maxDrawdown: Maximum Drawdown

Description

Calculate the maximum drawdown of a lsp object

Usage

1
  maxDrawdown(lsp, sort=FALSE, geometric=TRUE)

Arguments

lsp

A lsp object.

sort

If FALSE (the default), maximum drawdown is calculated using the returns in the order provided; if TRUE, returns are sorted to reflect the worst possible maximum drawdown.

geometric

Use log returns?

Value

The maximum drawdown percentage.

Author(s)

Joshua Ulrich


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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