sortDrawdowns {PerformanceAnalytics}R Documentation

order list of drawdowns from worst to best

Description

sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best

Usage

sortDrawdowns(runs)

Arguments

runs pass in runs array from findDrawdowns to be sorted

Value

sorted list

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

Author(s)

Peter Carl modified with permission from function by Sankalp Upadhyay

References

See Also

findDrawdowns maxDrawdown

Examples

data(edhec)
R=edhec[,"Funds.of.Funds"]
findDrawdowns(R)
sortDrawdowns(findDrawdowns(R))

[Package PerformanceAnalytics version 0.9.4 Index]