[R-SIG-Finance] Chart Rolling Correlation in Package PerformanceAnalytics

Philipp Haumueller phaumueller at gmx.net
Thu Aug 12 02:36:33 CEST 2010

Dear all,

I'd appreciate your help on the following matter:

I try to produce a Rolling Correlation chart (based on a monthly time series)with the Package Performance Analytics, using the following command:

chart.RollingCorrelation(rocorr.ts[, 1:3, drop=FALSE], rocorr.ts [, 4, drop=FALSE], colorset=rainbow12equal, legend.loc="bottomright", width=36, main = "Rolling 36-Month Correlation")

I struggle with the following issues:
1) the charts only gives me data from Aug97 onwards (to Jun2010)whereas the underlying time series goes back to Nov94. Is there a limit or so?
2) I would like to change the way the data is shown on the chart (e.g from Nov 01 to 11/01;additionally, the data labels appear to be in german (e.g Dez 09), whereas I would like to have this in english.

Many thanks and regards,


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