Calculations of Drawdowns
Compute series of drawdowns from financial returns and calculate drawdown statisitcs.
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a 'timeSeries' object of financial returns. Note, drawdowns can be calculated from an uni- or multivariate time deries object, statistics can only be computed from an univariate time series object.
optional arguments passed to the function
The code in the core of the function
was borrowed from the package
authored by Peter Carl and Sankalp Upadhyay.
returns an object of class 'timeSeries'.
returns an object of class 'data.frame' with the following entries:
"drawdown" - the depth of the drawdown,
"from" - the start date,
"trough" - the trough period,
"to" - the end date,
"length" - the length in number of records,
"peaktrough" - the peak trough, and ,
"recovery" - the recovery length in number of records.
Peter Carl and Sankalp Upadhyay for code from the contributed
PerformanceAnalytics used in the function
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## Use Swiss Pension Fund Data Set of Returns - head(LPP2005REC) SPI <- LPP2005REC[, "SPI"] head(SPI) ## Plot Drawdowns - dd = drawdowns(LPP2005REC[, "SPI"], main = "Drawdowns") plot(dd) dd = drawdowns(LPP2005REC[, 1:6], main = "Drawdowns") plot(dd) ## Compute Drawdowns Statistics - ddStats <- drawdownsStats(SPI) class(ddStats) ddStats ## Note, Only Univariate Series are allowd - ddStats <- try(drawdownsStats(LPP2005REC)) class(ddStats)