plotting SPX vs. VIX using quantmod in R

Question

I just got introduced to quantmod, and looked at examples here http://www.r-chart.com/2010/06/stock-analysis-using-r.html I tried the following code,

getSymbols(c("^GSPC","^VIX"))
head(as.xts(merge(GSPC,VIX)))
chartSeries(c(GSPC, VIX), subset='last 3 months')

but the graph was completely out-of-scale, so I hope some of the experts on this forum can show me how to plot this correctly.

If you want the candlestick and volume plots, it would be more readable to use separate plots, as in a previous question: http://stackoverflow.com/questions/8815697/r-quantmod-multiple-charts-all-using-the-same-y-axis. If you want to compare the price movements, you can divide the adjusted price time series by their first value, so that they start at the same point. — Vincent Zoonekynd, Jan 23 '12 at 01:49
I only want to compare price movements. I was looking for a way to plot the raw time series on 2 separate axis. Given how many features this package has, I presume there must be something to handle two different axes. — user1155299, Jan 23 '12 at 01:57
To have two different y axes, you may want to check: http://stackoverflow.com/questions/6142944/how-can-i-plot-with-2-different-y-axes-in-r — Vincent Zoonekynd, Jan 23 '12 at 02:10

score 4 · Answer 1 · answered Jan 23 '12 at 18:51

Try this:

chart_Series(GSPC)
add_Series(OHLC(VIX)+1000,on=1)

You need to use OHLC to remove the volume from VIX, since it's always zero and seems to hose up the automatic ylim calculation. I also added 1000 to make the levels of the two series to be a bit closer together.

score 2 · Accepted Answer · answered Jan 23 '12 at 02:04

Here is an example that does not use chartSeries.

ind <- function(x) {
  # Divide each column by the first non-NA value
  # (There may already be a function to do that.)
  coredata(x) <- t(t(coredata(x)) / apply(coredata(x),2,function(u){ c(u[!is.na(u)&u!=0],NA)[1] }))
  x
}
x <- cbind( Ad(GSPC), Ad(VIX) )
x <- x["2011-11::"]

# Using base graphics
matplot( 
  index(x), coredata(ind(x)), 
  xlab="", ylab="", main="",
  type="l", lty=1, lwd=3, axes=FALSE 
)
abline(h=1, lty=3, col="lightgrey")
axis(2, las=1)
axis.Date(1, index(x))
box()
legend( "topleft", gsub("\\..*", "", names(x)), lty=1, lwd=3, col=1:2 )

# If you prefer ggplot2
library(ggplot2)
library(reshape2)
d <- data.frame( date = index(x), coredata(ind(x)) )
names(d) <- gsub("\\..*", "", names(d))
d <- melt(d, id.vars="date")
ggplot(d, aes(date, value, color=variable)) + geom_line(size=2)

plotting SPX vs. VIX using quantmod in R

2 Answers2