drawdowns

0th

Percentile

Calculations of Drawdowns

Compute series of drawdowns from financial returns and calculate drawdown statisitcs.

Keywords
chron
Usage
drawdowns(x, ...)

drawdownsStats(x, ...)

Arguments
x
a 'timeSeries' object of financial returns. Note, drawdowns can be calculated from an uni- or multivariate time deries object, statistics can only be computed from an univariate time series object.
...
optional arguments passed to the function na.omit.
Details

The code in the core of the function drawdownsStats was was borrowed from the package PerformanceAnalytics authored by Peter Carl and Sankalp Upadhyay.

Value

  • drawdowns returns an object of class 'timeSeries'. drawdownsStats returns an object of class 'data.frame' with the following entries: "drawdown" - the depth of the drawdown, "from" - the start date, "trough" - the trough period, "to" - the end date, "length" - the length in number of records, "peaktrough" - the peak trough, and , "recovery" - the recovery length in number of records.

Aliases
  • drawdowns
  • drawdownsStats
Examples
library(timeSeries) ## Use Swiss Pension Fund Data Set of Returns - head(LPP2005REC) SPI <- LPP2005REC[, "SPI"] head(SPI) ## Plot Drawdowns - dd = drawdowns(LPP2005REC[, "SPI"], main = "Drawdowns") plot(dd) dd = drawdowns(LPP2005REC[, 1:6], main = "Drawdowns") plot(dd) ## Compute Drawdowns Statistics - ddStats <- drawdownsStats(SPI) class(ddStats) ddStats ## Note, Only Univariate Series are allowd - ddStats <- try(drawdownsStats(LPP2005REC)) class(ddStats)
Documentation reproduced from package timeSeries, version 3022.101.2, License: GPL (>= 2)

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