How to calculate MDD

The maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period. The higher the MDD, the greater the risk is.
Maximum drawdown is a specific measure of drawdown that looks for the greatest movement from a high point to a low point, before a new peak is achieved. However, it's important to note that it only measures the size of the largest loss, without taking into consideration the frequency of large losses. Because it measures only the largest drawdown, MDD does not indicate how long it took an investor to recover from the loss, or if the investment even recovered at all.
30D MDD: Portfolio's maximum drawdown in the past 30 days.
The ROI calculation has been adjusted before to avoid the affect by deposit and withdrawals. Now we adjust the calculation for MDD as well. The drawdown during one day will also be counted.

MDD calculation rule: MDD=(M-N)/M *100%

  1. 1.
    M refers to the peak value of the IOPV in the period
  2. 2.
    N refers to the trough value of the IOPV in the period
  • 30D MDD will be updated every 10 mins
  • The MDD is between 0~100%