# R/mdd.R In stocks: Stock Market Analysis

```#' Maximum Drawdown
#'
#' Calculates maximum drawdown from vector of closing prices, highs and lows, or
#' gains.
#'
#'
#' @inheritParams metrics
#' @param highs Numeric vector of daily high prices.
#' @param lows Numeric vector of daily low prices.
#' @param indices Logical value for whether to include indices for when the
#' maximum drawdown occurred.
#'
#'
#' @return
#' Numeric value, vector, or matrix depending on \code{indices} and whether
#' there is 1 fund or several.
#'
#'
#' @examples
#' \dontrun{
#' # Simulate minute-to-minute stock gains over a 2-year period
#' set.seed(123)
#' stock.gains <- rnorm(6.5 * 60 * 252 * 2, 0.000005, 0.001)
#'
#' # Convert to stock prices assuming an initial price of \$9.50 per share
#' stock.prices <- gains_prices(gains = stock.gains, initial = 9.50)
#'
#' # Plot minute-to-minute stock prices (200k data point, may be slow)
#' plot(stock.prices)
#'
#' # Maximum drawdown based on stock prices
#' mdd(prices = stock.prices)
#'
#' # Same answer using gains rather than prices
#' mdd(gains = stock.gains)
#' }
#'
#'
#' @export
mdd <- function(prices = NULL,
highs = NULL, lows = NULL,
gains = NULL,
indices = FALSE) {

# If gains specified rather than prices, convert to prices
if (! is.null(gains)) {
prices <- gains_prices(gains = gains, initial = 1)
}

if (! is.null(prices)) {

if (is.vector(prices)) {

# Vector of prices input
if (indices) {
mdd.out <- .Call(`_stocks_mdd_p_indices`, prices)
names(mdd.out) <- c("mdd", "start.index", "end.index")
} else {
mdd.out <- .Call(`_stocks_mdd_p`, prices)
}

} else {

# Matrix of prices input
mdd.out <- apply(prices, 2, function(x)
mdd(prices = x, indices = indices))

}

} else {

# Vector of highs and lows input
if (indices) {
mdd.out <- .Call(`_stocks_mdd_hl_indices`, highs, lows)
names(mdd.out) <- c("mdd", "start.index", "end.index")
} else {
mdd.out <- .Call(`_stocks_mdd_hl`, highs, lows)
}

}

# Return mdd.out
return(mdd.out)

}
```

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stocks documentation built on May 2, 2019, 9:43 a.m.