Created
June 11, 2013 02:13
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Generate chart with 10y yield oscillator (10y yield minus 260d moving average), +/- 1 stdev dashed lines
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| library(quantmod) | |
| recplot = function(var, maintitle="", ylab="", ylim=NULL) | |
| { | |
| if ( exists("USRECD") == FALSE ) { getSymbols("USRECD", src="FRED", env=.GlobalEnv) } | |
| a = na.locf(cbind(USRECD, var)) | |
| a = a[ .index(a) %in% .index(var) ] | |
| par(oma=c(0,0,0,0)) | |
| par(xaxt="n", yaxt="n") | |
| barplot(a$USRECD, border="grey", col="grey") | |
| par(new=T, xaxt="s", yaxt="s") | |
| plot(a[,2], main=maintitle, ylab=ylab, ylim=ylim) | |
| } | |
| getSymbols("DGS10", src="FRED") | |
| recplot(DGS10 - SMA(na.omit(DGS10), n=260)) | |
| dsd = sd(na.omit((DGS10 - SMA(na.omit(DGS10), n=260)))) | |
| abline(h=dsd, lty=2) | |
| abline(h=-dsd, lty=2) | |
| legend("topright", c("10y minus its 1y mean", "+/- 1 stdev"), col="black", lty=c(1, 2)) |
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