horizon plot of 48 industries with dendrogram order

horizon plot of 48 industries with dendrogram order.r

require(fAssets)
require(latticeExtra)
require(quantmod)
require(PerformanceAnalytics)

#my.url will be the location of the zip file with the data
my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/48_Industry_Portfolios_daily.zip"
#this will be the temp file set up for the zip file
my.tempfile<-paste(tempdir(),"\\frenchindustry.zip",sep="")
#my.usefile is the name of the txt file with the data
my.usefile<-paste(tempdir(),"\\48_Industry_Portfolios_daily.txt",sep="")
download.file(my.url, my.tempfile, method="auto", 
              quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
#read space delimited text file extracted from zip
french_industry <- read.table(file=my.usefile,
                              header = TRUE, sep = "",
                              as.is = TRUE,
                              skip = 9, nrows=12211)

#get dates ready for xts index
datestoformat <- rownames(french_industry)
datestoformat <- paste(substr(datestoformat,1,4),
                       substr(datestoformat,5,6),substr(datestoformat,7,8),sep="-")

#get xts for analysis
french_industry_xts <- as.xts(french_industry[,1:NCOL(french_industry)],
                              order.by=as.Date(datestoformat))

#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

# try to do http://stackoverflow.com/questions/9747426/how-can-i-produce-plots-like-this
# was much easier to use latticeExtra

# get dendrogram data from hclust
# backward and repetitive but it works
t <- assetsDendrogramPlot(as.timeSeries(french_industry_xts))
# thanks to the latticeExtra example
dd.row <- as.dendrogram(t$hclust)
row.ord <- order.dendrogram(dd.row)

xyplot(roc[,row.ord],
            layout=c(1,48), ylim=c(0,0.25),
            scales = list(tck = c(1,0), y = list(draw = FALSE,relation = "same")),
            horizonscale=0.25,
            origin = 0,
            colorkey = TRUE,
            #since so many industries, we will comment out grid
                        panel = function(x,y,...) {
                         panel.horizonplot(x,y,...)    #feel free to change to whatever you would like)
            #              panel.grid(h=3, v=0,col = "white", lwd=1,lty = 3)
                       },
            ylab = list(rev(colnames(roc[,row.ord])), 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 (Dendrogram Ordered) 1963-2011\n source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french",

          legend =
            list(right =
            list(fun = dendrogramGrob,
                 args =
                   list(x = dd.row, ord = row.ord,
                        side = "right",
                        size = 10))))