On Fri, Jul 3, 2009 at 9:05 PM, Mark Knecht<markkne...@gmail.com> wrote: > On Fri, Jul 3, 2009 at 5:54 PM, Ted Byers<r.ted.by...@gmail.com> wrote: >> Sorry, I should have read the read.zoo documentation before replying >> to thank Gabor for his repsonse. >> >> Here is how it starts: >> >> "read.zoo(zoo) R Documentation >> >> Reading and Writing zoo Series >> Description >> read.zoo and write.zoo are convenience functions for reading and >> writing "zoo" series from/to text files. They are convenience >> interfaces to read.table and write.table, respectively. >> >> Usage >> read.zoo(file, format = "", tz = "", FUN = NULL, >> regular = FALSE, index.column = 1, aggregate = FALSE, ...)" >> >> Clearly this should solve both our problems. >> >> Cheers, >> >> Ted >> > > Possibly but I think the big issue is the findDrawdowns function is > looking for minus signs to signal the drawdown. I down think it's > doing calculations from a simple equity curve. > > All of these functions (findDrawdowns, table.Drawdowns, etc.) all say > they will accept a data.frame. > > My guess is the issue isn't so much dates, names, or anything else as > much as making sure you have a column of percentage rise and fall > numbers expressed like > > 0.03 > 0.02 > -0.025 > 0.10 > But this is trivial. I have to read the documentation further to see if it wants rates of return as a fraction (or percentages), or if daily deltas will do. Either way, it is trivial to get such numbers (in my case in the perl script I use to draw the data from my database.
> Even findDrawdowns(edhec[,5]) does the right thing. Copying it to R > wasn't necessary. edhec has lots of columns. You can pick and one of > them and get a table. > This is good to know as it makes some of the analyses I need to do easier. I can create a single file with a number of series that need to be compared WRT drawdowns, VaR, &c. Cheers, Ted ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.