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Registered User
Joined: 10/7/2004
Posts: 1,178
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Please provide a PCF that calculates the maximum percent drawdown from the Maximum Close to the Minimum Close with the most recent 63-day period.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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An Indicator Formula which just uses the maximum close and minimum close over the most recent 63-bars would be:
100 * (MINC63 / MAXC63 - 1)
An Indicator Formula which checks for the maximum drawdown since the most recent time the closing price was at its maximum over the most recent 63-bars would be:
100 * ((ABS(C = MAXC63) * C + ABS(C < MAXC63) * (ABS(C1 = MAXC63) * C + ABS(C1 < MAXC63) * (ABS(C2 = MAXC63) * MINC2 + ABS(C2 < MAXC63) * (ABS(C3 = MAXC63) * MINC3 + ABS(C3 < MAXC63) * (ABS(C4 = MAXC63) * MINC4 + ABS(C4 < MAXC63) * (ABS(C5 = MAXC63) * MINC5 + ABS(C5 < MAXC63) * (ABS(C6 = MAXC63) * MINC6 + ABS(C6 < MAXC63) * (ABS(C7 = MAXC63) * MINC7 + ABS(C7 < MAXC63) * (ABS(C8 = MAXC63) * MINC8 + ABS(C8 < MAXC63) * (ABS(C9 = MAXC63) * MINC9 + ABS(C9 < MAXC63) * (ABS(C10 = MAXC63) * MINC10 + ABS(C10 < MAXC63) * (ABS(C11 = MAXC63) * MINC11 + ABS(C11 < MAXC63) * (ABS(C12 = MAXC63) * MINC12 + ABS(C12 < MAXC63) * (ABS(C13 = MAXC63) * MINC13 + ABS(C13 < MAXC63) * (ABS(C14 = MAXC63) * MINC14 + ABS(C14 < MAXC63) * (ABS(C15 = MAXC63) * MINC15 + ABS(C15 < MAXC63) * (ABS(C16 = MAXC63) * MINC16 + ABS(C16 < MAXC63) * (ABS(C17 = MAXC63) * MINC17 + ABS(C17 < MAXC63) * (ABS(C18 = MAXC63) * MINC18 + ABS(C18 < MAXC63) * (ABS(C19 = MAXC63) * MINC19 + ABS(C19 < MAXC63) * (ABS(C20 = MAXC63) * MINC20 + ABS(C20 < MAXC63) * (ABS(C21 = MAXC63) * MINC21 + ABS(C21 < MAXC63) * (ABS(C22 = MAXC63) * MINC22 + ABS(C22 < MAXC63) * (ABS(C23 = MAXC63) * MINC23 + ABS(C23 < MAXC63) * (ABS(C24 = MAXC63) * MINC24 + ABS(C24 < MAXC63) * (ABS(C25 = MAXC63) * MINC25 + ABS(C25 < MAXC63) * (ABS(C26 = MAXC63) * MINC26 + ABS(C26 < MAXC63) * (ABS(C27 = MAXC63) * MINC27 + ABS(C27 < MAXC63) * (ABS(C28 = MAXC63) * MINC28 + ABS(C28 < MAXC63) * (ABS(C29 = MAXC63) * MINC29 + ABS(C29 < MAXC63) * (ABS(C30 = MAXC63) * MINC30 + ABS(C30 < MAXC63) * (ABS(C31 = MAXC63) * MINC31 + ABS(C31 < MAXC63) * (ABS(C32 = MAXC63) * MINC32 + ABS(C32 < MAXC63) * (ABS(C33 = MAXC63) * MINC33 + ABS(C33 < MAXC63) * (ABS(C34 = MAXC63) * MINC34 + ABS(C34 < MAXC63) * (ABS(C35 = MAXC63) * MINC35 + ABS(C35 < MAXC63) * (ABS(C36 = MAXC63) * MINC36 + ABS(C36 < MAXC63) * (ABS(C37 = MAXC63) * MINC37 + ABS(C37 < MAXC63) * (ABS(C38 = MAXC63) * MINC38 + ABS(C38 < MAXC63) * (ABS(C39 = MAXC63) * MINC39 + ABS(C39 < MAXC63) * (ABS(C40 = MAXC63) * MINC40 + ABS(C40 < MAXC63) * (ABS(C41 = MAXC63) * MINC41 + ABS(C41 < MAXC63) * (ABS(C42 = MAXC63) * MINC42 + ABS(C42 < MAXC63) * (ABS(C43 = MAXC63) * MINC43 + ABS(C43 < MAXC63) * (ABS(C44 = MAXC63) * MINC44 + ABS(C44 < MAXC63) * (ABS(C45 = MAXC63) * MINC45 + ABS(C45 < MAXC63) * (ABS(C46 = MAXC63) * MINC46 + ABS(C46 < MAXC63) * (ABS(C47 = MAXC63) * MINC47 + ABS(C47 < MAXC63) * (ABS(C48 = MAXC63) * MINC48 + ABS(C48 < MAXC63) * (ABS(C49 = MAXC63) * MINC49 + ABS(C49 < MAXC63) * (ABS(C50 = MAXC63) * MINC50 + ABS(C50 < MAXC63) * (ABS(C51 = MAXC63) * MINC51 + ABS(C51 < MAXC63) * (ABS(C52 = MAXC63) * MINC52 + ABS(C52 < MAXC63) * (ABS(C53 = MAXC63) * MINC53 + ABS(C53 < MAXC63) * (ABS(C54 = MAXC63) * MINC54 + ABS(C54 < MAXC63) * (ABS(C55 = MAXC63) * MINC55 + ABS(C55 < MAXC63) * (ABS(C56 = MAXC63) * MINC56 + ABS(C56 < MAXC63) * (ABS(C57 = MAXC63) * MINC57 + ABS(C57 < MAXC63) * (ABS(C58 = MAXC63) * MINC58 + ABS(C58 < MAXC63) * (ABS(C59 = MAXC63) * MINC59 + ABS(C59 < MAXC63) * (ABS(C60 = MAXC63) * MINC60 + ABS(C60 < MAXC63) * (ABS(C61 = MAXC63) * MINC61 + ABS(C61 < MAXC63) * (ABS(C62 = MAXC63) * MINC62))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))) / MAXC63 - 1)
An Indicator Formula for the actual maximum drawdown over the most recent 63-bars would be too long and slow to be practical or post in the forums.
Days Since Last Peak (or other day-counting needs)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 12/31/2004
Posts: 102
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Bruce, I found this formula in post above (the max "drawdown" in a rolling 63-bar period) and I wanted to flip it to a RELATIVE drawdown to the sp-500... how may I tweak it to show the relative version?
I searched for something like that and couldn't find one- thanks for your help!
-Sam
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The Personal Criteria Formula Language does not have syntax for referencing other symbols. This means there really isn't a good way to create a relative drawdown compared to another symbol.
The following topics go over a semi-automated method of including other symbols in a Personal Criteria Formula, but it requires quite a bit of manual work each day (or at each bar when not creating a daily formula).
Indexes in PCF's
RSMA PCFs
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 12/31/2004
Posts: 102
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What about StockFinder... I have that running too... could I do it in that format? (one reason I added StockFinder was to do more robust calculatons)
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I don't see any problem with doing this sort of thing in StockFinder. That said, I would probably need further input from you as to how you want to calculate relative drawdown.
Are we just looking at a Relative Strength line and calculating on the relative strength line or do you have something more complex in mind?
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 12/31/2004
Posts: 102
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same exact thing as above (max dd trailing 63 bars) but only on RS (v sp-500) and not absolute...
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Registered User
Joined: 12/31/2004
Posts: 102
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Should I ask the question above in the StockFinder forum?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following RealCode Indicator:
'|******************************************************************
'|*** StockFinder RealCode Indicator - Version 5.0 www.worden.com
'|*** Copy and paste this header and code into StockFinder *********
'|*** Indicator:Relative Drawdown
'|******************************************************************
Static Period As Integer = 63
Static SP500 As PriceScripting
Static Max As Single
Static Count As Integer
Static MinSince As Single
Static RS As New List(Of Single)
If isFirstBar Then
SP500 = PriceData("SP-500")
Max = Single.MinValue
Count = 0
MinSince = Single.MaxValue
RS.Clear
End If
RS.Insert(0, Price.Last / SP500.Value)
If RS(0) > Max Then
Max = RS(0)
Count = 1
MinSince = RS(0)
Else If Max = RS(0)
Count += 1
MinSince = RS(0)
Else If RS(0) < MinSince Then
MinSince = RS(0)
End If
If RS.Count > Period Then
If RS(Period) = Max Then
Count -= 1
End If
RS.RemoveAt(Period)
If Count = 0 Then
Max = RS(Period - 1)
Count = 1
MinSince = RS(Period - 1)
For i As Integer = Period - 2 To 0 Step -1
If RS(i) > Max Then
Max = RS(i)
Count = 1
MinSince = RS(i)
Else If RS(i) = Max Then
Count += 1
MinSince = RS(i)
Else If RS(i) < MinSince Then
MinSince = RS(i)
End If
Next
End If
End If
If RS.Count = Period Then
Plot = 100 * (MinSince / Max - 1)
Else
Plot = Single.NaN
End If
If isLastBar Then
RS.Clear
End If
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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