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Maximum drawdown of the calmest names: the worst peak-to-trough fall over the past year

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-22, from The Lowest-Volatility Stocks.

as of ranking 8×2read in context →
Maximum drawdown of the calmest names: the worst peak-to-trough fall over the past year — 8 rows by 2 columns, computed from US exchange, SIP and OPRA data.
tickermax_drawdown_pct
KO-8.5
SPY-9.1
JNJ-10.9
DUK-11.7
SO-15.7
PG-16.1
COST-16.6
MCD-22.9
Rows × columns
8 × 2
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Maximum drawdown of the calmest names: the worst peak-to-trough fall over the past year, derived from the stored result.
ColumnTypeRangeNotes
ticker text 8 distinct values (COST, DUK, JNJ…)
max_drawdown_pct number -22.9 to -8.5 percent

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.

the exact SQL behind every number
WITH d AS (
    SELECT ticker,
           toDate(toTimeZone(window_start, 'America/New_York')) AS dt,
           argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('SPY','KO','JNJ','PG','MCD','COST','SO','DUK')
      AND window_start >= now() - INTERVAL 400 DAY
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
    GROUP BY ticker, dt
),
m AS (
    SELECT ticker, dt, c,
           max(c) OVER (PARTITION BY ticker ORDER BY dt ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS peak
    FROM d
    WHERE dt >= today() - 370
)
SELECT ticker,
       round(min(c / peak - 1) * 100, 1) AS max_drawdown_pct
FROM m
GROUP BY ticker
ORDER BY max_drawdown_pct DESC
LIMIT 15

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