Market Crash Forensics

Diagnose historical drawdown depth, duration, recovery behavior, and survival probabilities from adjusted intraday high/low data.

Crash setup

Single-asset drawdown forensics using adjusted intraday high/low data.

SPY
Help: crash concepts
Drawdown episode
A period from a prior adjusted intraday high to its deepest adjusted low, ending only after price makes a new adjusted high. It measures both loss severity and time trapped below the peak.
Kaplan-Meier recovery curve
A survival curve showing the empirical probability that a drawdown is still unrecovered after a given number of days. Ongoing crashes are treated as censored observations instead of ignored.
Worst drawdown
READY
N/A
Run a ticker to map crisis depth
Current drawdown
LATEST CLOSE
N/A
Run a ticker to inspect current loss
Episodes
ABOVE THRESHOLD
N/A
N/A ongoing
Longest duration
PEAK TO END
N/A
Recovered or still ongoing
Typical recovery
50% recovered by
N/A
Run a ticker for recovery timing

Crash paths

Top drawdowns rebased to day zero at each historical peak.

Run crash analysis to compare historical drawdown paths.

Drawdown tape

Full-period adjusted intraday drawdown from the running high-water mark.

Run crash analysis to populate the drawdown tape.

Recovery survival

Shows how long similar drawdowns stayed below their prior peak. Lower is faster recovery.

Run crash analysis to estimate recovery survival.

Drawdown episodes

Peak, trough, recovery status, severity, and time under water.

Run crash analysis to populate drawdown episodes.