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require(quantmod)
require(PerformanceAnalytics)   getSymbols("DJIA",src="FRED")
getSymbols("DJTA",src="FRED")
getSymbols("DJUA",src="FRED")   DJ <- merge(DJIA,DJTA,DJUA)   #DJ.yearly <- DJ[endpoints(DJ, on="years", k=1),]
DJ.roc <- ROC(DJ,n=1,type="discrete")
DJ.draw = Drawdowns(DJ.roc)   #jpeg(filename="DJ plot with Drawdowns zoo.jpg",
#	quality=100,width=6.25, height = 6.25,  units="in",res=96)
plot.zoo(log(DJ),plot.type="single",
	col=c(2,3,4),ylab="log Price",xlab=NA,main="Dow Jones Indexes")
rgb <- hcl(c(0, 0, 260), c = c(100, 0, 100), l = c(50, 90, 50), alpha = 0.3)
xblocks(index(DJ),as.vector(DJ.draw[,1] < -0.20),col = rgb[1])
xblocks(index(DJ),as.vector(DJ.draw[,1] < -0.40),col = rgb[1])
legend("topleft",inset=0.05,colnames(DJ),fill=c(2,3,4),bg="white")
#dev.off()   #if we want to add linear models
#abline(lm(log(coredata(DJ[,1]))~as.Date(index(DJ))),col=2)
#abline(lm(log(coredata(DJ[,2]))~as.Date(index(DJ))),col=3)
#abline(lm(log(coredata(DJ[,3]))~as.Date(index(DJ))),col=4)     #another method of viewing drawdowns
#this is really easy with PerformanceAnalytics
#but for some reason I am getting an error
#with findDrawdowns
#will just shade worst drawdowns until I figure it out
drawdowns <- table.Drawdowns(DJ.roc[,1])
drawdowns.dates <- cbind(format(drawdowns$From),format(drawdowns$To))
drawdowns.dates[is.na(drawdowns.dates)] <- format(index(DJ.roc)[NROW(DJ.roc)])
# to get in proper list format
# thanks http://stackoverflow.com/questions/6819804/how-to-convert-a-matrix-to-a-list-in-r
drawdowns.dates <- lapply(seq_len(nrow(drawdowns.dates)), function(i) drawdowns.dates[i,])   #jpeg(filename="DJ plot with Drawdowns chart TimeSeries.jpg",
#	quality=100,width=6.25, height = 6.25,  units="in",res=96)
chart.TimeSeries(DJ,ylog=TRUE,
	period.areas = drawdowns.dates,period.color = rgb[1],
	colorset=c(2,3,4),
	legend.loc="topleft",
	main = "Dow Jones Indexes" )
#dev.off()
#or even fancier
#jpeg(filename="DJ plot with Drawdowns chart PerformanceSummary.jpg",
#	quality=100,width=6.25, height = 8.25,  units="in",res=96)
charts.PerformanceSummary(DJ.roc,ylog=TRUE,
	period.areas = drawdowns.dates,period.color = rgb[1],
	colorset=c(2,3,4),
	legend.loc="topleft",
	main = "Dow Jones Indexes" )
#dev.off()