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 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 = 1,
  las = par("las"),
  main = "",
  ylab = "",
  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,
  plot.engine = "default",
  yaxis.pct = 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,
  plot.engine,
  yaxis.pct,
  ...
)

chart.TimeSeries.builtin(
  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,
  ...
)

chart.TimeSeries.dygraph(R, type = "l", ylog = FALSE)

chart.TimeSeries.ggplot2(
  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,
  plot.engine,
  yaxis.pct
)

chart.TimeSeries.googlevis(R, xlab, ylab, main, type = "l", ylog = FALSE)

chart.TimeSeries.plotly(R, main, type = "l", ylog = FALSE, ...)

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

Arguments

R: an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...: any other passthru parameters
auto.grid: if true, draws a grid aligned with the points on the x and y axes
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.in: allows specification of other date formats in the data object, defaults to "%Y-%m-%d"
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
element.color: provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
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
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
cex.axis: The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.
cex.legend: (deprecated) The magnification to be used for sizing the legend 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.labels: The magnification to be used for event line 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
grid.color: sets the color for the reference grid
grid.lty: defines the line type for the grid
xaxis.labels: Allows for non-date labeling of date axes, default is NULL
plot.engine: choose the plot engine you wish to use: ggplot2, plotly,dygraph,googlevis and default
yaxis.pct: if TRUE, scales the y axis labels by 100
space: (deprecated) default 0

Author

Peter Carl

Examples



# These are start and end dates, formatted as xts ranges.
## https://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 = rgb(204 / 255, 204 / 255, 204 / 255, alpha = 0.25),
  event.lines = risk.dates,
  event.labels = risk.labels,
  event.color = "red", lwd = 2
)

Usage

Arguments

See also

Author

Examples