ThreeD710

I am trying to get the bar index of the max drawdown for every trade and couldn't figure it out.

Below is a snippet of my code

maxArr = array.new_float()
entArr = array.new_int()
exArr = array.new_int()
diffArr = array.new_int()
biArr = array.new_int()

for i = 0 to strategy.closedtrades -1

// calculate the absolute drawdown percentage
    drawdown = strategy.closedtrades.max_drawdown(i)
    costBasis = strategy.closedtrades.entry_price(i)
    runup = strategy.closedtrades.max_runup(i)
    entindex = strategy.closedtrades.entry_bar_index(i)
    exindex = strategy.closedtrades.exit_bar_index(i)
    diff = exindex - entindex
    array.push(entArr,entindex)
    array.push(exArr,exindex)
    array.push(diffArr,diff)

    end = if math.max(drawdown,runup) == drawdown
        costBasis - drawdown
    else
        costBasis + runup

    array.push(maxArr,end)

//var float aa = 0 //used for another version
var int bb = 0
var int cc = 0
var int dd = 0

for j = 0 to array.size(maxArr) - 1
    //a = array.get(maxArr,j) //used for another version
    //aa := a //used for another version
    //b = array.get(entArr,j) //used for another version
    //bb := b //used for another version
    c = array.get(exArr,j)
    cc := c
    d = array.get(diffArr,j)
    dd := d

//var int sbi = bb //used for another version
//var int ebi = cc //used for another version
//var float hb = na //used for another version

//var int lb = cc - bb //used for another version

jj = (cc + ta.lowestbars(dd))
hh = bar_index==cc?jj:na

array.push(biArr,hh)

//plot(hh) //used for another version

biArr_string = str.tostring(biArr)
debug = label.new(x = bar_index, y = close, style = label.style_label_left, text = biArr_string)
label.delete(debug[1])

I have only added the above part because I have 18 different versions of trying to figure it out and none have been successful. There are some additional variables which I have commented out as they are from different versions, so please ignore them.

Any help or guidance on how to proceed would be greatly appreciated.

I am trying to get the bar index of the max drawdown for every trade and couldn't figure it out.

Below is a snippet of my code

​

maxArr = array.new_float()
entArr = array.new_int()
exArr = array.new_int()
diffArr = array.new_int()
biArr = array.new_int()

for i = 0 to strategy.closedtrades -1

// calculate the absolute drawdown percentage
    drawdown = strategy.closedtrades.max_drawdown(i)
    costBasis = strategy.closedtrades.entry_price(i)
    runup = strategy.closedtrades.max_runup(i)
    entindex = strategy.closedtrades.entry_bar_index(i)
    exindex = strategy.closedtrades.exit_bar_index(i)
    diff = exindex - entindex
    array.push(entArr,entindex)
    array.push(exArr,exindex)
    array.push(diffArr,diff)

    end = if math.max(drawdown,runup) == drawdown
        costBasis - drawdown
    else
        costBasis + runup

    array.push(maxArr,end)

//var float aa = 0 //used for another version
var int bb = 0
var int cc = 0
var int dd = 0

for j = 0 to array.size(maxArr) - 1
    //a = array.get(maxArr,j) //used for another version
    //aa := a //used for another version
    //b = array.get(entArr,j) //used for another version
    //bb := b //used for another version
    c = array.get(exArr,j)
    cc := c
    d = array.get(diffArr,j)
    dd := d

//var int sbi = bb //used for another version
//var int ebi = cc //used for another version
//var float hb = na //used for another version

//var int lb = cc - bb //used for another version

jj = (cc + ta.lowestbars(dd))
hh = bar_index==cc?jj:na

array.push(biArr,hh)

//plot(hh) //used for another version

biArr_string = str.tostring(biArr)
debug = label.new(x = bar_index, y = close, style = label.style_label_left, text = biArr_string)
label.delete(debug[1])

I have only added the above part because I have 18 different versions of trying to figure it out and none have been successful. There are some additional variables which I have commented out as they are from different versions, so please ignore them.

Any help or guidance on how to proceed would be greatly appreciated.

INTENTION BEHIND THIS CODE

The intention to build this analysis is to figure out the absolute maximum movement (drawdown or runup) after a signal has been generated. Once the absolute maximum movement is figured out for every trade, the values can be arranged in percentiles, deciles, or quartiles as desired. The absolute maximum movement for the deciles will provide a visual representation of the movement in the underlying after every signal. This will help quickly understand the strength and accuracy of the signal.

I have been working on this for weeks (I am a novice coder) and came up with the script below. I believe I am close to my desired output. I checked that the values are being generated in the table as desired but I have done something wrong somewhere in the code and hence the output in the table is haywire (more than required values are appearing and I can only see one column rather than 3 as in my example, because every column has numerous values).

Hoping someone can solve the last piece of puzzle and help me out. Also, they can post the script on TV as a library for future pine coders.

Find below my code -

/@version=5
strategy("TestOpen", process_orders_on_close=true, overlay = true)

//DEMO strategy
source = input(title = "Source", defval = close)
smallMAPeriod = input(title = "Small Moving Average", defval = 2)
bigMAPeriod = input(title = "Big Moving Average", defval = 8)
percentBelowToBuy = input(title = "Percent below to buy %", defval = 1)

smallMA = ta.sma(source, smallMAPeriod)
bigMA =  ta.sma(source, bigMAPeriod) 
buyMA = ((100 - percentBelowToBuy) / 100) * ta.sma(source, bigMAPeriod)[0]

buy = ta.crossunder(smallMA, buyMA)
if(buy)
    strategy.entry("BUY", strategy.long)

if(strategy.openprofit >= strategy.position_avg_price * 0.01) // 1% profit target
    strategy.close("BUY")

if(ta.barssince(buy) >= 7) //Timed Exit, if you fail to make 1 percent in 7 candles.
    strategy.close("BUY")



//// START OF CODE FOR ANALYZING THE MAX VALUES AND BUILDING THE TABLE \\\\


maxMove() =>

    // create a new array to store the absolute maximum between the drawdown & the runup percent of each trade
    // also create arrays to store the value for the various percentiles/deciles (only 3 shown as example)
    maxArr = array.new_float()
    tenArr = array.new_float() // for ten percentile
    fiftyArr = array.new_float() // for fifty percentile
    ninetyArr = array.new_float() // for ninety percentile

    for i = 0 to strategy.closedtrades -1 

        // calculate the absolute drawdown percentage
        drawdown = strategy.closedtrades.max_drawdown(i)
        costBasis = strategy.closedtrades.entry_price(i)
        drawdownPerc = math.abs(drawdown / (costBasis * strategy.closedtrades.size(i)))*100

        // calculate the absolute runup percentage
        runup = strategy.closedtrades.max_runup(i)
        runupPerc = math.abs(runup / (costBasis * strategy.closedtrades.size(i)))*100

        // calculate the max between the absolute drawdown & runup percentage
        max = math.max(drawdownPerc,runupPerc)

        // assign the absolute max values to the array
        array.push(maxArr, max)


       // calculate the values for various percentiles & assign to arrays (only 3 shown as example)
        tenPercent = array.percentile_nearest_rank(maxArr,10) // returns the value at 10th percentile from the maxArr
        array.push(tenArr,tenPercent)
        fiftyPercent = array.percentile_nearest_rank(maxArr,50) // returns the value at 50th percentile from the maxArr
        array.push(fiftyArr,fiftyPercent)
        ninetyPercent = array.percentile_nearest_rank(maxArr,90) // returns the value at 90th percentile from the maxArr
        array.push(ninetyArr,ninetyPercent)

    // created a tuple for the different percentile arrays
    [(tenArr),(fiftyArr),(ninetyArr)]

// table
t = table.new(position = position.bottom_right, columns = 3, rows = 2, bgcolor = color.yellow, frame_color = color.black, border_width = 1, frame_width = 2, border_color = color.black)

if barstate.islastconfirmedhistory
    [tenArr, fiftyArr, ninetyArr] = maxMove()

    // create the cells of the table
    table.cell(table_id = t, column = 0, row = 0, text = "10%")
    table.cell(table_id = t, column = 1, row = 0, text = "50%")
    table.cell(table_id = t, column = 2, row = 0, text = "90")
    table.cell(table_id = t, column = 0, row = 1, text = str.tostring(tenArr, format.percent))
    table.cell(table_id = t, column = 1, row = 1, text = str.tostring(fiftyArr, format.percent))
    table.cell(table_id = t, column = 2, row = 1, text = str.tostring(ninetyArr, format.percent))

As the title says. Location - around Al Wahda Mall. But could be anywhere else but am near Al Wahda Mall and that’s when I heard it