Longest drawdown is the longest stretch of time a strategy's value stayed below a prior peak — from the moment the value dropped below that peak until it reached the same peak again. It records duration, not depth: a strategy whose worst fall was mild can still have spent years below its old high, and that is exactly what this figure exposes.
Also seen as: Longest DD, time underwater
How is longest drawdown different from longest recovery?
Longest drawdown counts the whole time spent below the peak; longest recovery counts only the climb back up. The two are constantly confused because they describe overlapping parts of the same episode.
| Measure | Starts at | Ends at |
|---|---|---|
| Longest drawdown | the old peak, when the value first drops below it | the moment the value reaches that old peak again |
| Longest recovery | the trough, the lowest point of the fall | the moment the value reaches that old peak again |
A longest-drawdown span therefore contains the fall plus the climb back, while longest recovery is only the second half of it. For the same episode, longest drawdown is always the longer of the two figures.
How are these durations displayed?
Fincanva formats both durations with one rule, so the same figure reads as a plain number or as years-and-months depending on its size:
- 12 months or fewer — a bare number to one decimal place, with no unit:
6.3means 6.3 months. - An exact whole number of years — years only:
2y. - Anything else — years and months:
1y 2m.
The metrics table row is labelled Longest drawdown (months), so a value like 2y 8m in that row can look surprising: the label names the underlying unit, while the value itself is formatted for readability. A bare 6.3 in that row means 6.3 months, never 6.3 years.
Defaults in Fincanva
- The metrics table shows it in the Drawdown group as the row Longest drawdown (months), using the format rule above.
- The KPI strip on the metrics view shows the same span as the Longest drawdown card, rounded there to whole months.
- It is measured over the whole backtest window, so a longer backtest has had more chances to contain a long stretch below a peak — the figure is not comparable across runs of different lengths.
- Your benchmark gets its own longest drawdown over the same window, so a long stretch can be read against what the reference series did.
Worked example
A strategy peaks in March, falls for five months, bottoms out, then grinds back up and finally reaches that same March peak 14 months after leaving it. Its longest drawdown for that episode is 14 months, displayed as 1y 2m.
The max drawdown for the same episode might be only −11%: a shallow fall that simply took a long time to undo. The two numbers describe one event from different angles — one says how deep, the other how long.
What counts as a good value?
A shorter longest drawdown means the strategy's value spent less consecutive time below its previous high. It is a duration reading, so on its own it is half the picture: read it with max drawdown for how deep the falls went, and with longest recovery for how much of the stretch was spent climbing back rather than falling.
A long value is not automatically a fault of the strategy's rules — a window that happens to contain a slow, broad market decline can produce a long stretch below a peak for almost any strategy exposed to that market. Where the window begins matters for the same reason; see start-date sensitivity.
These figures describe what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.
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Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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