Modern Finance MaxDrawdownTrough

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MaxDrawdownTrough

Returns the index of the low point of the worst drawdown, or empty if none.

Syntax

MaxDrawdownTrough( periodReturns( ) )

Examples

#import "std/money"
using money

'' The index of the bottom of the worst drawdown.  Always at or after
'' the peak.
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 }

print MaxDrawdownTrough( r( ) ).Value( )     '' 4
print MaxDrawdownPeak( r( ) ).Value( )       '' 3

dim as boolean afterPeak = ( MaxDrawdownTrough( r( ) ).Value( ) > _
                             MaxDrawdownPeak( r( ) ).Value( ) )
print afterPeak                              '' true

---

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