| AverageLength {PerformanceAnalytics} | R Documentation |
Calculates the average length (in periods) of the observed drawdowns.
Description
Similar to AverageDrawdown, which calculates the average depth of drawdown, this function calculates the average length of the drawdowns observed.
Usage
AverageLength(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]