How do I find stock market moves of a certain magnitude over a time series?

Question

I'm getting my feet wet with R, and after much trial and error with my current task, I'm still stuck. I have price data for a stock ticker. I'm trying to find bear markets within my data, defined as a pricing data point <= 20% below an earlier point (but not too much earlier). Is this a time- series task? I hope this isn't too vague; I'm still learning the capabilities, so it's the best, most concise way I know to ask.

Thanks in advance..

Answer 1

Take a look at PerformanceAnalytics, specifically, DrawdownPeak, it may be what you're looking for

Answer 2

Here is a version that detects days having a price that is smaller than previous prices by some proportion (e.g., 20%) for some lookback period (e.g., 60 days).

## Some prices
set.seed(321)
prices    <- cumprod(1 + rnorm(300, 0.005, 0.05))

## Detection of "bear" periods
threshold <- 0.2
lookback  <- 60  # Set to length(prices) for no lookback restriction
is.bear   <- sapply(1:length(prices),
                    function(i, prices, threshold = 0.2, lookback = length(prices)){
                        (prices[i] / max(tail(prices[1:i], lookback))) < (1 - threshold)
                    },
                    prices = prices, threshold = threshold, lookback = lookback)
## Result
plot(prices, type = "l")
rug(which(is.bear), col = "red", lwd = 2)