Max Drawdown Calculating Functions (Optimized)

2021년 2월 5일

Maximum Drawdown and Maximum Relative Drawdown% calculating functions.

I needed a way to calculate the maxDD% of a serie of datas from an array (the different values of my balance account). I didn't find any builtin pinescript way to do it, so here it is.

There are 2 algorithms to calculate maxDD and relative maxDD%, one non optimized needs n*(n - 1)/2 comparisons for a collection of n datas, the other one only needs n-1 comparisons.

In the example we calculate the maxDDs of the last 10 close values.

There a 2 functions : "maximum_relative_drawdown" and "maximum_dradown" (and "optimized_maximum_relative_drawdown" and "optimized_maximum_drawdown") with names speaking for themselves.

Input : an array of floats of arbitrary size (the values we want the DD of)
Output : an array of 4 values [maxDD, peak, trough, iterations]

I added the iteration number just for fun.

Basically my script is the implementation of these 2 algos I found on the net :

var peak = 0;
var n = prices.length
for (var i = 1; i < n; i++){
dif = prices[peak] - prices;
peak = dif < 0 ? i : peak;
maxDrawdown = maxDrawdown > dif ? maxDrawdown : dif;
}

var n = prices.length
for (var i = 0; i < n; i++){
for (var j = i + 1; j < n; j++){
dif = prices - prices[j];
maxDrawdown = maxDrawdown > dif ? maxDrawdown : dif;
}
}

Feel free to use it.

version=4