PMwR (version 0.11-0)

drawdowns: Compute Drawdowns

Description

Compute drawdown statistics.

Usage

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

Arguments

x

a numeric vector of prices

…

additional arguments, to be passed to methods

Value

a data.frame

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. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Schumann, E. (2018) Portfolio Management with R. http://enricoschumann.net/PMwR/

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

# NOT RUN {
x <- c(100, 98)
drawdowns(x)

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