Skip to content

@timelyportfolio /horizon in base.r
Created

Embed URL

HTTPS clone URL

Subversion checkout URL

You can clone with
or
.
Download ZIP
horizon in base graphics
require(RColorBrewer)
require(quantmod)
require(PerformanceAnalytics)
data(managers)
#let's do managers from 2002 to 2004 to get positive and negative
x <- cumprod(1+managers["2002::2004"])[,1] - 1
#get some decent colors from RColorBrewer
#we will use colors on the edges so 2:4 for red and 7:9 for blue
col.brew <- brewer.pal(name="RdBu",n=10)
#get this to ease using it later
n<-nrow(x)
#set scale to be 10%
horizonscale=0.1
#remove space around chart
par(mar=c(2,1,1,1))
plot(index(x), coredata(x), type="n", bty="n", las=1, yaxt="n", xlab=NA, ylab=NA, ylim=c(-horizonscale,horizonscale))
#thanks http://stackoverflow.com/questions/9630014/polygon-for-xts-objects
#draw first positive band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) > 0,coredata(x), 0),0),
col=col.brew[7]
)
#draw first negative band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) < 0 ,coredata(x), 0),0),
col=col.brew[4]
)
#overlay second positive band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) > 0.1,coredata(x) - 0.1, 0),0),
col=col.brew[8]
)
#overlay second negative band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) < -0.1 ,coredata(x) + 0.1, 0),0),
col=col.brew[3]
)
#overlay third positive band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) > 0.2 ,coredata(x) - 0.2, 0),0),
col=col.brew[9]
)
#overlay third negative band
polygon(
index(x)[c(1,1:n,n)],
c(0,ifelse(coredata(x) < -0.2 ,coredata(x) + 0.2, 0),0),
col=col.brew[2]
)
#little touch up to get a line at extending left to right
abline(h=0,col="black")
#add a line at the bottom of the chart
abline(h=par("usr")[3],col="black")
#now let's do it with a loop and flip the negative up
nbands = 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(x)[1], index(x), index(x)[n]),
c(0, coredata(x) - (i-1) * horizonscale,0),
col=col.brew[length(col.brew)-nbands+i-1],
border=NA
)
#draw negative
polygon(
c(index(x)[1], index(x), index(x)[n]),
c(0, -coredata(x) - (i-1) * horizonscale, 0),
col=col.brew[nbands-i+1],
border=NA
)
}
abline(h=0,col="black")
axis.Date(side=1,x=index(x),pos=0)
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Something went wrong with that request. Please try again.