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["Leeds, Mark" <mleeds@mlp.com>]

anyone who read my previous email can disregard A because

I found it in adrian trapletti's tseries package.

the function is below in case anyone is interested.

I don't know why this message is skipping lines.

he loops at the end but that's just in case,

the same drawdown occurs more than once.

usually, i will be 1 so looping is very minimal.

i was not familar with the  function cummax but

even then, it' still very clever.

 

maxdrawdown <-

function(x)

{

if(NCOL(x) > 1) stop("x is not a vector or univariate time series")

if(any(is.na(x))) stop("NAs in x")

cmaxx <- cummax(x)-x

mdd <- max(cmaxx)

to <- which(mdd == cmaxx)

from <- double(NROW(to))

for (i in 1:NROW(to)) from[i] <- max(which(cmaxx[1:to[i]] == 0))

return(list(maxdrawdown = mdd, from = from, to = to))

}