PerformanceAnalytics (version 1.0.2.1)

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. 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 = 2, main = NULL, ylab = NULL, xlab = "Date", 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, ...)

Arguments

R

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

auto.grid

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

grid.color

sets the color for the reference grid

grid.lty

defines the line type for the grid

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

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

element.color

provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"

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

date.format.in

allows specification of other date formats in the data object, defaults to "%Y-%m-%d"

cex.axis

The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.

cex.legend

The magnification to be used for sizing the legend 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.lab

The magnification to be used for x- and y-axis 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

xaxis.labels

Allows for non-date labeling of date axes, default is NULL

...

any other passthru parameters

See Also

plot, par, axTicksByTime

Examples

# These are start and end dates, formatted the same way as the default axis labels
cycles.dates = list(
    c("Oct 26","Nov 27"),
    c("Aug 29","Mar 33"),
    c("May 37","Jun 38"),
    c("Feb 45","Oct 45"),
    c("Nov 48","Oct 49"),
    c("Jul 53","May 54"),
    c("Aug 57","Apr 58"),
    c("Apr 60","Feb 61"),
    c("Dec 69","Nov 70"),
    c("Nov 73","Mar 75"),
    c("Jan 80","Jul 80"),
    c("Jul 81","Nov 82"),
    c("Jul 90","Mar 91"),
    c("Mar 01","Nov 01"))
# 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)