Re: RE: [amibroker] Another Code Puzzle, AmiBroker Email List Archive

BarsSince(CurDD == 0) bars prior to where the MaxDD ocurred ...

----- Original Message -----
From: Ken Close
Date: Thursday, August 14, 2008 12:37 pm
Subject: RE: [amibroker] Another Code Puzzle
To: amibroker@xxxxxxxxxxxxxxx

> 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.
>
> _____
>
> 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.
> >
> >
> >
> >
>
>