PerformanceAnalytics (version 1.0.2.1)

chart.RollingPerformance: wrapper to create a chart of rolling performance metrics in a line chart

Description

A wrapper to create a chart of rolling performance metrics in a line chart

Usage

chart.RollingPerformance(R, width = 12, xaxis = TRUE, legend.loc = NULL, colorset = (1:12), FUN = "Return.annualized", na.pad = TRUE, type = "l", pch = NULL, lty = 1, bg = NULL, cex.axis=0.8, cex.legend = 0.8, cex.labels = 0.7, lwd = 2, xlim = NULL, ylim = NULL, log = "", main = NULL, sub = NULL, xlab = "Date", ylab = NULL, ann = par("ann"), axes = TRUE, frame.plot = axes, panel.first = NULL, panel.last = NULL, asp = NA, ylog = FALSE, event.lines = NULL, event.labels = NULL, period.areas = NULL, event.color = "darkgray", period.color = "lightgray", element.color = "darkgray", major.ticks='auto', minor.ticks=TRUE, grid.color="lightgray", grid.lty="dotted", ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

width

number of periods to apply rolling function window over

FUN

any function that can be evaluated using a single set of returns (e.g., rolling CAPM.beta won't work, but Return.annualized will)

na.pad

TRUE/FALSE If TRUE it adds any times that would not otherwise have been in the result with a value of NA. If FALSE those times are dropped.

ylog

TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

main

set the chart title, same as in plot

event.lines

If not null, vertical lines will be drawn to indicate that an event happened during that time period. event.lines should be a list of dates (e.g., c("09/03","05/06")) formatted the same as date.format. This function matches the

event.labels

if not null and event.lines is not null, this will apply a list of text labels (e.g., c("This Event", "That Event") to the vertical lines drawn

event.color

draws the event described in event.labels in the color specified

period.areas

these are shaded areas described by start and end dates in the same format as the date.format. This is provided as a list of pairs, e.g., list(c("10/26","11/27"), c("08/29","03/33")) See the examples below.

period.color

draws the shaded region described by period.areas in the color specified

type

set the chart type, same as in plot

xaxis

if true, draws the x axis

ylab

set the y-axis label, same as in plot

xlab

set the x-axis label, same as in plot

xlim

set the x-axis limit, same as in plot

ylim

set the y-axis limit, same as in plot

pch

symbols to use, see also plot

lty

set the line type, same as in plot

lwd

set the line width, same as in plot

colorset

color palette to use, set by default to rational choices

bg

same as in plot

cex

set the y-axis limit, same as in plot

log

not used

sub

same as in plot

ann

same as in plot

axes

same as in plot

frame.plot

same as in plot

panel.first

same as in plot

panel.last

same as in plot

asp

same as in plot

cex.axis

The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.

cex.legend

The magnification to be used for sizing the legend relative to the current setting of 'cex'.

cex.labels

The magnification to be used for event line labels relative to the current setting of 'cex'.

major.ticks

Should major tickmarks be drawn and labeled, default 'auto'

minor.ticks

Should minor tickmarks be drawn, default TRUE

grid.color

sets the color for the reference grid

grid.lty

defines the line type for the grid

element.color

provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"

...

any other passthru parameters to rollapply

See Also

charts.RollingPerformance, rollapply

Examples

data(edhec)
chart.RollingPerformance(edhec[, 1:3], width = 24)
chart.RollingPerformance(edhec[, 1:3], FUN = 'mean', width = 24, colorset = rich8equal, lwd = 2, legend.loc = "topleft", main = "Rolling 24-Month Mean Return")
chart.RollingPerformance(edhec[, 1:3], FUN = 'SharpeRatio.annualized', width = 24, colorset = rich8equal, lwd = 2, legend.loc = "topleft", main = "Rolling 24-Month Sharpe Ratio")