Hi,
I am not sure I understand the output:
> table.Drawdowns(ret, top=10)
From Trough To Depth Length To Trough Recovery
1 1999-07-19 2000-09-29 2008-10-09 -0.4059 2323 306 2017
2 2009-03-10 2009-07-13 <NA> -0.3721 548 87 NA
3 1987-10-20 1988-11-22 1993-10-14 -0.2995 1515 278 1237
4 1974-10-04 1980-05-16 1982-10-11 -0.2902 2026 1420 606
5 1998-07-20 1998-10-29 1999-07-16 -0.2253 251 73 178
6 2008-11-21 2009-01-06 2009-03-02 -0.2073 67 30 37
7 1971-04-29 1973-10-31 1974-05-22 -0.1826 774 634 140
8 2008-10-28 2008-11-04 2008-11-19 -0.1618 17 6 11
9 1985-07-18 1985-10-11 1986-02-13 -0.1461 146 60 86
10 1994-04-05 1995-01-03 1995-06-05 -0.1412 295 189 106
>
Is it Peak-to-Trough-to-next_peak ???
Does it pick the local (sequencial) maxima/minima (inflection points) in
the (cumulative) returns cycles ?
Best,
Costas
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