The Region command can be used to draw ovals, rectangles, and rounded rectangles.
The approach here is slightly different than a typical drawing programs where you draw a shape, because in DataGraph the shapes are located within the XY coordinate system. You can click and drag the edges of the shade to change them. Note that if you add a fill to the region you can click and drag it on the screen.
To have a circle or a square you would want to set the XY location to have an equal range and set the Axis settings box to pad the XY range to be equal.
To draw lines, you can use the Lines command for straight lines in either the X or Y direction. Again the line location is data driven so you can specify exactly where you want the line to be.
For either of these you can have the location be something you specify in the command or use a variable.
Does this help?