AverageLength

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


Similar to <code><a rd-options="" href="/link/AverageDrawdown?package=PerformanceAnalytics&version=1.4.3541" data-mini-rdoc="PerformanceAnalytics::AverageDrawdown">AverageDrawdown</a></code>, which calculates the average depth of drawdown, this function calculates the average length of the drawdowns observed.


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.

AverageLength: Calculates the average length (in periods) of the observed drawdowns.

Description

Usage

Arguments