For every Buy period, the equity curve will have a drawdown (unless it is straight up). I want the LARGEST (or Max) of these when the signal is on a Buy. What I meant by "special case" is that the code performs correctly in most cases, except in a couple of situations where the price continues down after a brief sell period. Then, the highest value is from the former Buy period, but the calculation uses the lower value of CurEq2 in the new period. Said still another way, the CurDD2 calculation should be performed only WITHIN each Buy period, not across Buy periods.
Regarding your comment, if what I should have said is that I want CurDD, then I want the Maximum of all CurDD for each Buy Period. What should I be using? Thanks. -----Original Message----- From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Fred Sent: Saturday, January 20, 2007 11:02 AM To: [email protected] Subject: [amibroker] Re: Logic for MaxDD while in a Buy Period Special case ? What you are describing is NOT MaxDD ... If I am reading your description ( with errors ) correctly, what you are after is the equivalent of CurDD ... Yes ? --- In [email protected], "Ken Close" <[EMAIL PROTECTED]> wrote: > > 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 > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links
