AverageDrawdown

AverageRecovery

an xts, vector, matrix, data frame, timeSeries
  or zoo object of asset returns

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

Collection of econometric functions for performance and
        risk analysis. This package aims to aid practitioners and
        researchers in utilizing the latest research in analysis of
        non-normal return streams.  In general, it is most tested on
        return (rather than price) data on a regular scale, but most
        functions will work with irregular return data as well, and
        increasing numbers of functions will work with P&L or price
        data where possible.

AverageDrawdown: Calculates the average of the observed drawdowns.

Description

Usage

Arguments