Displaying 2 results from an estimated 2 matches for "maxdrawdown".
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
version. It has the...
2004 Sep 22
5
block statistics with POSIX classes
...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 the period and suggests that I hav...