<div dir="ltr"><div class="gmail-aju" style="float:none;padding:0px 16px;display:flex;height:80px;min-width:40px;font-family:Roboto,RobotoDraft,Helvetica,Arial,sans-serif;font-size:medium"><div class="gmail-aCi" style=""><img id="gmail-:17p_156-e" name=":17p" src="https://lh3.googleusercontent.com/a-/AOh14Gj_FKv4Bmfl9gP4I_NhX4ZV7P3ZDMR8K8Ln293L=s40" class="gmail-ajn" aria-hidden="true" style="display: block; width: 40px; height: 40px; border-radius: 50%; background-color: rgb(204, 204, 204);"></div></div><div class="gmail-gs" style="margin:0px;padding:0px 0px 20px;width:1290.67px;font-family:Roboto,RobotoDraft,Helvetica,Arial,sans-serif;font-size:medium"><div class="gmail-gE gmail-iv gmail-gt" style="padding:20px 0px 0px;font-size:0.875rem"><table cellpadding="0" class="gmail-cf gmail-gJ" style="border-collapse:collapse;margin-top:0px;width:auto;font-size:0.875rem;letter-spacing:0.2px;display:block"><tbody style="display:block"><tr class="gmail-acZ" style="height:auto;display:flex"><td class="gmail-gF gmail-gK" style="white-space:nowrap;padding:0px;vertical-align:top;width:1032.46px;line-height:20px;display:block;max-height:20px"><table cellpadding="0" class="gmail-cf gmail-ix" style="border-collapse:collapse;table-layout:fixed;width:1032.46px"><tbody><tr><td class="gmail-c2" style="display:flex"><h3 class="gmail-iw" style="overflow:hidden;font-size:0.75rem;font-weight:inherit;margin:inherit;text-overflow:ellipsis;letter-spacing:0.3px;color:rgb(95,99,104);line-height:20px"><span class="gmail-qu" role="gridcell" tabindex="-1"><span name="Ilya Kipnis" class="gmail-gD" style="color:rgb(32,33,36);font-size:0.875rem;font-weight:bold;display:inline;vertical-align:top;letter-spacing:0.2px;line-height:20px"><span style="vertical-align:top">Ilya Kipnis</span></span> <span class="gmail-go" style="vertical-align:top;color:rgb(85,85,85)"><span aria-hidden="true"><</span><a href="mailto:ilya.kipnis@gmail.com">ilya.kipnis@gmail.com</a><span aria-hidden="true">></span></span></span></h3></td></tr></tbody></table></td><td class="gmail-gH gmail-bAk" style="text-align:right;white-space:nowrap;vertical-align:top;display:block;max-height:20px"><div class="gmail-gK" style="padding:0px;display:flex"><span id="gmail-:8kw" class="gmail-g3" title="Dec 31, 2021, 3:06 PM" alt="Dec 31, 2021, 3:06 PM" role="gridcell" tabindex="-1" style="vertical-align:top;margin:0px;font-size:0.75rem;letter-spacing:0.3px;color:rgb(95,99,104);display:block;line-height:20px">3:06 PM (5 minutes ago)</span><div class="gmail-zd gmail-bi4" aria-label="Not starred" title="Not starred" tabindex="0" role="checkbox" aria-checked="false" style="display:inline-block;height:20px;margin-left:20px;outline:0px"><span class="gmail-T-KT" style="display:inline-flex;height:20px;text-align:center;width:20px;padding:0px;margin:0px;border:none;outline:none"></span></div></div></td><td class="gmail-gH" style="text-align:right;white-space:nowrap;vertical-align:top;display:flex"></td><td class="gmail-gH gmail-acX gmail-bAm" rowspan="2" style="text-align:right;white-space:nowrap;vertical-align:top;display:block;max-height:20px"><div class="gmail-T-I gmail-J-J5-Ji gmail-T-I-Js-IF gmail-aaq gmail-T-I-ax7 gmail-L3" role="button" tabindex="0" aria-label="Reply" style="display:inline-flex;border-radius:2px 0px 0px 2px;font-size:0.875rem;text-align:center;margin:0px 0px 0px 20px;height:20px;line-height:18px;min-width:0px;outline:none;padding:0px;background:transparent;color:rgb(68,68,68);border:none"><img class="gmail-hB gmail-T-I-J3" role="button" src="https://mail.google.com/mail/u/0/images/cleardot.gif" alt="" style="background: url("https://www.gstatic.com/images/icons/material/system_gm/1x/reply_black_20dp.png") 50% 50% / 20px no-repeat; height: 20px; margin: 0px; vertical-align: middle; width: 20px; opacity: 0.7; display: inline-block; padding: 0px; transition: opacity 0.15s cubic-bezier(0.4, 0, 0.2, 1) 0s;"></div><div id="gmail-:8re" class="gmail-T-I gmail-J-J5-Ji gmail-T-I-Js-Gs gmail-aap gmail-T-I-awG gmail-T-I-ax7 gmail-L3" role="button" tabindex="0" aria-expanded="false" aria-haspopup="true" aria-label="More" style="display:inline-flex;border-radius:0px 2px 2px 0px;font-size:0.875rem;text-align:center;margin:0px 0px 0px 20px;height:20px;line-height:18px;min-width:0px;outline:none;padding:0px;background:transparent;color:rgb(68,68,68);border:none"><img class="gmail-hA gmail-T-I-J3" role="menu" src="https://mail.google.com/mail/u/0/images/cleardot.gif" alt="" style="background: url("https://www.gstatic.com/images/icons/material/system_gm/1x/more_vert_black_20dp.png") 50% 50% / 20px no-repeat; height: 20px; width: 20px; margin: 0px; vertical-align: middle; opacity: 0.7; display: inline-block; padding: 0px; transition: opacity 0.15s cubic-bezier(0.4, 0, 0.2, 1) 0s;"></div></td></tr><tr class="gmail-acZ gmail-xD" style="height:auto;display:flex"><td colspan="3"><table cellpadding="0" class="gmail-cf gmail-adz" style="border-collapse:collapse;table-layout:fixed;white-space:nowrap;width:1290.67px"><tbody><tr><td class="gmail-ady" style="overflow:visible;text-overflow:ellipsis;display:flex;line-height:20px"><div class="gmail-iw gmail-ajw" style="overflow:hidden;max-width:92%;display:inline-block"><span class="gmail-hb" style="vertical-align:top;color:rgb(95,99,104);font-size:0.75rem;letter-spacing:0.3px;line-height:20px">to <span name="r-sig-finance" class="gmail-g2" style="vertical-align:top">r-sig-finance</span></span></div><div id="gmail-:8jl" aria-haspopup="true" class="gmail-ajy" role="button" tabindex="0" aria-label="Show details" style="display:inline-flex;margin-left:4px;vertical-align:top;border:none;outline:none"><img class="gmail-ajz" src="https://mail.google.com/mail/u/0/images/cleardot.gif" alt="" style="background: url("https://www.gstatic.com/images/icons/material/system_gm/1x/arrow_drop_down_black_20dp.png") 50% 50% / 20px no-repeat; cursor: pointer; padding: 0px; vertical-align: baseline; height: 20px; width: 20px; border: none; margin: 0px 0px 0px auto; right: 0px; top: 0px; display: flex; opacity: 0.71;"></div></td></tr></tbody></table></td></tr></tbody></table></div><div id="gmail-:8kt"><div class="gmail-qQVYZb"></div><div class="gmail-utdU2e"></div><div class="gmail-lQs8Hd"></div><div class="gmail-btm"></div></div><div class="gmail-"><div class="gmail-aHl" style=""></div><div id="gmail-:8jk" tabindex="-1"></div><div id="gmail-:8ku" class="gmail-ii gmail-gt" style="font-size:0.875rem;direction:ltr;margin:8px 0px 0px;padding:0px"><div id="gmail-:8jj" class="gmail-a3s gmail-aiL" style="overflow:hidden;font-variant-numeric:normal;font-variant-east-asian:normal;font-stretch:normal;font-size:small;line-height:1.5;font-family:Arial,Helvetica,sans-serif"><div dir="ltr">Quick bug description: using charts.PerformanceSummary, the drawdown plot looks like it has a gap.<div><br></div><div>Min reproducible example using a simple moving average crossover on SPY:</div><div><br></div><div>require(quantmod)<br>require(TTR)<br>require(PerformanceAnalytics)<br><br>sma_strat <- function(prices, n_short = 1, n_long = 200, lag = 2) {<br>  returns <- na.omit(Return.calculate(prices))<br>  out <- lag(SMA(prices, n_short) > SMA(prices, n_long), 2) * returns<br>  return(out)<br>}<br><br>stratStats <- function(rets) {<br>  stats <- rbind(table.AnnualizedReturns(rets), maxDrawdown(rets))<br>  stats[5,] <- stats[1,]/stats[4,]<br>  stats[6,] <- stats[1,]/UlcerIndex(rets)<br> <br>  stats <- rbind(stats, Omega(rets), SortinoRatio(rets),<br>                 skewness(rets), kurtosis(rets), VaR(rets))<br>  rownames(stats)[4] <- "Worst Drawdown"<br>  rownames(stats)[5] <- "Calmar Ratio"<br>  rownames(stats)[6] <- "Ulcer Performance Index"<br>  return(stats)<br>}<br><br>getSymbols('SPY', from = '1990-01-01')<br><br><br>spy_SMA_1_200 <- sma_strat(Cl(SPY))<br>spy_SMA_50_200 <- sma_strat(Cl(SPY), 50, 200)<br><br>compare <- na.omit(cbind(spy_SMA_1_200, spy_SMA_50_200))<br>colnames(compare) <- c("SPY_1_200", "SPY_50_200")<br><br>charts.PerformanceSummary(compare)<br>stratStats(compare)<br></div><div><br></div><div>Output:</div><div><br></div><div><br></div><div><br></div><div><img src="cid:ii_kxuu1e4r0" alt="image.png" width="542" height="424"><br></div><div><br></div><div><div>Notice the gap in the drawdowns in 2008-2009 on the black line.</div><div><br></div><div>Just something I noticed now.</div></div></div></div></div></div></div></div>