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pcf for Largest Drawdown between 2 time periods Rate this Topic:
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cleven
Posted : Sunday, October 29, 2006 3:49:24 PM
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Joined: 12/7/2004
Posts: 331
Hello,

I want to write a pcf to show the largest drawdown (based on it's Low..not the lowest Close) that a stock experiences between two dates...11/14/05 to 5/12/06...and to show it as a %.

Also, how would i do the reverse...i.e. the greatest price gain between the same dates?

Can you assist me with this?

Thanks,

TC
Craig_S
Posted : Monday, October 30, 2006 8:32:08 AM


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Joined: 10/1/2004
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I am not sure I understand....

Do you want to know the lowest low reached between those two dates?

Do you want to know the single greatest daily percent change for a stock between those two days? If so, don't you mean from close to close?

I am not sure what you mean by "largest drawdown" and "to show it as a %". Can you elaborate?

- Craig
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cleven
Posted : Monday, October 30, 2006 11:26:54 AM
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Posts: 331
Craig,

I want to know the lowest low reached between the two dates.

Thanks,

TC
Craig_S
Posted : Monday, October 30, 2006 11:44:07 AM


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You mention "show it as a %"

What do you want the lowest low as a percentage of?

- Craig
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cleven
Posted : Monday, October 30, 2006 11:49:03 AM
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Posts: 331
Sorry, forgot to respond to that part...

As a price percentage change from the Close on 11/14/05. The beginning date.

Thanks,

TC
Bruce_L
Posted : Monday, October 30, 2006 11:51:06 AM


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Posts: 65,138
Please try the following:

100 * MINL123.'5/12/06' / C'11/14/05' - 100

-Bruce
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cleven
Posted : Monday, October 30, 2006 11:58:07 AM
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Posts: 331
Bruce,

Will do.

Thanks for your help.

TC
Bruce_L
Posted : Monday, October 30, 2006 12:01:08 PM


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You're welcome. Our pleasure.

-Bruce
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cleven
Posted : Monday, October 30, 2006 12:01:54 PM
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Posts: 331
Bruce,

In your formula:

100 * MINL123.'5/12/06' / C'11/14/05' - 100

The "MINL123"...does this equate to the total # of days in the date period?

If so, and assuming I want to write a similar pcf for other date parameters I'm guessing I will need to know the # of days in those periods as well?

And, if I want to do the reverse for the period, i.e. Find the Highest High, would it read:

100 * MAXH123.'5/12/06' / C'11/14/05' - 100

Thanks.

TC
Bruce_L
Posted : Monday, October 30, 2006 12:05:15 PM


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The answer is yes to all three questions.

-Bruce
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cleven
Posted : Monday, October 30, 2006 12:46:04 PM
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Joined: 12/7/2004
Posts: 331
Cool! ; )
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