AverageDrawdown: Calculates the average depth of the observed drawdowns.
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Description
Usage
Arguments
Author(s)
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
1
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 documentation built on Feb. 6, 2020, 5:11 p.m.
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Description Usage Arguments Author(s)
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
1 | 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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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