Thank you Brian, geometric=FALSE gave me additional corrections in 2011 and 2012 but still no bear market of 2008:
08/30/2018 - 12/24/2018 (-11.04%) [80 Days] 07/21/2015 - 02/11/2016 (-10.05%) [143 Days] 09/17/2012 - 11/15/2012 (-8.42%) [42 Days] 03/27/2012 - 06/01/2012 (-9.44%) [47 Days] 07/08/2011 - 08/19/2011 (-15.96%) [31 Days] 05/02/2011 - 06/17/2011 (-7.59%) [34 Days] 02/22/2011 - 03/16/2011 (-6.54%) [17 Days] 07/18/2000 - 10/09/2002 (-97.34%) [559 Days] Alec ________________________________ From: Brian G. Peterson <br...@braverock.com> Sent: Tuesday, January 8, 2019 11:17 AM To: Alec Schmidt; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] corrections vs drawdowns Alec, I suspect that you may wish to start with setting geometric=FALSE in your call to findDrawdowns. Corrections are usually defined as a peak to trough difference in *price*, as a percentage of the peak price. So I think you do not want to compound the *returns* in calculating your drawdowns. Regards, Brian -- Brian G. Peterson https://na01.safelinks.protection.outlook.com/?url=http%3A%2F%2Fbraverock.com%2Fbrian%2F&data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&sdata=CEhprRb58LDRQj0OmzZ5qzUDDYwumGGjUl9T4CoUscY%3D&reserved=0 Ph: 773-459-4973 IM: bgpbraverock On Tue, 2019-01-08 at 16:09 +0000, Alec Schmidt wrote: > 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://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&sdata=9c8z0kRyh9uaYahELBtBfeg9np8ppq0HYswDUg3myig%3D&reserved=0 > -- 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. [[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.