Drawdown duration: peak, trough and recovery

A seven-day timeline: three events, one still open

Assume daily observations, no cash flows and an equity index starting at 100. The load-example button uses the exact path below. All dates are in January 2026.

Event 1 takes 2 days to reach its trough and 1 more day to recover: 3 calendar days in total. Event 2 takes 2 days from Jan 4 to Jan 6. The average completed duration is (3 + 2) / 2 = 2.5 days. Event 3 has lasted at least 1 day; it has no observed recovery date.

Counting only strictly underwater observations gives two observations for event 1, while elapsed peak-to-recovery time is three days. Report the unit and convention alongside the number. A peak-to-trough duration alone omits the recovery.

Average drawdown depends on what receives the weight

For every observation, depth = (running peak − equity) / running peak × 100. This analyzer reports positive loss magnitudes. An event ends only when the prior peak is reached, so a partial rebound stays in the same event.

With irregular dates, the time-weighted measure is Σ(depth × interval days) / total days. Holding values forward is an explicit approximation. It does not reconstruct the missing path. Changing to interpolation, excluding zero drawdowns or sampling only trade exits changes the statistic.

Open events and data boundaries

• An open drawdown is right-censored: its eventual duration is unknown. Excluding it from completed averages may make recovery look faster; including its elapsed time as a finished duration is also misleading. Read the open row alongside the average.
• The deepest drawdown need not be the longest. Compare event duration and depth separately, and retain shallow episodes instead of applying an undisclosed cutoff.
• The first input value is the initial peak. A drawdown that began before the sample cannot be reconstructed. Missing dates can conceal earlier recovery or deeper losses.
• Use a consistent, cash-flow-adjusted equity or return index. Deposits can create artificial recoveries, withdrawals can create artificial drawdowns, and unadjusted price series omit dividends or splits.
• This input accepts nonnegative equity with a positive first value. Zero equity is a 100% drawdown; negative equity is outside this tool's supported domain. A 100% loss cannot recover through a finite percentage gain from zero.

Compare the same equity path in TradingView

TradingView's duration definition uses close-to-close equity and calendar days. Match that basis before comparing it with this analyzer. Closed-trade balances, daily marked equity and intrabar equity can show different depths and recovery dates. The official definition does not establish that this tool's open-event policy matches every TradingView report.

For trade-level analysis, export the TradingView List of Trades CSV and use Backtest Deep Report to review net profit, profit factor and maximum drawdown calculated from closed trades. This page independently calculates duration and average-depth conventions from your dated equity input; those conventions are not a promise that the report provides identical statistics.

If you need a custom equity sampling or on-chart statistic, describe the required definition to the Pine Script AI Coding Agent, then inspect and test the generated script in TradingView. Neither a report nor generated code can recover observations missing from the source data.

Frequently asked questions

Definitions and sources

TradingView: average drawdown duration provides the calendar-day, peak-to-recovery basis. PerformanceAnalytics: AverageDrawdown documents averaging observed event depths. The worked example and time-weighting convention above specify this calculator's own calculations.

For peak-to-trough depth alone, use the maximum drawdown calculator. Return to the backtesting guides for related measurement topics.