Last updated: 2019-03-07

Checks: 6 0

Knit directory: project/analysis/

This reproducible R Markdown analysis was created with workflowr (version 1.2.0). The Report tab describes the reproducibility checks that were applied when the results were created. The Past versions tab lists the development history.


Great! Since the R Markdown file has been committed to the Git repository, you know the exact version of the code that produced these results.

Great job! The global environment was empty. Objects defined in the global environment can affect the analysis in your R Markdown file in unknown ways. For reproduciblity it’s best to always run the code in an empty environment.

The command set.seed(20180909) was run prior to running the code in the R Markdown file. Setting a seed ensures that any results that rely on randomness, e.g. subsampling or permutations, are reproducible.

Great job! Recording the operating system, R version, and package versions is critical for reproducibility.

Nice! There were no cached chunks for this analysis, so you can be confident that you successfully produced the results during this run.

Great! You are using Git for version control. Tracking code development and connecting the code version to the results is critical for reproducibility. The version displayed above was the version of the Git repository at the time these results were generated.

Note that you need to be careful to ensure that all relevant files for the analysis have been committed to Git prior to generating the results (you can use wflow_publish or wflow_git_commit). workflowr only checks the R Markdown file, but you know if there are other scripts or data files that it depends on. Below is the status of the Git repository when the results were generated:


Ignored files:
    Ignored:    .RData
    Ignored:    .Rhistory
    Ignored:    .Rproj.user/
    Ignored:    analysis/figure/

Untracked files:
    Untracked:  docs/child/
    Untracked:  docs/figure/exploratory.Rmd/

Unstaged changes:
    Modified:   README.md

Note that any generated files, e.g. HTML, png, CSS, etc., are not included in this status report because it is ok for generated content to have uncommitted changes.


These are the previous versions of the R Markdown and HTML files. If you’ve configured a remote Git repository (see ?wflow_git_remote), click on the hyperlinks in the table below to view them.

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

IWM

Trade Statistics for IWM
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

QQQ

Trade Statistics for QQQ
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

SPY

Trade Statistics for SPY
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

TLT

Trade Statistics for TLT
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/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