xtsmdd: Compute the maximum drawdown of an xts matrix of returns.
In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).
Description
Usage
Arguments
Value
Description
Returns are assumed to be geometric ("discrete"). This function
is very fast and works on wide xts matrices (many equity curves)
Usage
1
xtsmdd(rets, digits = 4)
Arguments
rets
An xts matrix of equity curves, expressed as periodic returns
digits
Number of digits to report
Value
Returns a dataframe of maximum drawdowns, expressed as fractions.
jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.
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Description Usage Arguments Value
Description
Returns are assumed to be geometric ("discrete"). This function is very fast and works on wide xts matrices (many equity curves)
Usage
1 | xtsmdd(rets, digits = 4)
|
Arguments
rets |
An xts matrix of equity curves, expressed as periodic returns |
digits |
Number of digits to report |
Value
Returns a dataframe of maximum drawdowns, expressed as fractions.
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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