Calculates the average length (in periods) of the observed drawdowns.

Similar to AverageDrawdown, which calculates the average depth of drawdown, this function calculates the average length of the drawdowns observed.

Usage

AverageLength(R, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

...

any other passthru parameters

Author

Peter Carl