Ken,
I missed that. Hopefully this is somewhat on track with your request :-) Try using BarsSince(Buy,1) as the length of your HHV lookback. You may further want to qualify and only calculate this only on a Sell signal. It would look something like this: X = IIf(Sell,HHV(CurEq2, BarsSince(Buy,1), 0); Then to pick the highest from within these choices: MaxEq2 = Highest(MaxEq2); Without testing, it seems that the net of this is the same as your original statement, just without the intermediate step of computing the highest value during each buy period. If you want the DD in % since a Buy, then add a calculation to compute the DD during the buy periods first: PeriodDD = (CurEq2 - ValueWhen(Buy, CurEq2,1)) / ValueWhen(Buy, CurEq2,1); X = IIf(Sell,HHV(PeriodDD, BarsSince(Buy,1), 0); MaxEq2 = Highest(MaxEq2); -- Terry -----Original Message----- From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Ken Close Sent: Saturday, January 20, 2007 10:23 To: amibroker@yahoogroups.com Subject: RE: [amibroker] Logic for MaxDD while in a Buy Period Terry: thanks for commenting, but that is not what I want. As I said, I am trying to determine the Largest (Max) drawdown from within all of the Buy periods. Each Buy period will see some amount of drawdown while the Buy is on. I want to determine the largest of these drawdowns from within each Buy period. See my other reply to Fred for still another way of describing what I am trying to calculate. Ken _____ From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Terry Sent: Saturday, January 20, 2007 11:39 AM To: amibroker@yahoogroups.com Subject: RE: [amibroker] Logic for MaxDD while in a Buy Period Highest includes the current bar and all past bars for each bar. If it included the NEXT bar you would be looking into the future which, unless you are on the last bar of data, is not "known" yet. However, if this is what you want just do this: MaxEq2 = LastValue(Highest(CurEq2)); -- Terry -----Original Message----- From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Ken Close Sent: Saturday, January 20, 2007 08:06 To: amibroker@yahoogroups.com Subject: [amibroker] Logic for MaxDD while in a Buy Period I can not get the logic written to take care of a special case. My objective is to determine the MaxDD in an equity curve (or the Close Price line) while a signal is on a Buy. I have used the following code snippit: CurEq2 = Gain2chrt; MaxEq2 = Highest(CurEq2); CurDD2 = IIf(BIR, 100 * (MaxEq2 - CurEq2) / MaxEq2, 0); MaxDD2 = Highest(CurDD2); In most cases this is producing the correct answer, but I have discovered certain cases where it delivers the wrong answer. If the price (or Equity curve) has a down period in the NEXT buy period, the code will still have as the HIGHEST value, the value from the PREVIOUS buy period. This produces an incorrect value. The Highest function is looking for the highest value in the array MaxEq2 no matter when it occurred. I have not been able to figure out how to use the HHV function as the length of the buy periods varies. How can I write this logic so that the MaxEq2 variable will "reset" after each Buy period expires, and be ready to determine the largest value in each new Buy Period? Thanks for any help. Ken
