Answer and evidence
Why can month-end drawdowns miss deeper losses inside a month?
Short answer. Because month-end reporting observes equity only 12 times per year, sharp intra-month drops that recover before the final UTC day of the month do not appear in monthly drawdown tables. Supporting analysis →
- Evidence type
- Evidence review; a review or worked illustration, not a new causal experiment.
- Sample and scope
- 2011-01-01 – 2026-10-31. Comparison of sampling frequencies for measuring peak-to-trough drawdown in crypto portfolios. Published measurements and sample counts.
- Limits of this answer
- Methodological comparison of sampling frequencies; exact ratios between monthly, daily and intraday drawdowns vary by strategy holding period and trade frequency.
Key findings
- In the 2025–2026 Bitcoin decline from the October 2025 peak, maximum drawdown was −53.0% on daily closes (to 30 June 2026) versus −49.35% on month-end closes. Evidence →
- Leveraged accounts face liquidation on intraday mark prices rather than month-end closes, so position sizing must leave a buffer well beyond the worst historical month-end drawdown. Evidence →
Research reviewed 2026-11-04; page presentation updated 2026-11-04. These findings describe the studied market or measurement method, not any individual strategy’s rules.
Published evidence
| Sampling frequency | Observations per year | Captures multi-month trends | Captures intra-month V-reversals | Captures intraday liquidation wicks |
|---|---|---|---|---|
| Month-end closes | 12 | Yes | No (smoothed if recovered by month-end) | No |
| UTC daily closes | 365 | Yes | Yes (end-of-day level) | No (misses intrahour extremes) |
| Continuous mark / tick | Continuous | Yes | Yes | Yes (determines margin liquidation) |
Why coarse sampling can only make drawdowns look smaller
Mathematically, the maximum drawdown of a sub-sampled price series (such as month-end closes) can never exceed—and is almost always smaller than—the maximum drawdown measured on daily or intraday data over the same interval. Every month-end point is in the daily set, while the highest peak and deepest trough rarely fall on the final day of a calendar month.
In the Bitcoin cycle decline that began in October 2025, daily closes fell 53.0% from the 6 October 2025 peak (US$124,824) to the 30 June 2026 low (US$58,628). Measured strictly across month-end closes from November 2024 to October 2026, the compounded benchmark drawdown was −49.35%.
Intra-month reversals and closed-trade accounting
The gap between monthly and intraday drawdowns is largest during rapid V-shaped sell-offs that happen and rebound within the same calendar month, or when a strategy holds open positions across volatile days before closing them at a profit.
When monthly returns are compiled from trades closed during the month, an open position’s floating loss inside the month is invisible in the month-end return table unless the position is closed at that low.
Practical implications for capital allocation
Exchange margin engines check account equity continuously against maintenance margin using real-time mark prices, not month-end snapshots. A strategy with a −15% worst month-end drawdown may have experienced −25% or −35% floating drawdowns mid-month.
Allocators evaluating monthly track records should treat month-end maximum drawdown as a lower bound on historical pain and size accounts so that a drawdown two to three times deeper than the worst recorded month does not trigger forced liquidation.
Why is month-end max drawdown smaller than daily max drawdown?
Month-end series observe account equity only on the final day of each month. Any peak reached mid-month or trough hit mid-month that partially recovers before the month closes is excluded from the month-end calculation.
Can a strategy with zero losing months still have intra-month drawdowns?
Yes. A strategy can finish every calendar month with a net gain on closed trades while still experiencing losing trades or floating drawdowns inside individual weeks or days.
Limitations
Methodological comparison of sampling frequencies; exact ratios between monthly, daily and intraday drawdowns vary by strategy holding period and trade frequency.