====================
Trade Equity GV LE 4
====================

This is the last of four explorations built to report various trading
system statistics on multiple stocks using the 'Trade Equity GV LE'
indicator as a reference.


  {Trade Equity GV LE 4}
  {© 2003 Roy Larsen}
  {rlarsen@man.quik.co.nz}

Column A: B/H DwDn
---8<---------------------------
  {Maximum buy and hold adverse excursion}
Eq:=Fml("Trade Equity GV LE");
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
---8<---------------------------

Column B: B/H +Exc
---8<---------------------------
  {Maximum buy and hold favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
I :=Cum(Ea>0)=1; Ea:=LastValue(Ea);
Gl:=If(Cp>0,((Cp-Cn)*(C/Ea))-Cp,(C-Ea));
HighestSince(1,I,Gl);
---8<---------------------------

Column C: AvgeWin
---8<---------------------------
  {Average win}
N :=ExtFml("GV.GetVar","N");
Gn:=Cum(If(N>0,N,0)); Up:=Cum(If(N>0,1,0));
Up:=If(Up=0,-1,Up); Gn:=If(Up=0,1,Gn);
If(Gn/Up=-1,0,Gn/Up);
---8<---------------------------

Column D: AvgeLoss
---8<---------------------------
  {Average loss}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Ls:=Cum((N<0)*N);
Dn:=Cum(N<=0 AND (Ex OR Lb));
---8<---------------------------

Column E: GL Ratio
---8<---------------------------
  {Average gain/loss ratio}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
---8<---------------------------

Column F: PkTrough
---8<---------------------------
  {Maximum $ peak-to-trough range}
I :=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","Tr");
Xs:=ExtFml("GV.GetVar","Xs");
A :=If(Tr,HighestSince(1,Tr=0,Xs),0);
B :=If(Tr,LowestSince(1,Tr=0,Xs),0);
HighestSince(1,I,If(Tr,A-B,0));
---8<---------------------------

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