I needed to see what the max Drawdown was for a specific security, and so I wrote this script. Maybe others might also find it useful. Here I apply it to the Russel 2000 index. The Russel 2000 index has been gone down quite consistently recently. So someone might wonder how weird is that, and from this index you can see that we are still a long way before the bottom.
As I write today on the 12th May, this script is very useful! Thank you for sharing :)
Jittra
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If it has lower line it would be a killer.
TylerDurden08
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@Jittra, Make that happen, I know you have skills.
piespe
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@Jittra, I am sorry, I don't understand the request. Sure, feel free to improve it. But do explain also what was it missing :-)
Jittra
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@piespe, The max drawdown is the upper line right so what if 'minimum' darwdawn is on the bottom to determine level to long and short?
piespe
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@Jittra, the minimum drawdown is 0. Every time you reach an ATH, the drawdown reaches 0. And it never goes below that. And the line for the minimum drawdown is the line below y=0. I don't think it needs to be drawn.
ducmba
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Good job ! Many thanks
mtahreemalam
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@piespe , is it possible for you to calculate max strategy drawdown?
DL_INVEST
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Thank you !
brianschnell
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Really interesting chart. I appreciate the visual between the current and max drawdown. It helps to put the current correction into historical context. Thanks!