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.
- 36 signals since 1993-01-01.
- Median 1M return: +7.8%, 100% win rate.
- SPY approaching drawdown threshold: -2.9% from ATH. Median 1 month forward: +7.8%. Watch for the trough; entries closer to peak drawdown have historically rewarded patient buyers.
Total Episodes
36
≥5% since 1993-01-01
SPY vs ATH
-2.9%
3d since peak
SPY vs 52W High
-2.9%
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% | 24 | -6.80 | 20 | 27 | 100 | 100 | 3.41 | 100 | 6.65 | 100 | 9.31 | 95.70 | 14.86 | 77.30 | 17.93 |
| -10% to -15% | 5 | -11.21 | 53 | 47 | 100 | 100 | 5.46 | 100 | 10.95 | 100 | 15.12 | 100 | 20.30 | 100 | 25.06 |
| -15% to -20% | 3 | -19.05 | 43 | 63 | 100 | 100 | 7.44 | 100 | 11.20 | 100 | 22.56 | 100 | 30.32 | 100 | 39.12 |
| -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%+ | 3 | -45.48 | 338 | 662 | 33.30 | 100 | 13.19 | 100 | 20.71 | 100 | 32.87 | 100 | 37.57 | 100 | 61.72 |