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Gary,
I hadn't seen this version of Fred's Eq Curve. Must have had my head
in the sand as usual.
Thanks.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
>
> Hi all,
>
> Another alternative to the built-in portfolio equity curve. Thanks
to Fred and Bruce Robinson for letting me bug them about Fred's
original PT equity indicator which served as a great learning platform.
>
> Kind Regards,
>
> Gary
>
> /*
>
> You can Plot these Equity curves using the following code:
>
> Plot( Foreign("~~~EQUITY", "O"), "Long Equity", colorBrightGreen );
>
> Plot( Foreign("~~~EQUITY", "H"), "Short Equity",colorYellow );
>
> Plot( Foreign("~~~EQUITY", "L"), "Cash", colorGreen, styleArea );
>
> Plot( Foreign("~~~EQUITY", "C"), "Portfolio Equity", colorLightBlue,
styleArea );
>
> */
>
> Eq = Foreign("~~~EQUITY", "C");
>
> Cash = Foreign("~~~EQUITY", "L");
>
> PerCash = round((Cash / Eq) * 100);
>
> MaxCash = Highest(PerCash);
>
> LMaxCash = LastValue(MaxCash) * (1.45);
>
> //Drawdown calcs
>
> CurDD = round(( (Eq - Highest(Eq)) / Highest(Eq) ) * 10000) / 100;
>
> MaxDD = Lowest(CurDD);
>
> LMaxDD = LastValue(MaxDD) * (1.05);
>
> //Equity High Calcs
>
> FlatEq = HighestBars(Eq);
>
> MaxFlat = Highest(FlatEq);
>
> LMaxFlat = LastValue(MaxFlat) * (1.25);
>
> //LINEAR REG CALCS BELOW
>
> islastbar = Status("lastbarintest");
>
> isfirstbar = Status("firstbarintest");
>
> bar = BarIndex();
>
> firstbar = LastValue( ValueWhen( isfirstbar, bar ) );
>
> lastbar = LastValue( ValueWhen( islastbar, bar ) );
>
> al = LastValue( ValueWhen( islastbar, LinRegSlope( eq, Lastbar -
firstbar ) ) );
>
> bl = LastValue( ValueWhen( islastbar, LinRegIntercept( eq, Lastbar -
firstbar ) ) );
>
> Lr = al * ( BarIndex() - firstbar ) + bl;
>
> Lr = IIf( bar >= firstbar AND bar <= lastbar , Lr, Null );
>
> GraphZOrder=1;
>
> Plot(CurDD, "Current DD%", colorPink, styleArea+styleOwnScale,
LMaxDD, -LMaxDD);
>
> Plot(MaxDD, "Max DD%", colorDarkRed,styleLine+styleOwnScale, LMaxDD,
-LMaxDD);
>
> Plot(PerCash,"% Cash",colorBrightGreen,styleArea+styleOwnScale,
-LMaxCash, LMaxCash);
>
> Plot(50,"50% Cash Level",colorPaleGreen,styleLine+styleOwnScale,
-LMaxCash, LMaxCash);
>
> Plot(100,"100% Cash Level",colorPaleGreen,styleLine+styleOwnScale,
-LMaxCash, LMaxCash);
>
> Plot(MaxFlat, "Max Flat",colorYellow, styleOwnScale+styleLine,
-LMaxFlat, LMaxFlat);
>
> Plot(FlatEq, "Cur Flat Eq",colorLightYellow,
styleOwnScale+styleArea, -LMaxFlat, LMaxFlat);
>
> Plot(Eq,"Portfolio Equity",colorBlack,styleLine+styleLeftAxisScale);
>
> Plot(Lr , "Linear Reg", colorDarkBlue, styleThick+styleLeftAxisScale );
>
> Title = EncodeColor(colorBlack) + "Portfolio Equity = " +
NumToStr(Eq,5.1) + ", " +
>
> "% Cash = " + EncodeColor(colorBrightGreen) + NumToStr(PerCash,3.0)
+ "%, " +
>
> EncodeColor(colorBlack) + "Current DD% = " + EncodeColor(colorPink)
+ NumToStr(CurDD,3.0) + "%, " +
>
> EncodeColor(colorBlack) + "Max DD% = " + EncodeColor(colorDarkRed) +
NumToStr(MaxDD,3.0) + "%, " +
>
> EncodeColor(colorBlack) + "Bars Since Last Eq High = " +
EncodeColor(colorLightYellow) + NumToStr(FlatEq,3.0) + "\n" +
>
> EncodeColor(colorBlack) + "Max Flat Equity Period = " +
EncodeColor(colorYellow) + NumToStr(MaxFlat,3.0) + ", " +
>
> EncodeColor(colorBlack) + "LinReg Equity = " +
EncodeColor(colorDarkBlue) + NumToStr(Lr,3.0);
>
>
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