Drought table example

jf.table.drought()

### Drought
### A drought is a flat period in performance.
### The max drought is the longest flat period in a track record.
### The current drought is the current flat period in a track record.

require(devtools)
install_github("r_jfreels","jfreels")

# load data
require(PerformanceAnalytics)
data(edhec)
edhec<-data.frame(date=index(edhec),coredata(edhec))
edhec<-melt(edhec,id.vars='date')
edhec<-data.table(edhec,key=c('variable','date'))

# max drought table
jf.table.drought(edhec,type='max')

# current drought table
jf.table.drought(edhec,type='current')