tseries (version 0.8-0)

maxdrawdown: Maximum Drawdown or Maximum Loss

Description

This function computes the maximum drawdown or maximum loss of the univariate time series (or vector) x.

Usage

maxdrawdown(x)

Arguments

x

a numeric vector or univariate time series.

Value

• A double representing the max drawdown or max loss statistic.

Details

The max drawdown or max loss statistic is defined as the maximum value drop after one of the peaks of x. For financial instruments the max drawdown represents the worst investment loss for a buy-and-hold strategy invested in x.

Examples

x <- c(1:10, 9:7, 8:14, 13:8, 9:20)
maxdrawdown(x)

plot(x)
lines(x = c(20, 28), y = c(14, 14), col="grey")
lines(x = c(20, 28), y = c(8, 8), col="grey")
arrows(26, 14, 26, 8, , col="red", length = 0.16)