Drawdawn peak of the return distribution

Drawdawn peak is for each return its drawdown since the previous peak

Usage

DrawdownPeak(R, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns (Note: expects decimal returns, e.g. 0.05 for 5%, not percentage units).

...

any other passthru parameters

Author

Matthieu Lestel