DrawdownDeviation

DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where
D_j = jth drawdown over the entire period
d = total number of drawdowns in entire period
n = number of observations

PerformanceAnalytics

DrawdownDeviation function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd></dl>

Arguments

Calculates a standard deviation-type statistic using individual drawdowns. — DrawdownDeviation

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>

</dl>

DrawdownDeviation: Calculates a standard deviation-type statistic using individual drawdowns.

Description

Usage

Arguments