Type:	Package
Title:	Time-Series Plots
Version:	0.2.1
Date:	2024-02-23
Maintainer:	Enrico Schumann <es@enricoschumann.net>
Description:	Plot financial time-series, such as a portfolio value or stock price. The package provides a single function, plotseries(), that creates high-quality, informative, but uncluttered graphics. Multiple series can be aggregated into quantile and fan plots, the code for which is based on chapter 15 of "Numerical Methods and Optimization in Finance", second edition, by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). Also supported is plotting streaks, i.e. periods of uninterrupted up or down movement.
Imports:	PMwR, datetimeutils, grDevices, graphics, neighbours, utils, zoo
Suggests:	NMOF, bundesbank, BISdata
License:	GPL-3
URL:	http://enricoschumann.net/R/packages/plotseries/ , https://git.sr.ht/~enricoschumann/plotseries/ , https://github.com/enricoschumann/plotseries
NeedsCompilation:	no
Packaged:	2024-04-07 16:49:37 UTC; es19
Author:	Enrico Schumann [aut, cre]
Built:	R 4.5.0; ; 2024-04-07 16:49:37 UTC; unix

Plot a Financial Time-Series

Description

Plot a financial time-series and add annotation, such as total return.

Usage

plotseries(series, ...)

## Default S3 method:
plotseries(series, t, col, log.scale = FALSE,
           ##
           labels = NA, labels.show = TRUE, labels.cex = 0.75,
           labels.pos = 4, labels.col = NULL, labels.at = NULL,
           labels.at.offset = NULL, labels.min.height = 0.05,
           ##
           returns.show = TRUE, returns.period = "ann",
           ##
           dollars.show = FALSE, dollars.arrow = "\u2192",
           dollars.currency = "USD",
           ##
           last.show = FALSE, last.format = NULL,
           ##
           ylab = "", ylim = NULL, lwd = 1, type = "l",
           ##
           main = "", main.cex = 0.7, main.col = grey(0.5),
           y.axis = TRUE, y.axis.pos = "left",
           y.grid = TRUE, y.grid.at = NULL, y.grid.col = grey(0.8),
           y.labels = TRUE, y.labels.at = NULL, y.labels.at.add = 1,
           y.labels.at.remove = 0,
           ##
           time.axis = TRUE, time.grid = TRUE,
           time.grid.at = NULL, time.grid.col = grey(0.8),
           time.labels = TRUE,
           time.labels.at = NULL, time.labels.format = NULL,
           add.yearly.grid = FALSE,
           ##
           par.list = list(),
           reset.par = TRUE,
           axis.cex = 1, axis.col = grey(0.5),
           white.underlay = FALSE, white.underlay.width = 2,
           font.family = "", colon = ": ", percent = "%", big.mark = "'",
           bm = NULL, bm.returns = FALSE,
           xpd.hlines = FALSE, xpd.vlines = FALSE, series.type = "level",
           lines = FALSE, do.scale1 = series.type != "streaks", probs = NULL,
           ##
           streaks.up = 0.2, streaks.down = -streaks.up, streaks.vlines = FALSE,
           streaks.relative = TRUE, streaks.up.labels.y.mult = 1.1,
           streaks.up.labels.pos = NULL, streaks.up.labels.srt = 90,
           streaks.up.labels.col = NULL,
           streaks.up.labels.cex = 0.6,
           ##
           streaks.down.labels.y.mult = if (streaks.relative) 0.9 else 1.1,
           streaks.down.labels.pos = NULL, streaks.down.labels.srt = 90,
           streaks.down.labels.col = NULL,
           streaks.down.labels.cex = streaks.up.labels.cex,
           ##
           median.show = TRUE, median.col = grey(0.4),
           ...)

## S3 method for class 'zoo'
plotseries(series, ..., bm = NULL)

Arguments

Customizing labels:

Customizing returns:

Customizing medians (only for fan and quantile plot):

Details

The function builds on plot and is experimental; its argument list is not stable. It is strongly suggested that you pass arguments by name, not by position.

Plot types

• level the default type, a simple line plot

• streaks see http://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#orgf6d2a94

• quantilerequires a matrix of series: plots quantiles of the series. See the vignette.

• fanrequires a matrix of series: plots series in shades of grey. See the vignette.

Settings to be passed with par

plotseries applies the following default settings via par:

        list(las = 1,
             bty = "n",
             mar = c(1.25, 4, 1.25, 4.5),
             tck = 0.01,
             ps = 9.5,
             mgp = c(2, 0.25, 0),
             col.axis = grey(0.5))

These parameters can be overwritten by specifying par.list.

Value

Called for its side effect.

Warning

The function is not stable yet.

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. doi:10.1016/C2017-0-01621-X

Schumann, E. (2023) Portfolio Management with R. http://enricoschumann.net/PMwR/

Tufte, E.R.(2001) The Visual Display of Quantitative Information. 2nd edition. Graphics Press. (chapter 6, in particular)

See Also

plot

Examples

series <- French("~/Downloads/French/",
                   "10_Portfolios_Prior_12_2_CSV.zip",
                   frequency = "monthly",
                   weighting = "value",
                   price.series = TRUE)
series <- zoo(series, as.Date(row.names(series)))

plotseries(series,
           col = hcl.colors(n = 30, palette = "Greens"),
           add.dollars = FALSE,
           log.scale = TRUE,
           labels = colnames(series))