DrawdownDeviation: Calculates a standard deviation-type statistic using...
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Description
DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where
D_j = jth drawdown over the entire period
d = total number of drawdowns in entire period
n = number of observations
Usage
1
DrawdownDeviation(R, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
...
any other passthru parameters
PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.
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Description
DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where D_j = jth drawdown over the entire period d = total number of drawdowns in entire period n = number of observations
Usage
1 | DrawdownDeviation(R, ...)
|
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
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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