| chart.SnailTrail {PerformanceAnalytics} | R Documentation |
A chart that shows rolling calculations of annualized return and annualized standard deviation have proceeded through time. Lines and dots are darker for more recent time periods.
chart.SnailTrail(R, Rf = 0, main = "Annualized Return and Risk", add.names = c("all", "lastonly", "firstandlast", "none"), xlab = "Annualized Risk", ylab = "Annualized Return", add.sharpe = c(1, 2, 3), colorset = 1:12, symbolset = 16, legend.loc = NULL, xlim = NULL, ylim = NULL, width = 12, stepsize = 12, lty = 1, lwd = 2, cex.axis = 0.8, cex.main = 1, cex.lab = 1, cex.text = 0.8, cex.legend = 0.8, element.color = "darkgray", ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
risk free rate, in same period as your returns |
main |
set the chart title, same as in plot |
add.names |
plots the row name with the data point. default TRUE. Can be removed by setting it to NULL |
xlab |
set the x-axis label, as in plot |
ylab |
set the y-axis label, as in plot |
add.sharpe |
this draws a Sharpe ratio line that indicates Sharpe ratio levels of c(1,2,3). Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g., sharpe.ratio = NULL). |
colorset |
color palette to use, set by default to rational choices |
symbolset |
from pch in plot, submit a set of symbols to be used in the same order as the data sets submitted |
cex.legend |
The magnification to be used for sizing the legend relative to the current setting of 'cex'. |
element.color |
provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray" |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
xlim |
set the x-axis limit, same as in plot |
ylim |
set the y-axis limit, same as in plot |
width |
number of periods to apply rolling calculations over, sometimes referred to as a 'window' |
stepsize |
the frequency with which to make the rolling calculation |
lty |
set the line type, same as in plot |
lwd |
set the line width, same as in plot |
cex.lab |
The magnification to be used for sizing the label relative to the current setting of 'cex', similar to plot. |
cex.main |
The magnification to be used for sizing the main chart relative to the current setting of 'cex', as in plot. |
cex.axis |
The magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to plot. |
cex.text |
The magnification to be used for sizing the text relative to the current setting of 'cex', similar to plot. |
... |
any other passthru parameters |
chart of risk and return coordinates through time
Peter Carl
~put references to the literature/web site here ~
data(managers)
chart.SnailTrail(managers[,c("HAM2","SP500 TR"),drop=FALSE], width=36, stepsize=12, colorset=c('red','orange'),add.names="firstandlast", rf=.04/12, main="Trailing 36-month Performance Calc'd Every 12 Months")