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

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.

Usage

chart.TimeSeries(R, reference.grid = TRUE, xaxis = TRUE, type = "l", lty = 1, lwd = 1, main = "Title", ylab = NULL, xlab = "Date", date.format = "%m/%y", xlim = NULL, ylim = NULL, event.lines = NULL, event.labels = NULL, period.areas = NULL, event.color = "darkgray", period.color = "lightgray", colorset = (1:12), pch = (1:12), darken = FALSE, legend.loc = NULL, ylog = FALSE, ...)

Arguments

a vector, matrix, data frame, timeSeries or zoo object of asset returns

reference.grid

if true, draws a grid aligned with the points on the x and y axes

xaxis

if true, draws the x axis

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

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

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 the same format as the date.format. This is provided as a list of pairs, e.g., list(c("10/26","11/27"), c("08/29","03/33")) 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

darken

if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers.

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

...

any other passthru parameters

Value

Draws a timeseries plot of type "line" with some sensible defaults.

Details

This function is intended to be used in a wrapper that is written for a particular purpose.

Examples

Run this code

# These are start and end dates, formatted the same way as the default axis labels
cycles.dates = list(
    c("10/26","11/27"),
    c("08/29","03/33"),
    c("05/37","06/38"),
    c("02/45","10/45"),
    c("11/48","10/49"),
    c("07/53","05/54"),
    c("08/57","04/58"),
    c("04/60","02/61"),
    c("12/69","11/70"),
    c("11/73","03/75"),
    c("01/80","07/80"),
    c("07/81","11/82"),
    c("07/90","03/91"),
    c("03/01","11/01"))
# Event lists - FOR BEST RESULTS, KEEP THESE DATES IN ORDER
risk.dates = c(
    "10/87",
    "02/94",
    "07/97",
    "08/98",
    "10/98",
    "07/00",
    "09/01")
risk.labels = c(
    "Black Monday",
    "Bond Crash",
    "Asian Crisis",
    "Russian Crisis",
    "LTCM",
    "Tech Bubble",
    "Sept 11")
data(edhec)
#use subset instead of accessing the column directly to preserve row and column names
R=subset(edhec,select="Funds.of.Funds")
Return.cumulative = cumprod.column(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)