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Hi,
Actually, your workaround is flawed. There are conditions under which it will not produce the correct values. Do the following with the default database that comes with AmiBroker (i.e. the evaluation database)
1. Create a watchlist containing symbols: CAT, AXP, BA, C
2. Run a backtest filtered by this watchlist for the period Jan 1/07 - Jun 15/07 (initial equity 500,000, Long only, daily periodicity, min 1 share, 1 round lot size, all trades on Open with 1 delay, all stops disabled).
3. Observe the chart. Notice that my version will show {empty} for as long as the equity line is initially flat, then begin counting at 1 on the first day that equity drops below initial equity, incrementing until equity crosses above initial equity (i.e. correctly captures initial drawdown after a period of inactivity). Whereas your line will show 0 for as long as the equity line is flat (this is fine), then show 0 on the first day that equity drops below initial equity (wrong, should be 1), then shows 5 on the second day instead of 2, and remains 3 bars exagerated throughout the first drawdown until equity finally recovers and passes above initial equity.
What the code needs to capture is the number of bars since equity first dropped below initial equity in the event that no new high has yet been met. The statement BarsSince (ExRem(eq < initialEq, eq >= initialEq)) + 1 will capture the that information (i.e remove redundencies then count how many bars since the event, plus 1 for the current bar).
Buy = DayOfWeek() == 1;
Sell = DayOfWeek() == 5;
initialEq = GetOption("initialEquity");
eq = Foreign("~~~Equity", "C");
highEq = Highest(eq);
initialDD = ExRem(eq < initialEq, eq >= initialEq);
duration = IIF(highEq > initialEq, HighestBars(eq), BarsSince(initialDD) + 1);
DDduration = IIf(BarsSince(Highest(eq) == Lowest(eq)) <= 1, 0, HighestBars(eq));
longest = LastValue(Highest(duration));
Plot(duration, "sfclimbers", colorRed, styleOwnScale);
Plot(DDduration, "wml67", colorBlue, styleOwnScale);
Plot(eq, "Equity", colorDarkGrey);
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.Backtest();
initialEq = GetOption("initialEquity");
eq = Foreign("~~~Equity", "C");
highEq = Highest(eq);
initialDD = ExRem(eq < initialEq, eq >= initialEq);
duration = IIF(highEq > initialEq, HighestBars(eq), BarsSince(initialDD) + 1);
longest = LastValue(Highest(duration));
bo.addCustomMetric("Longest DD", longest);
}
Mike
P.S. To capture formatted and color coded text, go to Tools | Preferences... | Editor and select "Copy as HTML". If posting via the forum (as opposed to a mailer) you will need to post using the Rich Text Editor. Note that the Rich Text Editor does not work correctly when using Google Chrome as your browser, perhaps others too. Works fine from IE.
--- In amibroker@xxxxxxxxxxxxxxx, "wml67" <ywml@xxx> wrote:
>
> Mike,
>
> Thanks for taking time to look into this. Your input seem to confirm
> that HighestBar() has a problem, and it's not me doing something wrong.
>
> As for the workaround, here's mine, I think it's more intuitive (that's
> subjective, of course):
>
> eq = Foreign("~~~EQUITY", "C");
> // DDduration = HighestBars(eq); // This would've worked if not for
> HighestBars problem
> DDduration = IIf(BarsSince(Highest(eq) == Lowest(eq)) <= 1, 0,
> HighestBars(eq)); // workaround
> longestDD = LastValue(Highest(DDduration));
>
> BTW, sorry for the stupid question, how do you paste formatted code with
> colors etc into your posts?
>
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