[Returnanalytics-commits] r1966 - pkg/PerformanceAnalytics/R

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2012-05-25 16:07:21 +0200 (Fri, 25 May 2012)
New Revision: 1966

Modified:
   pkg/PerformanceAnalytics/R/Drawdowns.R
Log:
- revert change from r1949 to previous behavior (r1855 and prior) after further consultation with Pat Burns

Modified: pkg/PerformanceAnalytics/R/Drawdowns.R
===================================================================
--- pkg/PerformanceAnalytics/R/Drawdowns.R	2012-05-25 10:25:23 UTC (rev 1965)
+++ pkg/PerformanceAnalytics/R/Drawdowns.R	2012-05-25 14:07:21 UTC (rev 1966)
@@ -17,7 +17,7 @@
         if(geometric)
             Return.cumulative = cumprod(1+x)
         else
-            Return.cumulative = exp(cumsum(x))
+            Return.cumulative = 1+cumsum(x)
         maxCumulativeReturn = cummax(c(1,Return.cumulative))[-1]
         column.drawdown = Return.cumulative/maxCumulativeReturn - 1
     }