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Special case ?
What you are describing is NOT MaxDD ... If I am reading your
description ( with errors ) correctly, what you are after is the
equivalent of CurDD ...
Yes ?
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@xxx> wrote:
>
> I can not get the logic written to take care of a special case.
>
> My objective is to determine the MaxDD in an equity curve (or the
Close
> Price line) while a signal is on a Buy.
>
> I have used the following code snippit:
>
> CurEq2 = Gain2chrt;
>
> MaxEq2 = Highest(CurEq2);
>
> CurDD2 = IIf(BIR, 100 * (MaxEq2 - CurEq2) / MaxEq2, 0);
>
> MaxDD2 = Highest(CurDD2);
>
>
>
> In most cases this is producing the correct answer, but I have
discovered
> certain cases where it delivers the wrong answer.
>
> If the price (or Equity curve) has a down period in the NEXT buy
period, the
> code will still have as the HIGHEST value, the value from the
PREVIOUS buy
> period. This produces an incorrect value. The Highest function is
looking
> for the highest value in the array MaxEq2 no matter when it
occurred. I
> have not been able to figure out how to use the HHV function as the
length
> of the buy periods varies.
>
> How can I write this logic so that the MaxEq2 variable will "reset"
after
> each Buy period expires, and be ready to determine the largest
value in each
> new Buy Period?
>
> Thanks for any help.
>
> Ken
>
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