Reward means nothing without the drawdown that bought it
Two strategies with the same return can be worlds apart in how deep they dug to get there. Calmar exposes that by pricing return against the single worst drawdown — the number that decides whether you hold on or capitulate. Find that worst loss with the max drawdown calculator.
Return per unit of worst-case pain
Calmar ratio = annualized return ÷ maximum drawdown. A strategy returning 40% a year with a 20% max drawdown scores 2.0. It's the metric for a specific question: how much return am I getting for the deepest hole I'll have to sit through?
Why drawdown as the denominator: max drawdown is the number that actually breaks traders. Volatility is abstract; watching your account 45% off its high is not. Two strategies with identical Sharpe can have wildly different Calmars, and the higher-Calmar one is the one you'll still be running in year two.
Context for crypto numbers: buy-and-hold BTC has historically run Calmar around 0.3–0.6 across full cycles (big returns, brutal 70–85% drawdowns). An active strategy clearing 1.0 over a multi-year sample is doing real work. Above 3 on a short backtest usually means the test window missed a regime — extend the window until it includes a bear market, then look again.