Thanks a million it seem to work as intended. I do see the logic. As for your comment on Start and End being error prone if they fall on a non-trading date, I changed the start date to 12/31/2000 which is a non trading date and it correctly picked up the close from 12/29/2000. However, your point seems to be correct regarding the End date. If I change the end date from 12/31/2008 to 01/01/2009 it return 0 for drawdown.
From: [email protected] [mailto:[email protected]] On Behalf Of Mike Sent: Friday, March 05, 2010 12:46 AM To: [email protected] Subject: [amibroker] Re: Drawdown Calculation 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 [email protected], "ta" <tagro...@...> 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") ); >
<<image001.jpg>>
<<image002.jpg>>
