| maxdrawdown {tseries} | R Documentation |
This function computes the maximum drawdown or maximum loss of the
univariate time series (or vector) x.
maxdrawdown(x)
x |
a numeric vector or univariate time series. |
The max drawdown or max loss statistic is defined as the maximum
value drop after one of the peaks of x. For financial
instruments the max drawdown represents the worst investment loss for
a buy-and-hold strategy invested in x.
A list containing the following three components:
maxdrawdown |
double representing the max drawdown or max loss statistic. |
from |
the index (or vector of indices) where the max drawdown period starts. |
to |
the index (or vector of indices) where the max drawdown period ends. |
A. Trapletti
# Toy example
x <- c(1:10, 9:7, 8:14, 13:8, 9:20)
mdd <- maxdrawdown(x)
mdd
plot(x)
segments(mdd$from, x[mdd$from], mdd$to, x[mdd$from], col="grey")
segments(mdd$from, x[mdd$to], mdd$to, x[mdd$to], col="grey")
mid <- (mdd$from + mdd$to)/2
arrows(mid, x[mdd$from], mid, x[mdd$to], col="red", length = 0.16)
# Realistic example
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
mdd <- maxdrawdown(dax)
mdd
plot(dax)
segments(time(dax)[mdd$from], dax[mdd$from],
time(dax)[mdd$to], dax[mdd$from], col="grey")
segments(time(dax)[mdd$from], dax[mdd$to],
time(dax)[mdd$to], dax[mdd$to], col="grey")
mid <- time(dax)[(mdd$from + mdd$to)/2]
arrows(mid, dax[mdd$from], mid, dax[mdd$to], col="red", length = 0.16)