PerformanceAnalytics (version 1.4.3541)

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, FUN = "Return.annualized", ..., ylim = NULL, main = NULL, fill = NA)

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)

ylim

set the y-axis limit, same as in plot

main

set the chart title, same as in plot

fill

a three-component vector or list (recycled otherwise) providing filling values at the left/within/to the right of the data range. See the fill argument of na.fill for details.

...

any other passthru parameters to plot or the function specified

Details

The parameter na.pad has been deprecated; use fill = NA instead of na.pad = TRUE, or fill = NULL instead of na.pad = FALSE.

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")