Drawdown Node
Running Drawdown from Peak
Overview
The Drawdown Node computes the running drawdown from peak for each bar. It tracks the maximum value seen so far and expresses the current value as a fractional decline from that peak.
A value of 0 means the series is at or above all previous highs. A value of −0.20 means the series is 20% below its running peak — a 20% drawdown.
Formula
Inputs & Outputs
| Slot | Direction | Type | Description |
|---|---|---|---|
| input | Input | { values, timestamps } | Any positive numeric series (equity curve, price, NAV) |
| values | Output | (number | null)[] | Drawdown fraction per bar (≤ 0); no warm-up required |
| timestamps | Output | number[] | Unix timestamps aligned to input |
Use Cases
Equity Curve Monitoring
Visualise the running drawdown of a strategy's equity curve to identify periods of capital erosion.
Stop-Loss Trigger
Stop trading when drawdown exceeds a threshold (e.g. −0.10 = 10%) to preserve capital.
Risk Metric Input
Feed into Calmar or other risk-adjusted return nodes that require a drawdown series.
Tips & Best Practices
No Parameters Needed
Drawdown uses the entire history from the first bar — no period parameter required. Every bar from bar 1 has an output.
Positive Values Only
The input must contain only positive values (e.g. prices, equity NAV). Log returns or spreads may produce zero/negative inputs that break the formula.
Running vs Rolling
Drawdown uses the all-time peak. For a windowed maximum drawdown, use the Rolling Max Drawdown Pass node instead.