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OPEN-SOURCE SCRIPT

trailing_drawdown

By palitoj_endthen
Updated

Description:
Drawdown was a tool to measure historical risk, derived from measuring current wealth from its previous peak, casually from portfolio construction (weights allocation), will consider to having a minimum drawdown. In this indicator, the drawdown for individual assets is utilized to measure its value or percentage from its trailing peak (default to 1-yr period).

Drawdown:
drawdown = (price/peaks)-1

Feature:
  • Static: display drawdown as percentage
  • Dynamic: display drawdown as value
Release Notes
Update chart

Feature:
snapshot
Release Notes
a slight adjustment on the array, and add current-level horizontal line options
Release Notes
.
Release Notes
group and default lookback period adjustment
drawdownhistoricalriskHistorical VolatilityPortfolio managementriskstatistics

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.

Want to use this script on a chart?

palitoj_endthen

Disclaimer

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