On this page
Drawdown from High — Volatility, in its own panel below the chart.
What Drawdown from High measures
The value is the close minus the highest high over the lookback, divided by that same high and multiplied by 100, with a 50-bar default window. It can never be positive, because a bar's close lies inside the maximum of its own window. Expressing it in percent rather than in points is what makes it portable: forty points off the high means something different on an index at 12,000 and at 21,000. Two situations emit no bar at all instead of a number — a window that is not yet full, and a reference high at or below zero, where the percentage would be a division by zero or would flip sign, as on a contract that has traded negative.
The formula, as implemented
This is not how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
Drawdown from High — de combien le close est sous le plus haut récent : dd[i] = (close[i] − max(high, N barres)[i]) / max(high, N)[i] × 100 Défaut N=50 barres. Valeur ≤ 0 par construction (le close ne peut pas dépasser le plus haut de sa propre fenêtre) : 0 = on est AU plus haut, −2 % = le marché a rendu 2 % du sommet de la fenêtre. POURQUOI en % et pas en points : c'est la mesure de risque qu'on compare entre instruments et entre régimes de prix — 40 points sur MNQ à 12 000 et à 21 000 ne sont pas le même drawdown. Warm-up (fenêtre incomplète) → PAS DE POINT (histogramme : une barre sans valeur n'émet rien, contrat `HistogramPoint`). Référence nulle ou négative → PAS DE POINT : un pourcentage d'une base ≤ 0 n'est pas une amplitude (division par zéro, ou signe inversé sur les rares sous-jacents à prix négatif — CL 2020). On dégrade, on n'invente pas.
How to read it
- Zero means the close has just made or matched the window's high; repeated touches of zero describe a market pressing on its recent peak.
- Deeper negative readings say more of the recent advance has been handed back, measured against the window, not against the session or an entry price.
- Two dips of the same depth are not the same event: the histogram also shows how many bars the market spent away from its high before returning to zero.
- A long lookback keeps an old reference high, so the reading can stay deeply negative for reasons that have nothing to do with the current session.
- Missing bars at the left edge of the histogram are the warm-up, not a gap in the data.
Parameters and defaults
The lookback defaults to 50 bars and accepts 2 to 1000; it is effectively the whole indicator, since it decides which high is the reference. A short window returns to zero often and reflects the current swing; a long one turns the study into a distance-from-a-far-peak measure. The histogram exposes a positive and a negative colour, but since the value never rises above zero, the negative colour is the one that is actually drawn.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Lookback (bars) | number | 50 | 2 – 1000 |
What it does not show
The measure is bounded by its own window and cannot report a drawdown from a high the window no longer contains, so shortening the lookback can make a real decline vanish from the display. It compares a close with a high, which means an intrabar low deeper than the close is never shown. It is a price statistic and says nothing about your position, your entry or your account equity. If bars are missing from the feed, the window high is computed from whatever arrived, and the reference shifts silently.
Related indicators
- True Range — Volatility
- Std Dev — Volatility
- Squeeze — Volatility
- Chaikin Volatility — Volatility
- Realized Vol — Volatility
- Skewness — Volatility
This page in other languages
Frequently asked questions
- Can Drawdown from High show a positive value?
- No. The reference is the highest high of the window that contains the current bar, and a bar's close cannot exceed the highest high of a window it belongs to. The value is zero at the peak and negative below it. A reading stuck at zero simply means the close keeps setting or matching the window high.
- Is this the same as account drawdown?
- No. This indicator measures the distance between the close and a rolling price high on the chart, in percent. It has no knowledge of your positions, fills, size or balance, so it cannot express a loss in currency. Account drawdown depends on entries and exits that this study never sees.
- What lookback should I use for drawdown from high?
- The default is 50 bars, which keeps the reference inside the recent swing on most intraday charts. A shorter window returns to zero more often and describes the immediate move; a longer one holds an older peak and produces persistent negative readings. The choice depends on the horizon you want the peak measured over, and there is no universally correct value.