calculate_drawdown_series: Calculate Drawdown Time Series

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Calculate Drawdown Time Series

Description

Computes drawdown series from portfolio values.

Usage

calculate_drawdown_series(values)

Arguments

values

Numeric vector of portfolio values

Value

Numeric vector of drawdowns (as negative percentages)

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
sel <- filter_top_n(momentum, n = 10)
W   <- weight_equally(sel)
res <- run_backtest(sample_prices_weekly, W)
dd_series <- calculate_drawdown_series(res$portfolio_values)
dd_stats  <- analyze_drawdowns(dd_series, res$returns)

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