wrapper to create a chart of rolling performance metrics in a line chart
A wrapper to create a chart of rolling performance metrics in a line chart
chart.RollingPerformance( R, width = 12, FUN = "Return.annualized", ..., ylim = NULL, main = NULL, fill = NA )
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 |
... |
any other passthru parameters to |
ylim |
set the y-axis limit, same as in |
main |
set the chart title, same as in |
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 |
The parameter na.pad has been deprecated; use fill = NA instead of na.pad = TRUE,
or fill = NULL instead of na.pad = FALSE.
Peter Carl
if(!( Sys.info()[['sysname']]=="Windows") ){
# if on Windows, cut and paste this example
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")
}Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.