chart.TimeSeries: Creates a time series chart with some extensions.

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Draws a line chart and labels the x-axis with the appropriate dates. This is really a "primitive", since it extends the base plot and standardizes the elements of a chart. Adds attributes for shading areas of the timeline or aligning vertical lines along the timeline. This function is intended to be used inside other charting functions.

Usage

chart.TimeSeries(R, auto.grid = TRUE, xaxis = TRUE, yaxis = TRUE,
  yaxis.right = FALSE, type = "l", lty = 1, lwd = 2, las = par("las"),
  main = NULL, ylab = NULL, xlab = "", date.format.in = "%Y-%m-%d",
  date.format = NULL, xlim = NULL, ylim = NULL,
  element.color = "darkgray", event.lines = NULL, event.labels = NULL,
  period.areas = NULL, event.color = "darkgray",
  period.color = "aliceblue", colorset = (1:12), pch = (1:12),
  legend.loc = NULL, ylog = FALSE, cex.axis = 0.8, cex.legend = 0.8,
  cex.lab = 1, cex.labels = 0.8, cex.main = 1, major.ticks = "auto",
  minor.ticks = TRUE, grid.color = "lightgray", grid.lty = "dotted",
  xaxis.labels = NULL, ...)

charts.TimeSeries(R, space = 0, main = "Returns", ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
auto.grid	if true, draws a grid aligned with the points on the x and y axes
grid.color	sets the color for the reference grid
grid.lty	defines the line type for the grid
xaxis	if true, draws the x axis
yaxis	if true, draws the y axis
yaxis.right	if true, draws the y axis on the right-hand side of the plot
type	set the chart type, same as in plot
lty	set the line type, same as in plot
lwd	set the line width, same as in plot
las	set the axis label rotation, same as in plot
main	set the chart title, same as in plot
ylab	set the y-axis label, same as in plot
xlab	set the x-axis label, same as in plot
date.format	re-format the dates for the xaxis; the default is "%m/%y"
xlim	set the x-axis limit, same as in plot
ylim	set the y-axis limit, same as in plot
event.lines	If not null, vertical lines will be drawn to indicate that an event happened during that time period. event.lines should be a list of dates (e.g., c("09/03","05/06")) formatted the same as date.format. This function matches the re-formatted row names (dates) with the events.list, so to get a match the formatting needs to be correct.
event.labels	if not null and event.lines is not null, this will apply a list of text labels (e.g., c("This Event", "That Event") to the vertical lines drawn. See the example below.
period.areas	these are shaded areas described by start and end dates in a vector of xts date rangees, e.g., c("1926-10::1927-11","1929-08::1933-03") See the examples below.
event.color	draws the event described in event.labels in the color specified
period.color	draws the shaded region described by period.areas in the color specified
colorset	color palette to use, set by default to rational choices
pch	symbols to use, see also plot
element.color	provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
ylog	TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
date.format.in	allows specification of other date formats in the data object, defaults to "%Y-%m-%d"
cex.axis	The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.
cex.legend	The magnification to be used for sizing the legend relative to the current setting of 'cex'.
cex.labels	The magnification to be used for event line labels relative to the current setting of 'cex'.
cex.lab	The magnification to be used for x- and y-axis labels relative to the current setting of 'cex'.
cex.main	The magnification to be used for the chart title relative to the current setting of 'cex'.
major.ticks	Should major tickmarks be drawn and labeled, default 'auto'
minor.ticks	Should minor tickmarks be drawn, default TRUE
xaxis.labels	Allows for non-date labeling of date axes, default is NULL
space	default 0
...	any other passthru parameters

Author(s)

Peter Carl

See Also

plot, par, axTicksByTime

Examples

# These are start and end dates, formatted as xts ranges.
## http://www.nber.org-cycles.html
cycles.dates<-c("1857-06/1858-12",
                "1860-10/1861-06",
                "1865-04/1867-12",
                "1869-06/1870-12",
                "1873-10/1879-03",
                "1882-03/1885-05",
                "1887-03/1888-04",
                "1890-07/1891-05",
                "1893-01/1894-06",
                "1895-12/1897-06",
                "1899-06/1900-12",
                "1902-09/1904-08",
                "1907-05/1908-06",
                "1910-01/1912-01",
                "1913-01/1914-12",
                "1918-08/1919-03",
                "1920-01/1921-07",
                "1923-05/1924-07",
                "1926-10/1927-11",
                "1929-08/1933-03",
                "1937-05/1938-06",
                "1945-02/1945-10",
                "1948-11/1949-10",
                "1953-07/1954-05",
                "1957-08/1958-04",
                "1960-04/1961-02",
                "1969-12/1970-11",
                "1973-11/1975-03",
                "1980-01/1980-07",
                "1981-07/1982-11",
                "1990-07/1991-03",
                "2001-03/2001-11",
                "2007-12/2009-06"
                )
# Event lists - FOR BEST RESULTS, KEEP THESE DATES IN ORDER
risk.dates = c(
    "Oct 87",
    "Feb 94",
    "Jul 97",
    "Aug 98",
    "Oct 98",
    "Jul 00",
    "Sep 01")
risk.labels = c(
    "Black Monday",
    "Bond Crash",
    "Asian Crisis",
    "Russian Crisis",
    "LTCM",
    "Tech Bubble",
    "Sept 11")
data(edhec)

R=edhec[,"Funds of Funds",drop=FALSE]
Return.cumulative = cumprod(1+R) - 1
chart.TimeSeries(Return.cumulative)
chart.TimeSeries(Return.cumulative, colorset = "darkblue",
                 legend.loc = "bottomright",
                 period.areas = cycles.dates,
                 period.color = "lightblue",
                 event.lines = risk.dates,
                 event.labels = risk.labels,
                 event.color = "red", lwd = 2)

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.