Subject: Re: [R-SIG-Finance] corrections vs drawdowns
Alec,
Very interesting paper. Thanks for sharing the results of your thoughts on this
topic.
I note that you reference 'forecast' and 'rugarch' but do not place them in
your references. They should appear in your bibliography. Also, it would
> I'll greatly appreciate your comments.
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> Alec
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> From: Brian G. Peterson
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> Sent: Tuesday, January 8, 2019 11:55 AM
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> To: Alec Schmidt; r-sig-finance@r-project.org
>
> Subject: Re: [R-SIG-
-project.org
Subject: Re: [R-SIG-Finance] corrections vs drawdowns
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
trough. But of course there may be a more generic setup.
Alec
From: Brian G. Peterson
Sent: Tuesday, January 8, 2019 11:55 AM
To: Alec Schmidt; r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] corrections vs drawdowns
I think that this is correct
correction's trough. But of course there may be a more generic setup.
Alec
From: Brian G. Peterson
Sent: Tuesday, January 8, 2019 11:55 AM
To: Alec Schmidt; r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] corrections vs drawdowns
I think that this is correct
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%
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> 08/30/2018 - 12/24/2018 (-23.64%) [80 Days]
[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
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>
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> From: Brian G. Peterson
> Sent: Tuesday, January 8, 2019 11:17 AM
> To: Alec Schmidt; r-sig-finance
-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
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]
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