R: rolling performance chart

charts.RollingPerformance {PerformanceAnalytics}

R Documentation

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, trim = TRUE,
                          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`
`trim`	TRUE/FALSE, whether to keep alignment caused by NA's
`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

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