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

CurEq = Foreign("~~~Equity", "C", 1);

MaxEq = Highest(CurEq);

CurDD = IIf(CurEq < MaxEq, 100 * (MaxEq - CurEq) / MaxEq, 0);

MaxDD = Highest(CurDD);

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

CDDBar = Cum(0);

CDD0 = LastValue(Highest(IIf(MDDBar == 1, BarIndex() - BarsSince(CurDD == 0), 0)));

CDDBar[CDD0] = 1;

Plot(MaxDD, "MaxDD", colorRed);

Plot(CurDD, "CurDD", colorOrange);

Plot(MDDBar, "MDDBar", colorWhite, styleHistogram | styleOwnScale | styleThick);

Plot(CDDBar, "CDDBar", colorBlue, styleHistogram | styleOwnScale | styleThick);

----- Original Message -----
From: Ken Close
Date: Thursday, August 14, 2008 2:19 pm
Subject: RE: RE: [amibroker] Another Code Puzzle
To: amibroker@xxxxxxxxxxxxxxx

> Yep. That's what I thought and tried. . .
> > > Top = BarsSince(CurDD==0)==0 AND MaxDD == Ref(MaxDD,-1) AND BIR;
>
> Finding it "prior to" where the MaxDD occurred is the trick. It
> finds every
> occurrence of the places where CurDD == 0. ValueWhen to try and
> get the
> most recent occurrence of CurDD==0 seemed not to work.
>
> Another hint?
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of ftonetti@xxxxxxxxxxxxx
> Sent: Thursday, August 14, 2008 1:20 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: RE: [amibroker] Another Code Puzzle
>
>
> The bar you are looking for will be
>
> 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.
> > >
> > >
> > >
> > >
> >
> >
>
>