| AverageDrawdown {PerformanceAnalytics} | R Documentation |
Calculates the average depth of the observed drawdowns.
Description
ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth drawdown over entire period d = total number of drawdowns in the entire period
Usage
AverageDrawdown(R, ...)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
Author(s)
Peter Carl
[Package PerformanceAnalytics version 2.0.4 Index]