问如何修改PerformanceAnalytics包中的降压函数以获取值

EN

PnLDrawdown <- function(x) {
  ts = as.vector(x[,1])
  cumsum = cumsum(c(0, ts))
  cmaxx = cumsum - cummax(cumsum)
  cmaxx = cmaxx[-1]
  cmaxx = as.matrix(cmaxx)
  row.names(cmaxx) = row.names(x)
  cmaxx = timeSeries(cmaxx)
  cmaxx
}


findPnLDrawdown <- function(R) {
  drawdowns = PnLDrawdown(R)
  draw = c()
  begin = c()
  end = c()
  length = c(0)
  trough = c(0)
  index = 1
  if (drawdowns[1] >= 0) {
    priorSign = 1
  } else {
    priorSign = 0
  }
  from = 1
  sofar = as.numeric(drawdowns[1])
  to = 1
  dmin = 1
  for (i in 1:length(drawdowns)) {
    thisSign =ifelse(drawdowns[i] < 0, 0, 1)
    if (thisSign == priorSign) {
      if (as.numeric(drawdowns[i]) < as.numeric(sofar)) {
        sofar = drawdowns[i]
        dmin = i
      }
      to = i+ 1
    }
    else {
      draw[index] = sofar
      begin[index] = from
      trough[index] = dmin
      end[index] = to
      from = i
      sofar = drawdowns[i]
      to = i + 1
      dmin = i
      index = index + 1
      priorSign = thisSign
    }
  }
  draw[index] = sofar
  begin[index] = from
  trough[index] = dmin
  end[index] = to
  list(pnl = draw, from = begin, trough = trough, to = end, 
       length = (end - begin + 1),
       peaktotrough = (trough - begin + 1),
       recovery = (end - trough))
}