The Calmar ratio compares a trading record's return, expressed as a one-year rate, with its maximum peak-to-trough drawdown over the same window. This page calculates it as CAGR ÷ maximum drawdown, with both inputs expressed as percentages or decimal fractions. A traditional window is the trailing 36 months. Calmar measures return relative to the worst observed decline; it does not measure recovery time or predict the size of a future loss.
The trading metrics library separates metrics based on variability from those based on drawdown. Calmar belongs to the second group. Interactive Brokers' explanation credits Terry W. Young with introducing the ratio in 1991.[1]
Calmar ratio at a glance
Scroll horizontally to read every column.
| Item | Convention on this page |
|---|---|
| Formula | CAGR ÷ absolute maximum drawdown. |
| Return measure | Geometric compound return expressed on a one-year basis. |
| Drawdown measure | Largest decline from a running equity peak, expressed as a positive fraction of that peak. |
| Traditional Calmar window | Trailing 36 months; disclose any shorter or different window. |
| MAR ratio convention | The comparable return-to-drawdown ratio using the full history since inception. |
| Main limitation | The denominator represents one worst decline, with no direct measure of its duration. |
What is the Calmar ratio formula?
Calmar ratio = CAGR ÷ |maximum drawdown|
CAGR means the constant one-year compound return rate that would turn the starting value into the ending value. PerformanceAnalytics' official Calmar documentation describes a return-to-maximum-drawdown measure and the conventional three-year period.[2] Young's 1991 definition, as summarised in the Wikipedia entry for the ratio, used an average rate of return on a one-year basis and the maximum drawdown for the last 36 months.[10] State the exact return convention because an arithmetic average can differ from a compound rate.
CAGR = (ending value ÷ starting value)1 ÷ years − 1
The endpoint formula assumes positive starting and ending values and no external cash flows. With deposits or withdrawals, use a return series adjusted for those cash flows. Growth in account value caused by a deposit is not a trading return.
Maximum drawdown = max over time [(running peak equity − equity) ÷ running peak equity]
Use the positive magnitude of the drawdown. The absolute-value notation does not mean the MetaTrader field named Absolute Drawdown, which measures a decline below initial capital.[3] The maximum drawdown guide explains the distinction.
Both inputs must use the same scale. A 10% return and 20% drawdown give 10 ÷ 20 = 0.5, exactly as 0.10 ÷ 0.20 does. Dividing 10 by 0.20 would introduce a factor-of-100 error.
Worked example: Calmar over 36 months
Illustrative numbers, not a recommendation or strategy results. A constructed equity record begins at 10,000 USD and ends at 13,310 USD exactly three years later. There are no deposits or withdrawals. The record includes the relevant peaks and troughs below, with no larger unlisted decline. Costs are included in the assumed values.
| Observation | Equity | Drawdown from running peak |
|---|---|---|
| Month 0 | 10,000 USD | 0% |
| Month 12 | 12,500 USD | 0% |
| Month 18 | 10,000 USD | 20% |
| Month 36 | 13,310 USD | 0% |
- Total return: (13,310 ÷ 10,000) − 1 = 0.331, or 33.1% over three years.
- CAGR: (13,310 ÷ 10,000)1/3 − 1 = 0.10, or 10% on a one-year compound basis. Check: 10,000 × 1.103 = 13,310.
- Maximum drawdown: (12,500 − 10,000) ÷ 12,500 = 0.20, or 20%.
- Calmar ratio: 0.10 ÷ 0.20 = 0.50.
Dividing the three-year return of 33.1% by three gives about 11.03%, not the 10% compound rate. Using the full 33.1% as the numerator would produce 1.655, which is a total-return-to-drawdown ratio rather than Calmar under this convention.
The same constructed record has 3,310 USD net profit and 2,500 USD maximal currency drawdown. Its recovery factor is 3,310 ÷ 2,500 = 1.324. That number differs because both the numerator and denominator conventions differ.
Calmar ratio versus MAR ratio: what changes?
The usual distinction is the observation window: Calmar conventionally uses a trailing 36 months, while the MAR ratio uses the full record since inception. The same entry attributes the MAR ratio to the newsletter Managed Account Reports: compound return from inception divided by maximum drawdown from inception.[10] This library keeps those labels separate. A report using Calmar for another window should disclose that choice, rather than imply comparability with a three-year figure.
| Measure | Return window | Drawdown window |
|---|---|---|
| Traditional Calmar | Trailing 36 months, converted to a one-year compound rate. | The same trailing 36 months. |
| MAR ratio | Since inception, converted to a one-year compound rate. | The same complete history. |
If the entire history is exactly 36 months, both ratios are identical under matching return and drawdown conventions. With a longer history, an older drawdown can remain in MAR while falling outside Calmar's window. The returns also differ because the starting dates differ.
MAR has another meaning in discussions of the Sortino ratio: minimum accepted return, the target used to measure downside deviation.[4] That target is not the since-inception MAR ratio. Spell out the meaning when a report contains both.
How does Calmar compare with Sharpe, Sortino and recovery factor?
| Metric | Numerator and denominator | What the denominator captures |
|---|---|---|
| Calmar | One-year compound return ÷ maximum percentage drawdown. | The worst peak-to-trough decline in the selected path. |
| Sharpe | Mean period return above a benchmark rate ÷ standard deviation of period returns. | Variability above and below the mean. |
| Sortino | Mean period return minus a target ÷ downside deviation. | Shortfalls below a specified target. |
| Recovery factor | Period net profit ÷ maximal currency drawdown. | The worst currency decline, without converting profit to a one-year rate. |
Sharpe and Sortino operate on a distribution of period returns, with their respective benchmark and downside conventions.[5][4] Recovery factor uses total period profit against drawdown, as MetaQuotes documents.[6]
Reordering the same set of period returns preserves their compound product and, under a constant benchmark, their Sharpe and Sortino inputs. The order can change maximum drawdown and therefore Calmar. Calmar captures a feature of the path that those variability ratios omit.
Can you calculate Calmar from TradingView or MT5?
As of 25 September 2026, TradingView's strategy documentation describes CAGR in the Capital efficiency section and intrabar and close-to-close drawdown measures in the strategy report.[7] Those figures need matching dates and compatible percentage bases before they form a Calmar calculation.
In particular, a field labelled drawdown as a percentage of initial capital is not necessarily the same as drawdown relative to the running peak. A close-to-close measure also samples a different path from an intrabar measure. Record the exact field and sampling convention with the ratio.
MetaTrader 5's testing report distinguishes balance and equity drawdown and reports Recovery Factor.[3] Recovery Factor is not Calmar. To calculate Calmar independently, use a dated equity record for the selected window, remove external cash-flow effects and derive the compound return and peak-based percentage drawdown.
For a TradingView-to-MetaTrader workflow, move from idea to measurable rule to alert to order before treating either platform's result as an execution record. The alert condition, alert trigger, webhook delivery and PineConnector processing are distinct from the EA request, broker acceptance, deal and position.
PineConnector's setup test separates message processing from broker-trade confirmation.[8] Its Analytics guide asks readers to check costs, period and current versus maximum drawdown.[9] A strategy-only stop does not establish a broker-side stop, and a simulated equity path does not establish the broker account's drawdown.
What does the Calmar ratio leave out?
- Drawdown duration. Two records can have the same compound return and worst drawdown while spending very different lengths of time below their peaks.
- The rest of the drawdowns. The maximum does not describe how often smaller losses occurred or how they clustered.
- Window effects. A severe decline leaving a rolling window can shrink the denominator sharply. A jump in the ratio need not reflect a new trading improvement.
- Sampling frequency. Monthly observations omit losses that occur and recover inside a month. Compare like-for-like data.
- Unseen losses. Historical maximum drawdown is not a ceiling on the next drawdown.
- Negative-return ranking. With a negative numerator, a larger drawdown moves the quotient closer to zero. Sorting negative Calmar values as though a larger number always indicates less risk is misleading.
For example, a hypothetical −10% compound return divided by a 20% drawdown gives −0.50. The same return divided by a 40% drawdown gives −0.25. The second number is numerically higher despite the deeper decline. With zero measured drawdown, Calmar is undefined rather than a finite score.
There is no universal good Calmar ratio. Compare only clearly specified windows and conventions, and retain the return and drawdown separately so the quotient cannot hide which input changed.
Frequently asked questions
What is the Calmar ratio formula?
The Calmar ratio is a return expressed on a one-year basis divided by the positive magnitude of maximum drawdown over the same window. This page uses geometric CAGR for the numerator and peak-based equity drawdown for the denominator. An illustrative 10% CAGR and 20% maximum drawdown give a Calmar ratio of 0.50.
What is the difference between Calmar and MAR ratio?
Calmar traditionally uses a trailing 36-month record, while the MAR ratio uses the full history since inception. Both compare a return converted to a one-year rate with the worst percentage drawdown in the chosen window. Matching formulas can give different results because the return periods and included drawdown episodes differ.
Is return over maximum drawdown always Calmar?
No. Calmar uses a return converted to a one-year rate, while a total-return-to-drawdown ratio can use the entire period's return without that conversion. Recovery factor instead uses period net profit and maximal drawdown in currency. The return convention, units, observation window and drawdown basis determine which ratio a calculation represents.
Does Calmar use average return or CAGR?
Conventions differ. This page uses CAGR, the geometric compound return expressed on a one-year basis, while Young's 1991 definition used an average return on a one-year basis. An arithmetic average of returns can give a different numerator. For a positive starting and ending value without external cash flows, CAGR is (ending value ÷ starting value) raised to 1 ÷ years, minus 1. Disclose any different convention.
What is a good Calmar ratio?
There is no universal Calmar threshold that establishes a suitable trading system. The number depends on the period, costs, return convention and equity sampling. A short or quiet sample may omit a large drawdown. Read the return, drawdown magnitude and duration separately, and avoid treating a past maximum as a future loss limit.
Reviewed 25 September 2026. Facts were checked against the linked sources on that date. Nothing in this article was tested on a trading account and no code was compiled.
Related reading
- Trading metrics: the complete library
- Recovery factor: net profit divided by maximal drawdown
- Maximum drawdown conventions
- Sharpe ratio and return variability
- Sortino ratio and downside deviation
Sources
- Interactive Brokers – Calmar Ratio for Risk Analysis, accessed 25 September 2026.
- PerformanceAnalytics – CalmarRatio: Calmar and Sterling Ratios, accessed 25 September 2026.
- MetaQuotes – Testing Report, accessed 25 September 2026.
- CFA Institute – The Sortino Ratio: Is Downside Risk the Only Risk that Matters? (PDF), accessed 25 September 2026.
- William F. Sharpe – The Sharpe Ratio, accessed 25 September 2026.
- MetaQuotes – Strategy Optimization, accessed 25 September 2026.
- TradingView – Pine Script v6 User Manual: Strategies, accessed 25 September 2026.
- PineConnector – Test Your Setup, accessed 25 September 2026.
- PineConnector – Analytics: Read the Performance Metrics, accessed 25 September 2026.
- Wikipedia – Calmar ratio (citing Young, "Calmar Ratio: A Smoother Tool", Futures, 1991), accessed 25 September 2026.
PineConnector executes the instructions you send it. It does not select trades, manage money, or hold funds. Trading carries risk, and past performance of any strategy does not indicate future results.
