Dear Brian,

Thanks for your reply. I was looking at the findDrawdowns help and I was not
sure I understand the definition properly:
Details

Returns an unordered list:

   - return depth of drawdown
   - from starting period
   - to ending period
   - length length in periods


On 10 May 2011 16:03, Brian G. Peterson <brian@braverock.com> wrote:

> 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
>
>

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