search for: drawdown

Full_Name: Brian K. Boonstra Version: 2.2.1 OS: WinXP, OSX Submission from: (NULL) (63.172.178.137) The maxdrawdown function in tseries defines the maximum drawdown in terms of absolute dollars (or whatever units the input is in). Industry convention is to do this in percentage terms. I have written the code below as maximumdrawdown(), which retains backward compatibility with the current version. It has the...

...2009-06-25 47.43 I have loaded Rmetrics and PerformanceAnalytics, among other packages. I tried as.timeseries, but R2.9.1 tells me there is no such function. I tried as.ts(thedata), but that only replaces the date field by the row label in 'thedata'. If I apply the performance analytics drawdowns function to either thedata or thedate$V2, I get errors: > table.Drawdowns(thedata,top = 10) Error in 1 + na.omit(x) : non-numeric argument to binary operator > table.Drawdowns(thedata$V2, top = 10) Error in if (thisSign == priorSign) { : missing value where TRUE/FALSE needed > thedata$...

...tarted reading manuals and playing with data. I've managed to successfully get my *.csv files into R, however I have to use header=FALSE because the real header starts in line #2. The file format looks like: PORTFOLIO EQUITY TABLE TRADE,MARK-SYS,DATE/TIME,PL/SIZE,PS METHOD,POS SIZE,POS PL,DRAWDOWN,DRAWDOWN(%),EQUITY 1,1,1/8/2004 12:57:00 PM,124.00,As Given,1,124.00,0.00,0,"10,124.00" 2,1,1/14/2004 9:03:00 AM,-86.00,As Given,1,-86.00,86.00,0.849,"10,038.00" 3,1,1/14/2004 11:51:00 AM,-226.00,As Given,1,-226.00,312.00,3.082,"9,812.00" 4,1,1/15/2004 12:57:00 PM,134...

...uot;322" "323" "324" [325] "325" "326" "327" > names(PFA_VWAP) [1] "TRADE" "MARK-SYS" "DATE/TIME" "PL/SIZE" "PS METHOD" "POS SIZE" "POS PL" [8] "DRAWDOWN" "DRAWDOWN(%)" "EQUITY" > dim(PFA_VWAP) [1] 327 10 > PFA_VWAP_Equity<-PFA_VWAP[,10] > PFA_VWAP_Equity [1] 9,854.00 10,728.00 10,952.00 10,326.00 10,390.00 10,274.00 10,638.00 10,012.00 10,126.00 10,570.00 10,664.00 [12] 11,408.00 11,152.00 11,366.00 11,4...

...llo I have the following problem 1) Problem: I am unable to read data in the xls-format in the PerformAnalytics package. While it works well for several commands, e.g. t(table.Stats(msci_ret)) it does not work for other commands, e.g. x <- msci_ret[, c("CH"), drop = FALSE] table.Drawdowns(x) The error code is: Error in checkData(R) : The data cannot be converted into a time series. If you are trying to pass in names from a data object with one column, you should use the form 'data[rows, columns, drop = FALSE]'. Rownames should have standard date formats, such as '...

...thly price index series x, the related return series y = diff(log(x)) and a POSIXlt date-time variable dp. I would like to apply annual blocks to compute for example annual block maxima and mean of y. When studying the POSIX classes, in the first stage of the learning curve, I computed the maximum drawdown of x: > mdd <- maxdrawdown(x) > max.dd <- mdd$maxdrawdown > from <- as.character(dp[mdd$from]) > to <- as.character(dp[mdd$to]) > from; to [1] "2000-08-31" [1] "2003-03-31" that gives me the POSIX dates of the start and end of t...

...1.2MB / s. And to read and write to Samba. Next I mount resource Samba, as a network ROM for Windows 7 Pro x64. When opening a drawing for editing , there a large number of small requests . Kompas / autocad not cache the file, and read his blocks , often and quickly. At this point, there is a large drawdown performance. For example : with Windows Server on Windows 7 (client) opens a drawing for 15 seconds , with Samba on Windows 7 PRO x64 drawing opens in 32 seconds. I thought that perhaps not optimized kernel parameters . And I decided to check on the KVM server. If you take a server with KVM, put th...