drawdowns {timeSeries}R Documentation

Calculations of drawdowns

Description

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

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 borrowed from the package PerformanceAnalytics authored by Peter Carl and Sankalp Upadhyay.

Value

for drawdowns, an object of class timeSeries.

for drawdownsStats 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.

Author(s)

Peter Carl and Sankalp Upadhyay for code from the contributed R package PerformanceAnalytics used in the function drawdownsStats.

Examples

## 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)
[Package timeSeries version 4030.106 Index]