charts.RollingPerformance: rolling performance chart
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description Usage Arguments Author(s) See Also Examples

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,
  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`
`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

chart.RollingPerformance

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

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