Horizon Plots in Base Graphics

for background please see prior posts More on Horizon Charts, Application of Horizon Plots, Horizon Plot Already Available, and Cubism Horizon Charts in R

There are three primary graphics routes in R (base graphics, lattice, and ggplot2), and each have their zealots.  Last time in More on Horizon Charts, I used lattice and latticeExtra. This time we will build horizon plots in base graphics, and I was pleased with the result. Unfortunately, there is one small issue in that the points of change from positive to negative overlap.  Please let me know if you have a solution. Thanks to helpful readers for their comments and code changes, this is now fixed.

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

From TimelyPortfolio

Now, let’s implement a for loop and mirror the negative values.

From TimelyPortfolio

With horizon chart functionality in base graphics, hopefully we can add this type now to other packages.  Here is a potential example using quantmod.

From TimelyPortfolio

 

R code in GIST (do raw for copy/paste)

	require(RColorBrewer)
	require(quantmod)
	require(PerformanceAnalytics)
	data(managers)
	#let's do managers from 2002 to 2004 to get positive and negative
	x <- cumprod(1+managers["2002::2004"])[,1] - 1
	#get some decent colors from RColorBrewer
	#we will use colors on the edges so 2:4 for red and 7:9 for blue
	col.brew <- brewer.pal(name="RdBu",n=10)
	#get this to ease using it later
	n<-nrow(x)
	#set scale to be 10%
	horizonscale=0.1
	#remove space around chart
	par(mar=c(2,1,1,1))
	plot(index(x), coredata(x), type="n", bty="n", las=1, yaxt="n", xlab=NA, ylab=NA, ylim=c(-horizonscale,horizonscale))
	#thanks http://stackoverflow.com/questions/9630014/polygon-for-xts-objects
	#draw first positive band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) > 0,coredata(x), 0),0),
	col=col.brew[7]
	)
	#draw first negative band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) < 0 ,coredata(x), 0),0),
	col=col.brew[4]
	)
	#overlay second positive band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) > 0.1,coredata(x) - 0.1, 0),0),
	col=col.brew[8]
	)
	#overlay second negative band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) < -0.1 ,coredata(x) + 0.1, 0),0),
	col=col.brew[3]
	)
	#overlay third positive band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) > 0.2 ,coredata(x) - 0.2, 0),0),
	col=col.brew[9]
	)
	#overlay third negative band
	polygon(
	index(x)[c(1,1:n,n)],
	c(0,ifelse(coredata(x) < -0.2 ,coredata(x) + 0.2, 0),0),
	col=col.brew[2]
	)
	#little touch up to get a line at extending left to right
	abline(h=0,col="black")
	#add a line at the bottom of the chart
	abline(h=par("usr")[3],col="black")
	#now let's do it with a loop and flip the negative up
	nbands = ceiling(max(abs(coredata(x)))/horizonscale)
	plot(index(x), abs(coredata(x)), type="n", bty="n", las=1, yaxt="n", xaxt="n", xlab=NA, ylab=NA, ylim=c(0,horizonscale))
	#thanks to helpful reader A. Zolot
	par(usr=c(index(x)[1],index(x)[n],0,horizonscale),mar=c(2,1,1,1)) # 0-margines
	for (i in 1:nbands) {
	#draw positive
	polygon(
	c(index(x)[1], index(x), index(x)[n]),
	c(0, coredata(x) - (i-1) * horizonscale,0),
	col=col.brew[length(col.brew)-nbands+i-1],
	border=NA
	)
	#draw negative
	polygon(
	c(index(x)[1], index(x), index(x)[n]),
	c(0, -coredata(x) - (i-1) * horizonscale, 0),
	col=col.brew[nbands-i+1],
	border=NA
	)
	}
	abline(h=0,col="black")
	axis.Date(side=1,x=index(x),pos=0)

view raw horizon in base.r hosted with ❤ by GitHub