PMwR (version 1.0-1)

drawdowns: Compute Drawdowns

Description

Compute drawdown statistics.

Usage

drawdowns(x, ...)
# S3 method for default
drawdowns(x, ...)
# S3 method for zoo
drawdowns(x, ...)

Value

a data.frame:

peak

peak before drawdown

trough

lowest point

recover

new high or NA if the drawdown has not been recovered yet

max

the max drawdown

Arguments

x

a numeric vector of prices

...

additional arguments, to be passed to methods

Author

Enrico Schumann

Details

drawdowns is a generic function. It computes drawdown statistics: maximum; and time of peak, trough and recovery.

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")

Schumann, E. (2023) Portfolio Management with R. https://enricoschumann.net/PMwR/;
in particular,
https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#drawdowns-streaks

See Also

The actual computation of the drawdowns is done by function drawdown in package NMOF.

Series of uninterrupted up and down movements can be computed with streaks.

Examples

x <- c(100, 98)
drawdowns(x)

x <- c(100, 98, 102, 99)
dd <- drawdowns(x)
dd[order(dd$max, decreasing = TRUE), ]