drawdown: Calculate the drawdown for a vector of returns
In DavisVaughan/tidyfinance: Tidy Financial Analysis
Description
Usage
Arguments
Details
Description
drawdown() calculates a vector of drawdowns. drawdown_max() calculates
the single largest negative drawdown over the period of returns specified.
Usage
1
2
3
drawdown(.r, type = "arithmetic")
drawdown_max(.r, type = "arithmetic")
Arguments
.r
A vector of returns.
type
Either "arithmetic" or "log" returns.
Details
Drawdown is a measure of how long it takes to recoup losses after a fall
from a previous high. The more negative the drawdown, the larger the loss.
The longer it takes to get back to 0 drawdown, the longer you are
"underwater."
DavisVaughan/tidyfinance documentation built on May 24, 2019, 8:46 p.m.
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Description Usage Arguments Details
Description
drawdown() calculates a vector of drawdowns. drawdown_max() calculates
the single largest negative drawdown over the period of returns specified.
Usage
1 2 3 | drawdown(.r, type = "arithmetic")
drawdown_max(.r, type = "arithmetic")
|
Arguments
.r |
A vector of returns. |
type |
Either |
Details
Drawdown is a measure of how long it takes to recoup losses after a fall from a previous high. The more negative the drawdown, the larger the loss. The longer it takes to get back to 0 drawdown, the longer you are "underwater."
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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