问题描述
rh1 是样本价格数据框 rh2 是 rh1 的收益，return_cum 是 rh2 的累积收益，ret_drawdown 计算回撤。
library(xts)
library(PerformanceAnalytics)
set.seed(1)
rh1 = xts(cbind(a=c(100,101,103,97,98,86,112,109,112)),Sys.Date()+1:10 )
rh2 =na.omit(Return.calculate(rh1[-1],method = "discrete"))
return_cum = cumprod(1+rh2)
ret_drawdown = 1- (return_cum/cummax(return_cum))
ret_drawdown 如下所示：-
2021-02-14 0.0000
2021-02-15 0.0583
2021-02-16 0.0194
2021-02-17 0.0485
2021-02-18 0.1650
2021-02-19 0.0000
2021-02-20 0.0268
2021-02-21 0.0000
我想要一个表格如下：-
start date end date cumulative returns
2021-02-15 2021-02-18 (sum of return values for this period: 0.0583+0.0194+0.0485+0.165)
2021-02-20 2021-02-20 0.0268
该表由 ret_drawdown 数据帧中出现的非零条目组成。请建议前进的方向
下面的答案适用于上面的数据。 但是对于 ret_drawdown 作为以下数据，它失败了
2010-01-07 0.00e+00
2010-01-08 5.67e-03
2010-01-11 1.17e-02
2010-01-12 1.23e-02
2010-01-13 1.37e-02
2010-01-14 1.52e-02
2010-01-15 7.57e-03
2010-01-18 1.09e-02
2010-01-19 5.30e-03
2010-01-20 0.00e+00
2010-01-21 2.30e-04
2010-01-22 7.79e-04
2010-01-25 1.89e-03
2010-01-26 0.00e+00
2010-01-27 0.00e+00
2010-01-28 0.00e+00
2010-01-29 0.00e+00
2010-02-01 2.77e-03
2010-02-02 5.64e-03
2010-02-03 1.13e-03
2010-02-04 0.00e+00
2010-02-05 0.00e+00
2010-02-08 1.73e-03
2010-02-09 7.19e-03
2010-02-10 5.13e-03
2010-02-11 5.56e-03
2010-02-12 2.77e-03
2010-02-15 1.36e-03
2010-02-16 9.21e-03
2010-02-17 8.08e-04
2010-02-18 5.35e-04
2010-02-19 0.00e+00
2010-02-22 1.69e-03
2010-02-23 0.00e+00
2010-02-24 1.24e-05
2010-02-25 7.79e-04
2010-02-26 6.04e-03
2010-03-01 2.37e-03
2010-03-02 4.07e-03
2010-03-03 1.08e-02
2010-03-04 3.57e-03
2010-03-05 5.17e-03
2010-03-08 5.17e-03
2010-03-09 3.19e-03
2010-03-10 5.01e-03
2010-03-11 6.52e-03
2010-03-12 1.26e-02
2010-03-15 7.41e-03
2010-03-16 1.36e-02
2010-03-17 1.50e-02
2010-03-18 7.73e-03
2010-03-19 1.56e-03
2010-03-22 2.46e-03
2010-03-23 0.00e+00
2010-03-24 0.00e+00
2010-03-25 0.00e+00
2010-03-26 5.41e-03
2010-03-29 9.28e-03
2010-03-30 7.92e-03
2010-03-31 1.27e-02
2010-04-01 1.64e-02
2010-04-02 1.15e-02
2010-04-05 1.25e-02
2010-04-06 8.93e-03
2010-04-07 8.24e-03
2010-04-08 7.14e-03
2010-04-09 1.25e-02
2010-04-12 1.90e-02
2010-04-13 1.96e-02
2010-04-14 2.35e-02
2010-04-15 1.99e-02
2010-04-16 1.58e-02
2010-04-19 1.36e-02
2010-04-20 1.30e-02
2010-04-21 1.17e-02
2010-04-22 6.73e-03
2010-04-23 9.35e-03
2010-04-26 7.78e-03
2010-04-27 0.00e+00
2010-04-28 0.00e+00
2010-04-29 4.59e-03
2010-04-30 6.25e-03
2010-05-03 1.32e-03
2010-05-04 0.00e+00
2010-05-05 0.00e+00
2010-05-06 0.00e+00
2010-05-07 5.23e-03
2010-05-10 8.69e-03
2010-05-11 5.03e-03
2010-05-12 7.77e-04
2010-05-13 0.00e+00
2010-05-14 0.00e+00
2010-05-17 0.00e+00
2010-05-18 0.00e+00
2010-05-19 8.83e-03
2010-05-20 1.83e-02
2010-05-21 2.05e-02
2010-05-24 1.10e-02
2010-05-25 4.39e-03
2010-05-26 4.70e-04
2010-05-27 1.12e-02
2010-05-28 7.82e-03
2010-05-31 6.59e-03
2010-06-01 5.95e-03
2010-06-02 4.23e-03
2010-06-03 2.98e-04
2010-06-04 0.00e+00
2010-06-07 0.00e+00
2010-06-08 1.24e-04
2010-06-09 5.75e-03
2010-06-10 1.40e-02
2010-06-11 1.02e-02
2010-06-14 2.14e-02
2010-06-15 2.74e-02
2010-06-16 2.63e-02
2010-06-17 3.07e-02
2010-06-18 3.06e-02
2010-06-21 2.80e-02
2010-06-22 2.60e-02
2010-06-23 3.01e-02
2010-06-24 3.02e-02
2010-06-25 3.50e-02
2010-06-28 3.11e-02
2010-06-29 2.69e-02
2010-06-30 2.70e-02
2010-07-01 4.17e-02
2010-07-02 4.50e-02
2010-07-05 4.30e-02
2010-07-06 4.89e-02
2010-07-07 5.18e-02
2010-07-08 5.18e-02
2010-07-09 5.04e-02
2010-07-12 4.75e-02
2010-07-13 5.39e-02
2010-07-14 5.63e-02
2010-07-15 6.61e-02
2010-07-16 6.70e-02
2010-07-19 6.66e-02
2010-07-20 6.40e-02
2010-07-21 5.67e-02
2010-07-22 6.57e-02
2010-07-23 6.72e-02
2010-07-26 7.15e-02
2010-07-27 7.04e-02
2010-07-28 7.04e-02
2010-07-29 7.66e-02
2010-07-30 7.77e-02
2010-08-02 8.45e-02
2010-08-03 8.83e-02
2010-08-04 8.50e-02
2010-08-05 8.57e-02
2010-08-06 9.05e-02
2010-08-09 8.70e-02
2010-08-10 8.60e-02
2010-08-11 6.92e-02
2010-08-12 6.53e-02
2010-08-13 6.17e-02
2010-08-16 6.64e-02
2010-08-17 6.99e-02
2010-08-18 6.99e-02
2010-08-19 6.74e-02
2010-08-20 6.05e-02
2010-08-23 5.97e-02
2010-08-24 5.95e-02
2010-08-25 5.82e-02
2010-08-26 6.19e-02
2010-08-27 6.21e-02
2010-08-30 5.93e-02
2010-08-31 5.89e-02
2010-09-01 6.65e-02
2010-09-02 6.72e-02
2010-09-03 7.13e-02
2010-09-06 7.20e-02
2010-09-07 6.32e-02
2010-09-08 6.58e-02
2010-09-09 6.48e-02
2010-09-10 6.46e-02
2010-09-13 7.34e-02
2010-09-14 8.29e-02
2010-09-15 7.82e-02
2010-09-16 8.10e-02
2010-09-17 7.93e-02
2010-09-20 8.00e-02
2010-09-21 9.01e-02
2010-09-22 9.70e-02
2010-09-23 9.50e-02
2010-09-24 1.02e-01
2010-09-27 1.03e-01
2010-09-28 1.06e-01
2010-09-29 1.10e-01
2010-09-30 1.10e-01
2010-10-01 1.17e-01
2010-10-04 1.13e-01
2010-10-05 1.21e-01
2010-10-06 1.25e-01
2010-10-07 1.25e-01
2010-10-08 1.25e-01
2010-10-11 1.24e-01
2010-10-12 1.25e-01
2010-10-13 1.28e-01
2010-10-14 1.33e-01
2010-10-15 1.29e-01
2010-10-18 1.30e-01
2010-10-19 1.16e-01
2010-10-20 1.27e-01
2010-10-21 1.24e-01
2010-10-22 1.24e-01
2010-10-25 1.28e-01
2010-10-26 1.21e-01
2010-10-27 1.16e-01
2010-10-28 1.26e-01
2010-10-29 1.26e-01
2010-11-01 1.26e-01
2010-11-02 1.32e-01
2010-11-03 1.35e-01
2010-11-04 1.42e-01
2010-11-05 1.34e-01
2010-11-08 1.29e-01
2010-11-09 1.24e-01
2010-11-10 1.22e-01
2010-11-11 1.15e-01
2010-11-12 1.17e-01
2010-11-15 1.12e-01
2010-11-16 1.04e-01
2010-11-17 1.05e-01
2010-11-18 1.11e-01
2010-11-19 1.12e-01
2010-11-22 1.10e-01
2010-11-23 9.87e-02
2010-11-24 9.66e-02
2010-11-25 9.81e-02
2010-11-26 9.10e-02
2010-11-29 8.56e-02
2010-11-30 8.16e-02
2010-12-01 8.70e-02
2010-12-02 9.16e-02
2010-12-03 1.02e-01
2010-12-06 9.99e-02
2010-12-07 9.67e-02
2010-12-08 9.51e-02
2010-12-09 9.43e-02
2010-12-10 9.43e-02
2010-12-13 1.03e-01
2010-12-14 1.02e-01
2010-12-15 9.21e-02
2010-12-16 9.30e-02
2010-12-17 9.09e-02
2010-12-20 8.80e-02
2010-12-21 8.70e-02
2010-12-22 8.69e-02
2010-12-23 8.92e-02
2010-12-24 8.97e-02
2010-12-27 9.09e-02
2010-12-28 9.09e-02
2010-12-29 9.74e-02
2010-12-30 1.00e-01
2010-12-31 1.06e-01
2011-01-03 1.05e-01
2011-01-04 1.01e-01
2011-01-05 9.22e-02
2011-01-06 8.61e-02
2011-01-07 8.36e-02
2011-01-10 8.51e-02
2011-01-11 8.55e-02
2011-01-12 9.47e-02
2011-01-13 1.04e-01
2011-01-14 1.05e-01
2011-01-17 1.03e-01
2011-01-18 1.07e-01
2011-01-19 1.10e-01
2011-01-20 1.08e-01
2011-01-21 1.15e-01
2011-01-24 1.17e-01
2011-01-25 1.18e-01
2011-01-26 1.19e-01
2011-01-27 1.21e-01
2011-01-28 1.16e-01
2011-01-31 1.21e-01
2011-02-01 1.28e-01
2011-02-02 1.27e-01
2011-02-03 1.21e-01
2011-02-04 1.17e-01
2011-02-07 1.17e-01
2011-02-08 1.18e-01
2011-02-09 1.22e-01
2011-02-10 1.15e-01
2011-02-11 1.12e-01
2011-02-14 1.11e-01
2011-02-15 1.11e-01
2011-02-16 1.15e-01
2011-02-17 1.18e-01
2011-02-18 1.21e-01
2011-02-21 1.21e-01
2011-02-22 1.20e-01
2011-02-23 1.24e-01
2011-02-24 1.28e-01
2011-02-25 1.26e-01
2011-02-28 1.30e-01
2011-03-01 1.28e-01
2011-03-02 1.33e-01
2011-03-03 1.35e-01
2011-03-04 1.36e-01
2011-03-07 1.35e-01
2011-03-08 1.31e-01
2011-03-09 1.32e-01
2011-03-10 1.26e-01
2011-03-11 1.32e-01
2011-03-14 1.36e-01
2011-03-15 1.37e-01
2011-03-16 1.33e-01
2011-03-17 1.40e-01
2011-03-18 1.44e-01
2011-03-21 1.47e-01
2011-03-22 1.47e-01
2011-03-23 1.43e-01
2011-03-24 1.44e-01
2011-03-25 1.38e-01
2011-03-28 1.39e-01
2011-03-29 1.38e-01
2011-03-30 1.39e-01
2011-03-31 1.42e-01
2011-04-01 1.42e-01
2011-04-04 1.41e-01
2011-04-05 1.42e-01
2011-04-06 1.46e-01
2011-04-07 1.45e-01
2011-04-08 1.51e-01
2011-04-11 1.51e-01
2011-04-12 1.53e-01
2011-04-13 1.52e-01
2011-04-14 1.55e-01
2011-04-15 1.54e-01
2011-04-18 1.46e-01
2011-04-19 1.51e-01
2011-04-20 1.59e-01
2011-04-21 1.62e-01
2011-04-22 1.62e-01
2011-04-25 1.63e-01
2011-04-26 1.65e-01
2011-04-27 1.68e-01
2011-04-28 1.73e-01
2011-04-29 1.75e-01
2011-05-02 1.75e-01
2011-05-03 1.73e-01
2011-05-04 1.74e-01
2011-05-05 1.61e-01
2011-05-06 1.53e-01
2011-05-09 1.55e-01
2011-05-10 1.56e-01
2011-05-11 1.48e-01
2011-05-12 1.49e-01
2011-05-13 1.43e-01
2011-05-16 1.46e-01
2011-05-17 1.47e-01
2011-05-18 1.46e-01
2011-05-19 1.50e-01
2011-05-20 1.47e-01
2011-05-23 1.39e-01
2011-05-24 1.42e-01
2011-05-25 1.41e-01
2011-05-26 1.45e-01
2011-05-27 1.52e-01
2011-05-30 1.52e-01
2011-05-31 1.56e-01
2011-06-01 1.55e-01
2011-06-02 1.59e-01
2011-06-03 1.65e-01
2011-06-06 1.63e-01
2011-06-07 1.68e-01
2011-06-08 1.64e-01
2011-06-09 1.61e-01
2011-06-10 1.54e-01
2011-06-13 1.57e-01
2011-06-14 1.59e-01
2011-06-15 1.45e-01
2011-06-16 1.43e-01
2011-06-17 1.52e-01
2011-06-20 1.51e-01
2011-06-21 1.57e-01
2011-06-22 1.54e-01
2011-06-23 1.47e-01
2011-06-24 1.44e-01
2011-06-27 1.47e-01
2011-06-28 1.51e-01
2011-06-29 1.55e-01
2011-06-30 1.60e-01
2011-07-01 1.59e-01
2011-07-04 1.60e-01
2011-07-05 1.55e-01
2011-07-06 1.50e-01
2011-07-07 1.52e-01
2011-07-08 1.50e-01
2011-07-11 1.40e-01
2011-07-12 1.42e-01
2011-07-13 1.49e-01
2011-07-14 1.49e-01
2011-07-15 1.50e-01
2011-07-18 1.46e-01
2011-07-19 1.49e-01
2011-07-20 1.54e-01
2011-07-21 1.63e-01
2011-07-22 1.61e-01
2011-07-25 1.62e-01
2011-07-26 1.69e-01
2011-07-27 1.62e-01
2011-07-28 1.60e-01
2011-07-29 1.64e-01
2011-08-01 1.60e-01
2011-08-02 1.57e-01
2011-08-03 1.62e-01
2011-08-04 1.50e-01
2011-08-05 1.56e-01
2011-08-08 1.54e-01
2011-08-09 1.56e-01
2011-08-10 1.56e-01
2011-08-11 1.55e-01
2011-08-12 1.56e-01
2011-08-15 1.65e-01
2011-08-16 1.63e-01
2011-08-17 1.67e-01
2011-08-18 1.60e-01
2011-08-19 1.63e-01
2011-08-22 1.62e-01
2011-08-23 1.64e-01
2011-08-24 1.63e-01
2011-08-25 1.60e-01
2011-08-26 1.65e-01
2011-08-29 1.66e-01
2011-08-30 1.64e-01
2011-08-31 1.62e-01
2011-09-01 1.58e-01
2011-09-02 1.54e-01
2011-09-05 1.50e-01
2011-09-06 1.41e-01
2011-09-07 1.46e-01
2011-09-08 1.38e-01
2011-09-09 1.27e-01
2011-09-12 1.22e-01
2011-09-13 1.30e-01
2011-09-14 1.31e-01
2011-09-15 1.38e-01
2011-09-16 1.34e-01
2011-09-19 1.27e-01
2011-09-20 1.29e-01
2011-09-21 1.25e-01
2011-09-22 1.13e-01
2011-09-23 1.12e-01
2011-09-26 1.14e-01
2011-09-27 1.23e-01
2011-09-28 1.19e-01
2011-09-29 1.17e-01
2011-09-30 1.11e-01
2011-10-03 1.02e-01
2011-10-04 9.96e-02
2011-10-05 1.07e-01
2011-10-06 1.11e-01
2011-10-07 1.09e-01
2011-10-10 1.23e-01
2011-10-11 1.22e-01
2011-10-12 1.29e-01
2011-10-13 1.29e-01
2011-10-14 1.33e-01
2011-10-17 1.27e-01
2011-10-18 1.27e-01
2011-10-19 1.28e-01
2011-10-20 1.29e-01
2011-10-21 1.36e-01
2011-10-24 1.40e-01
2011-10-25 1.39e-01
2011-10-26 1.38e-01
2011-10-27 1.53e-01
2011-10-28 1.51e-01
2011-10-31 1.38e-01
2011-11-01 1.26e-01
2011-11-02 1.29e-01
2011-11-03 1.33e-01
2011-11-04 1.29e-01
2011-11-07 1.29e-01
2011-11-08 1.34e-01
2011-11-09 1.19e-01
2011-11-10 1.21e-01
2011-11-11 1.30e-01
2011-11-14 1.23e-01
2011-11-15 1.19e-01
2011-11-16 1.18e-01
2011-11-17 1.15e-01
2011-11-18 1.17e-01
2011-11-21 1.14e-01
2011-11-22 1.15e-01
2011-11-23 1.05e-01
2011-11-24 1.05e-01
2011-11-25 9.86e-02
2011-11-28 1.03e-01
2011-11-29 1.06e-01
2011-11-30 1.13e-01
2011-12-01 1.14e-01
2011-12-02 1.11e-01
2011-12-05 1.11e-01
2011-12-06 1.12e-01
2011-12-07 1.12e-01
2011-12-08 1.08e-01
2011-12-09 1.11e-01
2011-12-12 1.00e-01
2011-12-13 9.23e-02
2011-12-14 8.84e-02
2011-12-15 9.14e-02
2011-12-16 9.22e-02
2011-12-19 9.22e-02
2011-12-20 9.64e-02
2011-12-21 9.48e-02
2011-12-22 9.55e-02
2011-12-23 9.59e-02
2011-12-26 9.60e-02
2011-12-27 9.74e-02
2011-12-28 8.95e-02
2011-12-29 8.96e-02
2011-12-30 9.31e-02
2012-01-02 9.19e-02
2012-01-03 9.95e-02
2012-01-04 9.36e-02
2012-01-05 8.45e-02
2012-01-06 8.09e-02
2012-01-09 8.32e-02
2012-01-10 8.60e-02
2012-01-11 7.98e-02
2012-01-12 8.64e-02
2012-01-13 7.79e-02
2012-01-16 7.79e-02
2012-01-17 8.17e-02
2012-01-18 8.82e-02
2012-01-19 9.26e-02
2012-01-20 9.26e-02
2012-01-23 9.75e-02
2012-01-24 9.66e-02
2012-01-25 9.98e-02
2012-01-26 1.02e-01
2012-01-27 1.07e-01
2012-01-30 1.04e-01
2012-01-31 1.03e-01
2012-02-01 1.07e-01
2012-02-02 1.06e-01
2012-02-03 1.07e-01
2012-02-06 1.06e-01
2012-02-07 1.11e-01
2012-02-08 1.10e-01
2012-02-09 1.11e-01
2012-02-10 1.05e-01
2012-02-13 1.07e-01
2012-02-14 9.98e-02
2012-02-15 9.88e-02
2012-02-16 1.02e-01
2012-02-17 1.03e-01
2012-02-20 1.03e-01
2012-02-21 1.06e-01
2012-02-22 1.04e-01
2012-02-23 1.08e-01
2012-02-24 1.14e-01
2012-02-27 1.11e-01
2012-02-28 1.15e-01
2012-02-29 1.09e-01
2012-03-01 1.09e-01
2012-03-02 1.02e-01
2012-03-05 1.03e-01
2012-03-06 9.66e-02
2012-03-07 9.83e-02
2012-03-08 1.05e-01
2012-03-09 9.46e-02
2012-03-12 9.63e-02
2012-03-13 9.29e-02
2012-03-14 8.87e-02
2012-03-15 9.34e-02
2012-03-16 9.75e-02
2012-03-19 1.01e-01
2012-03-20 9.97e-02
2012-03-21 9.90e-02
2012-03-22 9.81e-02
2012-03-23 1.02e-01
2012-03-26 1.07e-01
2012-03-27 1.06e-01
2012-03-28 1.05e-01
2012-03-29 1.04e-01
2012-03-30 1.06e-01
2012-04-02 1.08e-01
2012-04-03 1.01e-01
2012-04-04 9.76e-02
2012-04-05 9.42e-02
2012-04-06 9.64e-02
2012-04-09 9.81e-02
2012-04-10 9.63e-02
2012-04-11 9.74e-02
2012-04-12 1.03e-01
2012-04-13 9.63e-02
2012-04-16 1.00e-01
2012-04-17 1.01e-01
2012-04-18 1.00e-01
2012-04-19 1.00e-01
2012-04-20 1.04e-01
2012-04-23 1.02e-01
2012-04-24 1.04e-01
2012-04-25 1.06e-01
2012-04-26 1.07e-01
2012-04-27 1.10e-01
2012-04-30 1.09e-01
2012-05-01 1.08e-01
2012-05-02 1.05e-01
2012-05-03 1.04e-01
2012-05-04 1.01e-01
2012-05-07 9.96e-02
2012-05-08 9.80e-02
2012-05-09 9.42e-02
2012-05-10 9.38e-02
2012-05-11 9.21e-02
2012-05-14 8.82e-02
2012-05-15 8.13e-02
2012-05-16 7.96e-02
2012-05-17 7.94e-02
2012-05-18 8.05e-02
2012-05-21 8.28e-02
2012-05-22 7.82e-02
2012-05-23 7.14e-02
2012-05-24 6.85e-02
2012-05-25 6.79e-02
2012-05-28 6.79e-02
2012-05-29 6.70e-02
2012-05-30 6.09e-02
2012-05-31 6.07e-02
2012-06-01 6.24e-02
2012-06-04 6.62e-02
2012-06-05 6.31e-02
2012-06-06 6.88e-02
2012-06-07 7.19e-02
2012-06-08 6.67e-02
2012-06-11 6.66e-02
2012-06-12 6.77e-02
2012-06-13 7.18e-02
2012-06-14 7.26e-02
2012-06-15 7.67e-02
2012-06-18 7.31e-02
2012-06-19 7.95e-02
2012-06-20 7.72e-02
2012-06-21 6.92e-02
2012-06-22 6.96e-02
2012-06-25 6.68e-02
2012-06-26 6.82e-02
2012-06-27 6.55e-02
2012-06-28 6.33e-02
2012-06-29 7.67e-02
2012-07-02 7.39e-02
2012-07-03 7.49e-02
2012-07-04 7.49e-02
2012-07-05 6.33e-02
2012-07-06 5.69e-02
2012-07-09 5.93e-02
2012-07-10 5.66e-02
2012-07-11 5.47e-02
2012-07-12 5.37e-02
2012-07-13 5.72e-02
2012-07-16 6.00e-02
2012-07-17 6.08e-02
2012-07-18 6.04e-02
2012-07-19 6.25e-02
2012-07-20 5.57e-02
2012-07-23 5.32e-02
2012-07-24 4.98e-02
2012-07-25 5.52e-02
2012-07-26 6.33e-02
2012-07-27 6.44e-02
2012-07-30 6.35e-02
2012-07-31 6.53e-02
2012-08-01 6.05e-02
2012-08-02 5.71e-02
2012-08-03 6.82e-02
2012-08-06 6.94e-02
2012-08-07 7.01e-02
2012-08-08 6.80e-02
2012-08-09 6.52e-02
2012-08-10 6.62e-02
2012-08-13 6.75e-02
2012-08-14 6.70e-02
2012-08-15 6.52e-02
2012-08-16 6.84e-02
2012-08-17 6.57e-02
2012-08-20 6.73e-02
2012-08-21 7.35e-02
2012-08-22 7.83e-02
2012-08-23 7.97e-02
2012-08-24 7.71e-02
2012-08-27 7.63e-02
2012-08-28 7.96e-02
2012-08-29 7.76e-02
2012-08-30 7.59e-02
2012-08-31 8.14e-02
2012-09-03 8.14e-02
2012-09-04 8.02e-02
2012-09-05 8.11e-02
2012-09-06 8.33e-02
2012-09-07 9.22e-02
2012-09-10 9.10e-02
2012-09-11 9.67e-02
2012-09-12 9.80e-02
2012-09-13 1.03e-01
2012-09-14 1.08e-01
2012-09-17 1.06e-01
2012-09-18 1.04e-01
2012-09-19 1.06e-01
2012-09-20 1.02e-01
2012-09-21 1.03e-01
2012-09-24 1.01e-01
2012-09-25 1.00e-01
2012-09-26 9.64e-02
2012-09-27 1.00e-01
2012-09-28 9.58e-02
2012-10-01 9.71e-02
2012-10-02 9.80e-02
2012-10-03 9.55e-02
2012-10-04 1.02e-01
2012-10-05 1.03e-01
2012-10-08 1.00e-01
2012-10-09 9.56e-02
2012-10-10 9.60e-02
2012-10-11 9.76e-02
2012-10-12 9.88e-02
2012-10-15 9.80e-02
2012-10-16 1.02e-01
2012-10-17 1.06e-01
2012-10-18 1.02e-01
2012-10-19 9.94e-02
2012-10-22 9.90e-02
2012-10-23 9.53e-02
2012-10-24 9.60e-02
2012-10-25 9.46e-02
2012-10-26 9.43e-02
2012-10-29 9.24e-02
2012-10-30 9.59e-02
2012-10-31 9.60e-02
2012-11-01 9.45e-02
2012-11-02 8.84e-02
2012-11-05 8.66e-02
2012-11-06 8.81e-02
2012-11-07 8.65e-02
2012-11-08 8.61e-02
2012-11-09 8.35e-02
2012-11-12 8.34e-02
2012-11-13 8.28e-02
2012-11-14 8.31e-02
2012-11-15 8.29e-02
2012-11-16 8.09e-02
2012-11-19 8.52e-02
2012-11-20 8.42e-02
2012-11-21 8.45e-02
2012-11-22 8.72e-02
2012-11-23 9.29e-02
2012-11-26 9.22e-02
2012-11-27 9.05e-02
2012-11-28 9.13e-02
2012-11-29 9.28e-02
2012-11-30 9.33e-02
2012-12-03 9.64e-02
2012-12-04 9.91e-02
2012-12-05 9.76e-02
2012-12-06 9.22e-02
2012-12-07 9.05e-02
2012-12-10 9.14e-02
2012-12-11 9.44e-02
2012-12-12 9.72e-02
2012-12-13 9.59e-02
2012-12-14 9.98e-02
2012-12-17 1.00e-01
2012-12-18 1.02e-01
2012-12-19 1.03e-01
2012-12-20 1.03e-01
2012-12-21 9.94e-02
2012-12-24 9.91e-02
2012-12-25 9.88e-02
2012-12-26 9.94e-02
2012-12-27 9.94e-02
2012-12-28 9.87e-02
2012-12-31 9.77e-02
2013-01-01 9.81e-02
2013-01-02 9.68e-02
2013-01-03 9.08e-02
2013-01-04 8.94e-02
2013-01-07 9.22e-02
2013-01-08 9.12e-02
2013-01-09 8.88e-02
2013-01-10 9.80e-02
2013-01-11 1.00e-01
2013-01-14 1.01e-01
2013-01-15 9.76e-02
2013-01-16 9.73e-02
2013-01-17 9.90e-02
2013-01-18 9.47e-02
2013-01-21 9.47e-02
2013-01-22 9.65e-02
2013-01-23 9.60e-02
2013-01-24 9.57e-02
2013-01-25 9.79e-02
2013-01-28 9.76e-02
2013-01-29 1.00e-01
2013-01-30 1.03e-01
2013-01-31 1.04e-01
2013-02-01 1.05e-01
2013-02-04 1.00e-01
2013-02-05 1.01e-01
2013-02-06 9.82e-02
2013-02-07 9.29e-02
2013-02-08 9.23e-02
2013-02-11 9.16e-02
2013-02-12 9.39e-02
2013-02-13 9.40e-02
2013-02-14 8.99e-02
2013-02-15 8.85e-02
2013-02-18 8.80e-02
2013-02-19 8.98e-02
2013-02-20 8.30e-02
2013-02-21 7.85e-02
2013-02-22 7.83e-02
2013-02-25 7.62e-02
2013-02-26 7.39e-02
2013-02-27 7.70e-02
2013-02-28 7.30e-02
2013-03-01 6.89e-02
2013-03-04 7.02e-02
2013-03-05 7.15e-02
2013-03-06 6.73e-02
2013-03-07 7.15e-02
2013-03-08 6.46e-02
2013-03-11 6.60e-02
2013-03-12 6.58e-02
2013-03-13 6.24e-02
2013-03-14 6.56e-02
2013-03-15 6.95e-02
2013-03-18 6.46e-02
2013-03-19 6.13e-02
2013-03-20 6.36e-02
2013-03-21 6.41e-02
2013-03-22 6.82e-02
2013-03-25 6.31e-02
2013-03-26 6.25e-02
2013-03-27 5.86e-02
2013-03-28 6.12e-02
2013-03-29 6.14e-02
2013-04-01 6.42e-02
2013-04-02 6.20e-02
2013-04-03 6.43e-02
2013-04-04 6.48e-02
2013-04-05 6.68e-02
2013-04-08 6.39e-02
2013-04-09 6.90e-02
2013-04-10 6.64e-02
2013-04-11 6.97e-02
2013-04-12 6.89e-02
2013-04-15 6.77e-02
2013-04-16 7.53e-02
2013-04-17 6.47e-02
2013-04-18 6.61e-02
2013-04-19 6.44e-02
2013-04-22 6.48e-02
2013-04-23 6.06e-02
2013-04-24 6.06e-02
2013-04-25 6.40e-02
2013-04-26 6.68e-02
2013-04-29 7.08e-02
2013-04-30 7.53e-02
2013-05-01 7.83e-02
2013-05-02 6.99e-02
2013-05-03 7.10e-02
2013-05-06 6.89e-02
2013-05-07 6.96e-02
2013-05-08 7.36e-02
2013-05-09 6.35e-02
2013-05-10 5.95e-02
2013-05-13 5.80e-02
2013-05-14 5.44e-02
2013-05-15 5.18e-02
2013-05-16 5.45e-02
2013-05-17 4.70e-02
2013-05-20 5.28e-02
2013-05-21 5.14e-02
2013-05-22 4.58e-02
2013-05-23 5.21e-02
2013-05-24 5.32e-02
2013-05-27 5.32e-02
2013-05-28 4.87e-02
2013-05-29 5.37e-02
2013-05-30 6.07e-02
2013-05-31 5.69e-02
2013-06-03 6.50e-02
2013-06-04 6.38e-02
2013-06-05 6.57e-02
2013-06-06 7.77e-02
2013-06-07 7.62e-02
2013-06-10 7.65e-02
2013-06-11 8.25e-02
2013-06-12 8.44e-02
2013-06-13 8.66e-02
2013-06-14 8.75e-02
2013-06-17 8.62e-02
2013-06-18 8.82e-02
2013-06-19 7.89e-02
2013-06-20 7.34e-02
2013-06-21 6.89e-02
2013-06-24 6.76e-02
2013-06-25 6.59e-02
2013-06-26 6.14e-02
2013-06-27 6.22e-02
2013-06-28 5.96e-02
2013-07-01 6.05e-02
2013-07-02 5.50e-02
2013-07-03 5.85e-02
2013-07-04 5.85e-02
2013-07-05 4.47e-02
2013-07-08 4.76e-02
2013-07-09 4.33e-02
2013-07-10 4.94e-02
2013-07-11 6.40e-02
2013-07-12 6.13e-02
2013-07-15 6.07e-02
2013-07-16 6.68e-02
2013-07-17 6.44e-02
2013-07-18 6.31e-02
2013-07-19 6.56e-02
2013-07-22 7.00e-02
2013-07-23 7.31e-02
2013-07-24 6.92e-02
2013-07-25 7.28e-02
2013-07-26 7.63e-02
2013-07-29 7.63e-02
2013-07-30 7.44e-02
2013-07-31 7.86e-02
2013-08-01 6.86e-02
2013-08-02 7.35e-02
2013-08-05 7.39e-02
2013-08-06 7.69e-02
2013-08-07 8.05e-02
2013-08-08 8.40e-02
2013-08-09 8.23e-02
2013-08-12 8.00e-02
2013-08-13 7.51e-02
2013-08-14 7.57e-02
2013-08-15 8.17e-02
2013-08-16 8.09e-02
2013-08-19 8.12e-02
2013-08-20 8.48e-02
2013-08-21 8.14e-02
2013-08-22 7.82e-02
2013-08-23 7.97e-02
2013-08-26 7.92e-02
2013-08-27 8.19e-02
2013-08-28 7.89e-02
2013-08-29 7.30e-02
2013-08-30 7.15e-02
2013-09-02 7.15e-02
2013-09-03 6.84e-02
2013-09-04 7.05e-02
2013-09-05 6.53e-02
2013-09-06 7.08e-02
2013-09-09 7.48e-02
2013-09-10 7.45e-02
2013-09-11 7.79e-02
2013-09-12 7.82e-02
2013-09-13 7.86e-02
2013-09-16 8.04e-02
2013-09-17 8.21e-02
2013-09-18 9.24e-02
2013-09-19 9.09e-02
2013-09-20 9.02e-02
2013-09-23 9.00e-02
2013-09-24 8.87e-02
2013-09-25 9.13e-02
2013-09-26 8.92e-02
2013-09-27 9.18e-02
2013-09-30 9.26e-02
2013-10-01 9.35e-02
2013-10-02 9.62e-02
2013-10-03 9.79e-02
2013-10-04 9.37e-02
2013-10-07 9.57e-02
2013-10-08 9.44e-02
2013-10-09 9.08e-02
2013-10-10 9.04e-02
2013-10-11 9.10e-02
2013-10-14 9.21e-02
2013-10-15 8.96e-02
2013-10-16 8.98e-02
2013-10-17 9.90e-02
2013-10-18 9.90e-02
2013-10-21 9.85e-02
2013-10-22 1.04e-01
2013-10-23 1.03e-01
2013-10-24 1.04e-01
2013-10-25 1.04e-01
2013-10-28 1.04e-01
2013-10-29 9.95e-02
2013-10-30 9.76e-02
2013-10-31 9.29e-02
2013-11-01 8.70e-02
2013-11-04 8.88e-02
2013-11-05 8.71e-02
解决方法
您可以沿着零值日期标识的 split ret_drawdown cumsum。在 S 中过滤掉零。在 lapply 中，用时间序列的 data.frame 的 min 和 max 日期以及 index 的总和制作 a和 rbind 并做一些 rownames 化妆品。在最后一步，我们计算 cumsum within 结果数据框。
S <- split(ret_drawdown,cumsum(ret_drawdown == 0))
S <- S[sapply(S,sum) != 0]
res <- `rownames<-`(do.call(rbind,lapply(S,function(s)
data.frame(start=min(index(s)),end=max(index(s)),sum=sum(s)))),NULL)
res <- within(res,{cumsum=cumsum(sum);rm(sum)})
res
# start end cumsum
# 1 2010-01-07 2010-01-19 0.0823400
# 2 2010-01-20 2010-01-25 0.0852390
# 3 2010-01-29 2010-02-03 0.0947790
# 4 2010-02-05 2010-02-18 0.1290720
# 5 2010-02-19 2010-02-22 0.1307620
# 6 2010-02-23 2010-03-22 0.2438234
# 7 2010-03-25 2010-04-26 0.5163034
# 8 2010-04-28 2010-05-03 0.5284634
# 9 2010-05-06 2010-05-12 0.5481904
# 10 2010-05-18 2010-06-03 0.6477684
# 11 2010-06-07 2013-11-05 88.1295424
数据：
ret_drawdown <- structure(c(0,0.00567,0.0117,0.0123,0.0137,0.0152,0.00757,0.0109,0.0053,0.00023,0.000779,0.00189,0.00277,0.00564,0.00113,0.00173,0.00719,0.00513,0.00556,0.00136,0.00921,0.000808,0.000535,0.00169,1.24e-05,0.00604,0.00237,0.00407,0.0108,0.00357,0.00517,0.00319,0.00501,0.00652,0.0126,0.00741,0.0136,0.015,0.00773,0.00156,0.00246,0.00541,0.00928,0.00792,0.0127,0.0164,0.0115,0.0125,0.00893,0.00824,0.00714,0.019,0.0196,0.0235,0.0199,0.0158,0.013,0.00673,0.00935,0.00778,0.00459,0.00625,0.00132,0.00523,0.00869,0.00503,0.000777,0.00883,0.0183,0.0205,0.011,0.00439,0.00047,0.0112,0.00782,0.00659,0.00595,0.00423,0.000298,0.000124,0.00575,0.014,0.0102,0.0214,0.0274,0.0263,0.0307,0.0306,0.028,0.026,0.0301,0.0302,0.035,0.0311,0.0269,0.027,0.0417,0.045,0.043,0.0489,0.0518,0.0504,0.0475,0.0539,0.0563,0.0661,0.067,0.0666,0.064,0.0567,0.0657,0.0672,0.0715,0.0704,0.0766,0.0777,0.0845,0.0883,0.085,0.0857,0.0905,0.087,0.086,0.0692,0.0653,0.0617,0.0664,0.0699,0.0674,0.0605,0.0597,0.0595,0.0582,0.0619,0.0621,0.0593,0.0589,0.0665,0.0713,0.072,0.0632,0.0658,0.0648,0.0646,0.0734,0.0829,0.0782,0.081,0.0793,0.08,0.0901,0.097,0.095,0.102,0.103,0.106,0.11,0.117,0.113,0.121,0.125,0.124,0.128,0.133,0.129,0.13,0.116,0.127,0.126,0.132,0.135,0.142,0.134,0.122,0.115,0.112,0.104,0.105,0.111,0.0987,0.0966,0.0981,0.091,0.0856,0.0816,0.0916,0.0999,0.0967,0.0951,0.0943,0.0921,0.093,0.0909,0.088,0.0869,0.0892,0.0897,0.0974,0.1,0.101,0.0922,0.0861,0.0836,0.0851,0.0855,0.0947,0.107,0.108,0.118,0.119,0.12,0.136,0.131,0.137,0.14,0.144,0.147,0.143,0.138,0.139,0.141,0.146,0.145,0.151,0.153,0.152,0.155,0.154,0.159,0.162,0.163,0.165,0.168,0.173,0.175,0.174,0.161,0.156,0.148,0.149,0.15,0.164,0.157,0.16,0.169,0.167,0.166,0.158,0.114,0.123,0.0996,0.109,0.0986,0.0923,0.0884,0.0914,0.0964,0.0948,0.0955,0.0959,0.096,0.0895,0.0896,0.0931,0.0919,0.0995,0.0936,0.0809,0.0832,0.0798,0.0864,0.0779,0.0817,0.0882,0.0926,0.0975,0.0998,0.0988,0.0983,0.0946,0.0963,0.0929,0.0887,0.0934,0.0997,0.099,0.0976,0.0942,0.098,0.0938,0.0813,0.0796,0.0794,0.0805,0.0828,0.0714,0.0685,0.0679,0.0609,0.0607,0.0624,0.0662,0.0631,0.0688,0.0719,0.0667,0.0677,0.0718,0.0726,0.0767,0.0731,0.0795,0.0772,0.0696,0.0668,0.0682,0.0655,0.0633,0.0739,0.0749,0.0569,0.0566,0.0547,0.0537,0.0572,0.06,0.0608,0.0604,0.0625,0.0557,0.0532,0.0498,0.0552,0.0644,0.0635,0.0571,0.0694,0.0701,0.068,0.0652,0.0675,0.0684,0.0673,0.0735,0.0783,0.0797,0.0771,0.0763,0.0776,0.0759,0.0814,0.0802,0.0811,0.0833,0.0958,0.0971,0.0956,0.0994,0.0953,0.0924,0.0945,0.0866,0.0881,0.0865,0.0835,0.0834,0.0831,0.0852,0.0842,0.0872,0.0913,0.0928,0.0933,0.0991,0.0944,0.0972,0.0977,0.0968,0.0908,0.0894,0.0912,0.0888,0.0973,0.0965,0.0957,0.0979,0.0982,0.0939,0.094,0.0899,0.0885,0.0898,0.083,0.0785,0.0762,0.077,0.073,0.0689,0.0702,0.066,0.0656,0.0695,0.0613,0.0636,0.0641,0.0586,0.0612,0.0614,0.0642,0.062,0.0643,0.0639,0.069,0.0697,0.0753,0.0647,0.0606,0.0708,0.071,0.0736,0.058,0.0544,0.0545,0.047,0.0528,0.0514,0.0458,0.0521,0.0487,0.065,0.0638,0.0765,0.0825,0.0844,0.0875,0.0862,0.0789,0.0676,0.0659,0.0622,0.0596,0.055,0.0585,0.0447,0.0476,0.0433,0.0494,0.07,0.0728,0.0744,0.0786,0.0686,0.0769,0.084,0.0823,0.0751,0.0757,0.0812,0.0848,0.0792,0.0819,0.0705,0.0748,0.0745,0.0804,0.0821,0.0902,0.09,0.0918,0.0935,0.0962,0.0937,0.0904,0.0985,0.0871),.Dim = c(999L,1L),.Dimnames = list(
NULL,"V2"),index = 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