Question

In R, I see there are two packages that have a maxdrawdown function.

One is fTrading and the other is PerformaceAnalytics.

Each of those does a different calculation.

1. fTrading seems to make the assumption that the values are prices of an asset so the drawdown is in valuation.
2. The same applies to PerformanceAnalytics except it gives the answer as a percentage.

Is there a package with a maxdrawdown function that expects P/L data in a series and gives the draw down based on that?

e.g if you had the following data

c(12,10,5,-4,-2,1,5,6)

The max drawdown would be :

-4 + -2=-6.

Answer 1

You’re trying to find the maxDrawDown of the cumsum of PnL (which is the same as the account value).

> library(fTrading)
> maxDrawDown(cumsum(c(0, c(12,10,5,-4,-2,1,5,6))))
$maxdrawdown
[1] 6

$from
[1] 3

$to
[1] 5