The Calmar ratio divides the annual growth rate by the maximum drawdown. It puts the two numbers investors care about most into one: how fast the account grew, and how far it fell on the way. The classic definition uses the last 36 months; on this site it is computed over each strategy's whole backtest.
Calmar = CAGR ÷ |max drawdown|
Tactical ETF Regime Switcher grew at +35.9% a year with a worst fall of -14.6%: 35.85 ÷ 14.59 = 2.46. A strategy with 30% CAGR and a 60% drawdown scores 0.5, so a higher annual rate alone does not make a strategy better on this measure.
Across 27 re-run strategies the Calmar ratio ranges from 0.27 to 2.46, median 0.70; 7 are at 1 or above.
Highest Calmar ratio — full table
Calmar = CAGR ÷ |max drawdown|
Tactical ETF Regime Switcher grew at +35.9% a year with a worst fall of -14.6%: 35.85 ÷ 14.59 = 2.46. A strategy with 30% CAGR and a 60% drawdown scores 0.5, so a higher annual rate alone does not make a strategy better on this measure.
Across 27 re-run strategies the Calmar ratio ranges from 0.27 to 2.46, median 0.70; 7 are at 1 or above.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.