DrawdownDeviation: Calculates a standard deviation-type statistic using individual drawdowns.
Description
DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where D_j = jth
drawdown over the entire period d = total number of
drawdowns in entire period n = number of observations
Usage
DrawdownDeviation(R, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns