Drawdown duration

How can I get the durati开发者_JAVA技巧on of the drawdowns in a zoo serie? the drawdowns can be calculated with cummax(mydata)-mydata. Whenever this value is above zero I have a drawdown. The Drawdown is the measure of the decline from a historical peak (maximum). It lasts till this value is reached again.

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The PerformanceAnalytics package has several functions to do this operation.

> library(PerformanceAnalytics)
> data(edhec)
> dd <- findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
> dd$length
 [1]  3  3  6  5  4 11 14  5  2 10  2  6  3  2  4  9  2  2 13  8  5  5  4  2  7
[26]  6 11  3  2 23

As a side note, if you have two dates in a time series and need to know the time between them, just use diff. You can also use the lubridate package.