I tried to use the function findDrawdowns() to compile NASDAQ (^IXIC)
corrections. For the sample starting on
2007-01-01, I get the following start -to-trough periods with drawdowns higher
than 10%
08/30/2018 - 12/24/2018 (-23.64%) [80 Days]
07/21/2015 - 02/11/2016 (-18.24%) [143 Days]
09/17/2012 - 11/15/2012 (-10.90%) [42 Days]
03/27/2012 - 06/01/2012 (-12.01%) [47 Days]
05/02/2011 - 10/03/2011 (-18.71%) [108 Days]
11/01/2007 - 03/09/2009 (-55.63%) [339 Days]
However, if the sample starts on 2000-06-01, I get
08/30/2018 - 12/24/2018 (-23.64%) [80 Days]
07/21/2015 - 02/11/2016 (-18.24%) [143 Days]
07/18/2000 - 10/09/2002 (-73.94%) [559 Days]
i.e. no bear market of 2008...
This is because ^IXIC didn't recover in 2007 from its fall from top in 2000.
This implies that various reports on market corrections do not use the max
drawdown. Is there consensus (and possibly R scripts) that address this problem?
Thanks! Alec
[[alternative HTML version deleted]]
_______________________________________________
R-SIG-Finance@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
