Drawdown

Optuma Scripting
1

Hi Optuma team,

You published on Twitter (https://twitter.com/Optuma/status/1529440897477140480?cxt=HHwWgICj8ZKZ1bkqAAAA) a drawdown chart.

I calculate with the Breadth engine the percent of stock that are more than 20% below its 52-week high.

Here is my script:

// S&P 500 Percent of Stocks >= 20% below 52-Week High 
Line1 = DDP(LOOKBACKBARS=52, BACKTYPE=Weeks) ; 
Line1 <= -20

My Breadth engine settings:
screenshot - 0000

For May 24 I get the value 63.94%, so 63,94% of the 504 stocks in the S&P 500 are below its 52-week high.

Your Twitter chart lists 302 stocks with a drawdown greater than 20%. That’s 59.92% of the 504 stocks in the S&P 500.

Please explain why I get the value 63.94% while you have the value 59.92%. Is my breadth engine script not correct?

Thanks a lot.

Best wishes,
Thomas

2

Hi Thomas,

It’s probably because the Drawdown tool and DDP() function use the low price in the calculations, and our Breadth Measures data (symbol SPX20OF52WH) used in the tweet uses the close.

3

Hi Darren,

It’s seems you are right, the Drawdown function DDP() uses the highest and lowest 52-week prices whereas the symbol SPX20OF52WH uses the highest and lowest 52-week closes.

Thanks and best wishes,
Thomas