horizon plot of french 48 industry portfolio

horizon plot of french 48 industry portfolio.r

#get very helpful Ken French data
#for this project we will look at Industry Portfolios
#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/48_Industry_Portfolios_daily.zip

require(latticeExtra)
require(PerformanceAnalytics)
require(quantmod)

#my.url will be the location of the zip file with the data
my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/48_Industry_Portfolios_daily.zip"
#this will be the temp file set up for the zip file
my.tempfile<-paste(tempdir(),"\\frenchindustry.zip",sep="")
#my.usefile is the name of the txt file with the data
my.usefile<-paste(tempdir(),"\\48_Industry_Portfolios_daily.txt",sep="")
download.file(my.url, my.tempfile, method="auto", 
              quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
#read space delimited text file extracted from zip
french_industry <- read.table(file=my.usefile,
                              header = TRUE, sep = "",
                              as.is = TRUE,
                              skip = 9, nrows=12211)

#get dates ready for xts index
datestoformat <- rownames(french_industry)
datestoformat <- paste(substr(datestoformat,1,4),
                       substr(datestoformat,5,6),substr(datestoformat,7,8),sep="-")

#get xts for analysis
french_industry_xts <- as.xts(french_industry[,1:NCOL(french_industry)],
                              order.by=as.Date(datestoformat))

#divide by 100 to get percent
french_industry_xts <- french_industry_xts/100

#delete missing data which is denoted by -0.9999
french_industry_xts[which(french_industry_xts < -0.99,arr.ind=TRUE)[,1],
                  unique(which(french_industry_xts < -0.99,arr.ind=TRUE)[,2])] <- 0

#get price series or cumulative growth of 1
french_industry_price <- cumprod(french_industry_xts+1)

#get 250 day rate of change or feel free to change to something other than 250
roc <- french_industry_price
#split into groups so do not run out of memory
for (i in seq(12,48,by=12)) {
  roc[,((i-11):(i))] <- ROC(french_industry_price[,((i-11):(i))],n=250,type="discrete")
}
roc[1:250,] <- 0

#do a horizon plot of all 48 industries with horizonscale of 0.25
horizonplot(roc,
            layout=c(1,48),
            horizonscale=0.25,    #feel free to change to whatever you would like
            scales = list(tck = c(1,0), y = list(draw = FALSE,relation = "same")),
            origin = 0,
            colorkey = FALSE,
            #since so many industries, we will comment out grid
#            panel = function(x, ...) {
#              panel.horizonplot(x, ...)
#              panel.grid(h=3, v=0,col = "white", lwd=1,lty = 3)
#            },
            ylab = list(rev(colnames(roc)), rot = 0, cex = 0.7, pos = 3), 
            xlab = NULL,
            par.settings=theEconomist.theme(box = "gray70"),
            #use ylab above for labelling so we can specify FALSE for strip and strip.left
            strip = FALSE,
            strip.left = FALSE,
            main = "French Daily 48 Industry 1963-2011\n source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french")