below the latest running peak.
- The first supplied observation at or above the episode's peak closes it.
- The episode remains open and its peak-to-sample-end and observed-underwater durations are reported.
- Absolute timestamps avoid ambiguous elapsed durations across locations and daylight-saving changes.
- No. Duplicate or non-increasing timestamps fail closed so input problems are not hidden.
- Yes. External cash flows can create false peaks or recoveries unless the series is adjusted consistently.
- No. The existing calculator compares two endpoint values and recovery gain. This route inspects elapsed episodes in a time series.
- No. It reports observed supplied timestamps only and contains no future recovery model.
Sources and methodology
- Landriault, Li and Zhang — On the Frequency of Drawdowns for Brownian Motion Processes — drawdown-duration context as time to recover a historical maximum.
- Goldberg and Mahmoud — Drawdown: From Practice to Theory and Back Again — drawdown definitions and path-dependence context.
Continue the performance-review workflow
Verify account-value history
Confirm whether the exported series is balance or equity, which timestamps it uses and whether external cash flows are included.
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