maxdrawdown: Maximum Drawdown of a time series of prices
In MatthiasSpeicher/gryffindorrobo: Run calculations that are useful to start a roboadvisor.
Description
Usage
Arguments
Value
Examples
View source: R/summary_stats.R
Description
The function evaluates the ex post maximum drawdown, which is
defined as the most severe decrease from the previous maximum.
Usage
1
maxdrawdown(backtest)
Arguments
backtest
A data frame or matrix containing one time
series of prices. If there are several prices provided, only the first one
will be used.
Value
A numeric output giving the maximum drawdown, as decimal
number
Examples
1
2
maxdrawdown(backtest = as.matrix(EuStockMarkets[, 1]))
maxdrawdown(backtest = as.data.frame(EuStockMarkets[, 2]))
MatthiasSpeicher/gryffindorrobo documentation built on Dec. 27, 2019, 2:15 a.m.
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Description Usage Arguments Value Examples
View source: R/summary_stats.R
Description
The function evaluates the ex post maximum drawdown, which is defined as the most severe decrease from the previous maximum.
Usage
1 | maxdrawdown(backtest)
|
Arguments
backtest |
A |
Value
A numeric output giving the maximum drawdown, as decimal
number
Examples
1 2 | maxdrawdown(backtest = as.matrix(EuStockMarkets[, 1]))
maxdrawdown(backtest = as.data.frame(EuStockMarkets[, 2]))
|
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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