DrawDown Equity

• 08/22/2016 at 3:42 PM #12055
  Pascal

  Bonjour,

  Je souhaite créer un indicateur graphique du drawdown equity.  Je vous soumets donc une stratégie (qui ne financera pas les prochaines vacances de Nicolas ou la nouvelle voiture d’Aston, puisque ce sont les siennes qui vont tout financer :D).

  Je n’ai pas réussit à trouver la bonne formule du pourcentage issu du résultat entre la balance et l’équité.

  Vous avez 2h ! hahA ! (SVP mettez au moins 2h, ça fait des jours que j’essaie)

  Defparam Cumulateorders = False Rem [Points Pivots Journaliers] // Merci Noobywan, Aston If dayofweek <> 1 THEN Ht = DHigh(1) Bs = DLow(1) C = DClose(1) Endif If dayofweek=5 then Htfriday=Dhigh(0) BsFriday=Dlow(0) CFriday=Dclose(0) Endif If dayofweek=1 then Ht = Htfriday Bs = BsFriday C = CFriday Endif Pivot = (Ht + Bs + C) / 3 Res3 = Pivot + ((Ht - Bs)*2) Res2 = Pivot + Ht - Bs Res1 = (2 * Pivot) - Bs //Sup1 = (2 * Pivot) - Ht //Sup2 = Pivot - (Ht - Bs) //Sup3 = Pivot - ((Ht - Bs)*2) Rem [Détection de la Tendance] C1 = close > average[1000] Rem [Réinitialisation] If intradaybarindex = 1 then UnTradeParJourRes1 = 0 UnTradeParJourRes2 = 0 UnTradeParJourRes3 = 0 //UnTradeParJourPivot = 0 //UnTradeParJourSup1 = 0 //UnTradeParJourSup2 = 0 //UnTradeParJourSup3 = 0 Endif Rem [Condition d'Achat] //If C1 and close crosses over Sup3 and UnTradeParJourSup3 = 0 then //buy 10 contract at market //UnTradeParJourSup3= 1 //Endif //If C1 and close crosses over Sup2 and UnTradeParJourSup2= 0 then //buy 1 contract at market //UnTradeParJourSup2= 1 //Endif //If C1 and close crosses over Sup1 and UnTradeParJourSup1= 0 then //buy 1 contract at market //UnTradeParJourSup1= 1 //Endif //If C1 and close crosses over Pivot and UnTradeParJourPivot= 0 then //buy 1 contract at market //UnTradeParJourPivot= 1 //Endif If C1 and close crosses over Res1 and UnTradeParJourRes1 = 0 then buy 10 contract at market UnTradeParJourRes1= 1 Elsif C1 and close crosses over Res2 and UnTradeParJourRes2 = 0 then buy 10 contract at market UnTradeParJourRes2= 1 Elsif C1 and close crosses over Res3 and UnTradeParJourRes3= 0 then buy 10 contract at market UnTradeParJourRes3= 1 Endif Rem [Conditions de Sortie] If longonmarket and close < dlow(1) and dayofweek <> 1 then sell at market Elsif longonmarket and dayofweek = 1 and close < bsfriday then sell at market Endif Rem [Drawdown Equity] Floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize + strategyprofit // Thanks Grizzly, Nicolas DrawdownEquity = (((strategyprofit)/Floatingprofit)-1)*(-100) LevelZero = 0 If DrawdownEquity > 0 then DrawdownEquityPositive = 1 Else DrawdownEquityPositive = 0 Endif If DrawdownEquityPositive = 1 then Red = 0 Green = DrawdownEquity Else Green = 0 Red = DrawdownEquity Endif Rem [Graph] graph Green coloured (0,255,0) graph Red coloured (255,0,0) graph Levelzero coloured (0,0,0)

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  Defparam Cumulateorders = False   Rem          [Points Pivots Journaliers] // Merci Noobywan, Aston   If dayofweek <> 1 THEN Ht = DHigh(1) Bs = DLow(1) C = DClose(1) Endif If dayofweek=5 then Htfriday=Dhigh(0) BsFriday=Dlow(0) CFriday=Dclose(0) Endif If dayofweek=1 then Ht = Htfriday Bs = BsFriday C = CFriday Endif Pivot = (Ht + Bs + C) / 3 Res3 = Pivot + ((Ht - Bs)*2) Res2 = Pivot + Ht - Bs Res1 = (2 * Pivot) - Bs //Sup1 = (2 * Pivot) - Ht //Sup2 = Pivot - (Ht - Bs) //Sup3 = Pivot - ((Ht - Bs)*2)   Rem          [Détection de la Tendance]   C1 = close > average[1000]   Rem          [Réinitialisation] If intradaybarindex = 1 then UnTradeParJourRes1 = 0 UnTradeParJourRes2 = 0 UnTradeParJourRes3 = 0 //UnTradeParJourPivot = 0 //UnTradeParJourSup1 = 0 //UnTradeParJourSup2 = 0 //UnTradeParJourSup3 = 0 Endif   Rem          [Condition d'Achat]   //If  C1 and close crosses over Sup3 and UnTradeParJourSup3 = 0 then //buy 10 contract at market //UnTradeParJourSup3= 1 //Endif //If  C1 and close crosses over Sup2 and UnTradeParJourSup2= 0 then //buy 1 contract at market //UnTradeParJourSup2= 1 //Endif //If  C1 and close crosses over Sup1 and UnTradeParJourSup1= 0 then //buy 1 contract at market //UnTradeParJourSup1= 1 //Endif //If  C1 and close crosses over Pivot and UnTradeParJourPivot= 0 then //buy 1 contract at market //UnTradeParJourPivot= 1 //Endif If  C1 and  close crosses over Res1 and UnTradeParJourRes1 = 0 then buy 10 contract at market UnTradeParJourRes1= 1 Elsif C1 and  close crosses over Res2 and UnTradeParJourRes2 = 0 then buy 10 contract at market UnTradeParJourRes2= 1 Elsif C1 and close crosses over Res3 and UnTradeParJourRes3= 0 then buy 10 contract at market UnTradeParJourRes3= 1 Endif   Rem          [Conditions de Sortie]   If longonmarket and close < dlow(1) and dayofweek <> 1 then sell at market Elsif longonmarket and dayofweek = 1 and close < bsfriday then sell at market Endif   Rem          [Drawdown Equity]   Floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize + strategyprofit   // Thanks Grizzly, Nicolas DrawdownEquity = (((strategyprofit)/Floatingprofit)-1)*(-100) LevelZero = 0   If DrawdownEquity > 0 then DrawdownEquityPositive = 1 Else DrawdownEquityPositive = 0 Endif   If DrawdownEquityPositive = 1 then Red = 0 Green = DrawdownEquity Else Green = 0 Red = DrawdownEquity Endif   Rem          [Graph]   graph Green coloured (0,255,0) graph Red coloured (255,0,0) graph Levelzero coloured (0,0,0)

   

  

  Pascal

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  08/22/2016 at 9:16 PM #12083
  Nicolas

  Moi je verrai cela plutôt comme ça:

  InitialCapital = 10000 Floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize DrawdownEquity = Floatingprofit/(strategyprofit+InitialCapital)*100

  1 2 3

  InitialCapital = 10000 Floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize DrawdownEquity = Floatingprofit/(strategyprofit+InitialCapital)*100

  On a ainsi la véritable équité en fonction des profits acquis et du capital initial. Ensuite on peut en déterminer en pourcentage le gain du/des trades actuels.

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  Pascal

  

  Nicolas

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