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.
