Compute Drawdowns
Compute drawdown statistics.
drawdowns(x, ...) ## Default S3 method: drawdowns(x, ...) ## S3 method for class 'zoo' drawdowns(x, ...)
x |
a |
... |
additional arguments, to be passed to methods |
drawdowns is a generic function. It computes drawdown
statistics: maximum; and time of peak, trough and recovery.
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-375662-6
Schumann, E. (2019) Portfolio Management with R. http://enricoschumann.net/PMwR/
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.
x <- c(100, 98) drawdowns(x) x <- c(100, 98, 102, 99) dd <- drawdowns(x) dd[order(dd$max, decreasing = TRUE), ]
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