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

A wrapper to create a chart of rolling performance metrics in a line chart

chart.RollingPerformance(
  R,
  width = 12,
  FUN = "Return.annualized",
  ...,
  ylim = NULL,
  main = NULL,
  fill = NA
)

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)

...

any other passthru parameters to plot or the function specified

ylim

set the y-axis limit, same as in plot

main

set the chart title, same as in plot

fill

a three-component vector or list (recycled otherwise) providing filling values at the left/within/to the right of the data range. See the fill argument of na.fill for details.

Details

The parameter na.pad has been deprecated; use fill = NA instead of na.pad = TRUE, or fill = NULL instead of na.pad = FALSE.

See also

charts.RollingPerformance, rollapply

Author

Peter Carl

Examples

# \donttest{
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")

# }