maxdrawdown | R Documentation |
This function computes the maximum drawdown or maximum loss of the
univariate time series (or vector) x
.
maxdrawdown(x)
x |
a numeric vector or univariate time series. |
The max drawdown or max loss statistic is defined as the maximum
value drop after one of the peaks of x
. For financial
instruments the max drawdown represents the worst investment loss for
a buy-and-hold strategy invested in x
.
A list containing the following three components:
maxdrawdown |
double representing the max drawdown or max loss statistic. |
from |
the index (or vector of indices) where the max drawdown period starts. |
to |
the index (or vector of indices) where the max drawdown period ends. |
A. Trapletti
sterling
# Toy example
x <- c(1:10, 9:7, 8:14, 13:8, 9:20)
mdd <- maxdrawdown(x)
mdd
plot(x)
segments(mdd$from, x[mdd$from], mdd$to, x[mdd$from], col="grey")
segments(mdd$from, x[mdd$to], mdd$to, x[mdd$to], col="grey")
mid <- (mdd$from + mdd$to)/2
arrows(mid, x[mdd$from], mid, x[mdd$to], col="red", length = 0.16)
# Realistic example
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
mdd <- maxdrawdown(dax)
mdd
plot(dax)
segments(time(dax)[mdd$from], dax[mdd$from],
time(dax)[mdd$to], dax[mdd$from], col="grey")
segments(time(dax)[mdd$from], dax[mdd$to],
time(dax)[mdd$to], dax[mdd$to], col="grey")
mid <- time(dax)[(mdd$from + mdd$to)/2]
arrows(mid, dax[mdd$from], mid, dax[mdd$to], col="red", length = 0.16)
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