S&P 500 regime: Panic · as of November 6, 2026 close

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Maximum drawdown

Maximum drawdown measures how far the market has fallen below a recent high. In practice the number gets a lot more useful when you read it next to duration and sharpness: the same 10% drop means something very different if it took two weeks instead of six months, or if the worst leg was sudden instead of gradual.

Primers · DrawdownPublished May 25, 2026DoubleTrends L.L.C.

What drawdown actually is

Depth from a trailing high

The drawdown on a given day is just one subtraction: today's close, expressed as a percentage below the highest close inside some lookback window. Pick a window, find the high, compare to today, report the percentage.

The choice that matters is the window. Drawdown from an all-time high tells you something about long-run market memory but reacts slowly; drawdown from a 10-day high reacts instantly but is mostly noise. The DoubleTrends™ Regime Indicator measures drawdown from a trailing one-year high. A year is long enough to ignore the weekly chop, and short enough that the “recent peak” still matters to how people feel about the market today.

Exhibit 1S&P 500 drawdown from its trailing one-year high
S&P 500 drawdown from its trailing one-year high, Jan 1996 to Nov 2026 The percentage by which the S&P 500 close sat below its highest close of the previous year, each week. The deepest readings were 53% in Mar 2009, 35% in Jul 2002, 34% in Mar 2020, 25% in Oct 2022. 0%−20%−40%−60% 2002 −35%2009 −53%2020 −34%2022 −25% 200020052010201520202025

Weekly low of the daily reading, January 1996 to November 6, 2026. Drawdown is the close’s distance below the highest close of the previous 252 sessions. Source: DoubleTrends L.L.C. calculations on S&P 500 daily closes.

The second axis

Duration changes the meaning

Depth alone is misleading. Consider two markets both sitting at −15%:

Down 15% in three weeks

A sudden shock. Forced de-risking, vol spiking, headlines screaming. This is the panic pattern, where buying the dip has historically paid.

Down 15% over seven months

A grinding bleed. Earnings revisions, macro deterioration, structural selling. This is the bear pattern, where false bottoms are common.

Same depth, but a very different market underneath. The discipline is looking at both axes at once — depth and duration — instead of letting the percentage speak alone.

The engine tracks duration as the time elapsed since the trailing one-year high. Short duration with deep depth maps to panic. Long duration with deep depth is one of the inputs the bear overlay watches for.

Exhibit 2Depth and duration: every 10% decline since 1996
Every S&P 500 decline of 10% or more from a record close since 1996: depth against duration 11 declines. Similar depths arrived at very different speeds: the 2020 decline reached −33.9% in 23 sessions, while 2022 took 195 sessions to reach −25.4%. The two deepest (2007–09 and 2000–02) took 355 and 637 sessions to reach their troughs. −10%−20%−30%−40%−50%−60% 51020501002005001000 Trading sessions from record close to trough (log scale) Oct 1997 peak to Oct 1997 trough: −10.8% over 14 sessions1997Jul 1998 peak to Aug 1998 trough: −19.3% over 31 sessions1998Jul 1999 peak to Oct 1999 trough: −12.1% over 64 sessions1999Mar 2000 peak to Oct 2002 trough: −49.1% over 637 sessions2002Oct 2007 peak to Mar 2009 trough: −56.8% over 355 sessions2009May 2015 peak to Feb 2016 trough: −14.2% over 183 sessions2016Jan 2018 peak to Feb 2018 trough: −10.2% over 9 sessionsFeb 2018Sep 2018 peak to Dec 2018 trough: −19.8% over 65 sessionsDec 2018Feb 2020 peak to Mar 2020 trough: −33.9% over 23 sessions2020Jan 2022 peak to Oct 2022 trough: −25.4% over 195 sessions2022Feb 2025 peak to Apr 2025 trough: −18.9% over 34 sessions2025

Each point is one decline of 10% or more from a record close (11 since 1996), placed by its depth and by the trading sessions it took to reach its trough. Declines that began below an earlier record, such as 2010 and 2011, are part of the episode that started at that record. Source: DoubleTrends L.L.C. calculations on S&P 500 daily closes.

The third axis

Sharpness: how brutal was the worst stretch

Depth and duration give you the outline of a selloff. Sharpness tells you what it felt like. Two drawdowns can be the same depth and duration but feel very different if one was a slow slide and the other was one nasty week.

The engine gets at this by looking at the worst ten-day stretch inside the trailing month. A market that has just absorbed a brutal ten-day leg down is being repriced by panic flow, even if the headline drawdown is modest. A market that drifted to the same depth over months has not.

How the engine uses these

Three numbers, one regime read

Depth, duration and sharpness aren't the final answer. They are three of the inputs the regime classifier reads to decide whether a market is in calm, correction, panic, or bear. Roughly how they fit together:

shallow depth, calm sharpness

Calm or correction. No signal eligibility — the engine refuses to fire here.

off the recent ceiling + acute sharpness

Panic candidate. The engine becomes eligible to fire on a Williams %R reversal.

deep depth + long duration + macro pressure

Bear regime. Fires allowed, but only after a harder confirmation bar.

These shapes do not stand alone — they combine with VIX, Fed funds, unemployment, and CPI to produce the final regime read. Drawdown is the inside view: how stressed price is on its own. The macro anchors are the outside view: whether the rest of the world agrees. The exact thresholds that turn each shape on or off are part of the production rule and are not published.

See the volatility input that sits next to drawdown → See how drawdown feeds the regime classifier →
Exhibit 3The same drawdown, read as a regime: 2018 to date
  • Calm
  • Correction
  • Panic
  • Bear
S&P 500 drawdown from its trailing one-year high since 2018, coloured by regime Each day's drawdown is shaded by the regime the indicator assigned: calm, correction, panic or bear. Shallow drawdowns are mostly calm or correction; the fast 2020 decline is panic; the slow 2022 decline is mostly bear, and bear throughout its deepest stretch. Readings are back-tested unless they were published on the day. 0%−10%−20%−30%−40% 201820192020202120222023202420252026

Drawdown from the trailing one-year high, each day shaded by the regime the indicator assigned. The classifier also reads volatility and macroeconomic inputs, so equal depths can fall in different regimes. Readings are back-tested unless they were published on the day. Source: DoubleTrends L.L.C.

Further reading

Our research is published alongside the DoubleTrends™ Regime Indicator.

Method

Drawdown is computed from S&P 500 price index daily closes (^GSPC) against a trailing one-year high. Duration is measured as time since that high. Sharpness reads the worst ten-day stretch within the trailing month. Exact threshold values used inside the regime classifier are part of the production logic and are not published. Educational information only — not financial, investment, or trading advice. Past performance does not guarantee future results.