Modern Finance DrawdownSeries

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DrawdownSeries

Returns the fall from the running peak at each observation, zero or negative.

Syntax

DrawdownSeries( periodReturns( ) )

Examples

#import "std/money"
using money

'' The fall from the RUNNING PEAK at each observation -- not from the
'' start of the series.  Both definitions are in use; this is the
'' standard one.
dim as float64 r( 0 to 11 ) = { 0.02, -0.01, 0.03, 0.015, -0.025, 0.04, _
                               0.01, -0.005, 0.02, 0.03, -0.015, 0.025 }
dim as float64 b( 0 to 11 ) = { 0.018, -0.012, 0.025, 0.012, -0.02, 0.035, _
                               0.008, -0.004, 0.018, 0.028, -0.012, 0.022 }

var dd = DrawdownSeries( r( ) )
print dd.Value( ).Count( )               '' 12

'' EVERY VALUE IS <= 0, and a new high is exactly zero.
print dd.Value( ).At( 0 )                '' 0
print dd.Value( ).At( 4 )                '' -0.02500000000000009

'' MaxDrawdown reports the MAGNITUDE as a positive number -- the
'' asymmetry is deliberate, because "a 20% drawdown" is how it is quoted.
print MaxDrawdown( r( ) ).Value( )       '' 0.02500000000000009

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.