plot.xts horizon plot example

plotxts horizon example.r

#plot.xts with horizons
require(PerformanceAnalytics)

horizon.panel <- function(index,x,...) {
  #get some decent colors from RColorBrewer
  #we will use colors on the edges so 2:4 for red and 7:9 for blue
  require(RColorBrewer)
  col.brew <- brewer.pal(name="RdBu",n=10)
  #ease this reference later
  n=NROW(x)
  #clean up NA
  x[which(is.na(x),arr.ind=TRUE)[,1],
            unique(which(is.na(x),arr.ind=TRUE)[,2])] <- 0
  
  #get number of bands for the loop
  #limit to 4
  nbands = min(4,ceiling(max(abs(coredata(x)))/horizonscale))
  
  #plot(index(x), abs(coredata(x)), type="n", bty="n", las=1, yaxt="n", xaxt="n", xlab=NA, ylab=NA, ylim=c(0,horizonscale))
  #thanks to helpful reader A. Zolot
  #par(usr=c(index(x)[1],index(x)[n],0,horizonscale),mar=c(2,1,1,1)) # 0-margines
  for (i in 1:nbands) {
  #draw positive
  polygon(  
    c(index[1], index, index[n]),  
    c(origin, coredata(x) - (i-1) * horizonscale,origin),  
    col=col.brew[length(col.brew)-nbands+i-1],
    border=NA
  )
  #draw negative
  polygon(  
    c(index[1], index, index[n]),  
    c(origin, -coredata(x) - (i-1) * horizonscale,origin),  
    col=col.brew[nbands-i+1],
    border=NA
  )
  }
  
  #delete trash drawn below origin that we keep so no overlap between positive and negative
  polygon(  
    c(index[1], index, index[n]),  
    c(origin, -ifelse(coredata(x)==origin,horizonscale*5,abs(coredata(x))),origin),
    col=par("bg"),
    border=NA
  )
  
  #draw a line at the origin
  abline(h=origin,col="black")
  
  #labelling just for example purposes
  #do label at top left and top right
  text(x=index[1], y=horizonscale, colnames(x), adj=c(0,1))
  text(x=index[n], y=horizonscale, colnames(x), adj=c(1,1))
  #do label at center right for ease of reference
  #text(x=index[n], y=horizonscale/2, colnames(x), pos=2)
  #do label at bottom center
  #text(x=index[n/2], y=origin, colnames(x), pos=3)
  
  #do not need this anymore since plot.xts handles
  #axis.Date(side=1,x=index(x),pos=0)  
}

data(edhec)

#set these up for global access since I do not see how to pass into panel function
origin = 0
horizonscale = 0.1

#get 12 month rolling return of edhec indexes
roc <- as.xts(apply(cumprod(edhec+1),MARGIN=2,ROC,n=12,type="discrete"),order.by=index(edhec))

plot.xts(roc,layout.screens = 1:NCOL(roc),
         ylim=c(origin,horizonscale),
         panel=horizon.panel,bty="n",
         auto.grid=FALSE,
         yax.loc="none",
         yaxt="n", #, xaxt="n")
         main="Horizon Plot of EDHEC Indexes 12-month Rolling Return")