OPEN-SOURCE SCRIPT
已更新 Drawdown Range

Hello death eaters, presenting a unique script which can be used for fundamental analysis or mean reversion based trades.
Process of deriving this table is as below:
For example, from the below chart of
AAPL

We can deduce following,
Lets take another example of
TSLA

Stock is trading at 21-22% below ATH. But, historically the max drawdown range where stock has traded is within 0-1%. Now, if we make this range to show 20 divisions instead of 100, it will look something like this:

Table suggests that stock is trading about 20-25% below ATH - which is right. But, table also suggests that stock has spent most number of days within this drawdown range when we divide it by 20 baskets instad of 100. I would probably wait for price to break out of this range before going long or short. At present, it seems a stage ranging stage. I might think about selling PUTs or covered CALLs outside this range.
Similarly, if you look at
SPY, 36% of the time, price has stayed within 5% from ATH - makes it a compelling bull case!!

BABA is trading at 50-55% below ATH - which is the most it has retraced so far. In general, it is used to be within 15-20% from ATH

NOW, Bit of explanation on input options.
Number of Ranges : Says how many baskets the drawdown map needs to be divided into.
Reference : You can take ATH as reference or chose a time window between which the highest need to be considered for drawdown. This can be useful for megacaps which has gone beyond initial phase of uncertainity. There is no point looking at 80% drawdown AAPL had during 1990s. More approriate to look at it post 2000s where it started making higher impact and growth.
Cumulative Percentage : When this is unchecked, percentage division shows 0-nth percentage instad of percentage ranges. For example this is how it looks on SPY:

We can see that SPY has remained within 6% from ATH for more than 50% of the time.
Hope this is helpful. Happy trading :)
PS: this can be used in conjunction with Drawdown-Price-vs-Fundamentals to pick value stocks at discounted price while also keeping an eye on range tendencies of it.
Thanks to mattX5 for the ideas and discussion today :)
Process of deriving this table is as below:
- Find out ATH for given day
- Calculate the drawdown from ATH for the day and drawdown percentage
- Based on the drawdown percentage, increment the count of basket which is based on input iNumber of ranges. For example, if number of ranges is 5, then there will be 5 baskets. First basket will fit drawdown percentage 0-20% and each subsequent ones will accommodate next 20% range.
- Repeat the process from start to last bar. Once done, table will plot how much percentage of days belong to which basket.
For example, from the below chart of
We can deduce following,
- Historically stock has traded within 1% drawdown from ATH for 6.59% of time. This is the max amount of time stock has stayed in specific range of drawdown from ATH.
- Stock has traded at the drawdown range of 82-83% from ATH for 0.17% of time. This is the least amount of time the stock has stayed in specific range of drawdown from ATH.
- At present, stock is trading 2-3% below ATH and this has happened for about 2.46% of total days in trade
- Maximum drawdown the stock has suffered is 83%
Lets take another example of
Stock is trading at 21-22% below ATH. But, historically the max drawdown range where stock has traded is within 0-1%. Now, if we make this range to show 20 divisions instead of 100, it will look something like this:
Table suggests that stock is trading about 20-25% below ATH - which is right. But, table also suggests that stock has spent most number of days within this drawdown range when we divide it by 20 baskets instad of 100. I would probably wait for price to break out of this range before going long or short. At present, it seems a stage ranging stage. I might think about selling PUTs or covered CALLs outside this range.
Similarly, if you look at
NOW, Bit of explanation on input options.
Number of Ranges : Says how many baskets the drawdown map needs to be divided into.
Reference : You can take ATH as reference or chose a time window between which the highest need to be considered for drawdown. This can be useful for megacaps which has gone beyond initial phase of uncertainity. There is no point looking at 80% drawdown AAPL had during 1990s. More approriate to look at it post 2000s where it started making higher impact and growth.
Cumulative Percentage : When this is unchecked, percentage division shows 0-nth percentage instad of percentage ranges. For example this is how it looks on SPY:
We can see that SPY has remained within 6% from ATH for more than 50% of the time.
Hope this is helpful. Happy trading :)
PS: this can be used in conjunction with Drawdown-Price-vs-Fundamentals to pick value stocks at discounted price while also keeping an eye on range tendencies of it.
Thanks to mattX5 for the ideas and discussion today :)
版本注释
Added tickerid to table for easy identification版本注释
Fixed intermittent array index out of bounds issue版本注释
Convert to pine5版本注释
Fixed runtime issue版本注释
Fix issue related to old logger library.开源脚本
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这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。
开源脚本
本着TradingView的真正精神,此脚本的创建者将其开源,以便交易者可以查看和验证其功能。向作者致敬!虽然您可以免费使用它,但请记住,重新发布代码必须遵守我们的网站规则。
Trial - trendoscope.io/trial
Subscribe - trendoscope.io/pricing
Blog - docs.trendoscope.io
Subscribe - trendoscope.io/pricing
Blog - docs.trendoscope.io
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。