[R-SIG-Finance] corrections vs drawdowns

Alec Schmidt @@chmid1 @ending from @teven@@edu
Tue Jan 8 17:36:57 CET 2019


Thank you Brian,

geometric=FALSE gave me additional corrections in 2011 and 2012 but still no bear market of 2008:



08/30/2018 - 12/24/2018 (-11.04%) [80 Days]
07/21/2015 - 02/11/2016 (-10.05%) [143 Days]
09/17/2012 - 11/15/2012 (-8.42%) [42 Days]
03/27/2012 - 06/01/2012 (-9.44%) [47 Days]
07/08/2011 - 08/19/2011 (-15.96%) [31 Days]
05/02/2011 - 06/17/2011 (-7.59%) [34 Days]
02/22/2011 - 03/16/2011 (-6.54%) [17 Days]
07/18/2000 - 10/09/2002 (-97.34%) [559 Days]


Alec



________________________________
From: Brian G. Peterson <brian using braverock.com>
Sent: Tuesday, January 8, 2019 11:17 AM
To: Alec Schmidt; r-sig-finance using r-project.org
Subject: Re: [R-SIG-Finance] corrections vs drawdowns

Alec,

I suspect that you may wish to start with setting geometric=FALSE in
your call to findDrawdowns.

Corrections are usually defined as a peak to trough difference in
*price*, as a percentage of the peak price.

So I think you do not want to compound the *returns* in calculating
your drawdowns.

Regards,

Brian

--
Brian G. Peterson
https://na01.safelinks.protection.outlook.com/?url=http%3A%2F%2Fbraverock.com%2Fbrian%2F&data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&sdata=CEhprRb58LDRQj0OmzZ5qzUDDYwumGGjUl9T4CoUscY%3D&reserved=0
Ph: 773-459-4973
IM: bgpbraverock

On Tue, 2019-01-08 at 16:09 +0000, Alec Schmidt wrote:
> 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
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance using r-project.org mailing list
> https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&sdata=9c8z0kRyh9uaYahELBtBfeg9np8ppq0HYswDUg3myig%3D&reserved=0
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R
> questions should go.

	[[alternative HTML version deleted]]



More information about the R-SIG-Finance mailing list