Calmar Node
Calmar Ratio — Annualised Return to Max Drawdown
Overview
The Calmar Ratio measures risk-adjusted performance as annualised return divided by the absolute maximum drawdown. A Calmar above 1 means the strategy earns more than its worst historical drawdown each year.
Unlike the base Calmar node which reads from a stock source, this node accepts any wired returns series. It outputs a scalar (a single aggregate value rather than a per-bar series), along with the components that make it up.
Scalar Output: This node computes a single aggregate value from the entire input window, not a rolling per-bar series.
Formula
Parameters
| Parameter | Default | Description |
|---|---|---|
| periodsPerYear | 252 | Trading periods per year: 252 (daily), 52 (weekly), 12 (monthly) |
Inputs & Outputs
| Slot | Direction | Type | Description |
|---|---|---|---|
| input | Input | { values, timestamps } | Returns series (per-period returns) |
| value | Output | number | null | Calmar ratio (scalar) |
| annualizedReturn | Output | number | null | Annualised mean return (scalar) |
| maxDrawdown | Output | number | null | Maximum drawdown as a negative fraction (scalar) |
Use Cases
Strategy Ranking
Compare strategies on the same instrument using Calmar to identify which delivers the best return per unit of drawdown risk.
Parameter Optimisation
Use Calmar as the optimisation objective when searching for strategy parameters with the best risk-adjusted return.
Drawdown-Sensitive Investors
Calmar penalises deep drawdowns more directly than Sharpe ratio, making it preferred by investors who cannot tolerate large equity declines.
Tips & Best Practices
Calmar > 1 Is Good
A Calmar above 1 means annualised return exceeds the absolute maximum drawdown. Elite strategies often exceed 2.
Match periodsPerYear to Data
Use 252 for daily, 52 for weekly, 12 for monthly. Mismatched values will produce misleading annualisation.
Scalar Node
Calmar outputs a single value, not a time series. It is best used in a display or decision node rather than piped to another indicator.