Calculates the average length (in periods) of the observed recovery period.

Similar to AverageDrawdown, which calculates the average depth of drawdown, this function calculates the average length of the recovery period of the drawdowns observed.

Usage

AverageRecovery(R, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

...

any other passthru parameters

Author

Peter Carl