maxdrawdown

From tseries v0.9-21 by Kurt Hornik

Maximum Drawdown or Maximum Loss

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

Keywords: ts

Usage

maxdrawdown(x)

Arguments

x: a numeric vector or univariate time series.

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.

Value

A list containing the following three components:
maxdrawdowndouble representing the max drawdown or max loss statistic.
fromthe index (or vector of indices) where the max drawdown period starts.
tothe index (or vector of indices) where the max drawdown period ends.

Examples

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

plot(x)
segments(mdd$from, x[mdd$from], mdd$to, x[mdd$from], col="grey")
segments(mdd$from, x[mdd$to], mdd$to, x[mdd$to], col="grey")
mid <- (mdd$from + mdd$to)/2
arrows(mid, x[mdd$from], mid, x[mdd$to], col="red", length = 0.16)

# Realistic example
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
mdd <- maxdrawdown(dax)
mdd

plot(dax)
segments(time(dax)[mdd$from], dax[mdd$from],
         time(dax)[mdd$to], dax[mdd$from], col="grey")
segments(time(dax)[mdd$from], dax[mdd$to],
         time(dax)[mdd$to], dax[mdd$to], col="grey")
mid <- time(dax)[(mdd$from + mdd$to)/2]
arrows(mid, dax[mdd$from], mid, dax[mdd$to], col="red", length = 0.16)

Documentation reproduced from package tseries, version 0.9-21, License: GPL (see file COPYING)

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