[R-SIG-Finance] findDrawdowns {PerformanceAnalytics}

[Brian G. Peterson]

On Tue, 2011-05-10 at 15:48 +0000, Costas Vorlow wrote:
> I am not sure I understand the output:
> 
> > table.Drawdowns(ret, top=10)
>          From     Trough         To   Depth Length To Trough Recovery
> 1  1999-07-19 2000-09-29 2008-10-09 -0.4059   2323       306     2017
> 2  2009-03-10 2009-07-13       <NA> -0.3721    548        87       NA
> 3  1987-10-20 1988-11-22 1993-10-14 -0.2995   1515       278     1237
> 4  1974-10-04 1980-05-16 1982-10-11 -0.2902   2026      1420      606
> 5  1998-07-20 1998-10-29 1999-07-16 -0.2253    251        73      178
> 6  2008-11-21 2009-01-06 2009-03-02 -0.2073     67        30       37
> 7  1971-04-29 1973-10-31 1974-05-22 -0.1826    774       634      140
> 8  2008-10-28 2008-11-04 2008-11-19 -0.1618     17         6       11
> 9  1985-07-18 1985-10-11 1986-02-13 -0.1461    146        60       86
> 10 1994-04-05 1995-01-03 1995-06-05 -0.1412    295       189      106
> >
> 
> Is it Peak-to-Trough-to-next_peak ???
> 
> Does it pick the local (sequencial) maxima/minima (inflection points)
> in the (cumulative) returns cycles ?

I'm pretty certain this is all spelled out in the documentation.  

From: high water mark
Trough: low point in this drawdown
To: when the initial high water mark is recovered
Depth: drawdown to trough
Length: number of periods of From-To
To Trough: how many periods to the bottom
Recovery: how many periods Trough->end of drawdown

Perhaps you can be specific about what part of the documentation doesn't
make sense to you?

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock