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

Examples

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")