AverageLength: Calculates the average length (in periods) of the observed...

Description Usage Arguments Author(s)

Description

Similar to AverageDrawdown, which calculates the average depth of drawdown, this function calculates the average length of the drawdowns observed.

Usage

1

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.