table.Drawdowns table in PerformanceAnalytics

Brian,

thank you for your answer. I enclose the patch (the relevant lines are
enclosed by case 0/ end case 0

Felix

PS : in the next few days I will probably have some more suggestions for
patches, should I post this to r-sig-finance at r-project.org, too, or just
email you.


On 02/12/10 15:34, Brian G. Peterson wrote:

Felix,

I'm glad you find the package useful.

I also agree with your logic. If you have te time to craft a patch, we
would be happy to include it (with attribution), otherwise I'll add it
to my list of things to do.

Regards,

- Brian

On 12/02/2010 08:29 AM, H. Felix Wittmann wrote:

Brian,

first of all: thanks again for an excellent package. I believe you've
done a great job for the community!

I have noticed that table.Drawdowns produces spurious/erroneous results
when number of drawdowns is less than 1.

In my view it would be desirable in the case of no drawdowns to have an
output similar to the cases with one/two drawdowns in the series. ie
somthing like this


*Desired output when number of drawdowns is less than 1.*

[1] From Trough To Depth Length To Trough
Recovery
<0 rows> (or 0-length row.names)

Warning message:
In table.Drawdowns(z.two.drawdowns) : Only 0 available in the data.


I include some code (in blue, output in brown)

require(PerformanceAnalytics)
set.seed(seed = 166, kind = NULL, normal.kind = NULL)


time <- as.Date('01/12/2010', "%d/%m/%Y") + +seq(10)*31

z.two.drawdowns <-
zoo(c(-0.1,0.2,-0.05,(rnorm(10)/10+1)/10),order.by = time)
z.one.drawdown <- zoo(c(-0.1,(rnorm(10)/10+1)/10),order.by = time)
z.no.drawdown <- zoo((rnorm(10)/10+1)/10,order.by = time)



table.Drawdowns(z.two.drawdowns)
From Trough To Depth Length To Trough Recovery
1 2011-01-01 2011-01-01 2011-02-01 -0.10 2 1 1
2 2011-03-04 2011-03-04 2011-04-04 -0.05 2 1 1
Warning message:
In table.Drawdowns(z.two.drawdowns) : Only 2 available in the data.
From Trough To Depth Length To Trough Recovery

table.Drawdowns(z.one.drawdown)

1 2011-01-01 2011-01-01 2011-03-04 -0.1 3 1 2
Warning message:
In table.Drawdowns(z.one.drawdown) : Only 1 available in the data.

table.Drawdowns(z.no.drawdown)

Error in if (runs$return[j] > runs$return[j + 1]) { :
missing value where TRUE/FALSE needed
Calls: table.Drawdowns -> sortDrawdowns


As one can see from the above, the output in the case of no drawdowns is
markedly different. However, I would prefer it to be similar. Happy to
provide patches.

Cheers, Felix