What is a good Calmar ratio?

There is no universal threshold. The value depends on the window, the leverage and the market period. It is useful for comparing strategies measured the same way over the same months, and much less useful as an absolute grade.

How is the Calmar ratio different from the recovery factor?

The Calmar divides an annualized growth rate by a percentage drawdown. The recovery factor divides total net profit by the maximum drawdown in the same unit, without annualizing, so it keeps growing as the test gets longer. Two strategies tested over different lengths should be compared on the Calmar, not on the recovery factor.

Calmar ratio

The Calmar ratio is the compound annual return of a strategy divided by its maximum drawdown, conventionally measured over the trailing 36 months. It relates the growth rate to the worst peak-to-trough loss that an investor in the strategy would actually have lived through.

Senzoukria · Glossary · Updated September 2026

At a glance

Formula: CAGR ÷ |maximum drawdown %|
Usual window: Trailing 36 months
Close relative: MAR ratio: same formula over the full history
In Senzoukria: Not computed; Recovery factor and Max drawdown % are shown instead

Origin and definition

The ratio was introduced by Terry W. Young in 1991 for managed futures accounts; the name comes from his newsletter, California Managed Accounts Reports. The numerator is the compound annual growth rate of the account, the denominator the absolute value of the largest percentage drawdown over the same window, usually the last three years. The MAR ratio uses the same formula over the whole available history.

Because the denominator is a single event, the ratio answers a narrow question: how many years of average growth did the worst decline cost? A Calmar of 0.5 means the worst drawdown equalled two years of average growth.

A worked example

An account grows from 100,000 to 133,100 in exactly three years. The compound annual growth rate is (133,100 ÷ 100,000)^(1/3) − 1 = 10%. If the deepest decline over those three years was 20% from a prior peak, the Calmar ratio is 10 ÷ 20 = 0.5. A second account with the same 10% annual growth and an 8% worst drawdown scores 1.25.

Longer windows tend to contain deeper drawdowns, so a 12-month Calmar usually flatters a strategy compared with a 36-month one.
The ratio ignores how long the drawdown lasted and how many smaller ones occurred; the ulcer index covers that.
A reshuffled order of the same trades often produces a deeper maximum drawdown than the realized path, so one Calmar value is one draw among many.

In Senzoukria

The desktop does not display a Calmar ratio. Replay sessions and automatic backtests are measured in dollars on a cumulative trade curve that starts at zero, with no account capital attached, so a growth rate cannot be computed without an assumption you would have to supply. The Performance panel shows instead the Recovery factor (net P&L divided by maximum drawdown), Max drawdown % relative to the equity peak reached before the trough, and the Ulcer index. The source of the quantitative indicator catalogue states why Calmar is not offered as a chart study: it is defined on periodic portfolio returns, and computing it on 30-second bars of one contract gives a number without a referent.

To estimate a Calmar from a long automatic backtest, choose the capital you would really have allocated, convert the net result into an annual growth rate on that capital, and divide by the maximum drawdown expressed as a percentage of the same capital, not of the profit peak.

Common mistakes

Computing it on a few weeks of trading and reading it like a three-year figure.
Using a drawdown measured in percent of accumulated profit instead of percent of account equity.
Comparing a Calmar with a MAR ratio as if both covered the same period.

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Frequently asked questions

What is a good Calmar ratio?: There is no universal threshold. The value depends on the window, the leverage and the market period. It is useful for comparing strategies measured the same way over the same months, and much less useful as an absolute grade.
How is the Calmar ratio different from the recovery factor?: The Calmar divides an annualized growth rate by a percentage drawdown. The recovery factor divides total net profit by the maximum drawdown in the same unit, without annualizing, so it keeps growing as the test gets longer. Two strategies tested over different lengths should be compared on the Calmar, not on the recovery factor.

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