MDD: Strategy Performance Maximum Drawdown

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Gets the maximum drawdown of the performance of an object of class Strategy.

Usage

MDD(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , type="relative", include.costs=TRUE
       , use.backtest=FALSE)

## S4 method for signature 'Strategy'
MDD(object, of = c("portfolio", "assets"), from = NULL,
  until = NULL, which = NULL, type = c("absolute", "relative"),
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object	An object of class Strategy.
of	Maximum Drawdown to be calculated for assets separately or the portfolio.
from	The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which performance shall be considered. If NULL, no restriction is made.
which	Names or number of assets that should be included in calculation.
type	If the absolute or relative drawdown of the performance shall be returned.
include.costs	If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.
use.backtest	If set to TRUE, the signals from the backtesting output are considered for maximum drawdown calculation. If FALSE, the signals from the initial strategy execution are used.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get MDD of MA(200)-Strategy portfolio
MDD(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get MDD of MA(200)-Strategy (daily data = 252 trading days)
# MDD(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

## End(Not run)

Example output

$Portfolio
$Portfolio$mdd
[1] 0.08629215

$Portfolio$from
2015-01-05 
  1.003505 

$Portfolio$to
2015-11-28 
 0.9172128 

Strategy documentation built on May 2, 2019, 2:09 a.m.