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AverageDrawdown

Calculates the average depth of the observed drawdowns.

Description

ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth drawdown over entire period d = total number of drawdowns in the entire period

Usage

AverageDrawdown(R, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...

any other passthru parameters

Author(s)

Peter Carl

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]
Initial release
2020-02-05

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