Maximum Drawdown Analyzer

WHAT IT DOES

This tool analyzes the maximum drawdown—the largest peak-to-trough decline—for your DeFi positions, providing a critical measure of downside risk. It reads your wallet balances and positions (optional) and combines them with user-defined parameters—time period, asset selection, and drawdown threshold—to simulate price paths and calculate key risk metrics. The tool identifies the maximum drawdown percentage, the peak and trough points, drawdown duration, recovery time, total and annualized returns, and the Calmar ratio (annualized return divided by maximum drawdown). It also counts how many times the drawdown exceeded your specified threshold, helping you understand the frequency and severity of declines.

HOW TO USE

Connect your EVM wallet using the "Connect" button, or manually enter any wallet address (optional). Select your asset (ETH, WBTC, USDC, DAI, or LINK). Enter the time period in years (1–10 years), and set your drawdown threshold (%)—the level at which you consider a decline significant. Select your network and click "Analyze drawdown" to run the simulation. The tool will display the peak price, maximum drawdown percentage, drawdown start and end points, recovery time in trading days, total and annualized returns, Calmar ratio, and how many times the threshold was exceeded. A maximum drawdown below 10% is considered low risk, 10–20% moderate, and above 20% high risk.

TECHNICAL MECHANISM

The tool simulates a price path over the specified time period using a geometric Brownian motion model with daily steps (252 trading days per year). Base volatility is asset-specific (ETH ~55%, WBTC ~45%, LINK ~65%, stablecoins ~8%), and daily volatility is calculated as baseVolatility / √252. The drift is set at 15% annualized. The simulation generates price steps using normally distributed random shocks. Maximum drawdown is calculated by tracking the running peak and measuring the decline from peak to current price. The peak is the highest price observed up to that point, and the maximum drawdown is the largest decline from any peak. Recovery time is measured as the number of trading days required to return to within 1% of the trough price. The Calmar ratio is computed as (annualizedReturn) / (maxDrawdown + 0.001), providing a return-per-unit-of-drawdown metric. The tool also counts how many times the drawdown exceeds the user-specified threshold.

WHAT IT CANNOT SEE

The tool cannot view positions on non-EVM chains (e.g., Solana, Bitcoin) or protocols that are not integrated with the tool's data sources. It cannot show real-time pending transactions or mempool activity—only simulated price paths are available. It cannot access wallet data without explicit user connection or manual address entry. It cannot detect off-chain holdings or centralized exchange balances. It cannot guarantee accuracy of maximum drawdown due to limited historical data, changing volatility, or market anomalies—the simulation is stochastic and may not reflect actual market behavior. The tool does not account for recovery time or drawdown duration as part of the risk assessment beyond the displayed metrics. The tool's data sources may have rate limits or require API keys for production use. It does not provide financial advice or guarantee the accuracy of aggregated data.

PLEASE NOTE

This tool is for informational and simulation purposes only and is not financial advice. Maximum drawdown is a historical measure and may not predict future declines. Always verify your positions and risk exposure directly on-chain before making any decisions. The tool's data sources are subject to rate limits and availability. This tool only works with EVM-compatible chains. Use at your own risk.