PortfolioTesteR (version 0.1.4)

calculate_drawdown_series: Calculate Drawdown Time Series

Description

Computes drawdown series from portfolio values.

Usage

calculate_drawdown_series(values)

Value

Numeric vector of drawdowns (as negative percentages)

Arguments

values

Numeric vector of portfolio values

Examples

data("sample_prices_weekly")
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
sel <- filter_top_n(momentum, n = 10)
W   <- weight_equally(sel)
res <- run_backtest(sample_prices_weekly, W)
dd_series <- calculate_drawdown_series(res$portfolio_values)
dd_stats  <- analyze_drawdowns(dd_series, res$returns)