BullScript: 20% Drawdown Stop Loss

20% Drawdown Stop Loss

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Category: BullCharts
Forum Name: BullScript
Forum Discription: Technical discussion related specifically to the BullScript programming language.
URL: http://www.bullcharts.com.au/forum/forum_posts.asp?TID=350
Printed Date: 11 Apr 2025 at 12:00pm
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Topic: 20% Drawdown Stop Loss

Posted By: Aakash
Subject: 20% Drawdown Stop Loss
Date Posted: 16 Apr 2006 at 9:06am

Hi,

I am trying to construct Alan Hull's 20% Drawdown Stop Loss indicator, however have not been succesfull. I cant find the expression for the value that is a 52 week high. The logic I am trying to work on is as below -

"A Value that is a 20% drawdown from the highest closing price in the past 12 months. The 20% drawdown price level should be represented by a line on a price chart. This stop loss moves up each time the price activity makes a new high, however, that the stop loss doesn't fall when price activity retreats."

Please can someone assist me with this ?

In anticipation.

Regards,

Replies:

Posted By: Owen
Date Posted: 17 Apr 2006 at 6:59pm

Askash, you can do it by modifying Bullcharts' built-in Wilson Trailing Stop. e.g.

[Color=Green; Target=Price]
TDate:=InputDate("Date of trend", date(2004,6,25));
HoldingDays:=BarsSince(OnOrSkipped(TDate));

Stop:=HHV(c, 250)*0.8;
ValueB:= If(Stop>PREV(undefined),Stop,If(Stop<=PREV(undefined), PREV(undefined),Stop*Holdingdays));
ValueB

The main modification is the definition of stop. Here I use HHV(c, 250)*0.8, to get a line that is 80% of the highest close in the last 250 trading days. The other parts of the formula are used to make the line go up, starting from your trading date. I don't actually understand how they work though. I think it uses something that is not explained by Bullscript's manual. If Peter is still around perhaps he would care to explain.

Posted By: Aakash
Date Posted: 17 Apr 2006 at 9:02pm

Hi Owen,

Thanks very much for your response, however, it still seems to run into problems ... I tried that , say for BHP, whose 52 week high is 30.24 and with that the 20% drop would be 24.20. When this formula is applied the value comes to be 32.42 ...

The closest I got constructing the 20%drawdown was modifying the Simple - Stop Loss ... but it is not scaling ... :(

Wish we could debug the script to see the values it obtains as it progresses through the function ....

Thanks anyways ...

Cheers,

Aakash

Posted By: Owen
Date Posted: 18 Apr 2006 at 12:32am

Aakash, I use the exact same formula and it seems to work OK.

Posted By: Aakash
Date Posted: 18 Apr 2006 at 4:40pm

Hi Owen,

Thanks, I will try it again. Are you changing anything in the formula ? e.g.
1. Are you running with the default input date of 2004,6,25 or modyfying it ?
2. Do you change that 250 to reflect it as 365 (to make it 12 months) ?
3. Do I need to put anything in that "undefined" parameter under PREV ?

Thanks for all your assistance.

Regards.

Aakash

Posted By: Owen
Date Posted: 18 Apr 2006 at 6:32pm

Aakash, I simply copied and pasted the formula that I posted. Absolutely nothing was changed.

I use 250 because there are 250-260 trading days in a year.

The input date is supposed to be date you entered your trade, so you can change it to suit your trades. If the date is recent then the stop line will be the same.

PREV(undefined) and Stop*Holdingdays are the parts that I don't understand. All I know is they work so I just copy the formula.