Last updated: 2019-03-07

Checks: 6 0

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 6e77a82 Tim Trice 2018-09-09 Add Per Trade Stats draft
Rmd 3816812 Tim Trice 2018-09-09 Rename Per Trade Statistics


Trade Statistics for IWM
Portfolio connors_rsi
Symbol IWM
Num.Txns 337
Num.Trades 151
Net.Trading.PL 4136.283
Avg.Trade.PL 27.3926
Med.Trade.PL 43.88417
Largest.Winner 462.2101
Largest.Loser -781.7832
Gross.Profits 11318.15
Gross.Losses -7181.868
Std.Dev.Trade.PL 168.9384
Std.Err.Trade.PL 13.74802
Percent.Positive 64.23841
Percent.Negative 35.76159
Profit.Factor 1.575934
Avg.Win.Trade 116.682
Med.Win.Trade 101.1243
Avg.Losing.Trade -132.9976
Med.Losing.Trade -83.43113
Avg.Daily.PL 27.3926
Med.Daily.PL 43.88417
Std.Dev.Daily.PL 168.9384
Std.Err.Daily.PL 13.74802
Ann.Sharpe 2.57398
Max.Drawdown -2283.451
Profit.To.Max.Draw 1.811417
Avg.WinLoss.Ratio 0.8773242
Med.WinLoss.Ratio 1.21207
Max.Equity 4439.698
Min.Equity -631.1981
End.Equity 4136.283


Trade Statistics for QQQ
Portfolio connors_rsi
Symbol QQQ
Num.Txns 366
Num.Trades 170
Net.Trading.PL 4993.894
Avg.Trade.PL 29.37584
Med.Trade.PL 28.83609
Largest.Winner 446.0782
Largest.Loser -392.0038
Gross.Profits 10037.68
Gross.Losses -5043.782
Std.Dev.Trade.PL 116.181
Std.Err.Trade.PL 8.910679
Percent.Positive 68.23529
Percent.Negative 31.76471
Profit.Factor 1.990109
Avg.Win.Trade 86.53168
Med.Win.Trade 72.26022
Avg.Losing.Trade -93.40336
Med.Losing.Trade -61.18624
Avg.Daily.PL 29.37584
Med.Daily.PL 28.83609
Std.Dev.Daily.PL 116.181
Std.Err.Daily.PL 8.910679
Ann.Sharpe 4.013797
Max.Drawdown -1095.513
Profit.To.Max.Draw 4.558497
Avg.WinLoss.Ratio 0.9264301
Med.WinLoss.Ratio 1.180988
Max.Equity 4993.894
Min.Equity 0
End.Equity 4993.894


Trade Statistics for SPY
Portfolio connors_rsi
Symbol SPY
Num.Txns 343
Num.Trades 156
Net.Trading.PL 7683.713
Avg.Trade.PL 49.25457
Med.Trade.PL 68.95626
Largest.Winner 1242.144
Largest.Loser -922.0158
Gross.Profits 15670.92
Gross.Losses -7987.204
Std.Dev.Trade.PL 211.7501
Std.Err.Trade.PL 16.95358
Percent.Positive 64.10256
Percent.Negative 35.89744
Profit.Factor 1.962003
Avg.Win.Trade 156.7092
Med.Win.Trade 138.6937
Avg.Losing.Trade -142.6286
Med.Losing.Trade -90.91182
Avg.Daily.PL 49.25457
Med.Daily.PL 68.95626
Std.Dev.Daily.PL 211.7501
Std.Err.Daily.PL 16.95358
Ann.Sharpe 3.692522
Max.Drawdown -1759.95
Profit.To.Max.Draw 4.365869
Avg.WinLoss.Ratio 1.098722
Med.WinLoss.Ratio 1.525584
Max.Equity 7683.713
Min.Equity 0
End.Equity 7683.713


Trade Statistics for TLT
Portfolio connors_rsi
Symbol TLT
Num.Txns 316
Num.Trades 144
Net.Trading.PL 3956.882
Avg.Trade.PL 27.47835
Med.Trade.PL 28.37996
Largest.Winner 756.9434
Largest.Loser -627.4422
Gross.Profits 10233.53
Gross.Losses -6276.647
Std.Dev.Trade.PL 171.8725
Std.Err.Trade.PL 14.32271
Percent.Positive 59.02778
Percent.Negative 40.97222
Profit.Factor 1.630413
Avg.Win.Trade 120.3945
Med.Win.Trade 81.77176
Avg.Losing.Trade -106.3838
Med.Losing.Trade -62.5368
Avg.Daily.PL 27.47835
Med.Daily.PL 28.37996
Std.Dev.Daily.PL 171.8725
Std.Err.Daily.PL 14.32271
Ann.Sharpe 2.537959
Max.Drawdown -1706.687
Profit.To.Max.Draw 2.318458
Avg.WinLoss.Ratio 1.131699
Med.WinLoss.Ratio 1.307578
Max.Equity 4682.656
Min.Equity -248.1345
End.Equity 3956.882

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/
LAPACK: /usr/lib/atlas-base/atlas/

 [1] LC_CTYPE=C.UTF-8       LC_NUMERIC=C           LC_TIME=C.UTF-8       
 [7] LC_PAPER=C.UTF-8       LC_NAME=C              LC_ADDRESS=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