R code in GIST (do raw for copy\/paste):<\/a><\/p>\n#first attempt at implementing horizon plots in ggplot2\n#pleased with result but code sloppy and inflexible\n#as always very open to improvements and forks\n\nrequire(ggplot2)\nrequire(reshape2)\nrequire(quantmod)\nrequire(PerformanceAnalytics)\nrequire(xtsExtra)\n\ndata(edhec)\norigin = 0\nhorizonscale = 0.1\n#get 12 month rolling return of edhec indexes\nroc <- as.xts(apply(cumprod(edhec+1),MARGIN=2,ROC,n=12,type=\"discrete\"),order.by=index(edhec))\n\nroc.df <- as.data.frame(cbind(index(roc),coredata(roc)))\nroc.melt <- melt(roc.df,id.vars=1)\nroc.melt[,1] <- as.Date(roc.melt[,1]) #convert back to a Date\n\n\nhorizon.panel.ggplot <- function(df, title) {\n #df parameter should be in form of date (x), grouping, and a value (y)\n colnames(df) <- c(\"date\",\"grouping\",\"y\")\n #get some decent colors from RColorBrewer\n #we will use colors on the edges so 2:4 for red and 7:9 for blue\n require(RColorBrewer)\n col.brew <- brewer.pal(name=\"RdBu\",n=10)\n \n #get number of bands for the loop\n #limit to 3 so it will be much more manageable\n nbands = 3\n\n #loop through nbands to add a column for each of the positive and negative bands\n for (i in 1:nbands) {\n #do positive\n df[,paste(\"ypos\",i,sep=\"\")] <- ifelse(df$y > origin,\n ifelse(abs(df$y) > horizonscale * i,\n horizonscale,\n ifelse(abs(df$y) - (horizonscale * (i - 1) - origin) > origin, abs(df$y) - (horizonscale * (i - 1) - origin), origin)),\n origin)\n #do negative\n df[,paste(\"yneg\",i,sep=\"\")] <- ifelse(df$y < origin,\n ifelse(abs(df$y) > horizonscale * i,\n horizonscale,\n ifelse(abs(df$y) - (horizonscale * (i - 1) - origin) > origin, abs(df$y) - (horizonscale * (i - 1) - origin), origin)),\n origin)\n }\n #melt data frame now that we have added a column for each band\n #this will fit ggplot2 expectations and make it much easier\n df.melt <- melt(df[,c(1:2,4:9)],id.vars=1:2) \n #name the columns for reference\n #try to be generic\n colnames(df.melt) <- c(\"date\",\"grouping\",\"band\",\"value\")\n \n #use ggplot to produce an area plot\n p <- ggplot(data=df.melt) +\n geom_area(aes(x = date, y = value, fill=band),\n #alpha=0.25,\n position=\"identity\") + #this means not stacked\n scale_fill_manual(values=c(\"ypos1\"=col.brew[7], #assign the colors to each of the bands; colors get darker as values increase\n \"ypos2\"=col.brew[8],\n \"ypos3\"=col.brew[9],\n \"yneg1\"=col.brew[4],\n \"yneg2\"=col.brew[3],\n \"yneg3\"=col.brew[2])) +\n ylim(origin,horizonscale) + #limit plot to origin and horizonscale\n facet_grid(grouping ~ .) + #do new subplot for each group\n theme_bw() + #this is optional, but I prefer to default\n opts(legend.position = \"none\", #remove legend\n strip.text.y = theme_text(),#rotate strip text to horizontal \n axis.text.y = theme_blank(),#remove y axis labels\n axis.ticks = theme_blank(), #remove tick marks\n axis.title.y = theme_blank(),#remove title for the y axis\n axis.title.x = theme_blank(),#remove title for the x axis\n title = title, #add a title from function parameter\n plot.title = theme_text(size=16, face=\"bold\", hjust=0)) #format title\n \n return(p)\n}\n\n\n\nhorizon.panel.ggplot(roc.melt, \"EDHEC Indexes Return (Rolling 1 Year)\")<\/pre>\n","protected":false},"excerpt":{"rendered":"SocialDataBlog\u2019s kind reference in post\u00a0Horizon plots with ggplot (not)\u00a0motivated me to finish what the post started.\u00a0 I knew that ggplot2 would be a little more… <\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[20],"tags":[],"class_list":["post-661","post","type-post","status-publish","format-standard","hentry","category-r"],"_links":{"self":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts\/661","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/comments?post=661"}],"version-history":[{"count":0,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts\/661\/revisions"}],"wp:attachment":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/media?parent=661"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/categories?post=661"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/tags?post=661"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
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