|
PureBytes Links
Trading Reference Links
|
Hi,
Your calculations for Start and End are error prone in that they do not handle the case where the given dates are not trading dates.
However, building on what you've got, you can do something like the following. Ideally you would also add code to verify that Start and End are less than BarCount.
/*
* Return positive scaler value representing the largest percentage drawdown
* within the given array between the given dates, inclusive.
*
* e.g. Largest drawdown of 10 down to 3 would be returned as 70 indicating 70%.
*/
function MaxDDFromTo( Array, From, To )
{
Indices = BarIndex();
Start = LastValue( ValueWhen( DateTime() == StrToDateTime( From ), Indices ) );
End = LastValue( ValueWhen( DateTime() == StrToDateTime( To ), Indices ) );
InRange = Indices >= Start AND Indices <= End;
CurVal =
IIF( InRange, Array, 0 );
MaxVal = Highest( CurVal );
CurDD = IIF( InRange AND CurVal < MaxVal, 100 * ( MaxVal - CurVal ) / MaxVal, 0 );
MaxDD = Highest( CurDD );
return LastValue( MaxDD );
}
_TRACE("from: " + "12/29/2000" + " To: " + "12/31/2009" + " MaxDD: " + MaxDDFromTo(C, "12/29/2000", "12/31/2009") );
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ta" <tagroups@xxx> wrote:
>
> I have written the following function to calculate the drawdown between two
> dates. Does anybody know how eliminate the loop or make it run faster? TIA
>
>
>
> function MaxDDFromTo(Array, From, To)
> {
> Last = LastValue(BarIndex());
> Start = LastValue(ValueWhen(DateTime() == StrToDateTime(From),
> BarIndex()));
> End = LastValue(ValueWhen(DateTime() == StrToDateTime(To), BarIndex()));
>
> Price = Array;
> MaxPrice = DD = MaxD = Bars = 0;
> for( i = Start; i < End; i++ )
> {
> Bars = Bars + 1;
> MaxPrice = Max(MaxPrice, HHV( Price, Bars ));
> DD = 100 * ( Price[i] - MaxPrice ) / MaxPrice;
> MaxD = Min(MaxD, LLV( DD, Bars ));
> }
> return MaxD;
> }
>
> _TRACE("from: " + "12/29/2000" + " To: " + "12/31/2009" + " MaxDD: " +
> MaxDDFromTo(C, "12/29/2000", "12/31/2009") );
>
__._,_.___
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
![]()
__,_._,___
|