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Drought table example
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| ### Drought | |
| ### A drought is a flat period in performance. | |
| ### The max drought is the longest flat period in a track record. | |
| ### The current drought is the current flat period in a track record. | |
| require(devtools) | |
| install_github("r_jfreels","jfreels") | |
| # load data | |
| require(PerformanceAnalytics) | |
| data(edhec) | |
| edhec<-data.frame(date=index(edhec),coredata(edhec)) | |
| edhec<-melt(edhec,id.vars='date') | |
| edhec<-data.table(edhec,key=c('variable','date')) | |
| # max drought table | |
| jf.table.drought(edhec,type='max') | |
| # current drought table | |
| jf.table.drought(edhec,type='current') |
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