Dear Brian, Thanks for your reply. I was looking at the findDrawdowns help and I was not sure I understand the definition properly: Details
Returns an unordered list: - return depth of drawdown - from starting period - to ending period - length length in periods On 10 May 2011 16:03, Brian G. Peterson <br...@braverock.com> wrote: > On Tue, 2011-05-10 at 15:48 +0000, Costas Vorlow wrote: > > 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 ? > > I'm pretty certain this is all spelled out in the documentation. > > From: high water mark > Trough: low point in this drawdown > To: when the initial high water mark is recovered > Depth: drawdown to trough > Length: number of periods of From-To > To Trough: how many periods to the bottom > Recovery: how many periods Trough->end of drawdown > > Perhaps you can be specific about what part of the documentation doesn't > make sense to you? > > -- > Brian G. Peterson > http://braverock.com/brian/ > Ph: 773-459-4973 > IM: bgpbraverock > > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
