chart.RollingPerformance: wrapper to create a chart of rolling performance metrics in a...
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description Usage Arguments Details Author(s) See Also Examples

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
)

`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.

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

Peter Carl

charts.RollingPerformance, rollapply

if(!( Sys.info()[['sysname']]=="Windows") ){
# if on Windows, cut and paste this example
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")
}