sortDrawdowns {PerformanceAnalytics} | R Documentation |
sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best
sortDrawdowns(runs)
runs |
pass in runs array from findDrawdowns to be sorted |
sorted list
return |
depth of drawdown |
from |
starting period |
to |
ending period |
length |
length in periods |
Peter Carl modified with permission from function by Sankalp Upadhyay
data(edhec) R=edhec[,"Funds.of.Funds"] findDrawdowns(R) sortDrawdowns(findDrawdowns(R))