R: wrapper to create a chart of rolling performance metrics in a line chart

chart.RollingPerformance {PerformanceAnalytics}

R Documentation

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, 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", ...)

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)
`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`

Value

A timeseries line chart of the calculated series

Author(s)

Peter Carl

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")

[Package PerformanceAnalytics version 0.9.9-5 Index]