Click here to Login








Maximum Drawdown Indicator

by bug man, 5108 days ago
Share |


The maximum drawdown is equal to the highest drawdown value over a given period of time. In a trading system, it refers to the largest drop (could be expressed as a percentage) of your portfolio.

This technical analysis indicator can be applied to any price series or indicator. It performs the maximum drawdown calculation over a specific number of past bars and using a long or short logic.
The drawdown calculation is different depending on the long/short logic. This means that you can apply this maximum drawdown indicator with the long/normal logic if you want to get the largest drop in a time-series from its highest value and use the short logic if you are looking for the largest increase from its lowest value (Same as when shorting stocks).

The maximum drawdown is a very important metric when analyzing the performance of a trading system. Traders always try to develop and create new money management rules and strategies in order to reduce the maximum drawdown of their portfolio.
I often use and include this indicator in my trend following strategies. The function allows me to search for stocks with a steady increase or decrease in price. To do this, I use the following trading rule:
MaxDrawdown(close, 50, 1) > -2

This trading rule calculates the maximum drawdown of the close price over the previous 50 bars and then returns a signal if the maximum drawdown is higher than 2% (lower than -2). It also means: Give me stocks that never decreased more than 2% from their peak in the last 50 trading bars.

For current drawdown function, here are two trading objects I have created: Current Drawdown of any Price Series or Indicator and Drawdown: Long and Short.




You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 717


Country:
All

Market: All

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Stock Market Prediction with QuantShare

Stock Market Prediction

Trading Indicators using the Rank and Percentile functions

How to Create Custom Metrics for Your Trading Positions

How to search for a trading item

How to create market indicators using the composite function - Part 3

How to create market indicators using the composite function - Part 2

Create a Pivot Table that displays the Relative Strength Index - RSI

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.