7 or 14 day indicator to help with minimizing drawdown exposure

• 08/12/2024 at 10:39 AM #236335
  Kovit

  Hello fellow speculators,

  Can anyone recommend an indicator that helps to reduce market entries when the market takes a big dip into drawdown over a 7 or 14 day period.

  As always any helps or advice appreciated.

  Best of luck in your own trading endeavors.

   

   

   

  

  Kovit

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  08/12/2024 at 12:07 PM #236339
  robertogozzi

  The DrawDown is calculated on trades, so indicators need to simulate trades to be able to calculate it.

  I’ll code an example later today.

   

   

   

  1 user thanked author for this post.

  Kovit

  

  robertogozzi

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  08/12/2024 at 12:11 PM #236340
  Kovit

  Thank you Roberto.

  

  Kovit

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  08/12/2024 at 12:23 PM #236341
  Kovit

  I remember reading a year or two ago about overlaying your past trading system history performance over the top of your current system to highlight any potential weaknesses or drawdowns.

  Apologies I’ve just rejoined the forum is this still viable ?

  Many thanks in advance.

   

  

  Kovit

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  08/12/2024 at 4:59 PM #236346
  robertogozzi

  No problem Kovit, this is the code of a strategy that you can backtest and it will show you (with GRAPH) the DrawDown:

  // DrawDown // ONCE Capital = 10000 ONCE MinPoint = Capital ONCE MaxPoint = 0 ONCE MaxDD = 0 //------------------------------------------ // EQUITY Equity = Capital + StrategyProfit TempProfit = PositionPerf * PositionPrice / PipSize * PipValue // / abs(CountOfPosition) TempEquity = Equity + TempProfit //------------------------------------------ // DrawDown MaxPoint = max(MaxPoint,TempEquity) DD = MaxPoint - TempEquity MaxDD = max(MaxDD,DD) DDperc = MaxDD * 100 / Capital // //------------------------------------------ // Sma20 = average[20,0](close) xOver = close CROSSES OVER Sma20 xUnder = close CROSSES UNDER Sma20 // IF Not OnMarket THEN IF xOver THEN BUY 1 Contract at Market ELSIF xUnder THEN SELLSHORT 1 Contract at Market ENDIF SET TARGET %PROFIT 2 SET STOP %LOSS 1 ENDIF // graph MaxDD AS "DrawDown" coloured("Red") //graph DDperc AS "DrawDown %" coloured("Green")

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  // DrawDown // ONCE Capital  = 10000 ONCE MinPoint = Capital ONCE MaxPoint = 0 ONCE MaxDD    = 0 //------------------------------------------ //       EQUITY Equity        = Capital + StrategyProfit TempProfit    = PositionPerf * PositionPrice / PipSize * PipValue //   / abs(CountOfPosition) TempEquity    = Equity + TempProfit //------------------------------------------ //       DrawDown MaxPoint      = max(MaxPoint,TempEquity) DD            = MaxPoint - TempEquity MaxDD         = max(MaxDD,DD) DDperc        = MaxDD * 100 / Capital // //------------------------------------------ // Sma20  = average[20,0](close) xOver  = close CROSSES OVER  Sma20 xUnder = close CROSSES UNDER Sma20 // IF Not OnMarket THEN    IF xOver THEN       BUY 1 Contract at Market    ELSIF xUnder THEN       SELLSHORT 1 Contract at Market    ENDIF    SET TARGET %PROFIT 2    SET STOP   %LOSS   1 ENDIF // graph MaxDD  AS "DrawDown"   coloured("Red") //graph DDperc AS "DrawDown %" coloured("Green")

  in the strategy you can use MaxDD to make decisions on what to do with your trades. The attached pic X shows that the DrawDown is almost equal to that of the backtest (just a few euros, due to rounding, I guess).

  This is the same code (which simulates the same trades) to be used as an indicator:

  //------------------------------------------ // ONCE OnMarketStatus = 0 NotOnMarketStatus = Not OnMarketStatus ONCE LongStatus = 0 ONCE ShortStatus = 0 // ONCE SL = 1 ONCE TP = SL * 2 // IF LongStatus THEN myProfit = close - myPositionPrice myPositionPerf = myProfit / myPositionPrice IF myProfit >= myPositionPrice THEN myStrategyProfit = myStrategyProfit + (myProfit / PipSize * PipValue) LongStatus = 0 OnMarketStatus = 0 NotOnMarketStatus = Not OnMarketStatus ELSIF myProfit < myPositionPrice THEN myStrategyProfit = myStrategyProfit - (myProfit / PipSize * PipValue) LongStatus = 0 OnMarketStatus = 0 NotOnMarketStatus = Not OnMarketStatus ENDIF ELSIF ShortStatus THEN myProfit = myPositionPrice - close myPositionPerf = myProfit / myPositionPrice IF myProfit >= myPositionPrice THEN myStrategyProfit = myStrategyProfit + (myProfit / PipSize * PipValue) ShortStatus = 0 OnMarketStatus = 0 NotOnMarketStatus = Not OnMarketStatus ELSIF myProfit < myPositionPrice THEN myStrategyProfit = myStrategyProfit - (myProfit / PipSize * PipValue) ShortStatus = 0 OnMarketStatus = 0 NotOnMarketStatus = Not OnMarketStatus ENDIF ENDIF //------------------------------------------ // DrawDown // ONCE Capital = 10000 ONCE MinPoint = Capital ONCE MaxPoint = 0 ONCE MaxDD = 0 //------------------------------------------ // EQUITY Equity = Capital + myStrategyProfit TempProfit = myPositionPerf * myPositionPrice / PipSize * PipValue // / abs(CountOfPosition) TempEquity = Equity + TempProfit //------------------------------------------ // DrawDown MaxPoint = max(MaxPoint,TempEquity) DD = MaxPoint - TempEquity MaxDD = max(MaxDD,DD) DDperc = MaxDD * 100 / Capital // //------------------------------------------ // Sma20 = average[20,0](close) xOver = close CROSSES OVER Sma20 xUnder = close CROSSES UNDER Sma20 // IF NotOnMarketStatus THEN LongStatus = 0 ShortStatus = 0 IF xOver THEN Entry = close myPositionPrice = Entry LongStatus = 1 ShortStatus = 0 OnMarketStatus = 1 ELSIF xUnder THEN Entry = close myPositionPrice = Entry ShortStatus = 1 OnMarketStatus = 1 NotOnMarketStatus = Not OnMarketStatus myPositionPerf = 0 ENDIF NotOnMarketStatus = Not OnMarketStatus myPositionPerf = 0 ENDIF // RETURN MaxDD AS "DrawDown"//,DDperc AS "DrawDown %"

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  //------------------------------------------ // ONCE OnMarketStatus = 0 NotOnMarketStatus   = Not OnMarketStatus ONCE LongStatus     = 0 ONCE ShortStatus    = 0 // ONCE SL = 1 ONCE TP = SL * 2 // IF LongStatus THEN myProfit       = close - myPositionPrice myPositionPerf = myProfit / myPositionPrice IF myProfit >= myPositionPrice THEN myStrategyProfit  = myStrategyProfit + (myProfit / PipSize * PipValue) LongStatus        = 0 OnMarketStatus    = 0 NotOnMarketStatus = Not OnMarketStatus ELSIF myProfit < myPositionPrice THEN myStrategyProfit = myStrategyProfit - (myProfit / PipSize * PipValue) LongStatus        = 0 OnMarketStatus    = 0 NotOnMarketStatus = Not OnMarketStatus ENDIF ELSIF ShortStatus THEN myProfit       = myPositionPrice - close myPositionPerf = myProfit / myPositionPrice IF myProfit >= myPositionPrice THEN myStrategyProfit  = myStrategyProfit + (myProfit / PipSize * PipValue) ShortStatus       = 0 OnMarketStatus    = 0 NotOnMarketStatus = Not OnMarketStatus ELSIF myProfit < myPositionPrice THEN myStrategyProfit  = myStrategyProfit - (myProfit / PipSize * PipValue) ShortStatus       = 0 OnMarketStatus    = 0 NotOnMarketStatus = Not OnMarketStatus ENDIF ENDIF //------------------------------------------ // DrawDown // ONCE Capital  = 10000 ONCE MinPoint = Capital ONCE MaxPoint = 0 ONCE MaxDD    = 0 //------------------------------------------ //       EQUITY Equity        = Capital + myStrategyProfit TempProfit    = myPositionPerf * myPositionPrice / PipSize * PipValue //   / abs(CountOfPosition) TempEquity    = Equity + TempProfit //------------------------------------------ //       DrawDown MaxPoint      = max(MaxPoint,TempEquity) DD            = MaxPoint - TempEquity MaxDD         = max(MaxDD,DD) DDperc        = MaxDD * 100 / Capital // //------------------------------------------ // Sma20   = average[20,0](close) xOver   = close CROSSES OVER  Sma20 xUnder  = close CROSSES UNDER Sma20 // IF NotOnMarketStatus THEN LongStatus  = 0 ShortStatus = 0 IF xOver THEN Entry             = close myPositionPrice   = Entry LongStatus        = 1 ShortStatus       = 0 OnMarketStatus    = 1 ELSIF xUnder THEN Entry             = close myPositionPrice   = Entry ShortStatus       = 1 OnMarketStatus    = 1 NotOnMarketStatus = Not OnMarketStatus myPositionPerf    = 0 ENDIF NotOnMarketStatus   = Not OnMarketStatus myPositionPerf      = 0 ENDIF // RETURN MaxDD AS "DrawDown"//,DDperc AS "DrawDown %"

   

  in this case the DrawDown shows a significant difference (as from attached pic Y), due to slippage and exit at the closing of a bar.

   

   

   

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  Iván

  

  robertogozzi

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  08/12/2024 at 5:04 PM #236349
  robertogozzi

  I am attaching the ITF files for both the Indicator and Strategy.

   

  

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