Drawdown & Recovery
Median 1M return: +7.8%, 100% win rate.
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SPY drawdown episodes >=5% with depth-bucketed forward returns post-trough.
- 25 signals since 1993-01-01.
- Median 1M return: +7.8%, 100% win rate.
- SPY no active drawdown: -2.0% from ATH
Total Episodes
25
≥5% since 1993-01-01
SPY vs ATH
-2.0%
32d since peak
SPY vs 52W High
-2.0%
Avg 1M Bounce
+8.9%
100% win rate
When to run this study
Run after significant drawdowns of 5% or more from a recent high. Useful for setting realistic recovery timeline expectations and for sizing into positions during multi-week drawdowns.
Historical results
Forward Performance by Drawdown Depth
| Bucket | N | Avg Depth | Days→Trough | Recovery Days | Rec ≤1yr | 1W Win% | 1W Mean | 1M Win% | 1M Mean | 3M Win% | 3M Mean | 6M Win% | 6M Mean | 12M Win% | 12M Mean |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -5% to -10% | 18 | -6.74 | 22 | 26 | 100 | 100 | 3.12 | 100 | 6.65 | 100 | 10.10 | 94.10 | 13.66 | 81.20 | 16.68 |
| -10% to -15% | 2 | -11.56 | 76 | 84 | 100 | 100 | 5.49 | 100 | 9.43 | 100 | 9.77 | 100 | 16.20 | 100 | 18.18 |
| -15% to -20% | 2 | -19.06 | 50 | 64 | 100 | 100 | 7.52 | 100 | 13.62 | 100 | 23.14 | 100 | 30.72 | 100 | 39.04 |
| -20% to -30% | 1 | -24.50 | 195 | 294 | 0 | 100 | 3.35 | 100 | 10.69 | 100 | 11.84 | 100 | 16.65 | 100 | 22.92 |
| -30%+ | 2 | -44.46 | 189 | 483 | 50 | 100 | 14.37 | 100 | 22.96 | 100 | 39.59 | 100 | 49.83 | 100 | 74.72 |