timelyportfolio

#look at steps in constructing a horizon plot version
#of http://www.mebanefaber.com/timing-model/
#do horizon of percent above or below 10 month / 200 day moving average

require(lattice)
require(latticeExtra)
require(quantmod)


#since we are focused on the horizon plot, let's just look at one stock

timelyportfolio

#code almost entirely from addRSI from quantmod package

# add_RSI {{{
add_RSI.test <- function (n=14, maType="EMA", ..., RSIup=70, RSIdn=30, horizonscale=25) {
  require(RColorBrewer)
  lenv <- new.env()
  lenv$plot_rsi <- function(x, n, maType, ...) {
    xdata <- x$Env$xdata
    xsubset <- x$Env$xsubset
    rsi <- RSI(Cl(xdata),n=n,maType=maType)[xsubset] - 50

timelyportfolio

require(RColorBrewer)
require(quantmod)
require(PerformanceAnalytics)

data(managers)

#let's do managers from 2002 to 2004 to get positive and negative
x <- cumprod(1+managers["2002::2004"])[,1] - 1

#get some decent colors from RColorBrewer

timelyportfolio

#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"

timelyportfolio

#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"

timelyportfolio

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

#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

timelyportfolio

#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(animation)
require(PerformanceAnalytics)
require(quantmod)

#my.url will be the location of the zip file with the data

timelyportfolio

#work on porting chart.TimeSeries to plot.xts
#believe all these initial issues have been resolved
#issues:  no log scale y axis option so will have to handle
#         no legend functionality yet
#         shading of blocks not reaching bottom (sent to M Weylandt)
#         main does not automatically choose first column like chart.TimeSeries


require(PerformanceAnalytics)

timelyportfolio

#plot.xts with horizons
require(PerformanceAnalytics)

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)

timelyportfolio

#install.packages("xtsExtra", repos="http://R-Forge.R-project.org")

require(PerformanceAnalytics)
require(xtsExtra)  #if you get error, please install xtsExtra from r-forge as shown in the top line
require(RColorBrewer)

#function add alpha or transparency to colors
addalpha <- function(cols,alpha=180) {
 rgbcomp <- col2rgb(cols)
 rgbcomp[4] <- alpha