Daily Coding - Calendar Heatmap of Stock Returns using R

Santosh Srinivas 04.Feb.2020

In this post, we will see one of the way of plotting a calendar heatmap of stock returns using only a Red / Green palette in R.

We will use data from a previous post on analyzing FAANG stocks.

require(openair)
require(data.table)

tickers <- c("FB", "AMZN", "AAPL", "NFLX", "GOOG", "SPY")

getYahooData <- function(ticker ,n=-1){
  require('quantmod')
  print(paste('Getting yahoo data for ...',ticker))

  ## Obtain symbol data
  getSymbols(ticker, from="2010-01-01")

  stock <- get(ticker)
  ## Utilise the backwards-adjusted closing prices
  stock.uA <- adjustOHLC(stock, use.Adjusted=TRUE)
  stock <- Cl(stock.uA)

  assign(ticker, stock, envir=.GlobalEnv)
}

none <- sapply(tickers, getYahooData)

# https://stackoverflow.com/questions/44911304/merging-multiple-xts-objects-by-index
# credit: [How to pass extra argument to the function argument of do.call in R - Stack Overflow](https://stackoverflow.com/questions/10119893/how-to-pass-extra-argument-to-the-function-argument-of-do-call-in-r)

all.xts <- do.call('merge', sapply(tickers, get))

all.xts <- all.xts["2015::"]

require("gdata")
clean_names <- sapply(names(all.xts), function(name) {gsub(".Close", "", name)})

names(all.xts) <- clean_names

# lets get the time from which we have all data

# [r - Remove rows with all or some NAs (missing values) in data.frame - Stack Overflow](https://stackoverflow.com/questions/4862178/remove-rows-with-all-or-some-nas-missing-values-in-data-frame)
all.xts <- all.xts[complete.cases(all.xts), ]

require(PerformanceAnalytics)
all.xts.ret <- Return.calculate(all.xts)

spy.xts.ret <- subset(all.xts.ret, select = c(SPY))


require(lubridate)

dt <- as.data.table(spy.xts.ret)

setnames(dt, c("index", "SPY"), c("date", "return"))

dt[,return:=100*return]
dt

calendarPlot(dt, pollutant="return", year=2019,
             cols=c("darkred", "red", "gray", "green", "darkgreen"),
             main="S&P500 returns in % (2019)")