[R-SIG-Finance] Possible bug in findDrawdowns

[Worik]

Given a very short series with a draw down one period from "from" to 
"trough" findDrawdowns seems to find the "from" and "trough" in the same 
place, but the wrong place.

For example:


 > Z
                  Y   returns.Y.
1936-02-29 14.5500  0.016632400
1936-03-31 14.9600  0.027788979
1936-04-30 13.8069 -0.080211505
1936-05-31 14.4386  0.044736709
1936-06-30 15.0402  0.040821440
1936-07-31 16.0638  0.065841677
1936-08-31 16.2057  0.008794739
1936-09-30 16.4794  0.016748084
1936-10-31 17.7146  0.072278042
1936-11-30 17.7866  0.004056206
1936-12-31 17.9616  0.009790781

 > findDrawdowns(Z[,2])
$return
[1]  0.0000000 -0.0802115  0.0000000

$from
[1] 1 3 5

$trough
[1] 1 3 5

$to
[1]  3  5 12

$length
[1] 3 3 8

$peaktotrough
[1] 1 1 1

$recovery
[1] 2 2 7

There is a draw down from position 2 to trough at 3 and regains its 
level in 4.  But that is missed.

Either I missunderstand or this is a bug

cheers
Worik

-- 
If we amplify everything, we hear nothing.
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