AverageLength

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=1.5.3" 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. In addition to standard risk and performance metrics, 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

AverageLength 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 drawdowns observed.

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

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

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

Description

Usage

Arguments