Brian,
Thanks again. It would be great if you implement findCorrections(). I think it
becomes a popular topic...
On top of my head, the default version needs just one parameter, ie. if we're
looking for corrections of 10%, let's check them after every peak of 10% since
the last correction's
Brian,
Thanks again. It would be great if you implement findCorrections(). I think it
becomes a popular topic...
On top of my head, the default version needs just one parameter, ie. if we're
looking for corrections of 10%, let's check them after every peak of 10%+ since
the last
On Tue, 08 Jan 2019, Alec Schmidt writes:
> 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]
I think that this is correct. NASDAQ was still in a drawdown. NASDAQ
didn't make new all-time highs until 2014.
Some people define 'corrections' as drawdown from most recent peak.
Charles Schwab's definition is in-line with generally accepted usage:
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]
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
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]
