graphique Kagi

Code R de l'exemple ggplot2

library(ggplot2)

## Daily closes of the CAC 40, 1991-1998 (EuStockMarkets). A Kagi chart
## ignores time: a vertical line follows the price until it reverses by 4%
## or more from its extreme, then a new line starts one step to the right.
price <- as.numeric(EuStockMarkets[, "CAC"])
reversal <- 0.04

## 1. One vertical line per trend, from its start to its extreme.
trends <- data.frame(from = numeric(0), to = numeric(0))
start <- price[1]
extreme <- price[1]
direction <- 0
for (v in price[-1]) {
  if (direction == 0) {
    if (abs(v / start - 1) >= reversal) {
      direction <- sign(v - start)
      extreme <- v
    }
  } else if ((v - extreme) * direction > 0) {
    extreme <- v
  } else if (abs(v / extreme - 1) >= reversal) {
    trends[nrow(trends) + 1, ] <- c(start, extreme)
    start <- extreme
    extreme <- v
    direction <- -direction
  }
}
trends[nrow(trends) + 1, ] <- c(start, extreme)

## 2. The line turns thick (yang) when it rises above the previous high
## (shoulder), thin (yin) when it falls below the previous low (waist); a
## vertical line is split where it crosses that level. The horizontal step
## to the next line keeps the current thickness.
segments <- list()
add <- function(x, y, xend, yend, yang) {
  segments[[length(segments) + 1]] <<- data.frame(x, y, xend, yend, yang)
}
yang <- trends$to[1] > trends$from[1]
shoulder <- NA
waist <- NA
for (i in seq_len(nrow(trends))) {
  a <- trends$from[i]
  b <- trends$to[i]
  if (b > a && !yang && !is.na(shoulder) && b > shoulder) {
    add(i, a, i, shoulder, FALSE)
    add(i, shoulder, i, b, TRUE)
    yang <- TRUE
  } else if (b < a && yang && !is.na(waist) && b < waist) {
    add(i, a, i, waist, TRUE)
    add(i, waist, i, b, FALSE)
    yang <- FALSE
  } else {
    add(i, a, i, b, yang)
  }
  if (b > a) {
    shoulder <- b
  } else {
    waist <- b
  }
  if (i < nrow(trends)) {
    add(i, b, i + 1, b, yang)
  }
}
segments <- do.call(rbind, segments)

p <- ggplot(segments, aes(x, y, xend = xend, yend = yend,
                          linewidth = yang, colour = yang)) +
  geom_segment(lineend = "square") +
  scale_linewidth_manual(values = c("TRUE" = 1.1, "FALSE" = 0.3)) +
  scale_colour_manual(values = c("TRUE" = unname(lex_colors["plum"]),
                                 "FALSE" = unname(lex_colors["blue"]))) +
  scale_y_continuous(labels = lex_number, breaks = lex_break_breaks,
                     expand = lex_break_expand) +
  labs(title = "The CAC 40 reversed 78 times by 4% or more in 1991–1998",
       subtitle = paste("Daily closes; the line turns",
                        "<span style='color:#9b2367'>**thick (yang)**</span> above the previous high,",
                        "<span style='color:#2e7891'>**thin (yin)**</span> below the previous low"),
       x = "Successive trends (no time scale)", y = "CAC 40 close",
       caption = "Data: Erste Bank AG, via the datasets R package") +
  theme_lex_viz(grid = "y", break_not_zero = "y") +
  theme(axis.text.x = element_blank(), legend.position = "none")