ggplots.RollingPerformance: ggplots.RollingPerformance

In raphael210/QUtility:

Description

A wrapper to create a rolling annualized returns chart(of class ggplot), rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.

Usage

ggplots.RollingPerformance(rtn, width = 250, by = 30, ...)

Arguments

rtn	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width	see rollapply for detail
by	see rollapply for detail
...	other arguments to function rollingPerformance
align	see rollapply for detail

Value

Print a wrapped plots of class ggplot,and return a recordedplot object.

Author(s)

Ruifei.Yin

See Also

rollingPerformance

Examples

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)

raphael210/QUtility documentation built on May 26, 2019, 11:05 p.m.