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simple
Posted : Tuesday, December 13, 2005 10:39:29 AM
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Joined: 10/3/2005
Posts: 4
 For the Maximum Adverse Excursion (or Maximum Move Down), how would I write a PCF to give the largest price move down for any 20 trading day period over the last 200 trading days?
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Bruce_L
Posted : Tuesday, December 13, 2005 10:58:22 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
 TeleChart's MAX() function can't take formulas as an argument. This means the MAX() function itself would need to be reproduced in TeleChart's Personal Criteria Formula Language. The practical limit for the technique I use is 32 days. Unless somebody has a better technique for determining Maximum Values using PCFs, I don't see a 200 period version of the requested formula being practical in TeleChart.
-Bruce
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