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plot.xts can create horizon charts
#plot.xts with horizons
#install.packages("xtsExtra", repos="http://R-Forge.R-project.org")
require(PerformanceAnalytics)
require(quantmod)
require(xtsExtra) #if you get error, install xtsExtra from r-forge
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 with either of the two methods below
#x[which(is.na(x),arr.ind=TRUE)[,1],
# unique(which(is.na(x),ar.ind=TRUE)[,2])] <- 0
x <- apply(x,MARGIN=2,FUN=na.fill,fill=0)
#get number of bands for the loop
#limit to 3
nbands = 3
#first tried this but will not work since each series needs to have same number of bands
#min(4,ceiling(max(abs(coredata(x)))/horizonscale))
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)
}
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")

Package looks cool. I tried to run it and made it through most of the errors as I didn't have several of the packages installed but got stuck on the data(edhec). Can you make that available so I can run your code? The other errors I got were related to not having the data (I think). See below.

Thanks, Brian

Error: could not find function "as.xts"

Error: could not find function "plot.xts"

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