Drawdown
Compute the drawdown of a time series.
drawdown(v, relative = TRUE, summary = TRUE)
v |
a price series (a numeric vector) |
relative |
if |
summary |
if |
The drawdown at position t of a time series v is the difference between the highest peak that was reached before t and the current value. If the current value represents a new high, the drawdown is zero.
If summary is FALSE, a vector of the same length as
v. If summary is TRUE, a list
maximum |
maximum drawdown |
high |
the max of |
high.position |
position of |
low |
the min of |
low.position |
position of |
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8
Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
v <- cumprod(1 + rnorm(20) * 0.02) drawdown(v)
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