Max drawdown calculation

["Gary Fritz" <fritz@xxxxxxxx>]

I've always wondered exactly how TS4 calculates its "intraday 
drawdown" value.  The online help is vague, and implies that it uses 
only closed equity.  Today I finally experimented a bit until I 
figured it out.

It's not max peak-to-valley closed equity, nor is it max peak-to-
valley open equity.  It's a mix of the two:  it's the max closed 
equity minus the lowest open equity.

In case you want it, this code will compute it:

vars: OpEq(0), EqPeak(0), MaxDD(0);
OpEq = NetProfit+OpenPositionProfit;
EqPeak = MaxList(EqPeak,NetProfit);
MaxDD = MinList(MaxDD, NetProfit+MaxPositionLoss-EqPeak);

The code works only in a system.  The "position information" vars 
only work in systems.  If you want it in an indicator, something like 
this should work (but I haven't tested it):

vars: OpEq(0), EqPeak(0), MaxDD(0);
OpEq = I_OpenEquity;
EqPeak = MaxList(EqPeak,I_ClosedEquity);
MaxDD = MinList(MaxDD, I_ClosedEquity+I_MaxPosLoss-EqPeak);

Unfortunately there isn't any "I_MaxPosLoss" var.  You'd have to 
calculate that yourself.

Gary