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AverageLength

Calculates the average length (in periods) of the observed drawdowns.

Description

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

Usage

AverageLength(R, ...)

Arguments

R

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

any other passthru parameters

Author(s)

Peter Carl

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]
Initial release
2020-02-05

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