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<TITLE>findDrawdowns/maxDrawdown clarification, please?</TITLE>
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<P><FONT SIZE=2 FACE="Arial">Hi,</FONT>
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<P><FONT SIZE=2 FACE="Arial">I have a hypothetical time series for some cumulative PNL. I am trying to use the findDrawdowns function from the</FONT> <FONT FACE="Times New Roman">PerformanceAnalytics package. When I pass the series to the function, I get an error message which meaning I do not understand. Can some one shed some light about what I am doing wrong? </FONT></P>
<P><FONT FACE="Times New Roman">The function seems to work when using returns instead of dollar amounts (which is my case). I am also using the</FONT> <A HREF="file://maxDrawdown.html"><U><FONT COLOR="#0000FF" SIZE=2 FACE="Courier New">maxDrawdown</FONT></U></A><FONT FACE="Times New Roman"> function, and this last one appears to work well with either returns or dollar amounts. I am just wondering if this is driving my error message.</FONT></P>
<P><FONT FACE="Times New Roman">On the other had, the example used in the help(findDrawdowns) is based on returns of the edhec[,"Funds.of.Funds"] . These returns appear to be monthly returns. I would like to understand if the idea behind the findDrawdowns should be applied to a cumulative returns/pnl instead just monthly (or other frequency) returns/pnl? I believe that</FONT> <FONT FACE="Arial">drawdown is defined as the difference between today's cumulative pnl and the "high water mark" highest point cumulative pnl</FONT><FONT FACE="Arial">, but my interpretation could be completely wrong. Can some one explain?</FONT></P>
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<P><FONT FACE="Times New Roman">Thanks,</FONT>
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<P><FONT FACE="Times New Roman">Jorge</FONT>
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<P><FONT SIZE=2 FACE="Arial">CODE</FONT>
<BR><FONT SIZE=2 FACE="Arial">> ser <- results[samper,"cumpnl",drop=FALSE]</FONT>
<BR><FONT SIZE=2 FACE="Arial">> # write.csv(ser,"test.csv")</FONT>
<BR><FONT SIZE=2 FACE="Arial">> plot(ser,type = "l",col= "red")</FONT>
<BR><FONT SIZE=2 FACE="Arial">> toto = findDrawdowns(ser)</FONT>
<BR><FONT SIZE=2 FACE="Arial">Error in if (thisSign == priorSign) { : </FONT>
<BR><FONT SIZE=2 FACE="Arial"> missing value where TRUE/FALSE needed</FONT>
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<P><FONT FACE="Arial" SIZE=2 COLOR="#000000"> <<test.csv>> </FONT>
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<P><FONT SIZE=2 FACE="Arial">Jorge Nieves</FONT>
<BR><FONT SIZE=2 FACE="Arial">Phone 212.782.7083</FONT>
<BR><FONT SIZE=2 FACE="Arial">Fax 212.642.7644</FONT>
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