[R-SIG-Finance] corrections vs drawdowns

[Alec Schmidt]

I tried to use the function findDrawdowns() to compile NASDAQ (^IXIC) corrections. For the sample starting on

2007-01-01, I get the following start -to-trough periods with drawdowns higher than 10%

08/30/2018 - 12/24/2018 (-23.64%) [80 Days]
07/21/2015 - 02/11/2016 (-18.24%) [143 Days]
09/17/2012 - 11/15/2012 (-10.90%) [42 Days]
03/27/2012 - 06/01/2012 (-12.01%) [47 Days]
05/02/2011 - 10/03/2011 (-18.71%) [108 Days]
11/01/2007 - 03/09/2009 (-55.63%) [339 Days]


However, if the sample starts on 2000-06-01, I get
08/30/2018 - 12/24/2018 (-23.64%) [80 Days]
07/21/2015 - 02/11/2016 (-18.24%) [143 Days]
07/18/2000 - 10/09/2002 (-73.94%) [559 Days]

i.e. no bear market of 2008...

This is because ^IXIC didn't recover in 2007 from its fall from top in 2000. This implies that various reports on market corrections do not use the max drawdown. Is there consensus (and possibly R scripts) that address this problem?

Thanks! Alec

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