Average Up and Down Returns

To calculate this statistic for a given return series r₁, ..., r_n, the program partitions the series in two parts, one made up of the positive returns, the other of the zero and negative returns. The average up and down returns are the respective averages of these two series.

Average Up Return =

Average Down Return =

where

l = NumUpPeriods
u₁, ..., u_l = the positive returns in r₁, ..., r_n
m = NumDownPeriods
d₁, ..., d_m = the non-positive returns in r₁, ..., r_n

Related Statistics:
Number of Up and Down Returns
Up and Down Capture