Description Usage Arguments Value Author(s) See Also Examples
View source: R/pub01_utilityFuncs.R
A wrapper to create a rolling annualized returns chart(of class ggplot), rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.
1 | ggplots.RollingPerformance(rtn, width = 250, by = 30, ...)
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rtn |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
width |
see |
by |
see |
... |
other arguments to function |
align |
see |
Print a wrapped plots of class ggplot,and return a recordedplot object.
Ruifei.Yin
1 2 3 4 | rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+1:100)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
ggplots.RollingPerformance(rtn)
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