charts.RollingPerformance {PerformanceAnalytics}R Documentation

rolling performance chart


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


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


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


Peter Carl

See Also



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

[Package PerformanceAnalytics version 0.9.9-5 Index]