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scatterplotting stock returns using quantmod and pairs()

2 messages · alan lapedes, R. Michael Weylandt

alan lapedes
# 
I want to get data for a set of ticker symbols and compute the daily return of the adjusted close using quantmod, and then scatterplot returns using pairs().

The following gets data for the list of tickers:
tickers <- c("SHY","TLT","SPY","IWM","GLD","IEV","ILF","EWJ","EPP","SAF","ASA")
AdjClosePrices <- do.call(merge, lapply(tickers, function(x) Ad(get(x)))) #get adjusted close prices

First try at getting returns and plotting:
AdjCloseReturns <- do.call(merge, lapply(tickers, function(x) dailyReturn(Ad(get(x))) ))
But the resulting pairs plot
pairs(data.matrix(AdjCloseReturns),cex=0.01)
has uninformative text "daily.returns" down the diag on the plot.

Second try at getting returns and plotting: using lapply instead
AdjCloseReturns <- lapply(AdjClosePrices,dailyReturn)
head(AdjCloseReturns)
this prints long columns of numbers (not what I expected) but at least I see a ticker symbol e.g:
$IEV.Adjusted
           daily.returns
2001-03-01  0.0000000000
2001-03-02  0.0037147103
2001-03-05  0.0088823094


However trying to plot:
pairs(data.matrix(AdjCloseReturns),cex=0.01)
gives error:
Error in pairs.default(data.matrix(AdjCloseReturns), cex = 0.01) :
  non-numeric argument to 'pairs'

Any insight would be appreciated: I want to scatterplot the returns for a set of tickers using pairs() with the ticker symbol info down the diag (and would be nice to also have scatterplot on lower panel and the numerical correlation on upper panel)
Thanks!
R. Michael Weylandt
# 
The names of the list entries are not the same as the column names of
the elements of the list (if that makes any sense)...you need to add
them manually after the merge: this works

library(quantmod)
tickers <- c("SHY","TLT","SPY","IWM","GLD","IEV")
getSymbols(tickers)
AdjCloseReturns <- do.call(merge, lapply(tickers, function(x)
dailyReturn(Ad(get(x)))))
names(AdjCloseReturns) <- tickers

pairs(as.matrix(AdjCloseReturns))

Michael
On Tue, Dec 6, 2011 at 7:36 PM, alan lapedes <asl87501 at earthlink.net> wrote: