analyze_drawdowns: Analyze Drawdown Characteristics
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analyze_drawdowns

R Documentation

Analyze Drawdown Characteristics

Description

Detailed analysis of drawdown periods including depth, duration, and recovery.

Usage

analyze_drawdowns(drawdowns, returns)

Arguments

`drawdowns`	Drawdown series (negative values)
`returns`	Return series for additional metrics

Value

List with drawdown statistics

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, n = 10)
weights <- weight_equally(selected)
result <- run_backtest(sample_prices_weekly, weights)
dd_analysis <- analyze_drawdowns(result$portfolio_value, result$dates)

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.