最大回撤計算器
分類： UncategorizedCalculate and analyze potential drawdowns in your trading account to better manage risk and set realistic expectations
Account Parameters
Trading Performance
Simulation Settings
Drawdown Analysis Results
Equity Curve & Drawdown Visualization
Drawdown Distribution
Key Risk Metrics
| Metric | Value | 風險水平 | Interpretation |
|---|---|---|---|
| Maximum Drawdown | 32.5% | 高 | The largest drop from peak to trough in account value |
| Drawdown to Profit Ratio | 0.71 | 中 | Ratio of max drawdown to overall profit (lower is better) |
| 卡瑪比率 | 1.41 | 中 | Annual rate of return divided by maximum drawdown |
| Ulcer Index | 12.8 | 中 | Measures drawdown severity and duration |
| Pain Index | 9.3 | 低 | Average depth of drawdowns over time |
| Win/Loss Sequence Quality | 0.65 | 中 | Measure of favorable win/loss distribution |
Risk Scenarios
Worst Case Scenario
This scenario represents a persistent drawdown with multiple loss streaks and difficulty recovering. It occurs in approximately 5% of simulations.
Expected Scenario
This scenario represents the most likely outcome based on the median of all simulations. It includes normal drawdowns with eventual recovery.
Best Case Scenario
This scenario represents an optimistic outcome with favorable trade sequencing and quick recovery from drawdowns. It occurs in approximately 5% of simulations.
風險管理建議
Risk Per Trade
Based on your maximum drawdown of 32.5%, your current risk per trade of 2% may be too high. Consider reducing to 1.5% to limit drawdowns.
Maximum Consecutive Losses
Your trading system may experience up to 7 consecutive losses. Ensure you have the emotional and financial capacity to endure such streaks without abandoning your strategy.
Recovery Planning
It may take approximately 18 trades to recover from significant drawdowns. Set realistic expectations and avoid increasing risk during drawdown periods.
Position Sizing Adjustment
Your fixed percentage position sizing approach shows a medium risk profile. Consider implementing a more conservative approach during drawdown periods.
Understanding Drawdowns
Drawdown is the peak-to-trough decline in account value, measured as a percentage from the peak. It's a critical metric for assessing trading risk and sustainability. While all trading strategies experience drawdowns, managing their magnitude and recovery time is essential for long-term success.
回撤的主要概念
- 最大回撤： The largest percentage drop from peak to trough in your account value.
- 回撤持續時間： The number of trades (or time) it takes to recover from a drawdown.
- Drawdown Frequency: How often drawdowns of various magnitudes occur.
- Recovery Threshold: The percentage gain needed to recover from a drawdown (e.g., a 50% loss requires a 100% gain to break even).
Managing Drawdowns
- Position Sizing: Properly sizing positions relative to account size can limit drawdown magnitude.
- 分散程度： Trading different markets or strategies can reduce overall drawdown.
- Stop Losses: Implementing stop losses can prevent individual trades from causing excessive losses.
- Psychological Preparation: Understanding potential drawdowns helps maintain discipline during difficult periods.
Drawdown Recovery Table
| 回撤 | Required Gain to Recover | Est. Recovery Time | 風險水平 |
|---|---|---|---|
| 10% | 11.1% | 6-8 trades | 低 |
| 20% | 25.0% | 12-18 trades | 中 |
| 30% | 42.9% | 20-30 trades | 中 |
| 40% | 66.7% | 30-45 trades | 高 |
| 50% | 100.0% | 50-70 trades | 高 |
| 60% | 150.0% | 80-120 trades | Very High |
Uncategorized 相關工具
沒有相關工具。
本工具計算什麼
帳戶由高位至低位的最大跌幅，以及回到原點所需的升幅。
- 公式
回撤% =（高位 − 低位）÷ 高位；所需回升 = 1 ÷（1 − 回撤）− 1- 計算示例
- 回撤 20% 需要上升 25% 才回到原點；回撤 50% 則需要上升 100%。兩者的差距擴大得很快。
- 何時使用
- 檢視策略時使用，顯示你實際需要承受的跌幅深度。
- 常見錯誤
- 以初始結餘而非高位計算回撤百分比，會低估帳戶真正的跌幅。