R chart.RollingPerformance 股价无法输出正确的y轴

R chart.RollingPerformance stock price unable to output correct y axis

这是我读取一堆 ETF 的代码。我尝试对 ETF 的 return 使用 chart.RollingPerformance,但似乎无法使用正确的 y 轴输出显示?

我读入了这些数据:

mystocks <- new.env(hash=TRUE)
getSymbols(c("QQQ", "XBI", "VYM", "VOO"), env=mystocks, from ="2016-01-04", to ="2020-10-22")
etf <- do.call(cbind,eapply(mystocks, Cl))
str(etf)
head(etf)
An ‘xts’ object on 2016-01-04/2020-10-21 containing:
  Data: num [1:1210, 1:4] 184 185 182 178 176 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:4] "VOO.Close" "QQQ.Close" "XBI.Close" "VYM.Close"
  Indexed by objects of class: [Date] TZ: UTC
  xts Attributes:  
List of 2
 $ src    : chr "yahoo"
 $ updated: POSIXct[1:1], format: "2020-10-23 15:38:16"

           VOO.Close QQQ.Close XBI.Close VYM.Close
2016-01-04    184.31    109.50     67.83     65.95
2016-01-05    184.64    109.31     67.22     66.28
2016-01-06    182.30    108.26     64.35     65.41
2016-01-07    177.86    104.87     61.82     64.00
2016-01-08    175.97    104.01     60.51     63.28
2016-01-11    175.99    104.33     57.14     63.35

我用这些代码绘制了以下内容。我附上图片以供参考。

etf_returns_discrete = Return.calculate(etf, method = c("discrete"))
etf_returns_log = Return.calculate(etf, method = c("log"))

charts.RollingPerformance(etf_returns_discrete,
                          Rf=.03/12, 
                          main="Rolling 12-Month Performance",
                          legend.loc="topleft")

Here is the link to the photo

提前致谢!!

发生这种情况是因为 charts.RollingPerformance 中宽度的默认值 = 12,而您每天都在使用 returns。由于您仅使用 12 天进行年化 returns,因此您有时会获得 >100% 的年化 returns。如果您使用大约一年(252 个工作日),您将获得所需的结果。只需将您对 charts.RollingPerformance 的调用更改为:

charts.RollingPerformance(R = etf_returns_discrete,
                          width = 252,
                          Rf = 0,
                          "Rolling 12-Month Performance")