Drawdown analysis of an index

How far is the index below its all-time high, and how does that compare with its earlier falls? See drawdown_episodes() for how the falls are found.

Now: the last close against the all-time high, the lowest close since that high, the rise the price needs to get back to it, and the earlier falls that went at least as deep as the current one has so far: how many days they took to get back to their high.

The history: the falls of at least min_depth percent, the deepest first, the share of days that closed that far below the high, and the days that closed at a new all-time high.

Usage

drawdown_analysis(history, min_depth = 20)

Arguments

history

Price history of one index from get_history(), with all of it: the highs are those of the history given.

min_depth

Smallest fall of the history to list, in percent below the high.

Value

NULL when there are fewer than 2 prices, or a list with:

index, first_date, last_date, min_depth

What was analysed.

now

date and close of the last day, drawdown_pct, high_date and high_price of the all-time high, days_since_high, and rise_needed_pct to get back to it. While the price is below the high also low_date and low_price, the lowest close since the high, deepest_pct how far that is below it, rank of the current fall among all the falls of the history by that depth, 1 for the deepest, and earlier, the earlier falls at least as deep, as rows of drawdown_episodes(). At the high, previous holds the last fall of at least min_depth percent, or no rows.

episodes

The falls of at least min_depth percent from drawdown_episodes(), with their rank in front, 1 for the deepest.

series

A row per day: date, close, high (the all-time high so far) and drawdown_pct (see drawdown()).

share_under

Percent of the days that closed at least min_depth percent below the high.

new_highs

Days that closed at a new all-time high, the first day of the history left out.

Examples

if (FALSE) { # interactive()
spx <- get_history("S&P 500", as.Date("1950-01-01"))
analysis <- drawdown_analysis(spx)
analysis$now$drawdown_pct
analysis$episodes
drawdown_text(analysis)
}