What does Drawdown duration measure?
✅ Lower = less time below the peak
What is the longest I had to wait for a new high? Counted in trading days — a year has about 250.
How is Drawdown duration calculated?
Counted in trading days from one high to the next new high; the longest such phase counts. If the last high has not been reached again by the end of the period, the phase runs to the last day.
How are values of Drawdown duration usually read?
- < 60
- fast
- 60 – 180
- normal
- 180 – 500
- long
- > 500
- extreme
Rules of thumb — where a value lands depends on asset class, period and market phase. A classification is no recommendation.
Worked example with real prices
Three securities from the test data, four allocations, calculated in the portfolio backtester over the same period:
| World equities | Euro government bonds | Gold | Maximum drawdown | Drawdown duration |
|---|---|---|---|---|
| 100 % | 0 % | 0 % | -33.63 % | 435 days |
| 60 % | 40 % | 0 % | -21.54 % | 576 days |
| 40 % | 40 % | 20 % | -16.35 % | 559 days |
| 0 % | 100 % | 0 % | -22.59 % | 1,481 days |
Prices from 13 Nov 2009 to 7 Oct 2026 in euros, starting capital €10,000, annual rebalancing, without order fees and taxes; Sharpe ratio with a risk-free rate of 2 %. Past results are no indication of future ones.
All three securities are in the test data — you can recalculate the example yourself on the free plan.
When is Drawdown duration useful?
When it matters to you how long a portfolio stayed below an earlier peak.
What are the limits of Drawdown duration?
Not very meaningful on its own - only when combined with the drawdown depth does the full picture emerge. A shallow 1000-day drawdown is to be assessed differently than a deep 30-day crash.
Where do you see Drawdown duration for your own securities?
In the portfolio backtester, Drawdown duration appears for every calculated allocation of your securities. The Watchlist shows it for each individual security.
Last updated: 30 Oct 2026