Calmar divides your annualised return by your maximum drawdown. A Calmar of 1.0 means: in one year of average performance, you'd exactly recover the worst pit you've ever been in. A Calmar of 3.0 means you'd recover that pit in four months. The metric pairs the two numbers traders care about most — return and worst-case pain — into one ratio that doesn't let either flatter the other. Sharpe rewards smoothness; Calmar rewards survival.
A strategy returns 24% annualised with a maximum drawdown of 12%.
What the bands mean: - Below 0.5 — the drawdown is bigger than half a year of returns. You're walking on glass. - 0.5 to 1.0 — workable, but the pain is roughly equal to one good year of gains. - 1.0 to 3.0 — solid. Returns clearly out-pace the worst-case pit. - 3.0 to 5.0 — strong. Most pro discretionary traders hover here. - Above 5.0 — exceptional, and usually only after a long enough sample to trust the drawdown number.
Watch for the inverse trap: a tiny drawdown on a fresh account inflates Calmar to absurd levels until the first real losing stretch lands.
Calmar is the metric you bring out when you're deciding whether to stay in a strategy through a rough patch. Sharpe and Sortino measure smoothness; Calmar measures the worst pothole you've actually hit. If you can't stomach the drawdown that produced your current Calmar, the strategy is wrong for you — even if the math says it works.
In TradeOnyx Calmar lives in the Overview tab under Advanced metrics, next to Sharpe and Sortino, so you can read all three risk-adjusted ratios as a row. Each one weighs risk differently — total volatility, downside-only volatility, worst single drawdown — and seeing them together stops you from cherry-picking the flattering one.
One quirk worth knowing: for a fresh account or a clean run with no drawdown yet, TradeOnyx flags the Calmar as null rather than rendering a misleading "infinity". A new trader's first month with a 30%-up equity curve and zero drawdown isn't Calmar 30 — it's Calmar undefined, and TradeOnyx treats it as such until the first real pit forms.