corrections vs drawdowns

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corrections vs drawdowns

Alec Schmidt-2
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]]

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Re: corrections vs drawdowns

braverock
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
http://braverock.com/brian/
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]]
>
> _______________________________________________
> [hidden email] 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.

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Re: corrections vs drawdowns

Alec Schmidt-2
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 <[hidden email]>
Sent: Tuesday, January 8, 2019 11:17 AM
To: Alec Schmidt; [hidden email]
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&amp;data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&amp;sdata=CEhprRb58LDRQj0OmzZ5qzUDDYwumGGjUl9T4CoUscY%3D&amp;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]]
>
> _______________________________________________
> [hidden email] mailing list
> https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&amp;data=02%7C01%7Caschmid1%40stevens.edu%7Ce6f064fd98b940503baf08d67584dcf1%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825610866789711&amp;sdata=9c8z0kRyh9uaYahELBtBfeg9np8ppq0HYswDUg3myig%3D&amp;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]]

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Re: corrections vs drawdowns

braverock
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:

https://www.schwab.com/resource-center/insights/content/market-correcti
on-what-does-it-mean

The Motley Fool uses a similar but not identical definition:

https://www.schwab.com/resource-center/insights/content/market-correcti
on-what-does-it-mean

quantmod has a 'findPeaks' function, but this is dependent on you
setting a threshold for what defines a peak.

A related Stack Overflow question may provide something in the
direction of what you're looking for to look at drawdown from a recent
peak.

https://stackoverflow.com/questions/14737899/calculate-cumulatve-growth
-drawdown-from-local-min-max

I would certainly be happy to include a 'findCorrections' function in a
later version of PerformanceAnalytics if we could parameterize what
constitutes a 'recent high' for that purpose.

Regards,

Brian


On Tue, 2019-01-08 at 16:36 +0000, Alec Schmidt wrote:

> 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 <[hidden email]>
> Sent: Tuesday, January 8, 2019 11:17 AM
> To: Alec Schmidt; [hidden email]
> 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
>
>
> 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

_______________________________________________
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https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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Re: corrections vs drawdowns

Enrico Schumann-2
In reply to this post by Alec Schmidt-2
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]
> 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
>

Perhaps the function 'streaks' in package
'PMwR' does what you want.

  library("tseries")
  library("PMwR")
  z <- get.hist.quote("^IXIC", quote = "Close", retclass = "zoo",
                      start = as.Date("2007-1-1"))
  streaks(z)
  ##        start        end state      return
  ## 1 2007-01-03 2007-03-05  <NA> -0.03403819
  ## 2 2007-03-05 2007-10-31    up  0.22149128
  ## 3 2007-10-31 2008-11-20  down -0.53967656
  ## 4 2008-11-20 2009-01-06    up  0.25549343
  ## 5 2009-01-06 2009-03-09  down -0.23223471
  ## 6 2009-03-09 2018-08-29    up  5.39242799
  ## 7 2018-08-29 2019-01-04  down -0.16903607



See also

https://stats.stackexchange.com/questions/354157/determining-up-down-market-trends-in-timeseries-data/373622#373622

https://cran.r-project.org/web/packages/PMwR/vignettes/Drawdowns_streaks.pdf


--
Enrico Schumann (maintainer of PMwR)
Lucerne, Switzerland
http://enricoschumann.net

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Re: corrections vs drawdowns

Alec Schmidt-2
In reply to this post by braverock
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 trough. But of course there may be a more generic setup.

Alec


________________________________
From: Brian G. Peterson <[hidden email]>
Sent: Tuesday, January 8, 2019 11:55 AM
To: Alec Schmidt; [hidden email]
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 accepted usage:

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.schwab.com%2Fresource-center%2Finsights%2Fcontent%2Fmarket-correcti&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496698033&amp;sdata=rkHsOOY4EdLB9LUu4bomU4%2F98T3kHidzSJY%2BGEQ4NsI%3D&amp;reserved=0
on-what-does-it-mean

The Motley Fool uses a similar but not identical definition:

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.schwab.com%2Fresource-center%2Finsights%2Fcontent%2Fmarket-correcti&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496698033&amp;sdata=rkHsOOY4EdLB9LUu4bomU4%2F98T3kHidzSJY%2BGEQ4NsI%3D&amp;reserved=0
on-what-does-it-mean

quantmod has a 'findPeaks' function, but this is dependent on you
setting a threshold for what defines a peak.

A related Stack Overflow question may provide something in the
direction of what you're looking for to look at drawdown from a recent
peak.

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstackoverflow.com%2Fquestions%2F14737899%2Fcalculate-cumulatve-growth&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496708038&amp;sdata=R9gkq2ILuqhdJQpjyijXw%2Flmogrxto8WP%2BvV05K6lgo%3D&amp;reserved=0
-drawdown-from-local-min-max

I would certainly be happy to include a 'findCorrections' function in a
later version of PerformanceAnalytics if we could parameterize what
constitutes a 'recent high' for that purpose.

Regards,

Brian


On Tue, 2019-01-08 at 16:36 +0000, Alec Schmidt wrote:

> 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 <[hidden email]>
> Sent: Tuesday, January 8, 2019 11:17 AM
> To: Alec Schmidt; [hidden email]
> 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
>
>
> 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]]

_______________________________________________
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Re: corrections vs drawdowns

Alec Schmidt-2
In reply to this post by Alec Schmidt-2
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 trough. But of course there may be a more generic setup.

Alec


________________________________
From: Brian G. Peterson <[hidden email]>
Sent: Tuesday, January 8, 2019 11:55 AM
To: Alec Schmidt; [hidden email]
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 accepted usage:

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.schwab.com%2Fresource-center%2Finsights%2Fcontent%2Fmarket-correcti&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496698033&amp;sdata=rkHsOOY4EdLB9LUu4bomU4%2F98T3kHidzSJY%2BGEQ4NsI%3D&amp;reserved=0
on-what-does-it-mean

The Motley Fool uses a similar but not identical definition:

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.schwab.com%2Fresource-center%2Finsights%2Fcontent%2Fmarket-correcti&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496698033&amp;sdata=rkHsOOY4EdLB9LUu4bomU4%2F98T3kHidzSJY%2BGEQ4NsI%3D&amp;reserved=0
on-what-does-it-mean

quantmod has a 'findPeaks' function, but this is dependent on you
setting a threshold for what defines a peak.

A related Stack Overflow question may provide something in the
direction of what you're looking for to look at drawdown from a recent
peak.

https://na01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstackoverflow.com%2Fquestions%2F14737899%2Fcalculate-cumulatve-growth&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C104e1f582d6242bfce0208d6758a227a%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C636825633496708038&amp;sdata=R9gkq2ILuqhdJQpjyijXw%2Flmogrxto8WP%2BvV05K6lgo%3D&amp;reserved=0
-drawdown-from-local-min-max

I would certainly be happy to include a 'findCorrections' function in a
later version of PerformanceAnalytics if we could parameterize what
constitutes a 'recent high' for that purpose.

Regards,

Brian


On Tue, 2019-01-08 at 16:36 +0000, Alec Schmidt wrote:

> 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 <[hidden email]>
> Sent: Tuesday, January 8, 2019 11:17 AM
> To: Alec Schmidt; [hidden email]
> 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
>
>
> 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

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