AverageDrawdown: Calculates the average of the observed drawdowns.
In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.
Description
ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth
drawdown over entire period d = total number of drawdowns
in the entire period
Usage
1
2
3
AverageDrawdown(R, ...)
AverageRecovery(R, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
...
any other passthru parameters
guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.
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Description
ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth drawdown over entire period d = total number of drawdowns in the entire period
Usage
1 2 3 | AverageDrawdown(R, ...)
AverageRecovery(R, ...)
|
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
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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