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plot.xts moving average panel
#install.packages("xtsExtra", repos="http://R-Forge.R-project.org")
require(quantmod)
require(RColorBrewer)
require(xtsExtra) #if you get an error, see first line and install from r-forge
#use Mebane Faber tickers VTI, VEU, IEF, VNQ, DBC
#as discussed in http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
tckrs <- c("VTI", "VEU", "IEF", "VNQ", "DBC")
getSymbols(tckrs, from = "2000-01-01")
prices <- get(tckrs[1])[,6]
for (i in 2:length(tckrs)) {
prices <- na.omit(merge(prices, get(tckrs[i])[,6]))
}
ma.panel <- function (index, x, col, ...) {
#draw line for price
default.panel(index, x, col, ...)
#label each panel with first 3 characters of column name
mtext(substr(colnames(x), 1, 3), side = 3, cex = 0.8, line = -2.5, adj = 0.5, col = col)
#now get n=200 moving average
ma <- runMean(x, n = 200)
#add the moving average line
default.panel(index, ma, col="indianred1", ...)
abline(h=pretty(c(par("yaxp")[1],par("yaxp")[2]),n=par("yaxp")[3]),col="gray60",lty=3,lwd=0.5)
#abline(h=par("yaxp")[1], col="black")
}
plot.xts(prices,
las = 1, #no rotate for y axis tickmark labels
panel = ma.panel, #do the moving average panel to overlay moving average lines
auto.grid = FALSE, #get some extra contol of grid
col = brewer.pal("Set1", n = 7)[c(2:5,7)],
main = NA,
blocks = list(start.time = "2007-12-01", end.time = "2009-06-01", col="lightblue"))
title(main = "ETFs (www.mebanefaber.com) and 200 day Moving Average", adj = 0.05, outer = TRUE, line = -2)
mtext("source: Yahoo! Finance", outer = TRUE, side = 1, adj = 0.94, font = 1, cex = 0.7, line = -1)
#not sure why you would want to do something like this
#but for example purposes
#we can change the layout radically with plot.xts
plot.xts(prices,
screens = c(1,2,4,3,5),
layout.screens = matrix(c(1,1,2,2,3,3,4,5), nrow = 2, byrow = FALSE), #to see how the matrix works print the matrix print(matrix(c(1,1,2,2,3,3,4,5), nrow = 2, byrow = FALSE))
ylim = matrix(c(range(prices[,c(1,2,4)]),range(prices[,c(1,2,4)]),range(prices[,c(1,2,4)]),range(prices[,3]),range(prices[,5])),
byrow=TRUE,ncol=2),
las = 1, #no rotate for y axis tickmark labels
panel = ma.panel, #do the moving average panel to overlay moving average lines
auto.grid = FALSE, #get some extra contol of grid
col = brewer.pal("Set1", n = 7)[c(2:5,7)],
main = NA,
minor.ticks = FALSE,
major.format = "%Y",
blocks = list(start.time = "2007-12-01", end.time = "2009-06-01", col="lightblue"))
title(main = "ETFs (www.mebanefaber.com) and 200 day Moving Average", adj = 0.05, outer = TRUE, line = -2)
mtext("source: Yahoo! Finance", outer = TRUE, side = 1, adj = 0.94, font = 1, cex = 0.7, line = -1)
plot.xts(prices,
screens = c(1,2,4,3,5),
layout.screens = matrix(c(1,1,2,2,3,3,4,5,4,5), nrow = 2, byrow = FALSE), #to see how the matrix works print the matrix print(matrix(c(1,1,2,2,3,3,4,5,4,5), nrow = 2, byrow = FALSE))
ylim = matrix(c(range(prices[,c(1,2,4)]),range(prices[,c(1,2,4)]),range(prices[,c(1,2,4)]),range(prices[,3]),range(prices[,5])),
byrow=TRUE,ncol=2),
las = 1, #no rotate for y axis tickmark labels
panel = ma.panel, #do the moving average panel to overlay moving average lines
auto.grid = FALSE, #get some extra contol of grid
col = brewer.pal("Set1", n = 7)[c(2:5,7)],
main = NA,
minor.ticks = FALSE,
major.format = "%Y",
blocks = list(start.time = "2007-12-01", end.time = "2009-06-01", col="lightblue"))
title(main = "ETFs (www.mebanefaber.com) and 200 day Moving Average", adj = 0.05, outer = TRUE, line = -2)
mtext("source: Yahoo! Finance", outer = TRUE, side = 1, adj = 0.94, font = 1, cex = 0.7, line = -1)
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