Drawdown

Tagged: ,

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • #68385
    Thomas
    • Topics: 130
    • Replies: 176
    • Posts: 306

    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:

    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

    #68387
    Darren
    • Topics: 70
    • Replies: 873
    • Posts: 943

    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.

    #68389
    Thomas
    • Topics: 130
    • Replies: 176
    • Posts: 306

    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

Viewing 3 posts - 1 through 3 (of 3 total)
  • You must be logged in to reply to this topic.

Pin It on Pinterest