R/DrawdownPeak.R

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

#' Drawdawn peak of the return distribution
#'
#' Drawdawn peak is for each return its drawdown since the previous peak
#'
#' @aliases DrawdownPeak
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param \dots any other passthru parameters
#' @author Matthieu Lestel
#' 
#' @export


DrawdownPeak <- function (R, ...)
{
  R0 <- R
  R = checkData(R, method="matrix")
  
  if (ncol(R)==1 || is.null(R) || is.vector(R)) {
    calcul = FALSE
    for (i in (1:length(R))) {
      if (any(!is.na(R))) {
        calcul = TRUE
      }
    }		      
    if (!calcul) {
      result = NaN
    } else {
      R = na.omit(R)
      drawdownpeak = rep(NA,length(R))
      peak = 0
      for(i in (1:length(R))) {
        val = 1
        borne = peak+1
        for(j in (borne:i)) {
          val = val*(1+R[j]/100)
        }
        if (val > 1) {
          peak = i
          drawdownpeak[i] = 0
        } else {
          drawdownpeak[i] = (val-1)*100
        }
      }
      result = drawdownpeak
    }
    reclass(result, R0)	
    return(result)
  } else {
    R = checkData(R)
    result = apply(R, MARGIN = 2, DrawdownPeak, ...)
    result<-t(result)
    colnames(result) = colnames(R)
    rownames(result) = paste("DrawdownPeak", sep="")
    return(result)
  }
}

###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################