Maximum Drawdown and Maximum Relative Drawdown% calculating functions.
I needed a way to calculate the maxDD% of a serie of datas from an array (the different values of my balance account). I didn't find any builtin pinescript way to do it, so here it is.
There are 2 algorithms to calculate maxDD and relative maxDD%, one non optimized needs n*(n - 1)/2 comparisons for a collection of n datas, the other one only needs n-1 comparisons.
In the example we calculate the maxDDs of the last 10 close values.
There a 2 functions : "maximum_relative_drawdown" and "maximum_dradown" (and "optimized_maximum_relative_drawdown" and "optimized_maximum_drawdown") with names speaking for themselves.
Input : an array of floats of arbitrary size (the values we want the DD of) Output : an array of 4 values [maxDD, peak, trough, iterations]
I added the iteration number just for fun.
Basically my script is the implementation of these 2 algos I found on the net :
var peak = 0; var n = prices.length for (var i = 1; i < n; i++){ dif = prices[peak] - prices; peak = dif < 0 ? i : peak; maxDrawdown = maxDrawdown > dif ? maxDrawdown : dif; }
var n = prices.length for (var i = 0; i < n; i++){ for (var j = i + 1; j < n; j++){ dif = prices - prices[j]; maxDrawdown = maxDrawdown > dif ? maxDrawdown : dif; } }
@sickojacko how to get that date max drawdown happen.. Plz share ... Thanks
CurtisTerry
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Great explanation
sickojacko
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I forgot to explain the output of the functions : it's an array of 4 values : maxDD (or maxDD%) peak trough and iterations.
That's why I calculate the maxDD this way :
result = array.new_float(4)
result := maximum_relative_drawdown(array_of_values)
And I access the value like this :
maxdd := array.get(result, 0)
If you need the peak or the trough
peak := array.get(result, 1)
trough := array.get(result, 2)
TL_ID
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@sickojacko, Thanks for the explanation on this part of the code. Amazing work, thanks for sharing it.