PerformanceAnalytics: charts.RollingPerformance – R documentation

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charts.RollingPerformance

rolling performance chart

Description

A wrapper to create a rolling annualized returns chart, rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.

Usage

charts.RollingPerformance(
  R,
  width = 12,
  Rf = 0,
  main = NULL,
  event.labels = NULL,
  legend.loc = NULL,
  ...
)

Arguments

`R`	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
`width`	number of periods to apply rolling function over
`Rf`	risk free rate, in same period as your returns
`main`	set the chart title, same as in `plot`
`event.labels`	TRUE/FALSE whether or not to display lines and labels for historical market shock events
`legend.loc`	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
`...`	any other passthru parameters

Author(s)

Peter Carl

Examples

if(!( Sys.info()[['sysname']]=="Windows") ){
# if on Windows, cut and paste this example

data(managers)
charts.RollingPerformance(managers[,1:8], 
                          Rf=managers[,10,drop=FALSE], 
                          colorset=tim8equal, 
                          main="Rolling 12-Month Performance", 
                          legend.loc="topleft")
}

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]

Initial release

2020-02-05