chart.RollingPerformancepackage:PerformanceAnalyticsR Documentation

_w_r_a_p_p_e_r _t_o _c_r_e_a_t_e _a _c_h_a_r_t _o_f _r_o_l_l_i_n_g _p_e_r_f_o_r_m_a_n_c_e _m_e_t_r_i_c_s _i_n _a _l_i_n_e _c_h_a_r_t

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

     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", ...)

_A_r_g_u_m_e_n_t_s:

       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
          re-formatted row names (dates) with the events.list, so to
          get a match the formatting needs to be correct. 

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' 

_V_a_l_u_e:

     A timeseries line chart of the calculated series

_A_u_t_h_o_r(_s):

     Peter Carl

_S_e_e _A_l_s_o:

     'charts.RollingPerformance', 'rollapply'

_E_x_a_m_p_l_e_s:

     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")