My favorite Control chart is based on MASF - Multivariate Adaptive
Statistical Filtering and it is called IT-Control Charts (good to use
against  date-time stamped data like System performance metrics.  And that
is actually based on moving range that MASF calls as a  reference set.  

I have recently started using R to build IT-Control Chart and I am
publishing my progress in my blog - System Management by Exception(
http://itrubin.blogspot.com http://itrubin.blogspot.com ) . See the last
posting related to your question:  
http://itrubin.blogspot.com/2012/03/r-script-to-plot-it-control-chart.html
R-script to plot IT-Control Chart against MySQL 

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