2019年3月17日日曜日

VIX, CLI 6 month delta and S&P500


> last(cli_xts)
               oecd      usa
2019-01-01 99.12973 99.04795

Then synchronized data as SP5[,4]["2000::2019-01"],

#
# VIX histgram when CLI 6 month delta is positve as red and negative as blue, overlaid by S&P500.
#
mnt <- index(cli_xts$oecd["2000::2019"][cli_xts$oecd["2000::2019"]/as.vector(cli_xts$oecd["1999-07-01::2018-07-01"]) < 1])
plot.zoo(merge(VIX["2000::2019-01"][,4],VIX[mnt][,4]),type='h',col = c("red", "blue"), plot.type = "single")
abline(v=seq(as.Date("2001-01-01"),as.Date("2019-01-01"),by='years'), col=rgb(0,1,0,alpha=0.9),lty=2)
par(new=T)
plot.default(SP5[,4]["2000::2019-01"],axes=F,type='l')




#
# draw CLI 6 month delta vs. its reading graph.
#
#
plot.default(na.trim(diff(cli_xts$oecd["2010-07-01::"],lag=6)),cli_xts$oecd["2011::"],type='b')
tmp <- par('usr')
plot.default(na.trim(diff(cli_xts$oecd["2010-07-01::"],lag=6)),cli_xts$oecd["2011::"],type='b',xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]))
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2018-07-01::2019"],lag=6)),cli_xts$oecd["2019"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=9,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2017-07-01::2018"],lag=6)),cli_xts$oecd["2018"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=2,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2016-07-01::2017"],lag=6)),cli_xts$oecd["2017"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=3,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2015-07-01::2016"],lag=6)),cli_xts$oecd["2016"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=4,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2014-07-01::2015"],lag=6)),cli_xts$oecd["2015"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=5,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2013-07-01::2014"],lag=6)),cli_xts$oecd["2014"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=6,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2012-07-01::2013"],lag=6)),cli_xts$oecd["2013"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=7,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2011-07-01::2012"],lag=6)),cli_xts$oecd["2012"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=8,lwd=2)
par(new=T)
plot.default(na.trim(diff(cli_xts$oecd["2010-07-01::2011"],lag=6)),cli_xts$oecd["2011"],xlim=c( tmp[1],tmp[2]), ylim=c(tmp[3], tmp[4]),col=9,lwd=2,bg='grey')
abline(v=0)
abline(h=100)



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