Displaying 7 results from an estimated 7 matches for "drawdowns".
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drawdown
2006 May 17
5
Convention difference in tseries.maxdrawdown (PR#8872)
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
2009 Jul 03
1
The time series analysis functions/packages don't seem to like my data
...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$V...
2009 Jun 28
4
read.csv, header=TRUE but skip the first line
Hi,
Complete newbie to R here. Just getting started 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
2009 Jun 28
1
newbie - read.csv creates a (data.frame, table, array, matrix, ...) and plotting one column
Hi all,
Newbie alert. OK, I'm reading the help file using Ted's suggestion
of ?read.csv or ?read.table, etc., and trying to understand exactly
what R has created for me when I do the read.csv command. The overall
header says read.table creates a 'data.frame', which is fine with me
as it works, but throughout the help file I run into the words table,
matrix, array and others. Are
2012 Jan 11
1
R problem: unable to read data in the xls-format in the PerformAnalytics package
...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 '...
2004 Sep 22
5
block statistics with POSIX classes
I have a monthly 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
2014 May 13
0
Kompas/autocad perfomance
Good afternoon. Performance problems when opening drawings Kompas
V13/autocad 2010 with resource Samba.
When simply copying speed 11.2MB / 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.