Horizon Plots with plot.xts

Anyone who has read

1. 48 Industries (Dendrogram Ordered) Over 50 Years
2. 48 Industries Since 1963
3. “Trend is Not Your Friend” Applied to 48 Industries
4. Horizon Plots in Base Graphics
5. More on Horizon Charts
6. Application of Horizon Plots
7. Horizon Plot Already Available
8. Cubism Horizon Charts in R

should already know that I really like horizon charts.  Also, you would probably guess that I would be very excited if the new plot.xts could produce horizon charts.  So I am excited, since with its panel functionality, plot.xts very capably creates horizon charts.

From TimelyPortfolio

R code from GIST (also, please install xtsExtra from r-forge):

	#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")

view raw horizonplot from plot-xts.r hosted with ❤ by GitHub