Pseudocode Drawdown Need Help

[K-Pia]

Hi Guys,

I use mathematica as my main programing language.
However I am stuck with the drawdown calculation.
Browsed the web to find a solution but not solved.

How / What should I use to calculate it ?
Could you give me a pseudocode ?
Or the mathemica code ?

The problem is that I do not know how to
Tell it to forget past Min after a new Max...

What's the concepts / tools involved ?

 

[userque]

Hi Guys,

I use mathematica as my main programing language.
However I am stuck with the drawdown calculation.
Browsed the web to find a solution but not solved.

How / What should I use to calculate it ?
Could you give me a pseudocode ?
Or the mathemica code ?

The problem is that I do not know how to
Tell it to forget past Min after a new Max...

What's the concepts / tools involved ?

I don't code in mathematica, but I assume you are finding these mins and max's over a certain time frame.

You can use a sliding window of a set length. It moves forward for each trading day.

Or, you can keep track of previous min/max's in variables.

You really don't provide enough information (for me) to attempt writing pseudocode.

 

[K-Pia]

Well ... I am asking for a template,
How would you code it ?

I am not for a fixed interval, time frame.
But to reset the min when a new equity high is reached.
Which is to reset the timeframe at each & every new high (Max).
Then from there, DD = Max (New High) - Min (After New High)

 

[userque]

Hi Guys,

I use mathematica as my main programing language.
However I am stuck with the drawdown calculation.
Browsed the web to find a solution but not solved.

How / What should I use to calculate it ?
Could you give me a pseudocode ?
Or the mathemica code ?

The problem is that I do not know how to
Tell it to forget past Min after a new Max...

What's the concepts / tools involved ?

Maybe this helps? Not sure as I don't code mathmetica

Well ... I am asking for a template,
How would you code it ?

I am not for a fixed interval, time frame.
But to reset the min when a new equity high is reached.
Which is to reset the timeframe at each & every new high (Max).
Then from there, DD = Max (New High) - Min (After New High)

I think I understand you now.

if new high then
....max=price
....DAYS=1
end if
min=minimal value from today going back DAYS days
DAYS=DAYS+1
DD=(max-min)/min*100
----------------
If there is a new high, set the days variable to 1. This keeps track of the number of days since the new high.

Everyday, set the min to the minimal value for the last DAYS days
Everyday, recalculate DD as a percentage. It usually won't change.
Everyday, add one to DAYS

 

[userque]

If you are trying to do it un-dynamically...with static data:

Find max
Find position of max within stored data
Find min from that position to most recent data
DD=(max-min)/min*100

I could probably do it in excel without even using code, if that would help. Are you trying to do this with static data, or "real-time" as new data is added?

 

[dartmus]

This is for calculating drawdown. If u want max favorable excursion instead?... it's not much different, just change it around a bit.

if u have built-in reserved words or functions for determining position status use them or declare your own. For instance when u enter a trade assign a val of 1 or -1 to a marketposition var or reset a counter to BarsSinceEntry=0 and increment the counter everybar the position is open.

// this resets DD, pick 1 don't use both
if marketposition<>mp[1] then drawdown=0;
if barssinceentry=0 then DD=0;

// update everybar
if mp>0 then DD=maxlist(DD, entryprice-L);
if mp<0 then DD=maxlist(DD,H-entryprice);

I didn't check for accuracy. You might have to change the formulas slightly if my logic is wrong.

 

[R1234]

cumulative_equity_today = cumulative_equity_yesterday + pnl_today

peak_today = max(peak_yesterday, cumulative_equity_today)

dd = cumulative_equity_today - peak_today

the above assumes a non compounded return stream. slight tweak will make it work for compounded.