PerformanceAnalytics (version 0.9.5)

chart.RollingPerformance: 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 = 1, lwd = 1, xlim = NULL, ylim = NULL, log = "", main = paste(width,"-Month Rolling Performance", sep=""), sub = NULL, xlab = NULL, 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", darken = FALSE , date.format = "%m/%y", ...)

Arguments

R

a 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

date.format

re-format the dates for the xaxis; the default is "%m/%y"

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

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

darken

if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers.

colorset

color palette to use, set by default to rational choices

bg

~~Describe~~

cex

~~Describe~~

log

~~Describe~~

sub

~~Describe~~

ann

~~Describe~~

axes

~~Describe~~

frame.plot

~~Describe~~

panel.first

~~Describe~~

panel.last

~~Describe~~

asp

~~Describe~~

...

any other passthru parameters

Value

• A timeseries line chart of the calculated series

See Also

charts.RollingPerformance

Examples

data(edhec)
chart.RollingPerformance(edhec[, 1:3], width = 24)
chart.RollingPerformance(edhec[, 1:3], width = 24, colorset = rich8equal, lwd = 2, legend.loc = "topleft")