timelyportfolio

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

require(PerformanceAnalytics)
require(quantmod)
require(xtsExtra)  #if you get error, install xtsExtra from r-forge

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

timelyportfolio

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

require(quantmod)
require(rugarch)
require(xtsExtra)  #if you get an error, see first line and install from r-forge

getSymbols("DEXJPUS",src="FRED")
DEXJPUS<-1/to.weekly(DEXJPUS)

ugarch.panel <- function(index,x,type,cex,col,pch,...){

timelyportfolio

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

require(quantmod)
require(RColorBrewer)
require(xtsExtra)  #if you get an error, see first line and install from r-forge

#use Mebane Faber tickers VTI, VEU, IEF, VNQ, DBC 
#as discussed in http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
tckrs <- c("VTI", "VEU", "IEF", "VNQ", "DBC")

timelyportfolio

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

#unfortunately don't feel like fighting IP lawyers so I cannot share this index data
portfolio <- read.csv("file.csv",stringsAsFactors=FALSE)
portfolio <- portfolio[2:NROW(portfolio),2:NCOL(portfolio)]
portfolio <- portfolio[,c(1,3,5)]

timelyportfolio

#first attempt at implementing horizon plots in ggplot2
#pleased with result but code sloppy and inflexible
#as always very open to improvements and forks

require(ggplot2)
require(reshape2)
require(quantmod)
require(PerformanceAnalytics)
require(xtsExtra)

timelyportfolio

#integrate 2 Google Summer of Code 2012 Projects
#plot.xts and PerformanceAnalytics both received very nice additions


#wish I knew the exact link but believe this section came from stackoverflow
#this allows you to work with the code straight from r-forge SVN
## If you want to source() a bunch of files, something like
## the following may be useful:
#path="C:\\Program Files\\R\\R-2.15.1\\sandbox\\svnsource\\returnanalytics\\pkg\\PerformanceAnalytics\\r"
#sourceDir <- function(path, trace = TRUE, ...) {

timelyportfolio

#explore exceptional case of the Russell 2000

require(quantmod)
require(PerformanceAnalytics)
require(xtsExtra)

getSymbols("^RUT", from = "1900-01-01")                               
getSymbols("^GSPC", from = "1900-01-01")

#do initial exploration of distribution

timelyportfolio

require(PerformanceAnalytics)
require(quantmod)


getSymbols("^GSPC", from = "1900-01-01")
#get return series from closing price
ret.bh <- ROC(GSPC[,4],n = 1,type = "discrete")
#change first value from NA to 0
ret.bh[1,] <- 0

timelyportfolio

#obviousness of reits?

#get NAREIT data
#I like NAREIT since I get back to 1971
#much easier though to get Wilshire REIT from FRED
#also it is daily instead of monthly
#getSymbols("WILLREITIND",src="FRED") will do this
require(gdata)
reitURL <- "http://returns.reit.com/returns/MonthlyHistoricalReturns.xls"
reitExcel <- read.xls(reitURL,sheet="Index Data",pattern="All REITs",stringsAsFactors=FALSE)

timelyportfolio

require(quantmod)
require(PerformanceAnalytics)

getSymbols("^RUT",from = "1900-01-01")
getSymbols("^GSPC",from = "1900-01-01")

#get 1 day change for the Russell 2000 and S&P 500
roc <- na.omit(merge(ROC(RUT[,4],type="discrete",n=1),ROC(GSPC[,4],type="discrete",n=1)))
stdev <- rollapplyr(roc,FUN=sd,width=50)
#get relative strength of Russell 2000 versus S&P 500