S&P500 Drawdown Recovery Profile

I wanted to do a little analysis on the drawdown and recovery period on the S&P500 I would like to do this over even more data than the past 65yrs. Lets first take a visual cue on how this market has performed and then follow it with a table for some added statistics. If I could highlight one point which already knew but it is worth mentioning. The recovery usually takes 2 to 3 times the length it takes to form a trough. I love / hate trading that asymmetry. So much worry, pain and discomfort, and then very quickly it is “I love this job”.

Rplot03Rplot01

The R code I wrote is really very simple and I thought I would add it for completeness.

library(quantmod)
library(PerformanceAnalytics)
library(gridExtra)
 
getSymbols("^GSPC", from= "1900-01-01") # it only goes back to 1950
spret<- ROC(GSPC[,6], type = "discrete", n = 1) # want to create a % return of the adjusted close
t<-table.Drawdowns(spret)
charts.PerformanceSummary(spret)
grid.newpage(recording = FALSE)
grid.table(t) # I like the look of this table to the standard R print.

Created by Pretty R at inside-R.org

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