Plotting timeSeries Objects

Diethelm W
urtz and Tobias Setz
ETH Zurich and Rmetrics Association Zurich
May 12, 2014

Contents
1 Introduction
2 Standard Time Series Plots
2.1 Univariate Single Plots . .
2.2 Multivariate Single Plots .
2.3 Multiple Plots . . . . . . .
2.4 Combining Single Plots .
2.5 Layout of Single Plots . .
2.6 Bivariate Scatter Plots . .

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3 Time Axis Layout

3.1 Time Axis: pretty or chic? . . . . . . . . . . . . .
3.2 Time Axis - Selecting Minor Tick Marks . . . . . . .
3.3 Time Axis - One Column Multiple Plot Layout . . .
3.4 Time Axis - Two Column Multiple Plot Layout . . .
3.5 Tick and Format Layout: The <tailored> axis style

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4 Annotations
4.1 Discarding all Annotations .
4.2 Adding Title and Labels . .
4.3 Changing Axis Font Size . .
4.4 Flipping Value Axes . . . .

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34

5 Decorations
5.1 Modifying Types . . . . . . . . . .
5.2 Changing Colors by Names . . . .
5.3 Changing Colors by Color Palettes
5.4 Changing Line Styles . . . . . . . .
5.5 Modifying Line Widths . . . . . .
5.6 Changing Plot Symbols . . . . . .
5.7 Modifying Plot Symbol Sizes . . .
5.8 Discarding Grid Lines . . . . . . .
5.9 Drawing a Box . . . . . . . . . . .

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6 The
6.1
6.2
6.3

Panel Function
48
Adding a Horizental Zero Line . . . . . . . . . . . . . . . . . . . 49
Adding an Rug to Multiple Return Plots . . . . . . . . . . . . . . 50
Adding an EMA to Multiple Index Plots . . . . . . . . . . . . . . 51

7 Conclusions
8 Appendix
8.1 Margins: mar and oma
8.2 Character Table . . .
8.3 Color Table . . . . . .
8.4 Color Palettes I . . . .
8.5 Color Palettes II . . .
8.6 Symbol Table . . . . .
8.7 Axis Style pretty . .
8.8 Axis Style chic . . .

54

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65

Introduction

The Rmetrics timeDate and timeSeries packages are workhorses to deal with
chronological objects. Since their inception 2009 under their original names
fCalendar and fSeries they have been only slightly modified. With version R
3.1. we have essentially improved the plot function, but we also took care that
the functionality is almost upward compatible.
In this vignette we show how to work with the recently updated S4 generic
plot function plot. The function is written to display Rmetrics S4 timeSeries
objects. The basic functionality of the plot function is to display single and
multiple views on univariae and multivariate timeSeries objects. The function plot.ts from Rs base environment, which displays basic ts time series
objects, served as a model for our design of the generic S4 plot function for
timeSeries objects. Similarily, plot.ts can be considered as the prototype for
the S3 plot.zoo method. The xts plot function was build to display univariate
xts time series objects which inherit from zoos objects for ordered time series
objects.
The generic S4 time series plotting function can dispay univariate and multivariate time series in single and multiple frames. The plots can be tailored with
respect to several viewing components: colors (col), line types (lty), plot symbols
(pch), line widths (lwd), symbol sizes (cex), axis layout (pretty, chic, tailored),
minor tick mark appearence, font styles and font sizes, frame positioning (mar,
oma), as well as tailored panel functions (panel).
General Plot Settings and Design Apects:
Plot Type: Univariate time series are displayed by default in plot.type="single"
frames, multivariate time series are displayed by default in plot.type="multiple"
frames. The default line style for a plot is type ="l" is drawn with lines.
Time Axis Layout: For the time axis layout the function pretty determines in
an automative way the at="pretty" positions of the ticks. The format="auto"
is extracted from the time stamps of the time series object or can be overwritten
by the user with a POSIX format string. Alternatively, one can select "chic"
to generate time axis styles. We called this method chic to give reference to
the underlying function axTicksByTime from the Chicago xts package which
generates tick positions and axis labels. Furthermore, a tailored method can
be applied which allows for fully arbitrary user defined positions and formatted
labels. Minor ticks can be added in several fashions.
Annotations: The annotations of the plots are reduced to the y-label. These are
taken by default from the column names of the time series object. This gives the

user the freedom to have full control about his views how the plot should be look
like. Note, multivariate time series in single plots show the string "Values" as
label on the y-axis. Main title, sub title, and the x-label on the time axis are not
shown by default. We prefer and recommend to add these decorations calling
the function title. This allows also much more flexibility compared to passing
the arguments through the plot functions. All default annotations (including
the y-label) can be suppressed setting the plot function argument to ann=FALSE.
The argument axes=FALSE suppresses to draw both axes on the plot frame.
Decorations: There are several options to decorate the plot: These include colors
(col), plotting symbols (pch), scaling factor of plotting characters and symbols
(cex), line types (lty), and lindwidths (lwd). Note, all these parameters may
be vectors of the same length as the number of time series, so that each series
can be addressed to its own individual style, color, and size. A grid and the
plot frame (box) can be added or suppresse specifying the arguments grid and
frame.plot in the argument list of the plot function.
Panel Function: In the case of multiple plots the plot frames, are also called
panels. By default in each panel the appropriate curve is drawn calling Rs
lines function panel=lines. This function can be replaced by a user defined
function. This offers a wide range of new views on your time series. So for
example yo can show zero or any other reference lines on the panels, or you can
add rugs to (return) charts, or you can add for an example an EMA indicator
(or any other kind of indicator) to curves shown in individual panels.
Example timeSeries Objects: To demonstrate the wide range of options to
dispaly S4 timeSeries objects, we use the the daily index values from the Swiss
Pension Fund Benchmark LPP2005. The time series is part of the timeSeries
package. For this we have introduced some abbreviations:

>
>
>
>
>
>
>
>

require(timeSeries)
require(xts)
require(PerformanceAnalytics)
require(fTrading)
tS1 <- 100 * cumulated(LPP2005REC[,
tS2 <- 100 * cumulated(LPP2005REC[,
tS3 <- 100 * cumulated(LPP2005REC[,
tS6 <- 100 * cumulated(LPP2005REC[,

1])
1:2])
1:3])
1:6])

#
#
#
#

SBI (univariate)
SBI & SPI (bivariate)
SBI, SPI, SWIIT (Swiss Market)
Swiss and Foreign Market Indexes

Standard Time Series Plots

The plot function from the timeSeries package allows for five different views
on standard plot layouts. These include

Univeriate single plots

Multivariate single plots
One column multiple plots
Two column multiple plots
Scatter plots

The only argument we have to set is the plot.type parameter to determine the
layout of the plot. The default value is "multiple", and the alternative value
is "single". The arguments can be abbreviated as "m" or "s", respectively.
Univariate Single Plots were designed to plot univariate timeSeries objects in
one single graph frame. Nothing then the timeSeries object has to be specified,
the plot.type is forced to "s".
Multivariate Single Plots will be used when a set of multivariate timeSeries
objects should be drawn in one common data frame. For this argument the vlue
plot.type="s" has to be specified.
One Column Multiple Plots display multivariate timeSeries objects, such that
each series is plotted in its own frame. Up to four series, the frames are displayed
in one column, for more series the frames are arranged in a two colum column
display.
Two Column Multiple Plots handel the case of more than four timeSeries
objects. Then the the series are displayed in two colums. In total, the number
of rows is not restricted.

2.1

Univariate Single Plots

The most simple time series plot shows an univariate curve in a single plot.
The axis is designed from pretty positions calculated from Rs base function
pretty. The labels are printed in the ISO 8601 standard date/time format.

98

99

SBI

100

101

> par(mfrow=c(1, 1))

> plot(tS1)

20060101

20060701

20070101

Time

Figure 1: The chart shows an univariate time series (here the Swiss Bond Index)
in a single frame. For all plot options default values have been chosen. You can
decorate the plot, making it more conveniant to your needs, e.g.: change the
color (col), add a main title and x-label calling the function title, or remove the
grid lines setting the argument grid=FALSE. You can also design the minor tick
marks, setting instead of the value "auto" oe of the following spreads: "day",
the default, "week", or "month".

Tow other plot function implementations for xts time series objects can be
found in the contributesd R packages xts and PerformanceAnalytics. Let us
compare how they generate plot positions and time label formats.
>
>
>
>
>

require(PerformanceAnalytics)
par(mfrow=c(3, 1))
xts::plot.xts(as.xts(tS1))
PerformanceAnalytics::chart.TimeSeries(as.xts(tS1))
plot(tS1)

98

100

as.xts(tS1)

Nov 01 2005

Feb 01 2006

Mai 01 2006

Aug 01 2006

Nov 01 2006

Feb 01 2007

98 99

Value

101

SBI

20060403 20060601 20060801

20061002

20061201

20070201

20070411

100

20060102

98

SBI

20051101

20060101

20060401

20060701

20061001

20070101

20070401

Time

Figure 2: The group of the three charts shows an univariate time series in a
single frame for the plot functions as implemented in the packages xts, PerformanceAnalytics, and timeSeries. For example in the case of daily time
series records xts uses U.S. style labels whereas PerformanceAnalytics and
timeSeries use ISO standard date labels YYYY-mm-dd. The plot decorations
are those from default settings.

10

2.2

Multivariate Single Plots

Multivariate time series plots in a single panel are constructed by default in the
way that the first curve is plotted calling the function plot and the remaining
curves by calling the function lines.

120
100

110

130

140

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="s")

20060101

20060701

20070101

Time

Figure 3: This chart shows a multivariate time series in a single frame. Note,
we have to set the argument plot.type="s". Again, for all plot options the
default settings have been used. You can decorate the plot, making it more
conveniant to your needs, e.g.: change the color vector (col), add a main title
and x-label calling the function title, or remove grid lines setting the argument grid=FALSE. Note, to change the color settings you can set the argument
col=1:3 which would result in black, red, green for the three curves, or
you can just set the colors by name, or selecting them from a color palette.

11

Now let us compare the plot function from the timeSeries package with the
chart.TimeSeries plotting function from the PerformanceAnalytics function.
(Note, the (xts) has no multivariate plot function implemented.)

>
>
>
>

par(mfrow=c(2, 1))
require(PerformanceAnalytics)
PerformanceAnalytics::chart.TimeSeries(as.xts(tS3))
plot(tS3, plot.type="s")

120
100

Value

140

SBI

20060301

20060703

20061101

20070301

120
100

140

20051101

20060101

20060701

20070101

Time

Figure 4: The two charts show a multivariate time series plotted in a single
frame. We use for the plot the functions as implemented in the packages PerformanceAnalytics, and timeSeries.

12

2.3

Multiple Plots

Multiple plots enormously simplify the display of different curves in multiple

panels. These are the ideal plots when it comes to the task to create a quick
overview over several time series. Multiple plotting is exclusive to timeSeries
objects, (xts) and PerformanceAnalytics offer no multiple plotting tool.

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m")

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

20060101

20060401

20060701

20061001

20070101

20070401

Time

Figure 5: As long as we plot less than 4 time series in a multivariate frame, we

get a one column layout. Annotations show by default only the y-labels which
are taken from the colmun names of the time series to be drawn. Feel free to
add main title, sub title, and x-label calling the function title
.

13

For more than four curves the frames of the plot design are arranged in two
columns.

> par(mfrow=c(1, 1))

> plot(tS6, plot.type="m")

101

LMI

100

99

120

MPI

110

120

120

ALT

110

102

100

98

SII

106

130

110
100

140
100

110

SPI

130

140

99

98

SBI

100

102

101

103

20060101

20061001

20060101

Time

20061001

Time

Figure 6: The graph shows the layout how it is created for six curves. There
are two columns with three panels to the left and also three panels to the right.
Note, it is easily possible to adapt the margin sizes and the gap between the
two columns of plots calling the function mar and oma.

14

If you like a design with a small gap between the panel rows, you can modify
the mar parameter to introduce a small gap, here with a width of 0.3. Feel free
to modify it.

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", mar=c(gap=0.3, 5.1, gap=0.3, 2.1))

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

20060101

20060401

20060701

20061001

20070101

20070401

Time

Figure 7: One can use in a multiple plot the mar parameter setting to create a
small gap between the rows of the individual charts. This lets a plot look more
elegant.

15

2.4

Combining Single Plots

You can also create your own multiple panel plots. Just combine single panels
in an array of rows and columns using the parameter settings for mfrow, mfcol,
and mar.

par(mfrow=c(2, 1))
par(mar = c(bottom=1.5, 5.1, top=4, 2.1))
plot(tS2[, 1])
par(mar = c(bottom=4, 5.1, top=1.5, 2.1))
plot(tS2[, 2])

99
98

SBI

100 101

>
>
>
>
>

140

20060101

20060701

20070101

120
100

110

SPI

130

Time

20060101

20060701

20070101

Time

Figure 8: One can use in single plots the mfrow and mar parameter settings to
place single plots either row by row or column by column. Here, mfrow and
mfcol to the job. In this case a vector of the form c(nr, nc) draws subsequent
figures in an nr-by-nc array on the device by columns (mfcol) or rows (mfrow),
respectively.

16

2.5

Layout of Single Plots

There is another option in R to create panel layouts, not necessarilly in an

rectangular array. Have a look to the help page of the function layout, her
comes a simple example.

nf <- layout(mat=matrix(c(1, 1, 2, 3), byrow = TRUE, nrow=2))

par(mar = c(bottom=2, 5.1, top=3, 2.1))
plot(tS3[, 1])
par(mar = c(bottom=3, 5.1, top=2, 1.1))
plot(tS3[, 2])
par(mar = c(bottom=3, 4.1, top=2, 2.1))
plot(tS3[, 3])

99
98

SBI

100

101

>
>
>
>
>
>
>

20060101

20060701

100

98 100

104

SII

120

130

108

140

Time

110

SPI

20070101

20060101

20061001

20060101

20061001

Figure 9: With the function layout you can devide the plot device in rows and
columns expressed in matrix form defined by the argument mat.

17

In addition widths and heights of the layout can be different from row to row,
and/or from column to column. The sizes are expressed by the arguments
widths and heights of the function layout.

nf <- layout(mat=matrix(c(1, 1, 2, 3), byrow=TRUE, nrow=2), heights=c(2.5,1))

par(mar = c(bottom=2, 5.1, top=3, 2.1))
plot(tS3[, 1])
par(mar = c(bottom=3, 5.1, top=1.5, 1.1))
plot(tS3[, 2])
par(mar = c(bottom=3, 4.1, top=1.5, 2.1))
plot(tS3[, 3])

98

99

SBI

100

101

>
>
>
>
>
>
>

20070101

140

104
98

SII

120

Time

100

SPI

20060701
110

20060101

20060101

20061001

20060101

20061001

Figure 10: With the function layout one can also define the widths and heights
of the columns and rows.

18

2.6

Bivariate Scatter Plots

For historical reasons, like in the function plot.ts, there is also the option to
create an scatter plot from two univariaye time series. Since this is not a true
time series plot, we will not go in further detail for this display.

140

> par(mfrow=c(1,1))
> plot(tS2[, 1], tS2[, 2])

120

130

110

100

98

99

100

101

Figure 11: If (x) and (y) are univariate time series, then the plot function will
display a scatter plot.

19

Time Axis Layout

The function plot comes with three options to design the time axis layout:
"pretty", "chic", and <tailored> (note this not a string argument. <tailored>
should just abbreviate that we have to input character strings of fully arbitray at
positions. For the first two options the style of the axis annotation is generated
in a fully automated way, whereas in the tailored case each tick on the axis to
be user defined.
The pretty time axis layout is the default setting for the argument at. Internally the function pretty is used to compute a sequence of about n+1 equally
spaced round values which cover the range of the values in the time stamps
time(x) of the series x. The values are chosen so that they are 1, 2 or 5 times
a power of 10.
The chic time axis layout is the alternative setting for the argument at. Internally the function axTicksByTime from the package xts is used to compute
the sequence of axis positions and the format labels.
The <tailored> time axis layout leaves it to the user to specify by himself the
positions (at), the time label formatting (format), and the minor tick marks
(minor.ticks).

22

3.1

Time Axis: pretty or chic?

Our plotting function comes with two axis-styles. The first is called "pretty",
which is the default style, and calculates positions from Rs base function
pretty. The other is called "chic" to remember its origin, arising from the
Chicago xts package.

100
98

SBI

> par(mfcol = c(2, 1))

> plot(tS1, at = "pretty")
> plot(tS1, at = "chic")

20070101

100

20060701

98

SBI

20060101

Nov 01 2005

Apr 03 2006

Sep 01 2006

Feb 01 2007

Figure 12: The graph shows the two flavours from the at="pretty" and the
"chic" axis designs. The first style uses the function pretty from Rs base
environment to compute the positions for the major ticks. The second style uses
the function axTicksByTime from the xts package to compute x-axis tick mark
locations by time. In the upper graph the minor ticks are calendar days, whereas
in the lower graph weekdays are drawn (therefore the small gaps between the
minor ticks become visible). Note, the time series is in both cases an object of
class timeSeries.

23

Now let us plot a multivariate 3-column time series in a single panel. Again we
compare the outcome of the "pretty" and the "chic" axis style.

120
100

Values

140

> par(mfcol=c(2, 1))

> plot(tS3, plot.type="s", at="pretty")
> plot(tS3, plot.type="s", at="chic")

20060701

20070101

120
100

Values

140

20060101

Nov 01 2005

Apr 03 2006

Sep 01 2006

Feb 01 2007

Figure 13: The only difference of this graph compared to the previous is the
fact that we consider here a multivariate time series. Three curves are shown in
a common plot. Note, when using the "chic" style, then the vertical gridlines
are narrower compared to the "pretty" style.

24

3.2

Time Axis - Selecting Minor Tick Marks

The "pretty" style allows to draw the minor tick marks on different time scales.
These are: "day", "week", and "month".

100

par(mfrow=c(3, 1))
plot(tS1, minor.ticks="day", at="pretty")
plot(tS1, minor.ticks="week", at="pretty")
plot(tS1, minor.ticks="month", at="pretty")

20060401

20060701

20061001

20070101

20070401

20060101

20060401

20060701

20061001

20070101

20070401

20060101

20060401

20060701

20061001

20070101

20070401

100

20060101

100
98

SBI

98

SBI

98

SBI

>
>
>
>

Figure 14: It is worth to note that a good selection of minor tick marks makes
a plot much better readable.

25

3.3

Time Axis - One Column Multiple Plot Layout

In the multiple plot layout the axis are drawn along the same principles as they
are drawn in the case of the single plot layout.

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", at="pretty")

20060101

20060701

20070101

Figure 15: This graph shows a one column multiple plot layout. The one column
layout is generated for up to four time series. When the multivariate time series
has more then four time series then a two column layout is displayed. It is up
to you which axis style you prefer, at="pretty" or at="chic".

26

3.4

Time Axis - Two Column Multiple Plot Layout

Concerning the style of the axis, there is now difference between the one and
two column plot designs.

101

LMI

100

SBI

120

MPI

110

120

120

ALT

110

SII

Nov 01 2005 Jul 03 2006 Mrz 01 2007

100

98

102

106

130

110
100

140
100

110

SPI

130

140

99

98

99

100

102

101

103

> par(mfrow=c(1, 1))

> plot(tS6, plot.type="m", at="chic")

Nov 01 2005 Jul 03 2006 Mrz 01 2007

Figure 16: When we have more then four time series, then the display will be
generated in two columns. Note, it is possible to modify the width of the gap
between the two columns.

27

3.5

Tick and Format Layout: The <tailored> axis style

The third alternative to style the axis offers the users to define format positions
according to his preferences. Here comes an example:

par(mfrow=c(2, 1))
at <- paste0("200", c("6-01", "6-04", "6-07", "6-10", "7-01", "7-04"), "-01")
plot(tS3, plot.type="s", format="%B\n%Y", at=at)
plot(tS3, plot.type="s", format="%b/%y", at=at)

120
100

140

>
>
>
>

Januar
2006

April
2006

Juli
2006

Oktober
2006

Januar
2007

April
2007

Okt/06

Jan/07

Apr/07

120
100

140

Time

Jan/06

Apr/06

Jul/06
Time

Figure 17: This graph shows plots with user tailored positions and formatted
axis labels.

28

Annotations

Plot annotations are elelents which can be added to plots or completely discarded. To discard all annotations you have to set ann=FALSE in the argument
list of the timSeries plot function. To display annotation you can call the function title. This allows to add the main title, the sub title, and the x- and
y-labels to a plot. Together with the appropriate character strings, you can also
specify the placement of these annotations by the arguments line and outer.
There are additional functions to add annotations to a plot. These are text
and mtext.

30

4.1

Discarding all Annotations

In a default plot we display only the value-label(s) which are taken from the
units or column names of the time time series object. Title, sub title, and timelabel are not shown. To discard the appearance of all annotations on a plot you
have to set the plot argument ann=FALSE.

par(mfrow=c(2, 2))
plot(tS1, ann=FALSE)
plot(tS3, plot.type="s", ann=FALSE, at="pretty")
plot(tS6, plot.type="s", ann=FALSE, at="pretty")

100

98

120

99 100

140

>
>
>
>

20061001

20060101

20061001

20060101

20061001

100

120

140

20060101

Figure 18: This graph shows a plot where all annotations have been discarded.
Now feel free to add your own annotations.

31

4.2

Adding Title and Labels

To add a main title, a sub, title, and x- and y-labels you can call the function
title.

>
>
>
>
>

par(mfrow=c(2, 2))
plot(tS1); title(main = "Index")
plot(tS3, plot.type="s"); title(main = "Index")
plot(tS3, plot.type="s"); title(main = "Index", xlab = "Date")
plot(tS6, plot.type="s"); title(main = "Index", xlab = "Date")

Index

100
20061001

20060101

20061001

Time

Time

Index

Index

120
100

100

120

140

140

20060101

120

99 100
98

SBI

140

Index

20060101

20061001

20060101

Time
Date

20061001
Time
Date

Figure 19: This graph displays in a two by two array four single plots. We have
added title and x-lable annotations.

32

4.3

Changing Axis Font Size

Sometimes the axis font size may be considered as too small or too large. Then
you can use the plot argument cex.axis to upsize or downsize the font.

par(mfrow=c(3, 1))
plot(tS3, at="chic", plot.type="s", cex.axis=0.75)
plot(tS3, at="chic", plot.type="s", cex.axis=1.00)
plot(tS3, at="chic", plot.type="s", cex.axis=1.25)

120
100

Values

140

>
>
>
>

Jan 02 2006

Apr 03 2006 Jun 01 2006

Aug 01 2006

Mai 01 2006

Aug 01 2006

Okt 02 2006

Dez 01 2006

Feb 01 2007

Apr 02 2007

120
100

Values

140

Nov 01 2005

Feb 01 2006

Nov 01 2006

Feb 01 2007

100 120 140

Values

Nov 01 2005

Nov 01 2005

Mrz 01 2006

Jul 03 2006

Nov 01 2006

Mrz 01 2007

Figure 20: This is an example how to change the size of the axis labels relatively
to its default value. The upper graph shows a font size decreased by 20%, the
lower graph a font size increased by 25%. You can proceed in the same way
when using the "pretty" axis style.

33

4.4

Flipping Value Axes

Flipping every second axis label in a multiple plot from left to rigth might be
meaningful in the case when axis labels overwrite themselves.

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", yax.flip = TRUE)

SBI
SII

SPI

98

102

106

110

100

110

120

130

140

98

99

100

101

20060101

20060401

20060701

20061001

20070101

20070401

Time

Figure 21: The graph shows an one column multiple plot, where the axis of the
middle panel is flipped from the left to the right. Note, the same procedure can
also be applied two two column multiple plots.

34

Decorations

There exist several options to decorate plots in different ways. Plot types (lines,
points, horizontal bars, etc.) can be modified, colors can be changed, lines can
be modified by style and seize, points can be selected by symbol and size.
In the following we will give some examples

Modifying Types
Changing Colors by Names
Changing Colors by Color Palettes
Changing Line Styles
Modifying Line Widths
Changing Plot Symbols
Modifying Plot Symbol Sizes
Discarding Grid Lines
Drawing a Box

to show a few of the many types of cdecorations. Play around to achieve your
perfect layout.

36

5.1

Modifying Types

SBI

140

98

99

100

101

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", type=c("l", "p", "h"), at="pretty")

120

SII

98

102

106

110
100

110

SPI

130

20060101

20060701

20070101

Figure 22: If we like to consider in a multiple plot for each panel its own plot
style then we can set the parameter type.

37

5.2

Changing Colors by Names

Colors can be changed in several ways. Just by their numbers, e.g. 1 (black),
2 (red), 3 (green) etc., or by name, e.g. black, red, green, etc. or by using
well designed color palettes.

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", col=c("blue", "orange", "darkgreen"))

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

20060101

20060401

20060701

20061001

20070101

20070401

Time

Figure 23: This graph shows how to assign colors by name in the case of a
multiple plot. You can do it in the same way setting plot.type="s" if you like
to display all three curves in a common single plot.

38

5.3

Changing Colors by Color Palettes

When the number of curves increases, then it can become quite difficult to find
a set of nice colors. In such cases it is convenient to select the colors from color
palettes.

120
100

110

Values

130

140

> par(mfrow=c(1, 1))

> plot(tS6, plot.type="s", col=heat.colors(n=6, alpha = 1),
+
at="chic", format = "%B\n%Y")

November
2005

Mrz Mai
Juli
2006 2006 2006

Oktober
2006

Januar
2007

April
2007

Figure 24: This graph shows an example of six curves diplayed in a sequence of
reds. For this we called the function seqPalette.

39

FUNCTION:
rainbowPalette
heatPalette
terrainPalette
topoPalette
cmPalette
greyPalette
timPalette
rampPalette
seqPalette
divPalette
qualiPalette
focusPalette
monoPalette

COLOUR PALETTE
Contiguous rainbow colour palette
Contiguous heat colour palette
Contiguous terrain colour palette
Contiguous topo colour palette
Contiguous cm colour palette
R's gamma-corrected gray palette
Tim's MATLAB-like colour palette
Colour ramp palettes
Sequential colour brewer palettes
Diverging colour brewer palettes
Qualified colour brewer palettes
Red, green and blue focus palettes
Red, green and blue mono palettes

40

5.4

Changing Line Styles

In multiple plot to each curve an own line style lty can be assigned: 0 blank,
1 solid, 2 dashed, 3 dotted, 4 dotdash, 5 longdash, or 6 twodash.

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", col=1, lty=1:3, at="chic")

Nov 01 2005

Mrz 01 2006

Jul 03 2006

Nov 01 2006

Mrz 01 2007

Figure 25: When we like to print plots in black and white, then its makes much
sense to use different line types so that we can distinguish the curves one from
each other.

41

5.5

Modifying Line Widths

Not only the line type, but also the line width can be modified for each curve
in an individual kind.

SBI
SII

120
98

102

106

110
100

110

SPI

130

140

98

99

100

101

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="m", col=1, lwd=3:1, at="chic")

Nov 01 2005

Mrz 01 2006

Jul 03 2006

Nov 01 2006

Mrz 01 2007

Figure 26: The graph shows three line widths, the uppers curve width is thick,
the middles curve width is medium, and the lowests curve width is the thinnest
one.

42

5.6

Changing Plot Symbols

To use different plot symbols we can assign them by the parameter pch. Dont
forget also to set type="p".

43

5.7

Modifying Plot Symbol Sizes

The argument cex.pch allows to increase or decrease plot symbol sizes with
respect to the current plot symbol size.

120
100

110

Values

130

140

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="s", type="p",
+
col=1:3, pch=21:23, cex.pch=c(0.2, 0.2, 0.2), at="pretty")

20060101

20060701

20070101

Figure 27: This plot show how to change the size of plot symbols in a single
plot setting the argument cex.pch. Note, for each curve its own size can be set.
The same approach can be used also for multiple plots.

44

5.8

Discarding Grid Lines

By default grid lines are displayed. To discard the grid lines from the plot set
the arguments grid=FALSE.

120
100

110

130

140

> par(mfrow=c(1, 1))

> plot(tS3, plot.type="s", grid=FALSE)

20060101

20060701

20070101

Time

Figure 28: By default a grid is drawn on top of the plot. You can remove it by
setting the argument grid=FALSE

45

5.9

par(mfrow=c(1, 1))
plot(tS3, plot.type="s", frame.plot=FALSE, grid=FALSE)
box()
box(bty = "7", col = "white") # boxL
grid(NA, NULL, col = "darkgrey") # hgrid

120
100

110

130

140

>
>
>
>
>

Drawing a Box

20060101

20060701

20070101

Time

Figure 29: By default the plots are displayed as frame plots. This means that
the graphs are surrounded by a box. This box can be discarded setting the plot
argument frame.plot=FALSE.

46

The Panel Function

Multiple plots are very powerful plotting designs. Each panel in a graph can
individually tailored by the user. By default each curve in a panel is generated
by the function lines. You can define your own panel function(s) by setting
the plot argument panel to a user dfined functions.
In the following we will show three examples.

48

6.1

Adding a Horizental Zero Line

In this example we show how to write a panel function which allows to add a
horizontal zero line to each plot panel.

0.000 0.002
0.005

SPI

0.005

SII

0.03

0.01

0.01

0.004

SBI

> par(mfrow=c(1, 1))

> lines2 <- function(X, Y, type, xlab, ylab, col, pch, lty, lwd, cex) {
+
lines(x=X, y=Y, col=col)
+
abline(h=0, col = "brown", lwd=2)}
> plot(returns(tS3), plot.type="m", col = .colorwheelPalette(3),
+
panel=lines2, at="pretty")

20060101

20060701

20070101

Figure 30: This multiple plot shows panels with curves having a horizontal zero
reference line.

49

6.2

Adding an Rug to Multiple Return Plots

This example shows how to add in each panel rugs to the righ Y-axis.

LMI

0.003
0.01

MPI
ALT

0.03

0.01

0.005
0.005

SII

0.01

0.03

0.01

0.01
0.01
0.03

SPI

0.000

0.002

0.000 0.002
0.004

SBI

> par(mfrow=c(1, 1))

> lines2 <- function(X, Y, type, xlab, ylab, col, pch, lty, lwd, cex) {
+
lines(x=X, y=Y, type="h", col=col)
+
rug(Y, side=4, col="steelblue") }
> plot(returns(tS6), plot.type="m", col = .colorwheelPalette(6),
+
panel=lines2, at="pretty")

20060101

20061001

20060101

20061001

Figure 31: This multiple plot shows panels with rugs on the right Y-axis.

50

6.3

Adding an EMA to Multiple Index Plots

This example shows how to add an EMA indicator to each plot panel. The
emaTA() function is provided by the fTrading package.

120
98

SBI
SII

102

106

110
100

110

SPI

130

140

98

99

100

101

> par(mfrow=c(1, 1))

> lines2 <- function(X, Y, type, xlab, ylab, col, pch, lty, lwd, cex) {
+
lines(x=X, y=Y, type="l", col=col)
+
lines(x=X, y=emaTA(Y), col="black") }
> plot(tS3, plot.type="m", col = .colorwheelPalette(3), panel=lines2,
+
grid=TRUE, at="pretty")

20060101

20060701

20070101

Figure 32: A multiple graph with EMA indicators in each panel.

51

Conclusions

The plot function in the timeSeries package is a very powerful tool to create
plots from time series objects. This includes to display univariate and multivariate time series in single and multiple panels, to select from two styles for
the time-axis or even to tailor positions and formats according to his own needs,
and to modifiy annotations and decorations of plots.

54

Appendix

In the appendix we have summarized graphs and tables which are useful tools
to create plots. We have reprinted the default color table from R, we have
summarized several color palettes as available in the fBasics package and other
contributed R packages, and two tables with font characters and plot symbols.

56

8.1

>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>

Margins: mar and oma

# Plot:
# - oma stands for 'Outer Margin Area'
# - mar represents the 'figure Margins'
# - The default size is c(5,4,4,2) + 0.1
# - The axes tick marks will go in the first lines
par(mfrow=c(1, 1))
par(oma=c(3,3,3,3)) # all sides have 3 lines of space
par(mar=c(5,4,4,2) + 0.1)
plot(x=1:10, y=1:10, type="n", xlab="X", ylab="Y")
# Add Text tot the Plot Part - red
text(5,5, "Plot", col="red", cex=2)
text(5,4, "text(5,5, \"Plot\", col=\"red\", cex=2)", col="red", cex=1)
box("plot", col="red", lwd=2)
# Add text to thebThe Figure Part - grey
mtext("Margins", side=3, line=2, cex=1.5, col="grey")
mtext("par(mar=c(5,4,4,2) + 0.1)", side=3, line=1, cex=1, col="grey")
mtext("Line 0", side=3, line=0, adj=1.0, cex=1, col="grey")
mtext("
1", side=3, line=1, adj=1.0, cex=1, col="grey")
mtext("Line 2", side=3, line=2, adj=1.0, cex=1, col="grey")
mtext("Line 3", side=3, line=3, adj=1.0, cex=1, col="grey")
mtext("Line 0", side=2, line=0, adj=1.0, cex=1, col="grey")
mtext("Line 1", side=2, line=1, adj=1.0, cex=1, col="grey")
mtext("Line 2", side=2, line=2, adj=1.0, cex=1, col="grey")
mtext("Line 3", side=2, line=3, adj=1.0, cex=1, col="grey")
box("figure", col="grey")
# The title will fit in the third line on the top of the graph.
title("Ttitle - Third Line")
# Note 'outer=TRUE' moves us from the figure to the outer margins.
mtext("Outer Margin Area", side=1, line=1, cex=1.8, col="brown", outer=TRUE)
mtext("par(oma=c(3,3,3,3))", side=1, line=2, cex=1, col="orange", outer=TRUE)
mtext("Line 0", side=1, line=0, adj=0.0, cex=0.8, col="orange", outer=TRUE)
mtext("Line 1", side=1, line=1, adj=0.0, cex=1, col="orange", outer=TRUE)
mtext("Line 2", side=1, line=2, adj=0.0, cex=1, col="orange", outer=TRUE)
box("outer", col="orange")

57

Margins
Ttitle Third Line

Line 3
Line 2
Line101
Line 0

par(mar=c(5,4,4,2) + 0.1)

Line 3
Line 2
1
Line 0

Plot
text(5,5, "Plot", col="red", cex=2)

X
Line 0

Line 1
Line 2

Outer Margin Area

par(oma=c(3,3,3,3))

58

10

8.2

Character Table

Table of Characters
0
4
5
6
7
10
11
12
13
14
15
16
17
20
21
22
23
24
25
26
27
30
31
32
33
34
35
36
37

(
0
8

!
)
1
9

2
:

#
+
3
;

,
4
<

5
=

&
.
6
>

/
7
?

59

8.3

Color Table

Table of Color Codes

10

20

30

40

50

60

70

80

90

11

21

31

41

51

61

71

81

91

12

22

32

42

52

62

72

82

92

13

23

33

43

53

63

73

83

93

14

24

34

44

54

64

74

84

94

15

25

35

45

55

65

75

85

95

16

26

36

46

56

66

76

86

96

17

27

37

47

57

67

77

87

97

18

28

38

48

58

68

78

88

98

19

29

39

49

59

69

79

89

99

60

8.4

Color Palettes I

rainbow
3
4

heat
3
4

terrain
3
4

topo
3
4

cm
5

12
11

12
11

12
11

12
11

10

grey
3
4

2
1

12
11

10

ramp purple2green
3
4
5
2
6
1
7
8

10

10
tim

6
8

12
11

2
1

10

12
11

7
8

10

12
11

seq GnBu
3
4
5
2

12
11

12
11

10

seq OrRd
3
4
5
2

10

seq PuBu
3
4
5
2

12
11

12
11

10

seq RdPu
3
4
5
2

10

10

12
11

10

10

seq YlGn
3
4
2

12
11

1
8

61

10

12
11

6
7

10

seq Greys
3
4
5
2
1
8

10

12
11

seq PuRd
3
4
5
2
1
8

10

10

12
11

10

12
11

seq BuGn
3
4
5
2

12
11

12
11

10

ramp blue2green
3
4
5
2
6
1

12
11

1
8

seq Blues
3
4
5
2

seq PuBuGn
3
4
5
2
6
1

12
11

10

12
11

10

seq Reds
3
4
2

10

ramp green2red
3
4
5
2
6
1

12
11

seq Greens
3
4
5
2
6
1

10

7
9

10

6
8

ramp blue2red
3
4
5
2
6
1

ramp blue2yellow ramp cyan2magenta

3
3
4
4
5
5
2
2
6
6
1
1

seq BuPu
3
4
5
2

12
11

1
8

10

12
11

seq Oranges
3
4
5
2
6
1
7
8

10

12
11

seq Purples
3
4
5
2
6
1
7
8

10

12
11

seq YlGnBu
3
4
5
2
6
1

seq YlOrBr
3
4
5
2
6
1

10

12
11

10

12
11

8.5

Color Palettes II

seq YlOrRd
3
4
5
2
6
1

12
11

12
11

12
11

10

12
11

div BrBG
3
4
2

div RdBu
3
4
5
2
1

12
11

10

10

1
8

10

div PRGn
3
4
5
2

div RdGy
3
4
5
2

6
8

div PiYG
3
4
2

12
11

10

10

div PuOr
3
4
2

1
8

10

12
11

div RdYlBu
3
4
5
2
6
1

div RdYlGn
3
4
5
2
6
1

div Spectral
3
4
5
2
6
1

10

12
11

10

12
11

10

12
11

quali Accent
3
4
5
2
6
1

quali Dark2
3
4
5
2
6
1

quali Paired
3
4
5
2
6
1

quali Pastel1
3
4
5
2
6
1

quali Pastel2
3
4
5
2
6
1

10

12
11

quali Set1
3
4
5
2

10

12
11

quali Set2
3
4
5
2
1

12
11

12
11

10

focus bluefocus
3
4
5
2
6
1
7
8

10

12
11

10

mono redmono
3
4
5
2
6
1
7
8

10

10

12
11

quali Set3
3
4
5
2

6
8

12
11

1
8

10

12
11

mono greenmono
3
4
5
2
6
1
7
8

62

10

12
11

10

12
11

focus redfocus
3
4
5
2
6
1
7
8

10

12
11

mono bluemono
3
4
5
2
6
1
7
8

10

12
11

10

12
11

focus greenfocus
3
4
5
2
6
1
7
8

10

12
11

8.6

Symbol Table

Table of Plot Characters

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

!
"
#
$
%
&
'
(
)
*
+
,

/
0
1

25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49

2
3
4
5
6
7
8
9
:
;
<
=
>
?
@
A
B
C
D
E
F
G
H
I
J

50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74

K
L
M
N
O
P
Q
R
S
T
U
V
W
X
Y
Z
[
\
]
^
_

a
b
c

75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99

d
e
f
g
h
i
j
k
l
m
n
o
p
q
r
s
t
u
v
w
x
y
z
{
|

100 } 125
101 ~ 126
102 127
103
128
104
129
105
130
106
131
107
132
108
133
109
134
110
135
136
111
137
112
113
138
139
114
115
140
116
141
117
142
118
143
119
144
120
145
146
121
122
147
123
148
149
124

63

150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174

175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199

200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224

225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249

250
251
252
253
254
255

8.7

Axis Style pretty

> FORMAT <- tS1@format

> FORMAT

[1] "%Y-%m-%d"

> POSITIONS <- pretty(tS1)

> POSITIONS

GMT
[1] [2006-01-01] [2006-04-01] [2006-07-01] [2006-10-01] [2007-01-01]
[6] [2007-04-01]

> LABELS <- pretty(tS1)

> LABELS

GMT
[1] [2006-01-01] [2006-04-01] [2006-07-01] [2006-10-01] [2007-01-01]
[6] [2007-04-01]

64

8.8

Axis Style chic

> axTicksByTime <+ function (x, ticks.on = "auto", k = 1, labels = TRUE, format.labels = TRUE,
+
ends = TRUE, gt = 2, lt = 30)
+ {
+
if (timeBased(x)) x <- xts(rep(1, length(x)), x)
+
tick.opts <- c("years", "months", "weeks", "days", "hours", "minutes", "seconds")
+
tick.k.opts <- c(10, 5, 2, 1, 6, 1, 1, 1, 4, 2, 1, 30, 15, 1, 1)
+
if (ticks.on %in% tick.opts) {
+
cl <- ticks.on[1]
+
ck <- k
+
} else {
+
tick.opts <- paste(rep(tick.opts, c(4, 2, 1, 1, 3, 3, 1)), tick.k.opts)
+
is <- structure(rep(0, length(tick.opts)), .Names = tick.opts)
+
for (i in 1:length(tick.opts))
+
{
+
y <- strsplit(tick.opts[i], " ")[[1]]
+
ep <- endpoints(x, y[1], as.numeric(y[2]))
+
is[i] <- length(ep) - 1
+
if (is[i] > lt) break
+
}
+
nms <- rev(names(is)[which(is > gt & is < lt)])[1]
+
cl <- strsplit(nms, " ")[[1]][1]
+
ck <- as.numeric(strsplit(nms, " ")[[1]][2])
+
}
+
if (is.null(cl)) ep <- NULL else ep <- endpoints(x, cl, ck)
+
if (ends) ep <- ep + c(rep(1, length(ep) - 1), 0)
+
if (labels)
+
{
+
if (is.logical(format.labels) || is.character(format.labels))
+
{
+
unix <- ifelse(.Platform$OS.type == "unix", TRUE, FALSE)
+
time.scale <- periodicity(x)$scale
+
fmt <- ifelse(unix, "%n%b%n%Y", "%b %Y")
+
if (time.scale == "weekly" | time.scale == "daily")
+
fmt <- ifelse(unix, "%b %d%n%Y", "%b %d %Y")
+
if (time.scale == "minute" | time.scale == "hourly")
+
fmt <- ifelse(unix, "%b %d%n%H:%M", "%b %d %H:%M")
+
if (time.scale == "seconds")
+
fmt <- ifelse(unix, "%b %d%n%H:%M:%S", "%b %d %H:%M:%S")
+
if (is.character(format.labels))
+
fmt <- format.labels
+
names(ep) <- format(index(x)[ep], fmt)
+
} else {
+
names(ep) <- as.character(index(x)[ep])
+
}
+
ep

65

+
+ }

> ticks <- axTicksByTime(as.xts(tS1))

> ticks

Nov 01 2005 Dez 01 2005 Jan 02 2006 Feb 01 2006 Mrz 01 2006 Apr 03 2006
1
23
45
67
87
110
Mai 01 2006 Jun 01 2006 Jul 03 2006 Aug 01 2006 Sep 01 2006 Okt 02 2006
130
153
175
196
219
240
Nov 01 2006 Dez 01 2006 Jan 01 2007 Feb 01 2007 Mrz 01 2007 Apr 02 2007
262
284
305
328
348
370
Apr 11 2007
377

66

About the Authors

Diethelm Wu
rtz is professor at the Institute for Theoretical Physics, ITP,
and for the Curriculum Computational Science and Engineering, CSE, at the
Swiss Federal Institute of Technology in Zurich. He teaches Econophysics at
ITP and supervises seminars in Financial Engineering. Diethelm is senior partner of Finance Online, an ETH spin-off company in Zurich, and co-founder of
the Rmetrics Association in Zurich.

Tobias Setz has a Bachelor and Master in Computational Science from ETH
in Zurich and has contributed with his Thesis projects on wavelet analytics and
Bayesian change point analytics to this handbook. He is now a PhD student in
the Econophysics group at ETH Zurich at the Institute for Theoretical Physics.

67

About Rmetrics
Rmetrics Open Source Project
With hundreds of functions built on modern methods, the Rmetrics open
source software combines exploratory data analysis, statistical modelling and
rapid model prototyping. The R/Rmetrics packages are embedded in R, building an environment which creates a first class system for applications in teaching
statistics and finance. Rmetrics covers Time Series Econometrics, Hypothesis
Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory
and Copulae, Pricing of Derivatives, Portfolio Analysis, Design and Optimization, and much more.
The Rmetrics Association
is a non-profit taking association working in the public interest. The Rmetrics
Association provides support for innovations in financial computing. We believe
that the Rmetrics Open Source software has become a valuable educational tool
and that it is worth ensuring its continued development and the development
of future innovations in software for statistical and computational research in
finance. Rmetrics provides a reference point for individuals and institutions
that want to support or interact with the Rmetrics development community.
Rmetrics encourages students to participate in Rmetrics activities in the context
of Student Internships.
Rmetrics Software Evalution
If you like to get an impression of the size and quality of the Open Source
Rmetrics Program have a look on the Ohloh Rmetrics Software Evaluation. The
Evalutions gives an overview about the Software Development (Code Analysis,
Estimated Cost), the people behind it, and its community.
Contributions to Rmetrics
are coming from several educuational institutions world wide. These include
the Rmetrics web site and documentation project supported by ITP/CSE ETH
Zurich, the organization of Summerschools and Workshops supported by ITP/CSE
ETH Zurich, the R-sig-Finance Help and Mailing List, supported by SfS ETH
Zurich, the R-forge development server, supported by University of Economics
in Vienna, CRAN Test and Distribution Server for R software, supported by
University of Economics Vienna, the Debian Linux integration supported by
the Debian Association. Many thanks to all behind these projects who gave us
continuous support over the last years.

Rmetrics Association
www.rmetrics.org

68

References
[1] Achim Zeileis and Gabor Grothendieck (2005): zoo: S3 Infrastructure for
Regular and Irregular Time Series. Journal of Statistical Software, 14(6),
1-27. URL http://www.jstatsoft.org/v14/i06/
[2] Adrian Trapletti and Kurt Hornik (2007): tseries: Time Series Analysis
and Computational Finance. R package version 0.10-11.
[3] Diethelm W
urtz et al. (2007):
Rmetrics: Rmetrics - Financial
Engineering and Computational Finance. R package version 260.72.
http://www.rmetrics.org
[4] International Organization for Standardization (2004): ISO 8601: Data
elements and interchage formats Information interchange Representation of dates and time URL http://www.iso.org
[5] R Development Core Team: R: A Language and Environment for Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria.
ISBN 3-900051-07-0, URL http://www.R-project.org
[6] Jeffrey A. Ryan (2008): quantmod: Quantitative Financial Modelling
Framework. R package version 0.3-5. URL http://www.quantmod.com
URL http://r-forge.r-project.org/projects/quantmod

69