如何获得最大跌幅的柱线指数？

Question

我正在尝试获取每笔交易的最大回撤的柱线指数，但无法弄清楚。

下面是我的代码的 sn-p

maxArr = array.new_float()
entArr = array.new_int()
exArr = array.new_int()
diffArr = array.new_int()
biArr = array.new_int()

for i = 0 to strategy.closedtrades -1

// calculate the absolute drawdown percentage
    drawdown = strategy.closedtrades.max_drawdown(i)
    costBasis = strategy.closedtrades.entry_price(i)
    runup = strategy.closedtrades.max_runup(i)
    entindex = strategy.closedtrades.entry_bar_index(i)
    exindex = strategy.closedtrades.exit_bar_index(i)
    diff = exindex - entindex
    array.push(entArr,entindex)
    array.push(exArr,exindex)
    array.push(diffArr,diff)

    end = if math.max(drawdown,runup) == drawdown
        costBasis - drawdown
    else
        costBasis + runup

    array.push(maxArr,end)

//var float aa = 0 //used for another version
var int bb = 0
var int cc = 0
var int dd = 0

for j = 0 to array.size(maxArr) - 1
    //a = array.get(maxArr,j) //used for another version
    //aa := a //used for another version
    //b = array.get(entArr,j) //used for another version
    //bb := b //used for another version
    c = array.get(exArr,j)
    cc := c
    d = array.get(diffArr,j)
    dd := d

//var int sbi = bb //used for another version
//var int ebi = cc //used for another version
//var float hb = na //used for another version

//var int lb = cc - bb //used for another version

jj = (cc + ta.lowestbars(dd))
hh = bar_index==cc?jj:na

array.push(biArr,hh)

//plot(hh) //used for another version

biArr_string = str.tostring(biArr)
debug = label.new(x = bar_index, y = close, style = label.style_label_left, text = biArr_string)
label.delete(debug[1])

我只添加了上面的部分，因为我有 18 个不同的版本试图弄清楚，但没有一个成功。我已经注释掉了一些额外的变量，因为它们来自不同的版本，所以请忽略它们。

任何有关如何进行的帮助或指导将不胜感激。

编辑

在基于@G.Lebret 答案的更新代码下方添加。我得到的输出只显示一个空数组。

biArr = array.new_int()

for i = 0 to strategy.closedtrades -1

// calculate the absolute drawdown percentage
    drawdown = strategy.closedtrades.max_drawdown(i)

    var max_drawdown = 0.0
    var bar_index_max_drawdown = 0
    if strategy.closedtrades > 0
        if drawdown > max_drawdown
            max_drawdown := drawdown
            bar_index_max_drawdown := bar_index
    if strategy.opentrades == 0
        if max_drawdown != 0
        // Push to array
            array.push(biArr,bar_index_max_drawdown)
        // Reset values
        max_drawdown := 0.0

biArr_string = str.tostring(biArr)
debug = label.new(x = bar_index, y = close, style = label.style_label_left, text = biArr_string)
label.delete(debug[1])

Answer 1

您的 for 循环在每个柱上执行。
我认为在每个循环中，您都会删除以前的数据。
您应该只测试最后一笔交易的回撤。
最好的方法是在每次开仓时以及开仓交易的回撤较大时记录 bar_index。

var max_drawdown = 0.0
var bar_index_max_drawdown = 0
if strategy.opentrades > 0 // a trade is open
    if strategy.opentrades.max_drawdown(strategy.opentrades - 1) > max_drawdown
        max_drawdown := strategy.opentrades.max_drawdown(strategy.opentrades - 1)
        bar_index_max_drawdown := bar_index
if strategy.opentrades == 0 // no trades open
    if max_drawdown <> 0
        // Print the bar_index on the chart
        label.new(bar_index_max_drawdown, max_drawdown, str.tostring(bar_index_max_drawdown) )
        // Reset values
        max_drawdown := 0.0

[编辑 21-01-2023]
完整代码（例如包括愚蠢的策略）

//@version=5
strategy("My strategy", overlay=true, margin_long=100, margin_short=100)

longCondition = ta.crossover(ta.sma(close, 14), ta.sma(close, 28))
if (longCondition)
    strategy.entry("My Long Entry Id", strategy.long)

shortCondition = ta.crossunder(ta.sma(close, 14), ta.sma(close, 28))
if (shortCondition)
    strategy.entry("My Short Entry Id", strategy.short)

var number_of_trades = 0
var max_drawdown = 0.0
var bar_index_max_drawdown = 0
if strategy.opentrades > 0 // a trade is open
    if strategy.opentrades.max_drawdown(strategy.opentrades - 1) > max_drawdown
        max_drawdown := strategy.opentrades.max_drawdown(strategy.opentrades - 1)
        bar_index_max_drawdown := bar_index
if strategy.closedtrades > number_of_trades // a trade just closed
    number_of_trades := number_of_trades + 1
    if max_drawdown != 0
        // Print the bar_index on the chart
        label.new(bar_index_max_drawdown, close*1.001, str.tostring(bar_index_max_drawdown) )
        // Reset values
        max_drawdown := 0.0
     

结果示例：

该代码在出现最大跌幅的柱上打印一个标签，该标签包含该柱的索引。