Drawdown function for use with plyr / data.table

ddply_drawdown

## Drawdown using plyr / data.table

vami<-function (ror) { cumprod(na.omit(ror) + 1) }
dd<-function (ror) { -(1 - vami(ror)/cummax(c(1, cummax(vami(ror))))[-1]) }

require(PerformanceAnalytics)
require(plyr)
require(reshape2)
require(data.table)

data(edhec)
edhec_melt<-melt(data.frame(date=index(edhec),coredata(edhec)),id.vars='date')

## plyr method
ddply(edhec_melt,.(variable),transform,dd=dd(value))

## data.table method
edhec_dt<-data.table(edhec_melt,key='variable')
edhec_dt[,dd:=dd(value),by=variable]
edhec_dt