Simulation — Drawdown Percentiles
The read
Drawdown bands must be read against gate state — that is benchmark doctrine. Live drawdown better than the bands suggests strong capital control. Inside the bands: expected behavior, hold the process. Worse than the adverse percentile bands: over-risk, execution weakness, or a structurally weaker system than modeled. Worse than 40%: System Lock territory.
Reference
Live risk-tier usage against benchmark expectation, T1 through T7.
Depth and duration
Depth is only half the drawdown story. The simulation also defines how long recoveries realistically take — how many weeks a path typically spends under its equity peak. A shallow drawdown that refuses to recover can be more structurally informative than a deep one that snaps back.
The core idea
How MARS uses this
The lab pairs every simulated drawdown's depth with its recovery time. Shallow-fast events dominate the frequency mass; the sparse deep-slow tail is what the gate ladder is engineered against. Live drawdowns are located on this map before anyone decides how to feel about them.
How it benefits you
Drawdown stops being one scary number. A 7% dip reads as the common, quick-recovery event the map says it is, while the non-linear duration curve makes the case for gate compression viscerally: deep holes do not just cost more - they cost longer.
Depth versus recovery duration across simulated paths - bubble size is how often paths visit that territory. The curve bends the wrong way on purpose.
The psychology it replaces
The bands give the trader something feelings cannot: a pre-agreed definition of what normal pain looks like, decided calmly before the pain started. That single artifact prevents both panic de-risking inside normal variance and denial when the damage is genuinely abnormal.
Inside this module
Connected inside MARS
Go deeper
Deep dive — 01
Depth threatens the account; duration threatens the operator. The simulation charts them separately because they are separate ordeals.
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Deep dive — 02
Your −11% has an address among fifty thousand governed futures. Find it before deciding what it means.
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Deep dive — 03
The tail is what a healthy system does in its unluckiest futures. Size for it now or meet it unprepared.
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Take it further
The P95 drawdown you should be planning for is a function of inputs most traders have never varied deliberately. The Foundry lets you vary them.
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