Create a gist now

Instantly share code, notes, and snippets.

What would you like to do?
horizon plot of french 48 industry portfolio
#get very helpful Ken French data
#for this project we will look at Industry Portfolios
#my.url will be the location of the zip file with the data
#this will be the temp file set up for the zip file
#my.usefile is the name of the txt file with the data
download.file(my.url, my.tempfile, method="auto",
quiet = FALSE, mode = "wb",cacheOK = TRUE)
#read space delimited text file extracted from zip
french_industry <- read.table(file=my.usefile,
header = TRUE, sep = "", = TRUE,
skip = 9, nrows=12211)
#get dates ready for xts index
datestoformat <- rownames(french_industry)
datestoformat <- paste(substr(datestoformat,1,4),
#get xts for analysis
french_industry_xts <- as.xts(french_industry[,1:NCOL(french_industry)],
#divide by 100 to get percent
french_industry_xts <- french_industry_xts/100
#delete missing data which is denoted by -0.9999
french_industry_xts[which(french_industry_xts < -0.99,arr.ind=TRUE)[,1],
unique(which(french_industry_xts < -0.99,arr.ind=TRUE)[,2])] <- 0
#get price series or cumulative growth of 1
french_industry_price <- cumprod(french_industry_xts+1)
#get 250 day rate of change or feel free to change to something other than 250
roc <- french_industry_price
#split into groups so do not run out of memory
for (i in seq(12,48,by=12)) {
roc[,((i-11):(i))] <- ROC(french_industry_price[,((i-11):(i))],n=250,type="discrete")
roc[1:250,] <- 0
#do a horizon plot of all 48 industries with horizonscale of 0.25
horizonscale=0.25, #feel free to change to whatever you would like
scales = list(tck = c(1,0), y = list(draw = FALSE,relation = "same")),
origin = 0,
colorkey = FALSE,
#since so many industries, we will comment out grid
# panel = function(x, ...) {
# panel.horizonplot(x, ...)
# panel.grid(h=3, v=0,col = "white", lwd=1,lty = 3)
# },
ylab = list(rev(colnames(roc)), rot = 0, cex = 0.7, pos = 3),
xlab = NULL,
par.settings=theEconomist.theme(box = "gray70"),
#use ylab above for labelling so we can specify FALSE for strip and strip.left
strip = FALSE,
strip.left = FALSE,
main = "French Daily 48 Industry 1963-2011\n source:")
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment