AverageRecovery

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

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Similar to <code><a rd-options="" href="/link/AverageDrawdown?package=PerformanceAnalytics&version=1.5.2" data-mini-rdoc="PerformanceAnalytics::AverageDrawdown">AverageDrawdown</a></code>, which calculates the average depth of drawdown, this function calculates the average length of the recovery period 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.

Brian G Peterson

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

Peter Carl

Kris Boudt

Ross Bennett

Joshua Ulrich

Eric Zivot

Dries Cornilly

Eric Hung

Matthieu Lestel

Kyle Balkissoon

Diethelm Wuertz

AverageRecovery function

Similar to <code><a rd-options='' href='AverageDrawdown'>AverageDrawdown</a></code>, which calculates the average depth of drawdown, this function calculates the average length of the recovery period of the drawdowns observed.

Calculates the average length (in periods) of the observed recovery period. — AverageRecovery

Calculates the average length (in periods) of the observed recovery period.

AverageRecovery: Calculates the average length (in periods) of the observed recovery period.

Description

Usage

Arguments