Average Drawdown: private API

average_drawdown(dd::VecNum, ::Nothing) -> Number
average_drawdown(dd::VecNum, w::VecNum) -> Number

Aggregate a drawdown series into its mean drawdown.

This is the shared aggregation kernel behind AverageDrawdown and RelativeAverageDrawdown: the two measures differ only in the drawdown series they feed it (absolute_drawdown_vec and relative_drawdown_vec respectively), so the averaging lives here once.

Dispatch on the second argument selects the weighting scheme, so callers resolve observation weights with get_observation_weights and let dispatch do the rest. Resolving before dispatching is what makes a DynamicAbstractWeights work here — the aggregator only ever sees a concrete weight vector or nothing.

• ::Nothing: unweighted arithmetic mean.
• w::VecNum: weighted mean.

Arguments

• dd::VecNum: Drawdown series, all entries ≤ 0. Not modified.
• w: Resolved observation weights, or nothing for the unweighted mean.

Returns

• Number: Average drawdown, returned as a positive loss.

Related

• AverageDrawdown
• RelativeAverageDrawdown
• absolute_drawdown_vec
• relative_drawdown_vec