Drawdown — Drawdown Analysis & Risk Measurement Reference
Quick-reference skill for understanding, calculating, and applying drawdown metrics in portfolio management and risk analysis.
When to Use
- Measuring maximum drawdown of a portfolio or strategy
- Comparing risk profiles of different investments
- Setting stop-loss levels based on historical drawdowns
- Stress-testing strategies against worst-case scenarios
- Evaluating fund manager performance through drawdown lens
Commands
intro
scripts/script.sh intro
Overview of drawdown — definition, significance, and types.
calculate
scripts/script.sh calculate
How to calculate drawdown — formulas, step-by-step, and time series methods.
metrics
scripts/script.sh metrics
Key drawdown metrics — MDD, Calmar ratio, Ulcer Index, pain index.
historical
scripts/script.sh historical
Major historical drawdowns — market crashes, recovery timelines.
management
scripts/script.sh management
Drawdown management — position sizing, stop-losses, risk budgeting.
recovery
scripts/script.sh recovery
Recovery analysis — math of recovery, time to recover, asymmetry of losses.
comparison
scripts/script.sh comparison
Drawdown vs other risk measures — volatility, VaR, CVaR, Sortino.
examples
scripts/script.sh examples
Worked examples with calculations and strategy evaluation.
help
scripts/script.sh help
version
scripts/script.sh version
Configuration
| Variable | Description |
|---|---|
DRAWDOWN_DIR |
Data directory (default: ~/.drawdown/) |
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