RE: [amibroker] Another Code Puzzle

[Ken Close <ken45140@xxxxxxxxx>]

Absolutely.  Thanks.

 

 . . .now the bar associated with the CurDD==0 just preceding the bar on which MaxDD==LastValue(MaxDD) is . . . ?

 

Seriously, I tried to find the bar (date) associated with the beginning of the MaxDD but it still alludes me.

 

 

MDD = MaxDD==LastValue(MaxDD) AND CurDD==MaxDD;

MDDBar = ValueWhen(MDD,BarIndex(),1);

//Top = BarsSince(CurDD==0)==0 AND AND BIR;

Top2 = ValueWhen(CurDD==0,BarIndex(),1);

Top3 = ValueWhen(MDD==1,BarIndex());

Top = BarsSince(CurDD==0)==0 AND MaxDD == Ref(MaxDD,-1) AND BIR;

Top2X = BarIndex()==Top2 AND BIR AND MaxDD != LastValue(MaxDD);

 

Nothing works.

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From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of ftonetti@xxxxxxxxxxxxx
Sent: Wednesday, August 13, 2008 4:07 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Another Code Puzzle

I assume what you'd be looking for is the bar on which MaxDD = LastValue(MaxDD) and CurDD = MaxDD ...

----- Original Message -----
From: Ken Close
Date: Wednesday, August 13, 2008 1:59 pm
Subject: [amibroker] Another Code Puzzle
To: amibroker@xxxxxxxxxxxxxxx

> Once again, I stumble across seemingly simple things that are
> hard (for me)
> to do.
>
> Task: Find the Date of the MaxDD which occurs in a price series
> (Equity or
> price).
> More complex task: Find the Date when the current MaxDD started,
> ie, the
> highest price associated with the MaxDD.
>
> FredT has had code for finding the MaxDD since almost from when
> AB started.
> We all have used it countless times.
> Yet I can not adapt or adopt it to finding the date when the
> MaxDD occurs
> much less find the Date of the highest price associated with the
> Maxdd.
> Can anyone suggest an approach?
>
> Ken
>
> Code snippits:
>
>
>
>
> BIR = IIf(Status("BarInRange") > 0, 1, 0);
> Price = C;
> MaxPrice = Highest(Price);
> CurDD = IIf(BIR, 100 * (MaxPrice - Price) / MaxPrice, 0);
> MaxPriceDate = IIf(BIR,ValueWhen(MaxPrice !=
> Ref(MaxPrice,1),DateTime(),0),0);
> MaxDD = Highest(CurDD);
> RCurDD = round(CurDD * 100) / 100;
> MaxDD = Highest(CurDD);
> MaxDDDate = ValueWhen(MaxDD != Ref(MaxDD,-1),DateTime(),0);
>
> This last line, my attempt, is not correct; it works some of the
> time but
> not with all cases.
>
>
>
>

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