DrawDown: Calculate Maximum Draw Down of Series

In TickExec: Execution Functions for Tick Data Back Test

Description

Input should be a non-negative series.

Usage

DrawDown(x)

Arguments

x	Cumulative wealth (or return) process, non-negative, NA's will be ignored.

Value

A percentage between 0 and 1.

Examples

## construct a series ##
x <- rnorm(100) + 10

## calculate drawdown ##
DrawDown(x)

TickExec documentation built on May 2, 2019, 9:58 a.m.