Maximum drawdown path calculator
What is the maximum drawdown of the returns 10%, -20%, 5% and -10% in that order?
Wealth goes 1.1, 0.88, 0.924 and 0.8316. The running peak stays at 1.1 after the first return, and the deepest fall from it is 1 - 0.8316 / 1.1 = 24.4 percent, reached at the last observation.
The cited paper models the expected drawdown of a Brownian motion; this calculator reports the drawdown of the path you supply.
Find the largest observed peak-to-trough loss in a chronological return series. The chronological path defines the observed running peak.
Follow the running peak
Inputs are chronological simple returns, with an initial wealth of one. The statistic uses observed close-to-close values and treats the initial wealth as the first running peak.
wealth[t] = wealth[t−1](1+r[t]); peak[t] = max(peak[t−1],wealth[t]); MDD = max(1−wealth[t]/peak[t])The number depends on order: shuffling identical returns can produce a different maximum drawdown. A single realized path offers no direct probability of a future breach.
A 24.4% observed loss
Starting at one, returns 10%, −20%, 5%, −10% produce wealth 1.1, 0.88, 0.924 and 0.8316. The largest peak-to-trough decline is 24.4%.
The running peak is updated after each complete observation. Consequently, this close-to-close calculation cannot detect an intraday fall and recovery between two observations. It is nevertheless an exact statistic for the supplied discrete path. A positive first return raises the peak; a negative first return creates a drawdown from the initial wealth of one. The maximum of all observed peak-relative declines is then returned as a percentage. A flat or monotonically rising path has a realized maximum drawdown of zero. The statistic is insensitive to the scale of initial capital but sensitive to order, sampling frequency and missing values. It should not be mistaken for an expected future drawdown. Magdon-Ismail and coauthors analyze expected maximum drawdown under stochastic-process assumptions; this tool deliberately asks the narrower empirical question. If the object is probability of breaching a limit, a path model and an explicit horizon are required.
Path and sampling limits
This is realized maximum drawdown, not Magdon-Ismail's expected drawdown under Brownian motion. Intraperiod lows, future paths and estimation uncertainty do not appear. A return below −100% is invalid for a limited-liability wealth path.
Drawdown research
Magdon-Ismail, M., Atiya, A. F., Pratap, A. and Abu-Mostafa, Y. (2003), The Maximum Drawdown of the Brownian Motion, CIFEr. That paper models expected drawdown; this calculator reports the supplied discrete path. Original or institutional source.
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</script>Cite this calculator
To cite the maximum drawdown path calculator in a paper, a report or a post, copy the reference below. Its address is https://stochastly.com/tools/maximum-drawdown-path-calculator.
Stochastly (2026). Maximum drawdown path calculator [web calculator]. https://stochastly.com/tools/maximum-drawdown-path-calculatorThe method behind the maximum drawdown path calculator comes from the paper below: cite that paper for the method, and the reference above for the maximum drawdown path calculator itself.
Magdon-Ismail, M., Atiya, A. F., Pratap, A. and Abu-Mostafa, Y. (2003). The Maximum Drawdown of the Brownian Motion. IEEE CIFEr 2003.