NMOF (version 1.2-2)

drawdown: Drawdown

Description

Compute the drawdown of a time series.

Usage

drawdown(v, relative = TRUE, summary = TRUE)

Arguments

v

a price series (a numeric vector)

relative

if TRUE, maximum drawdown is chosen according to percentage losses; else in units of v

summary

if TRUE, provide maximum drawdown and time when it occured; else return drawdown vector

Value

If summary is FALSE, a vector of the same length as v. If summary is TRUE, a list

maximum

maximum drawdown

high

the max of v

high.position

position of high

low

the min of v

low.position

position of low

Details

The drawdown at position t of a time series v is the difference between the highest peak that was reached before t and the current value. If the current value represents a new high, the drawdown is zero.

References

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance, Chapter 13. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Schumann, E. (2016) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

# NOT RUN {
v <- cumprod(1 + rnorm(20) * 0.02)
drawdown(v)
# }