Creating Charts with Quantmod

This lesson is part 15 of 21 in the course Quantitative Trading Strategies in R

Apart from loading data from external and local sources, Quantmod is also suitable for making beautiful charts. There are three types of charts: lines, bars and candlestick. We will learn how to create these charts to show historical data for SPY index. In Quantmod, the function to create charts is called chartSeries. With the type parameter we can change the chart type.

# Use the chartSeries() function to create charts. With the type parameter we can change the chart type.

chartSeries(SPY, type="line")

We can also subset the graph for a certain period using the subset parameter. The following command produces a candlestick chart only for the 2019 data.

chartSeries(SPY,  type="candlestick", subset='2019')

Adding Technical Indicators with Quantmod

The Quantmod package provides built in technical indicators that can be included in the charts. We will now see how to calculate technical indicators with Quantmod for the SPY index and finally, create an R dataframe with the close prices and the technical indicators as columns.

#### Calculates Indicators: EMA,RSI, ADX, STOCHASTIC, ATR
 
EMA <- round(EMA(Cl(SPY),n=14),3)
RSI <- round(RSI(Cl(SPY),n=14),3)
ADX <- round(ADX(HLC(SPY),n=14),3)
ATR <- round(ATR(HLC(SPY),n=14),3) 
STOCH <- round(stoch(HLC(SPY)),3) * 100
 
# At this point it will be a good idea to explore these objects and view the data contained.
# You can use commands such as dim(), head(), and tail() to do this.

# Combine the required indicators into a single data table.
 
spyIndicators <- data.frame(cbind(Cl(SPY),RSI,ADX$ADX,ATR$atr,STOCH$fastK,STOCH$fastD))
 
# Add custom column names for each column
 
colnames(spyIndicators) <- c('SPY','RSI','ADX','ATR','KLine','DLine')
 
# View last 15 rows of the data to get a feel of the data
tail(spyIndicators,15) # shows the last 15 rows of the data
 
              SPY    RSI    ADX   ATR KLine DLine
2019-05-15 285.06 44.151 26.221 3.617  34.2  21.1
2019-05-16 287.70 49.858 24.589 3.655  51.7  36.3
2019-05-17 285.84 46.270 22.850 3.642  39.3  41.7
2019-05-20 283.95 42.893 21.863 3.585  26.8  39.3
2019-05-21 286.51 48.388 20.588 3.542  45.7  37.3
2019-05-22 285.63 46.724 19.558 3.402  39.6  37.3
2019-05-23 282.14 40.739 19.917 3.521  16.5  33.9
2019-05-24 282.78 42.201 19.857 3.420  26.2  27.4
2019-05-28 280.15 38.047 20.298 3.463   2.3  15.0
2019-05-29 278.27 35.367 21.444 3.461  12.5  13.7
2019-05-30 279.03 37.290 22.225 3.373  18.6  11.1
2019-05-31 275.27 32.187 23.460 3.403   0.2  10.4
2019-06-03 274.57 31.328 24.981 3.407   9.2   9.3
2019-06-04 280.53 44.834 24.821 3.600  46.2  18.5
2019-06-05 282.96 49.220 23.937 3.534  61.2  38.9

Add Indicators to Charts

In order to add technical indicators in a chart, Quantmod provides the add{IndicatorName)() function. We will use this function for plotting the RSI and the MACD of SPY prices. Both indicators are plotted with the default parameters which are specified below:

### Charting with Technical Indicators 

chartSeries(SPY,type="line")
addRSI(n=14,maType="EMA")
addMACD(fast=12,slow=26,signal=9,type='EMA',histogram = TRUE)