PortfolioTesteR (version 0.1.4)

analyze_drawdowns: Analyze Drawdown Characteristics

Description

Detailed analysis of drawdown periods including depth, duration, and recovery.

Usage

analyze_drawdowns(drawdowns, returns)

Value

List with drawdown statistics

Arguments

drawdowns

Drawdown series (negative values)

returns

Return series for additional metrics

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, n = 10)
weights <- weight_equally(selected)
result <- run_backtest(sample_prices_weekly, weights)
dd_analysis <- analyze_drawdowns(result$portfolio_value, result$dates)