Is there a Drawdown indicator?

mikesblack

#1

5/4/2016 9:31 PM

Which indicator is most like a draw down? Mike

Eugene

#2

5/4/2016 9:59 PM

Yes, there's a study (method) in Community Components:

Gain and Drawdown

mikesblack

#3

5/5/2016 8:58 PM

Thank you. Are there any coding examples in trading systems that use this?

Cone

#4

5/6/2016 7:02 AM

I don't think so. How do you want to use it? pd.DrawdownSeries is a DataSeries like any other.

Perhaps Mike is looking for what appears to be strategy/portfolio's drawdown indicator? In this case I've just updated the relevant KB article with an example of building and visualizing the portfolio drawdown % series:

WealthScript Techniques | Interacting Dynamically with Portfolio Level Equity

Scroll down to "Run an existing Strategy from disk and display its portfolio equity curve".

mikesblack

#6

5/6/2016 7:19 PM

I'm mostly interested in using it as a buy indicator. E.G. SomeValue = 20 %. If drawdown of SPX > someValue. Buy at market, or if symbol - SPX drawdown > someValue.. Buy at market. Thanks for your feedback Eugene and Robert.

Eugene

#7

5/6/2016 8:06 PM

The DrawdownSeries of GainAndDrawdown is just a DataSeries. Check out the WealthScript Programming Guide > DataSeries > Accessing a Single Value from a DataSeries

mikesblack

#8

5/9/2016 3:52 PM

Thanks Eugene, I will.

mikesblack

#9

5/9/2016 4:44 PM

I created a system with what I believe is a drawdown indicator for the .SPX. Code below.
Can you check if I am correct?
Can you help write a simple system that takes a look at the SPX and buys at market if in a drawdown of someValue is reached and sell at market when making new equity highs? It would help to make sure I'm using the code example correctly.

CODE:
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I created a system with what I believe is a drawdown indicator for the .SPX. Code below.
 Can you check if I am correct? 
Can you help write a simple system that takes a look at the SPX and buys at market if in a drawdown of someValue is reached and sell at market when making new equity highs? It would help to make sure I'm using the code example correctly.
[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;
using WealthLab.Indicators;
namespace WealthLab.Strategies
{
	public class PerformanceDataDemo : WealthScript
	{
		protected override void Execute()
		{   
			/* Edit string according to your dividend source */
			string dividenditemstring = "Dividend (Yahoo! Finance)";
			Bars bars = Bars.Symbol.GetAllDataForSymbol( this.GetDataSetName(), Bars.Scale, Bars.BarInterval );
			DataSeries ma = SMA.Series(bars.Close, 200);
			DataSeries rsi = RSI.Series(bars.Close, 2);         
			ma = Synchronize(ma);
			rsi = Synchronize(rsi);
			DataSeries atrp = ATRP.Series(Bars,5);
            
			GainAndDrawdown pd = new GainAndDrawdown(this, Bars, Date[0], Date[Bars.Count - 1], dividenditemstring);
			pd.DisplayData(PricePane);
         
			ChartPane ddPane = CreatePane(40, true, true);
			ChartPane gainPane = CreatePane(60, true, true);
         
			PlotSeries(gainPane, pd.GainSeries, Color.Green, LineStyle.Histogram, 1);
			PlotSeries(gainPane, pd.TotalReturnSeries, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(ddPane, pd.DrawdownSeries, Color.Red, LineStyle.Histogram, 1);
         
			// Compare to a benchmark.  Make sure to use sync'd Bars
			Bars bmbars = GetExternalSymbol(".SPX", true);
			GainAndDrawdown bm = new GainAndDrawdown(this, bmbars, Date[0], Date[bmbars.Count - 1], dividenditemstring);
			PlotSeries(gainPane, bm.TotalReturnSeries, Color.Black, LineStyle.Solid, 2);
			PlotSeries(ddPane, bm.DrawdownSeries, Color.Black, LineStyle.Solid, 2);  
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//Position p = LastPosition;
               
					//	bool cond3 = CrossOver(bar, rsi, 70);
					//	bool cond4 = bar - LastActivePosition.EntryBar >= 6;
               
					//	if (cond3 || cond4)
					Position p = LastPosition;
					
					bool cond1 = (Close[bar]> High[bar-1]);
					bool cond2 = CrossOver(bar, rsi, 90);
					
					if(cond1|| cond2 )
					{
						SellAtMarket(bar + 1, p, "Group1");
					}
            
				}
				else
				{
					int cntConditions = 0;
					int bcd = 0;   // bcd is the "code" of the condition that is true
               
					if (Close[bar] > ma[bar])
					{
						cntConditions++;
						bcd += 1;
					}
               
               
					if (rsi[bar] < 30)
					{
						cntConditions++;
						bcd += 10;
					}
               
					if (CumDown.Value(bar, Close, 1) >= 3)
					{
						cntConditions++;
						bcd += 100;
					}
               
					if (Date[bar].GetRemainingTradingDays() == 0)   // last trading day of month
					{
						cntConditions++;
						bcd += 1000;
					}
               
					if (Date[bar].DayOfWeek == DayOfWeek.Monday)
					{
						cntConditions++;
						bcd += 100000;
					}
					
					if (ROC.GetSeriesValue(bar,Close)<=Lowest.Value(bar,Close,5))
					{
						cntConditions++;
						bcd += 1000000;
					}
					if (pd.DrawdownSeries[bar] < -20)
					
					if (cntConditions >= 5)
					{						
						if(BuyAtMarket(bar + 1,  Bars.FormatValue(atrp[bar])) != null);
						LastActivePosition.Priority = atrp[bar];
					}
				}
			}
		}
	}

}   
[/code]

Eugene

#10

5/9/2016 5:52 PM

QUOTE:
and sell at market when making new equity highs?

CODE:
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mikesblack

#11

5/12/2016 12:27 AM

Thank you!

mikesblack

#12

5/12/2016 12:32 AM

unfortunately, no signals or trades on the S and P 500 all data.

CODE:
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Size:

Color:

unfortunately, no signals or trades on the S and P 500 all data.
[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;
using WealthLab.Indicators;
namespace WealthLab.Strategies
{
	public class PerformanceDataDemo : WealthScript
	{
		protected override void Execute()
		{   
			/* Edit string according to your dividend source */
			string dividenditemstring = "Dividend (Yahoo! Finance)";
			Bars bars = Bars.Symbol.GetAllDataForSymbol( this.GetDataSetName(), Bars.Scale, Bars.BarInterval );
			DataSeries ma = SMA.Series(bars.Close, 200);
			DataSeries rsi = RSI.Series(bars.Close, 2);         
			ma = Synchronize(ma);
			rsi = Synchronize(rsi);
			DataSeries atrp = ATRP.Series(Bars,5);
            
			GainAndDrawdown pd = new GainAndDrawdown(this, Bars, Date[0], Date[Bars.Count - 1], dividenditemstring);
			pd.DisplayData(PricePane);
         
			ChartPane ddPane = CreatePane(40, true, true);
			ChartPane gainPane = CreatePane(60, true, true);
         
			PlotSeries(gainPane, pd.GainSeries, Color.Green, LineStyle.Histogram, 1);
			PlotSeries(gainPane, pd.TotalReturnSeries, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(ddPane, pd.DrawdownSeries, Color.Red, LineStyle.Histogram, 1);
         
			// Compare to a benchmark.  Make sure to use sync'd Bars
			Bars bmbars = GetExternalSymbol(".SPX", true);
			GainAndDrawdown bm = new GainAndDrawdown(this, bmbars, Date[0], Date[bmbars.Count - 1], dividenditemstring);
			PlotSeries(gainPane, bm.TotalReturnSeries, Color.Black, LineStyle.Solid, 2);
			PlotSeries(ddPane, bm.DrawdownSeries, Color.Black, LineStyle.Solid, 2);  
			
			double newHigh = 0;
         
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
               
					bool cond1 = (Close[bar]> High[bar-1]);
					bool cond2 = CrossOver(bar, rsi, 90);
					bool cond3 = false;
               
					if (bm.GainSeries[bar] > newHigh)
					{
						cond3 = true;
						newHigh = bm.GainSeries[bar];
						SetBackgroundColor(bar,Color.FromArgb(30,Color.Blue));
					}

if(cond1|| cond2 ||cond3)
					{
						SellAtMarket(bar + 1, p, "Group1");
					}
					else
					{
						int cntConditions = 0;
						int bcd = 0;   // bcd is the "code" of the condition that is true
               
						if (Close[bar] > ma[bar])
						{
							cntConditions++;
							bcd += 1;
						}
               
               
						if (rsi[bar] < 30)
						{
							cntConditions++;
							bcd += 10;
						}
               
						if (CumDown.Value(bar, Close, 1) >= 3)
						{
							cntConditions++;
							bcd += 100;
						}
               
						if (Date[bar].GetRemainingTradingDays() == 0)   // last trading day of month
						{
							cntConditions++;
							bcd += 1000;
						}
               
						if (Date[bar].DayOfWeek == DayOfWeek.Monday)
						{
							cntConditions++;
							bcd += 100000;
						}
					
						if (ROC.GetSeriesValue(bar,Close)<=Lowest.Value(bar,Close,5))
						{
							cntConditions++;
							bcd += 1000000;
						}
						if (pd.DrawdownSeries[bar] < -20)
					
							if (cntConditions >= 5)
							{						
								if(BuyAtMarket(bar + 1,  Bars.FormatValue(atrp[bar])) != null);
								LastActivePosition.Priority = atrp[bar];
							}
					}
				}
			}
		}
	}
}
[/code]

Eugene

#13

5/12/2016 6:43 AM

Solution:

http://www.wealth-lab.com/Forum/Posts/38133, post #12
http://www.wealth-lab.com/Forum/Posts/38184, post #2

Let's trust the old adage saying that repetition is the mother of learning. Hopefully this time you get it right. But I fail to see why did you remove a curly brace that had been positioned correctly: that line of code didn't require any modification.