profit drawdown of each column in data.frame

Question

I want to calculate the profit/drawdown of each column A:C in the data.frame below. Header A thru C can be considered like a stock ticker symbol. Each row can be considered the hourly closing price. The pricedate and hour could be combined to form a timestamp for this time series of data.

I have tried using the fTrading and PerformanceAnalytics package to calculate the max drawdown, but keep getting errors. I don't care when the max drawdown occurs. I just need the amount of the max drawdown so I can use it to calculate the the profit/drawdown (profit divided by max drawdown) ratio.

Data:

hourlyclose <- data.frame(pricedate = as.Date('2019-12-18'), hour = c(1,2,3,4,5), A = c(3,5,6,2,4), B = c(1,9,7,11,4), C = c(0,2,5,4,9))

I am desiring an output of second data.frame with a column each for the stock symbol, the profit-drawdown ratio, and just the profit (which is the last row minus the first row in my example hourlyclose data.frame).

The resulting data.frame should look like:

Stock     pdd      profit
 A        0.25        1
 B        0.43        3
 C        9.0         9

I would prefer to use the tidyverse and either of those finance packages for operations as much as possible.

Drawdown definition: A drawdown is a measure of how much the price goes down before it reaches or exceeds the previously high price.

Max Drawdowns for each column:

For "A" the max drawdown is 4 because A was at a high of 6 and then went down to 2.

For "B" there are two drawdowns, but only one max drawdown. There is a reduction in stock price from 9 to 7, for a drawdown of 2. But the stock reaches a new high the next row to 11, but then reduces down to 4, for a drawdown of 7. So the max drawdown is 7 for "B".

For "C" the stock price has a reduction from 5 to 4 for a max drawdown of 1.

Answer 1

We can get the data in long format, group_by name and calculate the drawdown value using cummax and max . Profit is calculated by subtracting last by the first value and pdd is division of profit by drawdown .

library(dplyr)

hourlyclose %>%
  tidyr::pivot_longer(cols = A:C) %>%
  group_by(name) %>%
  summarise(drawdown = max(cummax(value) - value), 
            profit  = last(value) - first(value), 
            pdd = profit/drawdown)

# A tibble: 3 x 4
#  name  drawdown profit   pdd
#  <chr>    <dbl>  <dbl> <dbl>
#1 A            4      1 0.25 
#2 B            7      3 0.429
#3 C            1      9 9