calculate_drawdowns

Calculates drawdown series from portfolio values. Drawdown is the
percentage decline from the previous peak.

internal

Design, backtest, and analyze portfolio strategies using simple,
English-like function chains. Includes technical indicators, flexible stock
selection, portfolio construction methods (equal weighting, signal weighting,
inverse volatility, hierarchical risk parity), and a compact backtesting
engine for portfolio returns, drawdowns, and summary metrics.

Alberto Pallotta

PortfolioTesteR

Test Investment Strategies with English-Like Code

calculate_drawdowns function

<dl><dt>values</dt>
<dd>Numeric vector of portfolio values</dd></dl>

Arguments

Calculate Portfolio Drawdowns — calculate_drawdowns

<dl>

<dt>values</dt>
<dd>Numeric vector of portfolio values</dd>

</dl>

calculate_drawdowns: Calculate Portfolio Drawdowns

Description

Usage

Value

Arguments