Last updated: 2019-03-07

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Knit directory: project/analysis/

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File Version Author Date Message
Rmd 2c2c5ce Tim Trice 2019-03-07 Minor formatting changes
Rmd eb1b0eb Tim Trice 2019-03-07 Modify sources
Rmd b2fa9ee Tim Trice 2019-03-07 Do not echo code
Rmd 974156a Tim Trice 2019-03-07 Add Author, Date to yaml
html 6cae50d Tim Trice 2019-03-03 Add docs
Rmd bd2d8f0 Tim Trice 2018-09-29 Refactor func load_data
Rmd 9c6c589 Tim Trice 2018-09-11 Finalize Per Trade Statistics
Rmd 828e53e Tim Trice 2018-09-09 Turn off errors
Rmd ea9fc76 Tim Trice 2018-09-09 Correct typo
Rmd 690f369 Tim Trice 2018-09-09 Add Per Trade Stats

Start End Init.Qty Init.Pos Max.Pos End.Pos Closing.Txn.Qty Num.Txns Max.Notional.Cost Net.Trading.PL MAE MFE Pct.Net.Trading.PL Pct.MAE Pct.MFE tick.Net.Trading.PL tick.MAE tick.MFE duration
2005-12-22 2005-12-23 100 100 100 0 -100 2 6486.545 39.8125589 0.0000000 39.812559 0.0061377 0.0000000 0.0061377 39.8125589 0.00000 3981.2559 86400 secs
2006-01-04 2006-01-05 100 100 100 0 -100 2 6567.756 -7.8528227 -7.8528227 0.000000 -0.0011957 -0.0011957 0.0000000 -7.8528227 -785.28227 0.0000 86400 secs
2006-01-09 2006-01-13 100 100 200 0 -200 3 13084.111 55.6830743 -63.5358970 55.683074 0.0042558 -0.0048560 0.0042558 27.8415372 -6353.58970 5568.3074 345600 secs
2006-01-20 2006-01-27 100 100 200 0 -200 3 13084.111 -161.3379884 -161.3379884 0.000000 -0.0123308 -0.0123308 0.0000000 -80.6689942 -16133.79884 0.0000 604800 secs
2006-02-27 2006-03-01 100 100 100 0 -100 2 6512.284 -7.3026708 -7.3026708 32.238741 -0.0011214 -0.0011214 0.0049505 -7.3026708 -730.26708 3223.8741 172800 secs
2006-09-07 2006-09-11 100 100 100 0 -100 2 6422.965 -0.7362193 -0.7362193 5.152504 -0.0001146 -0.0001146 0.0008022 -0.7362193 -73.62193 515.2504 345600 secs
2006-09-18 2006-09-20 100 100 100 0 -100 2 6427.381 81.7039973 0.0000000 81.703997 0.0127119 0.0000000 0.0127119 81.7039973 0.00000 8170.3997 172800 secs
2006-09-28 2006-10-03 100 100 100 0 -100 2 6589.317 1.0670018 -8.0962773 9.935199 0.0001619 -0.0012287 0.0015078 1.0670018 -809.62773 993.5199 432000 secs
2006-10-09 2006-10-17 100 100 200 0 -200 3 13014.493 -64.2923785 -132.2800425 0.000000 -0.0049401 -0.0101641 0.0000000 -32.1461893 -13228.00425 0.0000 691200 secs
2006-10-23 2006-10-26 100 100 100 0 -100 2 6444.062 93.1138899 0.0000000 93.113890 0.0144496 0.0000000 0.0144496 93.1138899 0.00000 9311.3890 259200 secs
2006-11-06 2006-11-09 100 100 100 0 -100 2 6586.866 50.4456449 0.0000000 54.154587 0.0076585 0.0000000 0.0082216 50.4456449 0.00000 5415.4587 259200 secs
2006-11-17 2006-11-20 100 100 100 0 -100 2 6672.920 10.3857939 0.0000000 10.385794 0.0015564 0.0000000 0.0015564 10.3857939 0.00000 1038.5794 259200 secs
2006-12-07 2006-12-13 100 100 100 0 -100 2 6768.687 -66.2720713 -66.2720713 0.000000 -0.0097910 -0.0097910 0.0000000 -66.2720713 -6627.20713 0.0000 518400 secs
2006-12-15 2006-12-22 100 100 200 0 -200 3 13389.193 -76.6974127 -76.6974127 26.061976 -0.0057283 -0.0057283 0.0019465 -38.3487064 -7669.74127 2606.1976 604800 secs
2006-12-29 2007-01-04 100 100 100 0 -100 2 6607.091 87.4169826 0.0000000 87.416983 0.0132308 0.0000000 0.0132308 87.4169826 0.00000 8741.6983 518400 secs
2007-01-11 2007-01-19 100 100 100 0 -100 2 6608.586 -34.3690541 -36.6104443 0.000000 -0.0052007 -0.0055398 0.0000000 -34.3690541 -3661.04443 0.0000 691200 secs
2007-01-25 2007-02-01 100 100 100 0 -100 2 6498.754 34.7102410 -19.4261788 42.587834 0.0053411 -0.0029892 0.0065532 34.7102410 -1942.61788 4258.7834 604800 secs
2007-02-13 2007-02-15 100 100 100 0 -100 2 6544.718 81.7717613 0.0000000 81.771761 0.0124943 0.0000000 0.0124943 81.7717613 0.00000 8177.1761 172800 secs
2007-02-23 2007-02-26 100 100 100 0 -100 2 6664.749 44.2619167 0.0000000 44.261917 0.0066412 0.0000000 0.0066412 44.2619167 0.00000 4426.1917 259200 secs
2007-03-02 2007-03-14 100 100 200 0 -200 3 13551.353 -14.3084062 -60.2445931 47.443290 -0.0010559 -0.0044457 0.0035010 -7.1542031 -6024.45931 4744.3290 1036800 secs
2007-03-16 2007-04-05 100 100 300 0 -300 4 20121.820 -223.9806576 -223.9806576 0.000000 -0.0111312 -0.0111312 0.0000000 -74.6602192 -22398.06576 0.0000 1728000 secs
2007-04-10 2007-04-17 100 100 100 0 -100 2 6608.426 49.8860176 -23.4312265 49.886018 0.0075489 -0.0035457 0.0075489 49.8860176 -2343.12265 4988.6018 604800 secs
2007-04-23 2007-05-01 100 100 200 0 -200 3 13325.694 100.4122420 -48.3745377 100.412242 0.0075352 -0.0036302 0.0075352 50.2061210 -4837.45377 10041.2242 691200 secs
2007-05-04 2007-05-21 100 100 300 0 -300 4 20105.781 -262.4828957 -321.6559323 18.206796 -0.0130551 -0.0159982 0.0009056 -87.4942986 -32165.59323 1820.6796 1468800 secs
2007-08-08 2007-08-09 100 100 100 0 -100 2 6612.909 9.2097956 0.0000000 9.209796 0.0013927 0.0000000 0.0013927 9.2097956 0.00000 920.9796 86400 secs
2007-09-13 2007-09-18 100 100 100 0 -100 2 6918.929 -9.2474596 -9.2474596 43.156379 -0.0013365 -0.0013365 0.0062374 -9.2474596 -924.74596 4315.6379 432000 secs
2007-09-20 2007-09-27 100 100 100 0 -100 2 6716.248 105.5791781 0.0000000 105.579178 0.0157200 0.0000000 0.0157200 105.5791781 0.00000 10557.9178 604800 secs
2007-10-09 2007-10-18 100 100 200 0 -200 3 13597.114 194.1887582 -36.3622027 194.188758 0.0142816 -0.0026743 0.0142816 97.0943791 -3636.22027 19418.8758 777600 secs
2007-10-29 2007-10-30 100 100 100 0 -100 2 7028.721 -3.8679244 -3.8679244 0.000000 -0.0005503 -0.0005503 0.0000000 -3.8679244 -386.79244 0.0000 86400 secs
2007-11-01 2007-11-02 100 100 100 0 -100 2 7051.863 22.5349573 0.0000000 22.534957 0.0031956 0.0000000 0.0031956 22.5349573 0.00000 2253.4957 86400 secs
2007-11-07 2007-11-12 100 100 100 0 -100 2 7049.532 73.0443256 -12.4332701 73.044326 0.0103616 -0.0017637 0.0103616 73.0443256 -1243.32701 7304.4326 432000 secs
2007-11-29 2007-11-30 100 100 100 0 -100 2 7369.682 -35.7449037 -35.7449037 0.000000 -0.0048503 -0.0048503 0.0000000 -35.7449037 -3574.49037 0.0000 86400 secs
2007-12-06 2007-12-12 100 100 100 0 -100 2 7239.225 -59.2932995 -124.0478096 15.603225 -0.0081906 -0.0171355 0.0021554 -59.2932995 -12404.78096 1560.3225 518400 secs
2007-12-14 2007-12-19 100 100 100 0 -100 2 7069.147 204.4054665 0.0000000 204.405466 0.0289152 0.0000000 0.0289152 204.4054665 0.00000 20440.5467 432000 secs
2007-12-24 2007-12-31 100 100 100 0 -100 2 7118.298 169.6023028 -62.4135232 169.602303 0.0238262 -0.0087680 0.0238262 169.6023028 -6241.35232 16960.2303 604800 secs
2008-01-25 2008-01-28 100 100 100 0 -100 2 7515.842 -28.1991754 -28.1991754 0.000000 -0.0037520 -0.0037520 0.0000000 -28.1991754 -2819.91754 0.0000 259200 secs
2008-01-30 2008-02-04 100 100 100 0 -100 2 7388.163 20.1757922 0.0000000 97.207035 0.0027308 0.0000000 0.0131571 20.1757922 0.00000 9720.7035 432000 secs
2008-02-08 2008-02-12 100 100 100 0 -100 2 7365.107 -13.3623645 -13.3623645 30.655118 -0.0018143 -0.0018143 0.0041622 -13.3623645 -1336.23645 3065.5118 345600 secs
2008-02-14 2008-02-22 100 100 100 0 -100 2 7167.028 66.0263419 -18.0789416 107.686440 0.0092125 -0.0025225 0.0150253 66.0263419 -1807.89416 10768.6440 691200 secs
2008-02-26 2008-02-29 100 100 100 0 -100 2 7161.526 245.2417317 0.0000000 245.241732 0.0342443 0.0000000 0.0342443 245.2417317 0.00000 24524.1732 259200 secs
2008-03-05 2008-03-11 100 100 100 0 -100 2 7228.308 92.3063289 0.0000000 155.421481 0.0127701 0.0000000 0.0215018 92.3063289 0.00000 15542.1481 518400 secs
2008-03-28 2008-03-31 100 100 100 0 -100 2 7538.363 26.8237917 0.0000000 26.823792 0.0035583 0.0000000 0.0035583 26.8237917 0.00000 2682.3792 259200 secs
2008-04-09 2008-04-10 100 100 100 0 -100 2 7554.570 -25.3534868 -25.3534868 0.000000 -0.0033560 -0.0033560 0.0000000 -25.3534868 -2535.34868 0.0000 86400 secs
2008-04-16 2008-04-23 100 100 100 0 -100 2 7369.173 11.0921851 -19.0155707 35.653215 0.0015052 -0.0025804 0.0048382 11.0921851 -1901.55707 3565.3215 604800 secs
2008-04-25 2008-04-30 100 100 100 0 -100 2 7274.889 102.2066423 0.0000000 102.206642 0.0140492 0.0000000 0.0140492 102.2066423 0.00000 10220.6642 432000 secs
2008-05-05 2008-05-09 100 100 100 0 -100 2 7284.538 70.7699091 -52.4814332 70.769909 0.0097151 -0.0072045 0.0097151 70.7699091 -5248.14332 7076.9909 345600 secs
2008-05-14 2008-05-16 100 100 100 0 -100 2 7267.044 35.7823400 0.0000000 65.999137 0.0049239 0.0000000 0.0090820 35.7823400 0.00000 6599.9137 172800 secs
2008-05-23 2008-05-29 100 100 100 0 -100 2 7297.260 -165.3946320 -165.3946320 0.000000 -0.0226653 -0.0226653 0.0000000 -165.3946320 -16539.46320 0.0000 518400 secs
2008-07-14 2008-07-18 100 100 200 0 -200 3 14718.050 -229.0691189 -229.0691189 0.000000 -0.0155638 -0.0155638 0.0000000 -114.5345594 -22906.91189 0.0000 345600 secs
2008-08-25 2008-08-26 100 100 100 0 -100 2 7556.994 6.4303179 0.0000000 6.430318 0.0008509 0.0000000 0.0008509 6.4303179 0.00000 643.0318 86400 secs
2008-09-02 2008-09-03 100 100 100 0 -100 2 7613.518 32.2704407 0.0000000 32.270441 0.0042386 0.0000000 0.0042386 32.2704407 0.00000 3227.0441 86400 secs
2008-09-12 2008-09-16 100 100 100 0 -100 2 7659.504 246.8724130 0.0000000 248.485717 0.0322309 0.0000000 0.0324415 246.8724130 0.00000 24848.5717 345600 secs
2008-09-22 2008-09-29 100 100 100 0 -100 2 7580.440 265.4284367 -29.0439130 265.428437 0.0350149 -0.0038314 0.0350149 265.4284367 -2904.39130 26542.8437 604800 secs
2008-10-09 2008-10-21 100 100 200 0 -200 3 15476.841 -81.7334185 -223.3515691 0.000000 -0.0052810 -0.0144313 0.0000000 -40.8667093 -22335.15691 0.0000 1036800 secs
2008-10-29 2008-11-05 100 100 100 0 -100 2 7680.560 84.3592111 -168.3234494 84.359211 0.0109835 -0.0219155 0.0109835 84.3592111 -16832.34494 8435.9211 604800 secs
2008-11-10 2008-11-12 100 100 100 0 -100 2 7695.858 72.3111616 0.0000000 72.311162 0.0093961 0.0000000 0.0093961 72.3111616 0.00000 7231.1162 172800 secs
2008-11-25 2008-12-10 100 100 200 0 -200 3 17638.136 647.3031627 0.0000000 691.324521 0.0366991 0.0000000 0.0391949 323.6515813 0.00000 69132.4521 1296000 secs
2008-12-24 2008-12-31 100 100 100 0 -100 2 9856.039 -93.7652349 -93.7652349 114.813216 -0.0095135 -0.0095135 0.0116490 -93.7652349 -9376.52349 11481.3216 604800 secs
2009-01-05 2009-01-12 100 100 100 0 -100 2 9271.502 44.9877656 -93.2466087 44.987766 0.0048523 -0.0100573 0.0048523 44.9877656 -9324.66087 4498.7766 604800 secs
2009-01-21 2009-01-28 100 100 100 0 -100 2 9052.290 -338.6326363 -338.6326363 0.000000 -0.0374085 -0.0374085 0.0000000 -338.6326363 -33863.26363 0.0000 604800 secs
2009-01-30 2009-02-10 100 100 200 0 -200 3 16902.406 297.3244544 -122.6207931 297.324454 0.0175907 -0.0072546 0.0175907 148.6622272 -12262.07931 29732.4454 950400 secs
2009-02-17 2009-02-18 100 100 100 0 -100 2 8661.381 -73.8186691 -73.8186691 0.000000 -0.0085227 -0.0085227 0.0000000 -73.8186691 -7381.86691 0.0000 86400 secs
2009-02-20 2009-02-23 100 100 100 0 -100 2 8523.586 78.7397442 0.0000000 78.739744 0.0092379 0.0000000 0.0092379 78.7397442 0.00000 7873.9744 259200 secs
2009-02-26 2009-03-03 100 100 100 0 -100 2 8404.656 33.1977308 -48.3925129 89.949313 0.0039499 -0.0057578 0.0107023 33.1977308 -4839.25129 8994.9313 432000 secs
2009-03-05 2009-03-06 100 100 100 0 -100 2 8632.783 -57.5735720 -57.5735720 0.000000 -0.0066692 -0.0066692 0.0000000 -57.5735720 -5757.35720 0.0000 86400 secs
2009-03-10 2009-03-13 100 100 100 0 -100 2 8361.364 88.0056121 0.0000000 130.774488 0.0105253 0.0000000 0.0156403 88.0056121 0.00000 13077.4488 259200 secs
2009-03-17 2009-03-19 100 100 100 0 -100 2 8270.890 324.0585158 0.0000000 324.058516 0.0391806 0.0000000 0.0391806 324.0585158 0.00000 32405.8516 172800 secs
2009-03-24 2009-03-25 100 100 100 0 -100 2 8553.825 -115.1478020 -115.1478020 0.000000 -0.0134616 -0.0134616 0.0000000 -115.1478020 -11514.78020 0.0000 86400 secs
2009-04-06 2009-04-09 100 100 100 0 -100 2 8452.956 -10.7233270 -10.7233270 96.506149 -0.0012686 -0.0012686 0.0114169 -10.7233270 -1072.33270 9650.6149 259200 secs
2009-04-17 2009-04-21 100 100 100 0 -100 2 8388.618 42.8919884 0.0000000 127.025379 0.0051131 0.0000000 0.0151426 42.8919884 0.00000 12702.5379 345600 secs
2009-04-23 2009-04-29 100 100 100 0 -100 2 8379.545 -257.3495386 -257.3495386 0.000000 -0.0307116 -0.0307116 0.0000000 -257.3495386 -25734.95386 0.0000 518400 secs
2009-10-06 2009-10-07 100 100 100 0 -100 2 8243.042 96.6901907 0.0000000 96.690191 0.0117299 0.0000000 0.0117299 96.6901907 0.00000 9669.0191 86400 secs
2010-05-11 2010-05-17 100 100 100 0 -100 2 8039.060 100.7464006 -61.1367231 130.884092 0.0125321 -0.0076050 0.0162810 100.7464006 -6113.67231 13088.4092 518400 secs
2010-05-28 2010-06-07 100 100 200 0 -200 3 16758.502 269.2226793 -81.5613993 269.222679 0.0160648 -0.0048669 0.0160648 134.6113397 -8156.13993 26922.2679 864000 secs
2010-06-10 2010-06-17 100 100 200 0 -200 3 16696.812 211.6798061 0.0000000 211.679806 0.0126779 0.0000000 0.0126779 105.8399031 0.00000 21167.9806 604800 secs
2010-06-22 2010-07-07 100 100 100 0 -100 2 8516.454 187.2214559 0.0000000 290.351995 0.0219835 0.0000000 0.0340931 187.2214559 0.00000 29035.1995 1296000 secs
2010-07-09 2010-07-15 100 100 100 0 -100 2 8598.812 94.4636090 -77.1309623 94.463609 0.0109857 -0.0089700 0.0109857 94.4636090 -7713.09623 9446.3609 518400 secs
2010-07-26 2010-08-02 100 100 100 0 -100 2 8632.611 -46.8462233 -83.1974493 75.397940 -0.0054267 -0.0096376 0.0087341 -46.8462233 -8319.74493 7539.7940 604800 secs
2010-09-03 2010-09-08 100 100 100 0 -100 2 9032.498 111.6198905 0.0000000 184.870152 0.0123576 0.0000000 0.0204672 111.6198905 0.00000 18487.0152 432000 secs
2010-09-10 2010-09-15 100 100 100 0 -100 2 8922.622 -4.3604170 -4.3604170 129.932456 -0.0004887 -0.0004887 0.0145621 -4.3604170 -436.04170 12993.2456 432000 secs
2010-09-17 2010-09-21 100 100 100 0 -100 2 8865.940 175.2784206 0.0000000 175.278421 0.0197699 0.0000000 0.0197699 175.2784206 0.00000 17527.8421 345600 secs
2010-10-01 2010-10-07 100 100 100 0 -100 2 9156.336 6.1268935 -31.5102757 83.151623 0.0006691 -0.0034414 0.0090813 6.1268935 -3151.02757 8315.1623 518400 secs
2010-10-11 2010-10-20 100 100 100 0 -100 2 9123.950 -203.9404147 -347.4874401 0.000000 -0.0223522 -0.0380852 0.0000000 -203.9404147 -34748.74401 0.0000 777600 secs
2010-10-28 2010-11-01 100 100 100 0 -100 2 8708.190 43.5564015 0.0000000 81.401319 0.0050018 0.0000000 0.0093477 43.5564015 0.00000 8140.1319 345600 secs
2010-11-15 2010-11-16 100 100 100 0 -100 2 8237.196 204.5909429 0.0000000 204.590943 0.0248374 0.0000000 0.0248374 204.5909429 0.00000 20459.0943 86400 secs
2011-05-10 2011-05-11 100 100 100 0 -100 2 8464.196 48.4746458 0.0000000 48.474646 0.0057270 0.0000000 0.0057270 48.4746458 0.00000 4847.4646 86400 secs
2011-05-20 2011-05-24 100 100 100 0 -100 2 8556.657 73.6094213 0.0000000 73.609421 0.0086026 0.0000000 0.0086026 73.6094213 0.00000 7360.9421 345600 secs
2011-06-15 2011-06-16 100 100 100 0 -100 2 8732.074 39.6423738 0.0000000 39.642374 0.0045399 0.0000000 0.0045399 39.6423738 0.00000 3964.2374 86400 secs
2011-06-28 2011-07-07 100 100 100 0 -100 2 8548.279 -46.7694660 -83.8351061 0.000000 -0.0054712 -0.0098072 0.0000000 -46.7694660 -8383.51061 0.0000 777600 secs
2011-07-22 2011-07-25 100 100 100 0 -100 2 8683.220 -94.9235452 -94.9235452 0.000000 -0.0109318 -0.0109318 0.0000000 -94.9235452 -9492.35452 0.0000 259200 secs
2011-08-24 2011-08-31 100 100 100 0 -100 2 9640.039 68.0281263 0.0000000 220.411129 0.0070568 0.0000000 0.0228641 68.0281263 0.00000 22041.1129 604800 secs
2011-09-27 2011-10-03 100 100 100 0 -100 2 10650.780 641.7960652 -3.6392060 641.796065 0.0602581 -0.0003417 0.0602581 641.7960652 -363.92060 64179.6065 518400 secs
2011-10-06 2011-10-18 100 100 100 0 -100 2 10864.807 -357.5395060 -471.5506536 0.000000 -0.0329080 -0.0434017 0.0000000 -357.5395060 -47155.06536 0.0000 1036800 secs
2011-10-20 2011-10-26 100 100 100 0 -100 2 10428.827 -15.5053337 -110.3626996 169.648679 -0.0014868 -0.0105825 0.0162673 -15.5053337 -11036.26996 16964.8679 518400 secs
2011-10-28 2011-11-01 100 100 100 0 -100 2 10166.146 756.9434342 0.0000000 756.943434 0.0744573 0.0000000 0.0744573 756.9434342 0.00000 75694.3434 345600 secs
2011-11-04 2011-11-10 100 100 100 0 -100 2 10651.499 -10.9735672 -69.4982835 149.969585 -0.0010302 -0.0065247 0.0140797 -10.9735672 -6949.82835 14996.9585 518400 secs
2011-11-14 2011-11-15 100 100 100 0 -100 2 10745.687 -14.6315448 -14.6315448 0.000000 -0.0013616 -0.0013616 0.0000000 -14.6315448 -1463.15448 0.0000 86400 secs
2011-11-29 2011-12-05 100 100 100 0 -100 2 10950.523 -96.7487053 -225.0874349 0.000000 -0.0088351 -0.0205549 0.0000000 -96.7487053 -22508.74349 0.0000 518400 secs
2011-12-07 2011-12-09 100 100 100 0 -100 2 10788.688 -89.8372574 -89.8372574 134.755657 -0.0083270 -0.0083270 0.0124905 -89.8372574 -8983.72574 13475.5657 172800 secs
2011-12-22 2011-12-29 100 100 100 0 -100 2 10963.778 151.2173071 -121.9217106 151.217307 0.0137924 -0.0111204 0.0137924 151.2173071 -12192.17106 15121.7307 604800 secs
2012-01-05 2012-01-10 100 100 100 0 -100 2 10833.580 47.8219793 0.0000000 85.528264 0.0044142 0.0000000 0.0078947 47.8219793 0.00000 8552.8264 432000 secs
2012-01-11 2012-01-27 100 100 200 0 -200 3 21781.198 -62.5367952 -413.8471748 145.306175 -0.0028711 -0.0190002 0.0066712 -31.2683976 -41384.71748 14530.6175 1382400 secs
2012-02-03 2012-02-13 100 100 100 0 -100 2 10746.160 52.5461155 -99.5614199 106.936419 0.0048898 -0.0092648 0.0099511 52.5461155 -9956.14199 10693.6418 864000 secs
2012-02-17 2012-02-23 100 100 100 0 -100 2 10747.082 14.7494439 -118.9204569 14.749444 0.0013724 -0.0110654 0.0013724 14.7494439 -11892.04569 1474.9444 518400 secs
2012-03-01 2012-03-07 100 100 100 0 -100 2 10723.527 78.5375033 0.0000000 145.062272 0.0073238 0.0000000 0.0135275 78.5375033 0.00000 14506.2272 518400 secs
2012-03-09 2012-03-20 100 100 200 0 -200 3 20974.909 -547.9107141 -629.2201097 0.000000 -0.0261222 -0.0299987 0.0000000 -273.9553571 -62922.01097 0.0000 950400 secs
2012-04-13 2012-04-16 100 100 100 0 -100 2 10823.572 -15.7479081 -15.7479081 0.000000 -0.0014550 -0.0014550 0.0000000 -15.7479081 -1574.79081 0.0000 259200 secs
2012-04-18 2012-04-27 100 100 200 0 -200 3 21688.830 41.6859443 -41.6865002 90.782756 0.0019220 -0.0019220 0.0041857 20.8429722 -4168.65002 9078.2756 777600 secs
2012-05-02 2012-05-03 100 100 100 0 -100 2 10887.816 -2.7857024 -2.7857024 0.000000 -0.0002559 -0.0002559 0.0000000 -2.7857024 -278.57024 0.0000 86400 secs
2012-05-23 2012-05-29 100 100 100 0 -100 2 11459.833 -36.2159879 -43.6443108 0.000000 -0.0031603 -0.0038085 0.0000000 -36.2159879 -4364.43108 0.0000 518400 secs
2012-06-06 2012-06-12 100 100 100 0 -100 2 11636.107 -39.0822438 -39.0822438 67.927319 -0.0033587 -0.0033587 0.0058376 -39.0822438 -3908.22438 6792.7319 518400 secs
2012-07-30 2012-08-03 100 100 100 0 -100 2 12070.538 -163.3063681 -163.3063681 32.001105 -0.0135293 -0.0135293 0.0026512 -163.3063681 -16330.63681 3200.1105 345600 secs
2012-08-07 2012-08-14 100 100 100 0 -100 2 11758.648 -190.6354127 -190.6354127 0.000000 -0.0162124 -0.0162124 0.0000000 -190.6354127 -19063.54127 0.0000 604800 secs
2012-08-15 2012-08-22 100 100 100 0 -100 2 11405.412 220.5389922 -97.1867268 220.538992 0.0193363 -0.0085211 0.0193363 220.5389922 -9718.67268 22053.8992 604800 secs
2012-09-06 2012-09-17 100 100 200 0 -200 3 23050.549 -627.4422464 -893.4025452 0.000000 -0.0272203 -0.0387584 0.0000000 -313.7211232 -89340.25452 0.0000 950400 secs
2012-10-05 2012-10-11 100 100 100 0 -100 2 11369.267 235.5500001 0.0000000 235.550000 0.0207181 0.0000000 0.0207181 235.5500001 0.00000 23555.0000 518400 secs
2012-10-17 2012-10-22 100 100 100 0 -100 2 11341.113 10.3229940 -69.4446831 83.521647 0.0009102 -0.0061233 0.0073645 10.3229940 -6944.46831 8352.1647 432000 secs
2012-10-26 2012-10-31 100 100 100 0 -100 2 11509.095 67.5682614 0.0000000 67.568261 0.0058709 0.0000000 0.0058709 67.5682614 0.00000 6756.8261 432000 secs
2012-11-05 2012-11-06 100 100 100 0 -100 2 11538.187 -108.8592989 -108.8592989 0.000000 -0.0094347 -0.0094347 0.0000000 -108.8592989 -10885.92989 0.0000 86400 secs
2012-11-19 2012-11-27 100 100 100 0 -100 2 11792.506 -34.7227638 -136.0750620 0.000000 -0.0029445 -0.0115391 0.0000000 -34.7227638 -13607.50620 0.0000 691200 secs
2012-12-13 2012-12-17 100 100 100 0 -100 2 11535.497 -87.4471133 -87.4471133 86.506634 -0.0075807 -0.0075807 0.0074992 -87.4471133 -8744.71133 8650.6634 345600 secs
2013-04-10 2013-04-11 100 100 100 0 -100 2 11373.905 21.8158711 0.0000000 21.815871 0.0019181 0.0000000 0.0019181 21.8158711 0.00000 2181.5871 86400 secs
2013-05-06 2013-05-07 100 100 100 0 -100 2 11466.528 -44.6753548 -44.6753548 0.000000 -0.0038962 -0.0038962 0.0000000 -44.6753548 -4467.53548 0.0000 86400 secs
2014-02-06 2014-02-13 100 100 100 0 -100 2 10387.928 -17.5241525 -75.9378968 37.968900 -0.0016870 -0.0073102 0.0036551 -17.5241525 -7593.78968 3796.8900 604800 secs
2014-02-21 2014-02-24 100 100 100 0 -100 2 10385.007 -26.2858393 -26.2858393 0.000000 -0.0025311 -0.0025311 0.0000000 -26.2858393 -2628.58393 0.0000 259200 secs
2014-03-10 2014-03-13 100 100 100 0 -100 2 10348.742 240.0782190 0.0000000 240.078219 0.0231988 0.0000000 0.0231988 240.0782190 0.00000 24007.8219 259200 secs
2014-03-18 2014-03-24 100 100 200 0 -200 3 21112.253 162.9798978 -100.5204008 162.979898 0.0077197 -0.0047612 0.0077197 81.4899489 -10052.04008 16297.9898 518400 secs
2014-04-01 2014-04-07 100 100 100 0 -100 2 10556.381 119.3697823 -60.6634282 119.369782 0.0113078 -0.0057466 0.0113078 119.3697823 -6066.34282 11936.9782 518400 secs
2014-04-22 2014-04-24 100 100 100 0 -100 2 10795.120 82.1885043 0.0000000 82.188504 0.0076135 0.0000000 0.0076135 82.1885043 0.00000 8218.8504 172800 secs
2014-04-30 2014-05-01 100 100 100 0 -100 2 10870.460 116.6186892 0.0000000 116.618689 0.0107280 0.0000000 0.0107280 116.6186892 0.00000 11661.8689 86400 secs
2014-05-09 2014-05-14 100 100 100 0 -100 2 10910.575 168.7001100 -44.1363368 168.700110 0.0154621 -0.0040453 0.0154621 168.7001100 -4413.63368 16870.0110 432000 secs
2014-05-20 2014-05-27 100 100 200 0 -200 3 22132.068 104.9478851 -83.3690938 104.947885 0.0047419 -0.0037669 0.0047419 52.4739425 -8336.90938 10494.7885 604800 secs
2014-06-02 2014-06-13 100 100 200 0 -200 3 22025.024 31.4679163 -190.7696703 43.267500 0.0014287 -0.0086615 0.0019645 15.7339582 -19076.96703 4326.7500 950400 secs
2014-07-03 2014-07-09 100 100 100 0 -100 2 10911.761 211.9651982 0.0000000 211.965198 0.0194254 0.0000000 0.0194254 211.9651982 0.00000 21196.5198 518400 secs
2014-07-16 2014-07-17 100 100 100 0 -100 2 11185.837 140.9813728 0.0000000 140.981373 0.0126036 0.0000000 0.0126036 140.9813728 0.00000 14098.1373 86400 secs
2014-07-25 2014-07-28 100 100 100 0 -100 2 11403.717 -15.7737453 -15.7737453 0.000000 -0.0013832 -0.0013832 0.0000000 -15.7737453 -1577.37453 0.0000 259200 secs
2014-08-01 2014-08-06 100 100 100 0 -100 2 11324.089 13.8386976 -29.6541684 13.838698 0.0012221 -0.0026187 0.0012221 13.8386976 -2965.41684 1383.8698 432000 secs
2014-08-12 2014-08-14 100 100 100 0 -100 2 11343.859 166.0655572 0.0000000 166.065557 0.0146392 0.0000000 0.0146392 166.0655572 0.00000 16606.5557 172800 secs
2014-08-20 2014-08-22 100 100 100 0 -100 2 11465.443 128.5034063 0.0000000 128.503406 0.0112079 0.0000000 0.0112079 128.5034063 0.00000 12850.3406 172800 secs
2014-09-03 2014-09-22 100 100 400 0 -400 5 45663.241 -192.2046937 -925.3507584 0.000000 -0.0042092 -0.0202647 0.0000000 -48.0511734 -92535.07584 0.0000 1641600 secs
2014-10-20 2014-11-05 100 100 200 0 -200 3 23949.350 -221.4780454 -230.4245929 0.000000 -0.0092478 -0.0096213 0.0000000 -110.7390227 -23042.45929 0.0000 1382400 secs
2014-11-07 2014-11-10 100 100 100 0 -100 2 11922.678 -109.5191770 -109.5191770 0.000000 -0.0091858 -0.0091858 0.0000000 -109.5191770 -10951.91770 0.0000 259200 secs
2014-12-03 2014-12-05 100 100 100 0 -100 2 12053.481 29.9361208 0.0000000 100.786819 0.0024836 0.0000000 0.0083616 29.9361208 0.00000 10078.6819 172800 secs
2014-12-19 2014-12-23 100 100 100 0 -100 2 12560.408 -232.5079461 -232.5079461 16.963885 -0.0185112 -0.0185112 0.0013506 -232.5079461 -23250.79461 1696.3885 345600 secs


R version 3.5.2 (2018-12-20)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 16.04.5 LTS

Matrix products: default
BLAS: /usr/lib/atlas-base/atlas/libblas.so.3.0
LAPACK: /usr/lib/atlas-base/atlas/liblapack.so.3.0

locale:
 [1] LC_CTYPE=C.UTF-8       LC_NUMERIC=C           LC_TIME=C.UTF-8       
 [4] LC_COLLATE=C.UTF-8     LC_MONETARY=C.UTF-8    LC_MESSAGES=C.UTF-8   
 [7] LC_PAPER=C.UTF-8       LC_NAME=C              LC_ADDRESS=C          
[10] LC_TELEPHONE=C         LC_MEASUREMENT=C.UTF-8 LC_IDENTIFICATION=C   

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] purrr_0.2.5                blotter_0.14.2            
[3] PerformanceAnalytics_1.5.2 FinancialInstrument_1.3.1 
[5] quantmod_0.4-13            TTR_0.23-4                
[7] xts_0.11-2                 zoo_1.8-4                 

loaded via a namespace (and not attached):
 [1] Rcpp_1.0.0       knitr_1.21       whisker_0.3-2    magrittr_1.5    
 [5] workflowr_1.2.0  here_0.1         lattice_0.20-38  rlang_0.3.0.1   
 [9] quadprog_1.5-5   foreach_1.4.4    highr_0.7        stringr_1.3.1   
[13] tools_3.5.2      grid_3.5.2       xfun_0.4         git2r_0.23.0    
[17] iterators_1.0.10 htmltools_0.3.6  yaml_2.2.0       rprojroot_1.3-2 
[21] digest_0.6.18    codetools_0.2-15 fs_1.2.6         curl_3.2        
[25] glue_1.3.0       evaluate_0.12    rmarkdown_1.11   stringi_1.2.4   
[29] compiler_3.5.2   backports_1.1.3  boot_1.3-20