Nothing
R/chart.TimeSeries.R
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
#' Creates a time series chart with some extensions.
#'
#' Draws a line chart and labels the x-axis with the appropriate dates. This
#' is really a "primitive", since it extends the base \code{\link{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.
#'
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param auto.grid if true, draws a grid aligned with the points on the x and
#' y axes
#' @param grid.color sets the color for the reference grid
#' @param grid.lty defines the line type for the grid
#' @param xaxis if true, draws the x axis
#' @param yaxis if true, draws the y axis
#' @param yaxis.right if true, draws the y axis on the right-hand side of the
#' plot
#' @param type set the chart type, same as in \code{\link{plot}}
#' @param lty set the line type, same as in \code{\link{plot}}
#' @param lwd set the line width, same as in \code{\link{plot}}
#' @param las set the axis label rotation, same as in \code{\link{plot}}
#' @param main set the chart title, same as in \code{\link{plot}}
#' @param ylab set the y-axis label, same as in \code{\link{plot}}
#' @param xlab set the x-axis label, same as in \code{\link{plot}}
#' @param date.format re-format the dates for the xaxis; the default is "\%m/\%y"
#' @param xlim set the x-axis limit, same as in \code{\link{plot}}
#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
#' @param event.lines if not null, vertical lines will be drawn to indicate
#' that an event happened during that time period. \code{event.lines} should
#' be a list of dates (e.g., \code{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.
#' @param event.labels if not null and event.lines is not null, this will apply
#' a list of text labels (e.g., \code{c("This Event", "That Event")} to the
#' vertical lines drawn. See the example below.
#' @param period.areas these are shaded areas described by start and end dates
#' in a vector of xts date rangees, e.g.,
#' \code{c("1926-10::1927-11","1929-08::1933-03")} See the examples below.
#' @param event.color draws the event described in \code{event.labels} in the
#' color specified
#' @param period.color draws the shaded region described by \code{period.areas}
#' in the color specified
#' @param colorset color palette to use, set by default to rational choices
#' @param pch symbols to use, see also \code{\link{plot}}
#' @param element.color provides the color for drawing chart elements, such as
#' the box lines, axis lines, etc. Default is "darkgray"
#' @param legend.loc places a legend into one of nine locations on the chart:
#' bottomright, bottom, bottomleft, left, topleft, top, topright, right, or
#' center.
#' @param ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to
#' \code{\link{plot}}, default FALSE
#' @param date.format.in allows specification of other date formats in the data
#' object, defaults to "\%Y-\%m-\%d"
#' @param cex.axis The magnification to be used for axis annotation relative to
#' the current setting of 'cex', same as in \code{\link{plot}}.
#' @param cex.legend The magnification to be used for sizing the legend
#' relative to the current setting of 'cex'.
#' @param cex.labels The magnification to be used for event line labels
#' relative to the current setting of 'cex'.
#' @param cex.lab The magnification to be used for x- and y-axis labels
#' relative to the current setting of 'cex'.
#' @param cex.main The magnification to be used for the chart title relative to
#' the current setting of 'cex'.
#' @param major.ticks Should major tickmarks be drawn and labeled, default
#' 'auto'
#' @param minor.ticks Should minor tickmarks be drawn, default TRUE
#' @param xaxis.labels Allows for non-date labeling of date axes, default is
#' NULL
#' @param space default 0
#' @param dygraphPlot Plot using dygraphs default FALSE
#' @param yaxis.pct if TRUE, scales the y axis labels by 100
#' @param \dots any other passthru parameters
#' @author Peter Carl
#' @seealso \code{\link{plot}}, \code{\link{par}},
#' \code{\link[xts]{axTicksByTime}}
###keywords ts multivariate distribution models hplot
#' @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)
#'
#' @export
chart.TimeSeries <-
function (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,
dygraphPlot=FALSE,
yaxis.pct=FALSE)
{ # @author Peter Carl, Brian Peterson
# DESCRIPTION:
# Draws a line chart and labels the x-axis with the appropriate dates.
# This is really a "primitive", since it constructs the elements of a plot
# to provide lines for each column of data provided.
# Inputs:
# R = assumes that data is a regular time series, not irregular. Can take
# any type of object, whether a matrix, data frame, or timeSeries.
# date.format: allows passing of a date format for the xaxis
# legend.loc = use this to locate the legend, e.g., "topright"
# colorset = use the name of any of the palattes above
# reference.grid = if true, draws a grid aligned with the points on the
# x and y axes.
# xaxis = if true, draws the x axis.
# event.lines = if not null, will draw vertical lines indicating 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
# labels to the vertical lines drawn.
# All other inputs are the same as "plot" and are principally included
# so that some sensible defaults could be set.
# Output:
# Draws a timeseries graph of type "line" with some sensible defaults.
# FUNCTION:
y = checkData(R)
# Set up dimensions and labels
columns = ncol(y)
rows = nrow(y)
columnnames = colnames(y)
if (is.null(date.format)){
freq = periodicity(y)
yr_eq <- ifelse(format(index(first(y)),format="%Y")==format(index(last(y)),format="%Y"),TRUE,FALSE)
switch(freq$scale,
seconds = { date.format = "%H:%M"},
minute = { date.format = "%H:%M"},
hourly = {date.format = "%d %H"},
daily = {if (yr_eq) date.format = "%b %d" else date.format = "%Y-%m-%d"},
weekly = {if (yr_eq) date.format = "%b %d" else date.format = "%Y-%m-%d"},
monthly = {if (yr_eq) date.format = "%b" else date.format = "%b %y"},
quarterly = {if (yr_eq) date.format = "%b" else date.format = "%b %y"},
yearly = {date.format = "%Y"}
)
}
# Needed for finding aligned dates for event lines and period areas
rownames = as.Date(time(y))
rownames = format(strptime(rownames,format = date.format.in), date.format)
time.scale = periodicity(y)$scale
ep = axTicksByTime(y,major.ticks, format.labels = date.format)
# If the Y-axis is ln
logaxis = ""
if(ylog) {
logaxis = "y"
}
if(dygraphPlot==FALSE){
chart.TimeSeries.base(R,
auto.grid,
xaxis,
yaxis,
yaxis.right,
type,
lty,
lwd ,
las ,
main ,
ylab,
xlab,
date.format.in,
date.format ,
xlim ,
ylim ,
element.color,
event.lines,
event.labels,
period.areas,
event.color ,
period.color , colorset ,
pch,
legend.loc ,
ylog ,
cex.axis,
cex.legend ,
cex.lab ,
cex.labels,
cex.main ,
major.ticks,
minor.ticks,
grid.color,
grid.lty,
xaxis.labels,
yaxis.pct, ...)
}else{
if(is.null(main))
main=columnnames[1]
if(is.null(ylab)) {
if(ylog)
ylab = "ln(Value)"
else
ylab = "Value"
}
##@TODO Get all the graphical parameters integrated with these two
dyRangeSelector(dygraph(y,main = main,
xlab = xlab,
ylab = ylab))
}
}
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2015 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id: chart.TimeSeries.R 4017 2016-04-25 19:38:44Z pteetor $
#
###############################################################################
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PerformanceAnalytics documentation built on May 2, 2019, 5:21 p.m.
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#' Creates a time series chart with some extensions.
#'
#' Draws a line chart and labels the x-axis with the appropriate dates. This
#' is really a "primitive", since it extends the base \code{\link{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.
#'
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param auto.grid if true, draws a grid aligned with the points on the x and
#' y axes
#' @param grid.color sets the color for the reference grid
#' @param grid.lty defines the line type for the grid
#' @param xaxis if true, draws the x axis
#' @param yaxis if true, draws the y axis
#' @param yaxis.right if true, draws the y axis on the right-hand side of the
#' plot
#' @param type set the chart type, same as in \code{\link{plot}}
#' @param lty set the line type, same as in \code{\link{plot}}
#' @param lwd set the line width, same as in \code{\link{plot}}
#' @param las set the axis label rotation, same as in \code{\link{plot}}
#' @param main set the chart title, same as in \code{\link{plot}}
#' @param ylab set the y-axis label, same as in \code{\link{plot}}
#' @param xlab set the x-axis label, same as in \code{\link{plot}}
#' @param date.format re-format the dates for the xaxis; the default is "\%m/\%y"
#' @param xlim set the x-axis limit, same as in \code{\link{plot}}
#' @param ylim set the y-axis limit, same as in \code{\link{plot}}
#' @param event.lines if not null, vertical lines will be drawn to indicate
#' that an event happened during that time period. \code{event.lines} should
#' be a list of dates (e.g., \code{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.
#' @param event.labels if not null and event.lines is not null, this will apply
#' a list of text labels (e.g., \code{c("This Event", "That Event")} to the
#' vertical lines drawn. See the example below.
#' @param period.areas these are shaded areas described by start and end dates
#' in a vector of xts date rangees, e.g.,
#' \code{c("1926-10::1927-11","1929-08::1933-03")} See the examples below.
#' @param event.color draws the event described in \code{event.labels} in the
#' color specified
#' @param period.color draws the shaded region described by \code{period.areas}
#' in the color specified
#' @param colorset color palette to use, set by default to rational choices
#' @param pch symbols to use, see also \code{\link{plot}}
#' @param element.color provides the color for drawing chart elements, such as
#' the box lines, axis lines, etc. Default is "darkgray"
#' @param legend.loc places a legend into one of nine locations on the chart:
#' bottomright, bottom, bottomleft, left, topleft, top, topright, right, or
#' center.
#' @param ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to
#' \code{\link{plot}}, default FALSE
#' @param date.format.in allows specification of other date formats in the data
#' object, defaults to "\%Y-\%m-\%d"
#' @param cex.axis The magnification to be used for axis annotation relative to
#' the current setting of 'cex', same as in \code{\link{plot}}.
#' @param cex.legend The magnification to be used for sizing the legend
#' relative to the current setting of 'cex'.
#' @param cex.labels The magnification to be used for event line labels
#' relative to the current setting of 'cex'.
#' @param cex.lab The magnification to be used for x- and y-axis labels
#' relative to the current setting of 'cex'.
#' @param cex.main The magnification to be used for the chart title relative to
#' the current setting of 'cex'.
#' @param major.ticks Should major tickmarks be drawn and labeled, default
#' 'auto'
#' @param minor.ticks Should minor tickmarks be drawn, default TRUE
#' @param xaxis.labels Allows for non-date labeling of date axes, default is
#' NULL
#' @param space default 0
#' @param dygraphPlot Plot using dygraphs default FALSE
#' @param yaxis.pct if TRUE, scales the y axis labels by 100
#' @param \dots any other passthru parameters
#' @author Peter Carl
#' @seealso \code{\link{plot}}, \code{\link{par}},
#' \code{\link[xts]{axTicksByTime}}
###keywords ts multivariate distribution models hplot
#' @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)
#'
#' @export
chart.TimeSeries <-
function (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,
dygraphPlot=FALSE,
yaxis.pct=FALSE)
{ # @author Peter Carl, Brian Peterson
# DESCRIPTION:
# Draws a line chart and labels the x-axis with the appropriate dates.
# This is really a "primitive", since it constructs the elements of a plot
# to provide lines for each column of data provided.
# Inputs:
# R = assumes that data is a regular time series, not irregular. Can take
# any type of object, whether a matrix, data frame, or timeSeries.
# date.format: allows passing of a date format for the xaxis
# legend.loc = use this to locate the legend, e.g., "topright"
# colorset = use the name of any of the palattes above
# reference.grid = if true, draws a grid aligned with the points on the
# x and y axes.
# xaxis = if true, draws the x axis.
# event.lines = if not null, will draw vertical lines indicating 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
# labels to the vertical lines drawn.
# All other inputs are the same as "plot" and are principally included
# so that some sensible defaults could be set.
# Output:
# Draws a timeseries graph of type "line" with some sensible defaults.
# FUNCTION:
y = checkData(R)
# Set up dimensions and labels
columns = ncol(y)
rows = nrow(y)
columnnames = colnames(y)
if (is.null(date.format)){
freq = periodicity(y)
yr_eq <- ifelse(format(index(first(y)),format="%Y")==format(index(last(y)),format="%Y"),TRUE,FALSE)
switch(freq$scale,
seconds = { date.format = "%H:%M"},
minute = { date.format = "%H:%M"},
hourly = {date.format = "%d %H"},
daily = {if (yr_eq) date.format = "%b %d" else date.format = "%Y-%m-%d"},
weekly = {if (yr_eq) date.format = "%b %d" else date.format = "%Y-%m-%d"},
monthly = {if (yr_eq) date.format = "%b" else date.format = "%b %y"},
quarterly = {if (yr_eq) date.format = "%b" else date.format = "%b %y"},
yearly = {date.format = "%Y"}
)
}
# Needed for finding aligned dates for event lines and period areas
rownames = as.Date(time(y))
rownames = format(strptime(rownames,format = date.format.in), date.format)
time.scale = periodicity(y)$scale
ep = axTicksByTime(y,major.ticks, format.labels = date.format)
# If the Y-axis is ln
logaxis = ""
if(ylog) {
logaxis = "y"
}
if(dygraphPlot==FALSE){
chart.TimeSeries.base(R,
auto.grid,
xaxis,
yaxis,
yaxis.right,
type,
lty,
lwd ,
las ,
main ,
ylab,
xlab,
date.format.in,
date.format ,
xlim ,
ylim ,
element.color,
event.lines,
event.labels,
period.areas,
event.color ,
period.color , colorset ,
pch,
legend.loc ,
ylog ,
cex.axis,
cex.legend ,
cex.lab ,
cex.labels,
cex.main ,
major.ticks,
minor.ticks,
grid.color,
grid.lty,
xaxis.labels,
yaxis.pct, ...)
}else{
if(is.null(main))
main=columnnames[1]
if(is.null(ylab)) {
if(ylog)
ylab = "ln(Value)"
else
ylab = "Value"
}
##@TODO Get all the graphical parameters integrated with these two
dyRangeSelector(dygraph(y,main = main,
xlab = xlab,
ylab = ylab))
}
}
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2015 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id: chart.TimeSeries.R 4017 2016-04-25 19:38:44Z pteetor $
#
###############################################################################
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