sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best
pass in runs array from findDrawdowns to be sorted
Returns a sorted list:
return depth of drawdown
from starting period
to ending period
length length in periods
modified with permission from prototype function by Sankalp Upadhyay
Bacon, C. Practical Portfolio Performance Measurement and
Attribution. Wiley. 2004. p. 88
1 2 3
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.