drawdowns: Compute Drawdowns

In enricoschumann/PMwR: Portfolio Management with R

Compute Drawdowns

Description

Compute drawdown statistics.

Usage

drawdowns(x, ...)
## Default S3 method:
drawdowns(x, ...)
## S3 method for class 'zoo'
drawdowns(x, ...)

Arguments

x	a numeric vector of prices
...	additional arguments, to be passed to methods

Details

drawdowns is a generic function. It computes drawdown statistics: maximum; and time of peak, trough and recovery.

Value

a data.frame:

peak	peak before drawdown
trough	lowest point
recover	new high or NA if the drawdown has not been recovered yet
max	the max drawdown

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")}

Schumann, E. (2023) Portfolio Management with R. http://enricoschumann.net/PMwR/; in particular, see
http://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#drawdowns-streaks

See Also

The actual computation of the drawdowns is done by function drawdown in package NMOF.

Series of uninterrupted up and down movements can be computed with streaks.

Examples

x <- c(100, 98)
drawdowns(x)

x <- c(100, 98, 102, 99)
dd <- drawdowns(x)
dd[order(dd$max, decreasing = TRUE), ]

enricoschumann/PMwR documentation built on April 13, 2024, 12:18 p.m.