EdgityCore Drawdown Report Guide
Introduction
The Drawdown Report analyses the historical equity declines experienced by a trading strategy throughout the selected testing period.
While profitability measures how much a strategy earned, the Drawdown Report measures the temporary losses that occurred before new equity highs were achieved.
Understanding historical drawdowns is essential for selecting an appropriate position size, estimating required trading capital and preparing psychologically for inevitable losing periods.
The Drawdown Report complements the Statistics Report, the Yearly Report, the CW|CL Report and the Trade History Report by focusing exclusively on historical downside risk.
Important — Understanding the Historical Results
All statistics and performance metrics described in this report are calculated from historical market data using the configured strategy rules and the EdgityCore evaluation model. They represent the historical performance of detected trading signals and are intended solely for quantitative strategy analysis. They do not represent executed broker trades, actual trading account performance, or future trading results. Historical performance is not a guarantee of future performance.
Every figure in this report — including all exported risk calculations and DD-based position sizing — is computed exclusively from the eligible signal set for the active Trading Mode / Quant Analysis Mode configuration. When the Circuit Breaker is enabled, signals it rejected were never created, so they never contribute to drawdown depth, duration, or recovery figures.
Report Header
| Field | Description | Why it matters |
|---|---|---|
| Symbol | The financial instrument analysed. | Historical drawdowns are specific to each instrument and should not be compared directly between different markets. |
| Timeframe | Chart timeframe used during the historical analysis. | Different timeframes generate different trading frequencies and therefore different drawdown characteristics. |
| Date Range | Historical period included in the analysis. | Drawdown statistics are meaningful only within the analysed historical period. |
| Total Resolved Signals | Number of completed historical trading signals included in the analysis. | Larger historical samples generally provide greater statistical confidence. |
Drawdown Summary
| Field | Description |
|---|---|
| Total DD Events | Total number of historical drawdown events identified during the analysed period. Provides an indication of how frequently the strategy entered drawdown throughout its historical performance. |
| Maximum Drawdown | Largest historical equity decline observed during the complete testing period. Represents the worst historical capital reduction experienced before the strategy recovered. |
| Median Drawdown | The middle historical drawdown after sorting every drawdown from the smallest to the largest. Unlike the maximum drawdown, the median represents the drawdown that occurred most typically throughout history. |
| Average Drawdown | Average size of all historical drawdowns. Provides an overall indication of the typical downside experienced during historical trading. |
| Longest Drawdown Duration | Longest period during which the strategy remained below its previous equity high. Represents the most persistent historical drawdown. |
| Average Drawdown Duration | Average time required for historical drawdowns to complete. Helps estimate how long drawdowns typically lasted. |
| Maximum Drawdown | Interpretation |
|---|---|
| Less than 5 × SL | Excellent |
| 5–8 × SL | Good |
| 8–12 × SL | Moderate |
| More than 12 × SL | Elevated historical risk |
Largest Historical Drawdown Events
The report lists the five deepest historical drawdowns observed during the analysed period. Each event describes the complete lifecycle of one historical drawdown.
| Field | Description |
|---|---|
| Start Date | Date on which the drawdown began. |
| Trough Date | Date on which the maximum drawdown depth was reached. |
| Recovery Date | Date on which the strategy fully recovered and established a new equity high. If the strategy had not yet recovered when the historical analysis ended, the event remains marked as Open. |
| Recovery (days) | Number of days required to recover after the drawdown reached its deepest point. Calculation: Recovery (days) = Trough Date → Recovery Date. Measures how quickly the strategy historically recovered once the maximum drawdown had been reached. Smaller values indicate faster historical recoveries. |
| Total Duration (days) | Complete lifetime of the drawdown. Calculation: Total Duration = Start Date → Recovery Date. Represents the total time during which the strategy remained below its previous equity high. |
| Trades in DD | Number of completed trading signals occurring while the strategy remained in drawdown. Provides an indication of how much trading activity occurred before recovery. |
| Status | Shows whether the historical drawdown fully recovered or remained open at the end of the historical analysis. Possible values: Recovered, Open. |
Understanding Drawdown Duration and Recovery
Every historical drawdown consists of two distinct phases:
- Decline Phase — from the Start Date until the Trough Date.
- Recovery Phase — from the Trough Date until the Recovery Date.
For this reason, the report displays two different time measurements.
| Measurement | Calculation | Meaning |
|---|---|---|
| Total Duration (days) | Start Date → Recovery Date | Complete lifetime of the drawdown |
| Recovery (days) | Trough Date → Recovery Date | Time required to recover after reaching the maximum drawdown |
Example
| Event | Date |
|---|---|
| Start Date | 2017.05.10 |
| Trough Date | 2017.05.16 |
| Recovery Date | 2017.05.19 |
Timeline: Start (10 May) → Trough (16 May) → Recovery (19 May). Total Duration = 10 days. Recovery = 3 days.
Interpretation: the strategy spent approximately seven days declining into its maximum drawdown. Once the lowest point had been reached, it required only three additional days to recover completely. Separating these two measurements allows traders to distinguish between slow deteriorations followed by rapid recoveries and drawdowns that require a long time to recover.
Recovery Analysis
| Field | Description |
|---|---|
| Average Recovery Time | Average number of calendar days historically required to recover from the drawdown trough. Smaller values indicate faster historical recoveries. |
| Longest Recovery Time | Longest historical recovery period observed. Represents the most demanding recovery experienced during the analysed history. |
| Recovery Profile | Provides an overall qualitative assessment of the historical recovery behaviour. Typical descriptions: Rapid Recovery, Moderate Recovery, Slow Recovery. |
| Open Drawdowns | Indicates how many drawdowns remained unresolved when the historical analysis finished. |
Risk Context
The Risk Context translates historical drawdown statistics into practical money-management information. Typical information includes:
- Current DD-based lot size
- Point value per lot
- Largest historical drawdowns expressed in points and account currency
- Historical account impact
- Representativeness of the largest drawdowns
- Practical impact on the configured trading account
Practical Interpretation
Historical drawdowns should never be interpreted as predictions of future losses. Instead, they provide a realistic estimate of the downside experienced under historical market conditions. Future drawdowns may equal or exceed historical observations. Conservative position sizing remains essential even when historical drawdowns appear relatively small.
Reading the Drawdown Report
The Drawdown Report should always be interpreted together with the other EdgityCore reports. A complete evaluation of a trading strategy combines:
- Statistics Report
- Yearly Report
- CW|CL Report — Raw Strategy only, disabled when the Circuit Breaker is enabled
- Drawdown Report
- Trade History Report — Trading Mode only
Together, these reports provide a comprehensive understanding of profitability, consistency, behavioural characteristics and historical downside risk. No single statistic should ever be used in isolation when evaluating a trading strategy.
© 2026 Marc Quentier. All Rights Reserved. This document is part of the EdgityCore Suite. No part of this publication may be reproduced, distributed or transmitted in any form or by any means without the prior written permission of the copyright holder, except as permitted by applicable copyright law.
