Editors' picksOPEN-SOURCE SCRIPT

Max Drawdown Calculating Functions (Optimized)

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
codedrawdownmaximumOscillators

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.

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