PerformanceAnalytics (version 1.1.0)

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)
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.
main
set the chart title, same as in plot
ylim
set the y-axis limit, same as in plot
...
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

Run this code
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")

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