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Dave,
You might want to take a look at the Equity Line indicator I
developed some time ago. Besides an equity curve on a log scale and
the linear regression of the curve, the indicator also shows a
variety of statistical information i.e. CAR, MDD, UI, UPI, KRatio
etc. Personally I use it as a replacement for the built in indictor,
but it can be used as a stand alon as well. It's in the files
section here ...
http://f6.grp.yahoofs.com/v1/0IFuP7RhJsBNpgTQxLnAi-
NyjGZ2FI00QRuk4bjBnSIHAEtcnEdT5R5UfkvsOuNheUd2nNL8I3qYQsvHuf78JyN3EIqT
QxXFtBDNlw/Equity%20Line.txt
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> continuing an earlier thread, I'm showing equity in an indicator,
according
> to buy/sell signals it displays. I'd like to show maximum %
drawdown in the
> title.
>
> does this look right?
> ---------
> e = Equity(1, 0);
> max_e = Highest(e);
> MDD = Highest((max_e - e) / max_e) * 100;
> ---------
>
> it's very close to what I get from the report when I backtest using
the same
> buy/sell rules, but not always exact in very early bars. quite
usably close
> actually, but the difference makes me question my thinking.
>
> any ideas?
>
> thanks,
>
> Dave Merrill
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