chart rolling correlation fo multiple assets
A wrapper to create a chart of rolling correlation metrics in a line chart
chart.RollingCorrelation( Ra, Rb, width = 12, xaxis = TRUE, legend.loc = NULL, colorset = (1:12), ..., fill = NA )
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
width |
number of periods to apply rolling function window over |
xaxis |
if true, draws the x axis |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
colorset |
color palette to use, set by default to rational choices |
... |
any other passthru parameters |
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 |
The previous parameter na.pad has been replaced with fill; use fill = NA instead of
na.pad = TRUE, or fill = NULL instead of na.pad = FALSE.
Peter Carl
# First we get the data data(managers) chart.RollingCorrelation(managers[, 1:6, drop=FALSE], managers[, 8, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", width=24, main = "Rolling 12-Month Correlation")
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