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<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#r-resources"><i class="fa fa-check"></i><b>1.1</b> R Resources</a></li>
<li class="chapter" data-level="1.2" data-path="index.html"><a href="index.html#libraries"><i class="fa fa-check"></i><b>1.2</b> Libraries</a></li>
<li class="chapter" data-level="1.3" data-path="index.html"><a href="index.html#sessioninfo"><i class="fa fa-check"></i><b>1.3</b> SessionInfo</a></li>
</ul></li>
<li class="chapter" data-level="2" data-path="terminology.html"><a href="terminology.html"><i class="fa fa-check"></i><b>2</b> Terminology</a></li>
<li class="chapter" data-level="3" data-path="using-quantstrat.html"><a href="using-quantstrat.html"><i class="fa fa-check"></i><b>3</b> Using Quantsrat</a><ul>
<li class="chapter" data-level="3.1" data-path="using-quantstrat.html"><a href="using-quantstrat.html#settings-and-variables"><i class="fa fa-check"></i><b>3.1</b> Settings and Variables</a></li>
<li class="chapter" data-level="3.2" data-path="using-quantstrat.html"><a href="using-quantstrat.html#symbols"><i class="fa fa-check"></i><b>3.2</b> Symbols</a></li>
<li class="chapter" data-level="3.3" data-path="using-quantstrat.html"><a href="using-quantstrat.html#checkBlotterUpdate"><i class="fa fa-check"></i><b>3.3</b> checkBlotterUpdate()</a></li>
</ul></li>
<li class="chapter" data-level="4" data-path="get-symbols.html"><a href="get-symbols.html"><i class="fa fa-check"></i><b>4</b> Get Symbols</a><ul>
<li class="chapter" data-level="4.1" data-path="get-symbols.html"><a href="get-symbols.html#yahoo"><i class="fa fa-check"></i><b>4.1</b> Yahoo!</a></li>
<li class="chapter" data-level="4.2" data-path="get-symbols.html"><a href="get-symbols.html#google"><i class="fa fa-check"></i><b>4.2</b> Google</a></li>
<li class="chapter" data-level="4.3" data-path="get-symbols.html"><a href="get-symbols.html#mysql"><i class="fa fa-check"></i><b>4.3</b> MySQL</a></li>
<li class="chapter" data-level="4.4" data-path="get-symbols.html"><a href="get-symbols.html#fred"><i class="fa fa-check"></i><b>4.4</b> FRED</a></li>
<li class="chapter" data-level="4.5" data-path="get-symbols.html"><a href="get-symbols.html#oanda"><i class="fa fa-check"></i><b>4.5</b> OANDA</a></li>
</ul></li>
<li class="chapter" data-level="5" data-path="basic-strategy.html"><a href="basic-strategy.html"><i class="fa fa-check"></i><b>5</b> Basic Strategy</a><ul>
<li class="chapter" data-level="5.1" data-path="basic-strategy.html"><a href="basic-strategy.html#strategy-setup"><i class="fa fa-check"></i><b>5.1</b> Strategy Setup</a></li>
<li class="chapter" data-level="5.2" data-path="basic-strategy.html"><a href="basic-strategy.html#add-indicators"><i class="fa fa-check"></i><b>5.2</b> Add Indicators</a></li>
<li class="chapter" data-level="5.3" data-path="basic-strategy.html"><a href="basic-strategy.html#add-signals"><i class="fa fa-check"></i><b>5.3</b> Add Signals</a></li>
<li class="chapter" data-level="5.4" data-path="basic-strategy.html"><a href="basic-strategy.html#add-rules"><i class="fa fa-check"></i><b>5.4</b> Add Rules</a></li>
<li class="chapter" data-level="5.5" data-path="basic-strategy.html"><a href="basic-strategy.html#apply-strategy"><i class="fa fa-check"></i><b>5.5</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="6" data-path="data-quality.html"><a href="data-quality.html"><i class="fa fa-check"></i><b>6</b> Data Quality</a><ul>
<li class="chapter" data-level="6.1" data-path="data-quality.html"><a href="data-quality.html#yahoo-vs.google"><i class="fa fa-check"></i><b>6.1</b> Yahoo! vs. Google</a></li>
<li class="chapter" data-level="6.2" data-path="data-quality.html"><a href="data-quality.html#examining-trades"><i class="fa fa-check"></i><b>6.2</b> Examining Trades</a></li>
</ul></li>
<li class="chapter" data-level="7" data-path="parameter-optimization.html"><a href="parameter-optimization.html"><i class="fa fa-check"></i><b>7</b> Parameter Optimization</a><ul>
<li class="chapter" data-level="7.1" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution"><i class="fa fa-check"></i><b>7.1</b> Add Distribution</a></li>
<li class="chapter" data-level="7.2" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution-constraint"><i class="fa fa-check"></i><b>7.2</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="7.3" data-path="parameter-optimization.html"><a href="parameter-optimization.html#running-parallel"><i class="fa fa-check"></i><b>7.3</b> Running Parallel</a></li>
<li class="chapter" data-level="7.4" data-path="parameter-optimization.html"><a href="parameter-optimization.html#apply-paramset"><i class="fa fa-check"></i><b>7.4</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="8" data-path="stop-loss.html"><a href="stop-loss.html"><i class="fa fa-check"></i><b>8</b> Stop-Loss Orders</a><ul>
<li class="chapter" data-level="8.1" data-path="stop-loss.html"><a href="stop-loss.html#add-indicators-1"><i class="fa fa-check"></i><b>8.1</b> Add Indicators</a></li>
<li class="chapter" data-level="8.2" data-path="stop-loss.html"><a href="stop-loss.html#add-signals-1"><i class="fa fa-check"></i><b>8.2</b> Add Signals</a></li>
<li class="chapter" data-level="8.3" data-path="stop-loss.html"><a href="stop-loss.html#add-rules-1"><i class="fa fa-check"></i><b>8.3</b> Add Rules</a></li>
<li class="chapter" data-level="8.4" data-path="stop-loss.html"><a href="stop-loss.html#add-position-limit"><i class="fa fa-check"></i><b>8.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="8.5" data-path="stop-loss.html"><a href="stop-loss.html#enable-rules"><i class="fa fa-check"></i><b>8.5</b> Enable Rules</a></li>
<li class="chapter" data-level="8.6" data-path="stop-loss.html"><a href="stop-loss.html#apply-strategy-1"><i class="fa fa-check"></i><b>8.6</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="9" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html"><i class="fa fa-check"></i><b>9</b> Stop Loss Optimization</a><ul>
<li class="chapter" data-level="9.1" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-indicators-2"><i class="fa fa-check"></i><b>9.1</b> Add Indicators</a></li>
<li class="chapter" data-level="9.2" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-signals-2"><i class="fa fa-check"></i><b>9.2</b> Add Signals</a></li>
<li class="chapter" data-level="9.3" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-rules-2"><i class="fa fa-check"></i><b>9.3</b> Add Rules</a></li>
<li class="chapter" data-level="9.4" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-position-limit-1"><i class="fa fa-check"></i><b>9.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="9.5" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-1"><i class="fa fa-check"></i><b>9.5</b> Add Distribution</a></li>
<li class="chapter" data-level="9.6" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-constraint-1"><i class="fa fa-check"></i><b>9.6</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="9.7" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#enable-rules-1"><i class="fa fa-check"></i><b>9.7</b> Enable Rules</a></li>
<li class="chapter" data-level="9.8" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#apply-paramset-1"><i class="fa fa-check"></i><b>9.8</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="10" data-path="trailing-stops.html"><a href="trailing-stops.html"><i class="fa fa-check"></i><b>10</b> Trailing Stops</a><ul>
<li class="chapter" data-level="10.1" data-path="trailing-stops.html"><a href="trailing-stops.html#osfixeddollar"><i class="fa fa-check"></i><b>10.1</b> osFixedDollar</a></li>
<li class="chapter" data-level="10.2" data-path="trailing-stops.html"><a href="trailing-stops.html#add-indicators-3"><i class="fa fa-check"></i><b>10.2</b> Add Indicators</a></li>
<li class="chapter" data-level="10.3" data-path="trailing-stops.html"><a href="trailing-stops.html#add-signals-3"><i class="fa fa-check"></i><b>10.3</b> Add Signals</a></li>
<li class="chapter" data-level="10.4" data-path="trailing-stops.html"><a href="trailing-stops.html#add-rules-3"><i class="fa fa-check"></i><b>10.4</b> Add Rules</a></li>
<li class="chapter" data-level="10.5" data-path="trailing-stops.html"><a href="trailing-stops.html#enable-rules-2"><i class="fa fa-check"></i><b>10.5</b> Enable Rules</a></li>
<li class="chapter" data-level="10.6" data-path="trailing-stops.html"><a href="trailing-stops.html#save-strategy"><i class="fa fa-check"></i><b>10.6</b> Save Strategy</a></li>
</ul></li>
<li class="chapter" data-level="11" data-path="obtaining-resources.html"><a href="obtaining-resources.html"><i class="fa fa-check"></i><b>11</b> Obtaining Resources</a><ul>
<li class="chapter" data-level="11.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#amazon-web-services"><i class="fa fa-check"></i><b>11.1</b> Amazon Web Services</a></li>
<li class="chapter" data-level="11.2" data-path="obtaining-resources.html"><a href="obtaining-resources.html#getting-started"><i class="fa fa-check"></i><b>11.2</b> Getting Started</a><ul>
<li class="chapter" data-level="11.2.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#installing-quantstrat"><i class="fa fa-check"></i><b>11.2.1</b> Installing Quantstrat</a></li>
</ul></li>
<li class="chapter" data-level="11.3" data-path="obtaining-resources.html"><a href="obtaining-resources.html#testing-resources"><i class="fa fa-check"></i><b>11.3</b> Testing Resources</a></li>
<li class="chapter" data-level="11.4" data-path="obtaining-resources.html"><a href="obtaining-resources.html#changing-instances"><i class="fa fa-check"></i><b>11.4</b> Changing Instances</a></li>
<li class="chapter" data-level="11.5" data-path="obtaining-resources.html"><a href="obtaining-resources.html#stop-the-server"><i class="fa fa-check"></i><b>11.5</b> Stop the Server</a></li>
<li class="chapter" data-level="11.6" data-path="obtaining-resources.html"><a href="obtaining-resources.html#reading-resources"><i class="fa fa-check"></i><b>11.6</b> Reading Resources</a></li>
</ul></li>
<li class="chapter" data-level="12" data-path="analyzing-results.html"><a href="analyzing-results.html"><i class="fa fa-check"></i><b>12</b> Analyzing Results</a><ul>
<li class="chapter" data-level="12.1" data-path="analyzing-results.html"><a href="analyzing-results.html#apply-strategy-2"><i class="fa fa-check"></i><b>12.1</b> Apply Strategy</a></li>
<li class="chapter" data-level="12.2" data-path="analyzing-results.html"><a href="analyzing-results.html#chart-positions"><i class="fa fa-check"></i><b>12.2</b> Chart Positions</a></li>
<li class="chapter" data-level="12.3" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-statistics"><i class="fa fa-check"></i><b>12.3</b> Trade Statistics</a><ul>
<li class="chapter" data-level="12.3.1" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-related"><i class="fa fa-check"></i><b>12.3.1</b> Trade Related</a></li>
<li class="chapter" data-level="12.3.2" data-path="analyzing-results.html"><a href="analyzing-results.html#profit-related"><i class="fa fa-check"></i><b>12.3.2</b> Profit Related</a></li>
<li class="chapter" data-level="12.3.3" data-path="analyzing-results.html"><a href="analyzing-results.html#averages"><i class="fa fa-check"></i><b>12.3.3</b> Averages</a></li>
<li class="chapter" data-level="12.3.4" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-summary"><i class="fa fa-check"></i><b>12.3.4</b> Performance Summary</a></li>
<li class="chapter" data-level="12.3.5" data-path="analyzing-results.html"><a href="analyzing-results.html#per-trade-statistics"><i class="fa fa-check"></i><b>12.3.5</b> Per Trade Statistics</a></li>
<li class="chapter" data-level="12.3.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-statistics"><i class="fa fa-check"></i><b>12.3.6</b> Performance Statistics</a></li>
<li class="chapter" data-level="12.3.7" data-path="analyzing-results.html"><a href="analyzing-results.html#risk-statistics"><i class="fa fa-check"></i><b>12.3.7</b> Risk Statistics</a></li>
<li class="chapter" data-level="12.3.8" data-path="analyzing-results.html"><a href="analyzing-results.html#buy-and-hold-performance"><i class="fa fa-check"></i><b>12.3.8</b> Buy and Hold Performance</a></li>
<li class="chapter" data-level="12.3.9" data-path="analyzing-results.html"><a href="analyzing-results.html#strategy-vs.market"><i class="fa fa-check"></i><b>12.3.9</b> Strategy vs. Market</a></li>
<li class="chapter" data-level="12.3.10" data-path="analyzing-results.html"><a href="analyzing-results.html#riskreturn-scatterplot"><i class="fa fa-check"></i><b>12.3.10</b> Risk/Return Scatterplot</a></li>
<li class="chapter" data-level="12.3.11" data-path="analyzing-results.html"><a href="analyzing-results.html#relative-performance"><i class="fa fa-check"></i><b>12.3.11</b> Relative Performance</a></li>
<li class="chapter" data-level="12.3.12" data-path="analyzing-results.html"><a href="analyzing-results.html#portfolio-summary"><i class="fa fa-check"></i><b>12.3.12</b> Portfolio Summary</a></li>
<li class="chapter" data-level="12.3.13" data-path="analyzing-results.html"><a href="analyzing-results.html#order-book"><i class="fa fa-check"></i><b>12.3.13</b> Order Book</a></li>
<li class="chapter" data-level="12.3.14" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-adverse-excursion"><i class="fa fa-check"></i><b>12.3.14</b> Maximum Adverse Excursion</a></li>
<li class="chapter" data-level="12.3.15" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-favorable-excursion"><i class="fa fa-check"></i><b>12.3.15</b> Maximum Favorable Excursion</a></li>
</ul></li>
<li class="chapter" data-level="12.4" data-path="analyzing-results.html"><a href="analyzing-results.html#account-summary"><i class="fa fa-check"></i><b>12.4</b> Account Summary</a><ul>
<li class="chapter" data-level="12.4.1" data-path="analyzing-results.html"><a href="analyzing-results.html#equity-curve"><i class="fa fa-check"></i><b>12.4.1</b> Equity Curve</a></li>
<li class="chapter" data-level="12.4.2" data-path="analyzing-results.html"><a href="analyzing-results.html#account-performance-summary"><i class="fa fa-check"></i><b>12.4.2</b> Account Performance Summary</a></li>
<li class="chapter" data-level="12.4.3" data-path="analyzing-results.html"><a href="analyzing-results.html#cumulative-returns"><i class="fa fa-check"></i><b>12.4.3</b> Cumulative Returns</a></li>
<li class="chapter" data-level="12.4.4" data-path="analyzing-results.html"><a href="analyzing-results.html#distribution-analysis"><i class="fa fa-check"></i><b>12.4.4</b> Distribution Analysis</a></li>
<li class="chapter" data-level="12.4.5" data-path="analyzing-results.html"><a href="analyzing-results.html#annualized-returns"><i class="fa fa-check"></i><b>12.4.5</b> Annualized Returns</a></li>
<li class="chapter" data-level="12.4.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-scatter-plot"><i class="fa fa-check"></i><b>12.4.6</b> Performance Scatter Plot</a></li>
<li class="chapter" data-level="12.4.7" data-path="analyzing-results.html"><a href="analyzing-results.html#notional-costs"><i class="fa fa-check"></i><b>12.4.7</b> Notional Costs</a></li>
</ul></li>
</ul></li>
<li class="chapter" data-level="13" data-path="walk-forward-analysis.html"><a href="walk-forward-analysis.html"><i class="fa fa-check"></i><b>13</b> Walk Forward Analysis</a></li>
<li class="chapter" data-level="14" data-path="monte-carlo-analysis.html"><a href="monte-carlo-analysis.html"><i class="fa fa-check"></i><b>14</b> Monte Carlo Analysis</a></li>
<li class="chapter" data-level="15" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html"><i class="fa fa-check"></i><b>15</b> Warnings and Errors</a><ul>
<li class="chapter" data-level="15.1" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html#must-use-auto.assigntrue-for-multiple-symbols-requests"><i class="fa fa-check"></i><b>15.1</b> Must use auto.assign=TRUE for multiple Symbols requests</a></li>
<li class="chapter" data-level="15.2" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html#missing-in-call-to-function-add.distribution"><i class="fa fa-check"></i><b>15.2</b> Missing in call to function add.distribution</a></li>
</ul></li>
<li class="chapter" data-level="16" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html"><i class="fa fa-check"></i><b>16</b> About “Backtesting Strategies with R”</a><ul>
<li class="chapter" data-level="16.1" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#tim-trice"><i class="fa fa-check"></i><b>16.1</b> Tim Trice</a></li>
<li class="chapter" data-level="16.2" data-path="about-backtesting-strategies-with-r.html"><a href="about-backtesting-strategies-with-r.html#to-you-the-reader"><i class="fa fa-check"></i><b>16.2</b> To You, the Reader</a></li>
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            <section class="normal" id="section-">
<div id="analyzing-results" class="section level1">
<h1><span class="header-section-number">Chapter 12</span> Analyzing Results</h1>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">portfolio.st &lt;-<span class="st"> &quot;Port.Luxor&quot;</span>
account.st &lt;-<span class="st"> &quot;Acct.Luxor&quot;</span>
strategy.st &lt;-<span class="st"> &quot;Strat.Luxor&quot;</span></code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">cwd &lt;-<span class="st"> </span><span class="kw">getwd</span>()
<span class="kw">setwd</span>(<span class="st">&quot;./_data/&quot;</span>)
<span class="kw">load.strategy</span>(strategy.st)
<span class="kw">setwd</span>(cwd)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">rm.strat</span>(portfolio.st)
<span class="kw">rm.strat</span>(account.st)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initPortf</span>(<span class="dt">name =</span> portfolio.st,
          <span class="dt">symbols =</span> symbols,
          <span class="dt">initDate =</span> init_date)</code></pre></div>
<pre><code>## [1] &quot;Port.Luxor&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initAcct</span>(<span class="dt">name =</span> account.st,
         <span class="dt">portfolios =</span> portfolio.st,
         <span class="dt">initDate =</span> init_date, 
         <span class="dt">initEq =</span> init_equity)</code></pre></div>
<pre><code>## [1] &quot;Acct.Luxor&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initOrders</span>(<span class="dt">portfolio =</span> portfolio.st,
           <span class="dt">initDate =</span> init_date)</code></pre></div>
<div id="apply-strategy-2" class="section level2">
<h2><span class="header-section-number">12.1</span> Apply Strategy</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># Results hidden to save space</span>
<span class="kw">applyStrategy</span>(strategy.st, <span class="dt">portfolios =</span> portfolio.st)</code></pre></div>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">checkBlotterUpdate</span>(portfolio.st, account.st, <span class="dt">verbose =</span> <span class="ot">TRUE</span>)</code></pre></div>
<pre><code>## [1] TRUE</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">updatePortf</span>(portfolio.st)</code></pre></div>
<pre><code>## [1] &quot;Port.Luxor&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">updateAcct</span>(account.st)</code></pre></div>
<pre><code>## [1] &quot;Acct.Luxor&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">updateEndEq</span>(account.st)</code></pre></div>
<pre><code>## [1] &quot;Acct.Luxor&quot;</code></pre>
</div>
<div id="chart-positions" class="section level2">
<h2><span class="header-section-number">12.2</span> Chart Positions</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">for(symbol in symbols) {
    <span class="kw">chart.Posn</span>(portfolio.st, <span class="dt">Symbol =</span> symbol, 
               <span class="dt">TA =</span> <span class="st">&quot;add_SMA(n = 10, col = 4); add_SMA(n = 30, col = 2)&quot;</span>)
}</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-12-1.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-12-2.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-12-3.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="trade-statistics" class="section level2">
<h2><span class="header-section-number">12.3</span> Trade Statistics</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tstats &lt;-<span class="st"> </span><span class="kw">tradeStats</span>(portfolio.st)
<span class="kw">kable</span>(<span class="kw">t</span>(tstats))</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left"></th>
<th align="left">IWM</th>
<th align="left">QQQ</th>
<th align="left">SPY</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">Portfolio</td>
<td align="left">Port.Luxor</td>
<td align="left">Port.Luxor</td>
<td align="left">Port.Luxor</td>
</tr>
<tr class="even">
<td align="left">Symbol</td>
<td align="left">IWM</td>
<td align="left">QQQ</td>
<td align="left">SPY</td>
</tr>
<tr class="odd">
<td align="left">Num.Txns</td>
<td align="left">23</td>
<td align="left">21</td>
<td align="left">23</td>
</tr>
<tr class="even">
<td align="left">Num.Trades</td>
<td align="left">11</td>
<td align="left">10</td>
<td align="left">11</td>
</tr>
<tr class="odd">
<td align="left">Net.Trading.PL</td>
<td align="left">2501.460</td>
<td align="left">1070.748</td>
<td align="left">2251.207</td>
</tr>
<tr class="even">
<td align="left">Avg.Trade.PL</td>
<td align="left">211.1204</td>
<td align="left">101.8385</td>
<td align="left">200.5545</td>
</tr>
<tr class="odd">
<td align="left">Med.Trade.PL</td>
<td align="left">51.52684</td>
<td align="left">-45.13684</td>
<td align="left">-120.63947</td>
</tr>
<tr class="even">
<td align="left">Largest.Winner</td>
<td align="left">2109.166</td>
<td align="left">1287.017</td>
<td align="left">2927.862</td>
</tr>
<tr class="odd">
<td align="left">Largest.Loser</td>
<td align="left">-428.1350</td>
<td align="left">-355.5896</td>
<td align="left">-891.9164</td>
</tr>
<tr class="even">
<td align="left">Gross.Profits</td>
<td align="left">3724.335</td>
<td align="left">2463.680</td>
<td align="left">5705.846</td>
</tr>
<tr class="odd">
<td align="left">Gross.Losses</td>
<td align="left">-1402.011</td>
<td align="left">-1445.295</td>
<td align="left">-3499.746</td>
</tr>
<tr class="even">
<td align="left">Std.Dev.Trade.PL</td>
<td align="left">732.3649</td>
<td align="left">515.1777</td>
<td align="left">1149.6862</td>
</tr>
<tr class="odd">
<td align="left">Percent.Positive</td>
<td align="left">63.63636</td>
<td align="left">50.00000</td>
<td align="left">45.45455</td>
</tr>
<tr class="even">
<td align="left">Percent.Negative</td>
<td align="left">36.36364</td>
<td align="left">50.00000</td>
<td align="left">54.54545</td>
</tr>
<tr class="odd">
<td align="left">Profit.Factor</td>
<td align="left">2.656424</td>
<td align="left">1.704621</td>
<td align="left">1.630360</td>
</tr>
<tr class="even">
<td align="left">Avg.Win.Trade</td>
<td align="left">532.0479</td>
<td align="left">492.7360</td>
<td align="left">1141.1692</td>
</tr>
<tr class="odd">
<td align="left">Med.Win.Trade</td>
<td align="left">152.6189</td>
<td align="left">351.7958</td>
<td align="left">909.5703</td>
</tr>
<tr class="even">
<td align="left">Avg.Losing.Trade</td>
<td align="left">-350.5026</td>
<td align="left">-289.0589</td>
<td align="left">-583.2910</td>
</tr>
<tr class="odd">
<td align="left">Med.Losing.Trade</td>
<td align="left">-352.4492</td>
<td align="left">-300.4438</td>
<td align="left">-726.2925</td>
</tr>
<tr class="even">
<td align="left">Avg.Daily.PL</td>
<td align="left">211.1204</td>
<td align="left">101.8385</td>
<td align="left">200.5545</td>
</tr>
<tr class="odd">
<td align="left">Med.Daily.PL</td>
<td align="left">51.52684</td>
<td align="left">-45.13684</td>
<td align="left">-120.63947</td>
</tr>
<tr class="even">
<td align="left">Std.Dev.Daily.PL</td>
<td align="left">732.3649</td>
<td align="left">515.1777</td>
<td align="left">1149.6862</td>
</tr>
<tr class="odd">
<td align="left">Ann.Sharpe</td>
<td align="left">4.576179</td>
<td align="left">3.138017</td>
<td align="left">2.769194</td>
</tr>
<tr class="even">
<td align="left">Max.Drawdown</td>
<td align="left">-1691.308</td>
<td align="left">-1343.709</td>
<td align="left">-2942.752</td>
</tr>
<tr class="odd">
<td align="left">Profit.To.Max.Draw</td>
<td align="left">1.4790094</td>
<td align="left">0.7968602</td>
<td align="left">0.7650008</td>
</tr>
<tr class="even">
<td align="left">Avg.WinLoss.Ratio</td>
<td align="left">1.517957</td>
<td align="left">1.704621</td>
<td align="left">1.956432</td>
</tr>
<tr class="odd">
<td align="left">Med.WinLoss.Ratio</td>
<td align="left">0.4330239</td>
<td align="left">1.1709206</td>
<td align="left">1.2523471</td>
</tr>
<tr class="even">
<td align="left">Max.Equity</td>
<td align="left">2961.741</td>
<td align="left">1893.009</td>
<td align="left">3482.502</td>
</tr>
<tr class="odd">
<td align="left">Min.Equity</td>
<td align="left">-678.91818</td>
<td align="left">-52.69256</td>
<td align="left">-2053.06787</td>
</tr>
<tr class="even">
<td align="left">End.Equity</td>
<td align="left">2501.460</td>
<td align="left">1070.748</td>
<td align="left">2251.207</td>
</tr>
</tbody>
</table>
<div id="trade-related" class="section level3">
<h3><span class="header-section-number">12.3.1</span> Trade Related</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tab.trades &lt;-<span class="st"> </span>tstats %&gt;%<span class="st"> </span>
<span class="st">    </span><span class="kw">mutate</span>(<span class="dt">Trades =</span> Num.Trades, 
           <span class="dt">Win.Percent =</span> Percent.Positive, 
           <span class="dt">Loss.Percent =</span> Percent.Negative, 
           <span class="dt">WL.Ratio =</span> Percent.Positive/Percent.Negative) %&gt;%<span class="st"> </span>
<span class="st">    </span><span class="kw">select</span>(Trades, Win.Percent, Loss.Percent, WL.Ratio)

<span class="kw">kable</span>(<span class="kw">t</span>(tab.trades))</code></pre></div>
<table>
<tbody>
<tr class="odd">
<td align="left">Trades</td>
<td align="right">11.00000</td>
<td align="right">10</td>
<td align="right">11.0000000</td>
</tr>
<tr class="even">
<td align="left">Win.Percent</td>
<td align="right">63.63636</td>
<td align="right">50</td>
<td align="right">45.4545455</td>
</tr>
<tr class="odd">
<td align="left">Loss.Percent</td>
<td align="right">36.36364</td>
<td align="right">50</td>
<td align="right">54.5454545</td>
</tr>
<tr class="even">
<td align="left">WL.Ratio</td>
<td align="right">1.75000</td>
<td align="right">1</td>
<td align="right">0.8333333</td>
</tr>
</tbody>
</table>
</div>
<div id="profit-related" class="section level3">
<h3><span class="header-section-number">12.3.2</span> Profit Related</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tab.profit &lt;-<span class="st"> </span>tstats %&gt;%<span class="st"> </span>
<span class="st">    </span><span class="kw">select</span>(Net.Trading.PL, Gross.Profits, Gross.Losses, Profit.Factor)
<span class="kw">kable</span>(<span class="kw">t</span>(tab.profit))</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left"></th>
<th align="right">IWM</th>
<th align="right">QQQ</th>
<th align="right">SPY</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">Net.Trading.PL</td>
<td align="right">2501.459861</td>
<td align="right">1070.748428</td>
<td align="right">2251.20741</td>
</tr>
<tr class="even">
<td align="left">Gross.Profits</td>
<td align="right">3724.334958</td>
<td align="right">2463.679871</td>
<td align="right">5705.84581</td>
</tr>
<tr class="odd">
<td align="left">Gross.Losses</td>
<td align="right">-1402.010577</td>
<td align="right">-1445.294647</td>
<td align="right">-3499.74600</td>
</tr>
<tr class="even">
<td align="left">Profit.Factor</td>
<td align="right">2.656424</td>
<td align="right">1.704621</td>
<td align="right">1.63036</td>
</tr>
</tbody>
</table>
</div>
<div id="averages" class="section level3">
<h3><span class="header-section-number">12.3.3</span> Averages</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tab.wins &lt;-<span class="st"> </span>tstats %&gt;%<span class="st"> </span>
<span class="st">    </span><span class="kw">select</span>(Avg.Trade.PL, Avg.Win.Trade, Avg.Losing.Trade, Avg.WinLoss.Ratio)

<span class="kw">kable</span>(<span class="kw">t</span>(tab.wins))</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left"></th>
<th align="right">IWM</th>
<th align="right">QQQ</th>
<th align="right">SPY</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">Avg.Trade.PL</td>
<td align="right">211.120398</td>
<td align="right">101.838522</td>
<td align="right">200.554528</td>
</tr>
<tr class="even">
<td align="left">Avg.Win.Trade</td>
<td align="right">532.047851</td>
<td align="right">492.735974</td>
<td align="right">1141.169162</td>
</tr>
<tr class="odd">
<td align="left">Avg.Losing.Trade</td>
<td align="right">-350.502644</td>
<td align="right">-289.058929</td>
<td align="right">-583.291000</td>
</tr>
<tr class="even">
<td align="left">Avg.WinLoss.Ratio</td>
<td align="right">1.517957</td>
<td align="right">1.704621</td>
<td align="right">1.956432</td>
</tr>
</tbody>
</table>
</div>
<div id="performance-summary" class="section level3">
<h3><span class="header-section-number">12.3.4</span> Performance Summary</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">rets &lt;-<span class="st"> </span><span class="kw">PortfReturns</span>(<span class="dt">Account =</span> account.st)
<span class="kw">rownames</span>(rets) &lt;-<span class="st"> </span><span class="ot">NULL</span>
<span class="kw">charts.PerformanceSummary</span>(rets, <span class="dt">colorset =</span> bluefocus)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-17-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="per-trade-statistics" class="section level3">
<h3><span class="header-section-number">12.3.5</span> Per Trade Statistics</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">for(symbol in symbols) {
    pts &lt;-<span class="st"> </span><span class="kw">perTradeStats</span>(portfolio.st, <span class="dt">Symbol =</span> symbol)
    <span class="kw">kable</span>(pts, <span class="dt">booktabs =</span> <span class="ot">TRUE</span>, <span class="dt">caption =</span> symbol)
}
<span class="kw">kable</span>(pts)</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left">Start</th>
<th align="left">End</th>
<th align="right">Init.Pos</th>
<th align="right">Max.Pos</th>
<th align="right">Num.Txns</th>
<th align="right">Max.Notional.Cost</th>
<th align="right">Net.Trading.PL</th>
<th align="right">MAE</th>
<th align="right">MFE</th>
<th align="right">Pct.Net.Trading.PL</th>
<th align="right">Pct.MAE</th>
<th align="right">Pct.MFE</th>
<th align="right">tick.Net.Trading.PL</th>
<th align="right">tick.MAE</th>
<th align="right">tick.MFE</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">2008-02-27</td>
<td align="left">2008-03-07</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">13261.463</td>
<td align="right">-881.91636</td>
<td align="right">-881.91636</td>
<td align="right">0.00000</td>
<td align="right">-0.0665022</td>
<td align="right">-0.0665022</td>
<td align="right">0.0000000</td>
<td align="right">-881.91636</td>
<td align="right">-881.91636</td>
<td align="right">0.00000</td>
</tr>
<tr class="even">
<td align="left">2008-03-07</td>
<td align="left">2008-04-02</td>
<td align="right">-100</td>
<td align="right">-100</td>
<td align="right">2</td>
<td align="right">-12385.273</td>
<td align="right">-725.99029</td>
<td align="right">-725.99029</td>
<td align="right">168.92951</td>
<td align="right">-0.0586172</td>
<td align="right">-0.0586172</td>
<td align="right">0.0136395</td>
<td align="right">-725.99029</td>
<td align="right">-725.99029</td>
<td align="right">168.92951</td>
</tr>
<tr class="odd">
<td align="left">2008-04-02</td>
<td align="left">2008-06-03</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">13144.834</td>
<td align="right">99.74852</td>
<td align="right">-395.16121</td>
<td align="right">575.47610</td>
<td align="right">0.0075884</td>
<td align="right">-0.0300621</td>
<td align="right">0.0437796</td>
<td align="right">99.74852</td>
<td align="right">-395.16121</td>
<td align="right">575.47610</td>
</tr>
<tr class="even">
<td align="left">2008-06-03</td>
<td align="left">2008-08-06</td>
<td align="right">-100</td>
<td align="right">-100</td>
<td align="right">2</td>
<td align="right">-13235.450</td>
<td align="right">807.57595</td>
<td align="right">-267.13716</td>
<td align="right">1572.93130</td>
<td align="right">0.0610161</td>
<td align="right">-0.0201835</td>
<td align="right">0.1188423</td>
<td align="right">807.57595</td>
<td align="right">-267.13716</td>
<td align="right">1572.93130</td>
</tr>
<tr class="odd">
<td align="left">2008-08-06</td>
<td align="left">2008-09-08</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">12392.260</td>
<td align="right">-151.38610</td>
<td align="right">-436.70758</td>
<td align="right">207.19458</td>
<td align="right">-0.0122162</td>
<td align="right">-0.0352404</td>
<td align="right">0.0167197</td>
<td align="right">-151.38610</td>
<td align="right">-436.70758</td>
<td align="right">207.19458</td>
</tr>
<tr class="even">
<td align="left">2008-09-11</td>
<td align="left">2008-12-17</td>
<td align="right">-100</td>
<td align="right">-100</td>
<td align="right">2</td>
<td align="right">-11759.376</td>
<td align="right">2937.86161</td>
<td align="right">-394.74462</td>
<td align="right">4444.47045</td>
<td align="right">0.2498314</td>
<td align="right">-0.0335685</td>
<td align="right">0.3779512</td>
<td align="right">2937.86161</td>
<td align="right">-394.74462</td>
<td align="right">4444.47045</td>
</tr>
<tr class="odd">
<td align="left">2008-12-17</td>
<td align="left">2009-01-21</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">8921.423</td>
<td align="right">-706.59467</td>
<td align="right">-1046.72109</td>
<td align="right">214.09136</td>
<td align="right">-0.0792020</td>
<td align="right">-0.1173267</td>
<td align="right">0.0239974</td>
<td align="right">-706.59467</td>
<td align="right">-1046.72109</td>
<td align="right">214.09136</td>
</tr>
<tr class="even">
<td align="left">2009-02-05</td>
<td align="left">2009-03-24</td>
<td align="right">-100</td>
<td align="right">-100</td>
<td align="right">2</td>
<td align="right">-7823.378</td>
<td align="right">-110.63947</td>
<td align="right">-689.54812</td>
<td align="right">1166.48465</td>
<td align="right">-0.0141422</td>
<td align="right">-0.0881394</td>
<td align="right">0.1491024</td>
<td align="right">-110.63947</td>
<td align="right">-689.54812</td>
<td align="right">1166.48465</td>
</tr>
<tr class="odd">
<td align="left">2009-03-24</td>
<td align="left">2009-06-26</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">8100.427</td>
<td align="right">991.08945</td>
<td align="right">-344.57932</td>
<td align="right">1258.95869</td>
<td align="right">0.1223503</td>
<td align="right">-0.0425384</td>
<td align="right">0.1554188</td>
<td align="right">991.08945</td>
<td align="right">-344.57932</td>
<td align="right">1258.95869</td>
</tr>
<tr class="even">
<td align="left">2009-07-06</td>
<td align="left">2009-07-23</td>
<td align="right">-100</td>
<td align="right">-100</td>
<td align="right">2</td>
<td align="right">-8804.437</td>
<td align="right">-863.21910</td>
<td align="right">-863.21910</td>
<td align="right">97.01343</td>
<td align="right">-0.0980436</td>
<td align="right">-0.0980436</td>
<td align="right">0.0110187</td>
<td align="right">-863.21910</td>
<td align="right">-863.21910</td>
<td align="right">97.01343</td>
</tr>
<tr class="odd">
<td align="left">2009-07-23</td>
<td align="left">2009-11-04</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">2</td>
<td align="right">9516.246</td>
<td align="right">919.57028</td>
<td align="right">0.00000</td>
<td align="right">1403.96276</td>
<td align="right">0.0966316</td>
<td align="right">0.0000000</td>
<td align="right">0.1475333</td>
<td align="right">919.57028</td>
<td align="right">0.00000</td>
<td align="right">1403.96276</td>
</tr>
<tr class="even">
<td align="left">2009-11-16</td>
<td align="left">2009-12-31</td>
<td align="right">100</td>
<td align="right">100</td>
<td align="right">1</td>
<td align="right">10978.893</td>
<td align="right">165.10760</td>
<td align="right">-94.49099</td>
<td align="right">293.10750</td>
<td align="right">0.0150386</td>
<td align="right">-0.0086066</td>
<td align="right">0.0266974</td>
<td align="right">165.10760</td>
<td align="right">-94.49099</td>
<td align="right">293.10750</td>
</tr>
</tbody>
</table>
</div>
<div id="performance-statistics" class="section level3">
<h3><span class="header-section-number">12.3.6</span> Performance Statistics</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tab.perf &lt;-<span class="st"> </span><span class="kw">table.Arbitrary</span>(rets,
                            <span class="dt">metrics=</span><span class="kw">c</span>(
                                <span class="st">&quot;Return.cumulative&quot;</span>,
                                <span class="st">&quot;Return.annualized&quot;</span>,
                                <span class="st">&quot;SharpeRatio.annualized&quot;</span>,
                                <span class="st">&quot;CalmarRatio&quot;</span>),
                            <span class="dt">metricsNames=</span><span class="kw">c</span>(
                                <span class="st">&quot;Cumulative Return&quot;</span>,
                                <span class="st">&quot;Annualized Return&quot;</span>,
                                <span class="st">&quot;Annualized Sharpe Ratio&quot;</span>,
                                <span class="st">&quot;Calmar Ratio&quot;</span>))
<span class="kw">kable</span>(tab.perf)</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left"></th>
<th align="right">IWM.DailyEndEq</th>
<th align="right">QQQ.DailyEndEq</th>
<th align="right">SPY.DailyEndEq</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">Cumulative Return</td>
<td align="right">0.2317202</td>
<td align="right">0.1002049</td>
<td align="right">0.1306882</td>
</tr>
<tr class="even">
<td align="left">Annualized Return</td>
<td align="right">0.1095999</td>
<td align="right">0.0488073</td>
<td align="right">0.0632089</td>
</tr>
<tr class="odd">
<td align="left">Annualized Sharpe Ratio</td>
<td align="right">0.5363315</td>
<td align="right">0.4537899</td>
<td align="right">0.1979763</td>
</tr>
<tr class="even">
<td align="left">Calmar Ratio</td>
<td align="right">0.6821284</td>
<td align="right">0.3825050</td>
<td align="right">0.2385090</td>
</tr>
</tbody>
</table>
</div>
<div id="risk-statistics" class="section level3">
<h3><span class="header-section-number">12.3.7</span> Risk Statistics</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">tab.risk &lt;-<span class="st"> </span><span class="kw">table.Arbitrary</span>(rets,
                            <span class="dt">metrics=</span><span class="kw">c</span>(
                                <span class="st">&quot;StdDev.annualized&quot;</span>,
                                <span class="st">&quot;maxDrawdown&quot;</span>,
                                <span class="st">&quot;VaR&quot;</span>,
                                <span class="st">&quot;ES&quot;</span>),
                            <span class="dt">metricsNames=</span><span class="kw">c</span>(
                                <span class="st">&quot;Annualized StdDev&quot;</span>,
                                <span class="st">&quot;Max DrawDown&quot;</span>,
                                <span class="st">&quot;Value-at-Risk&quot;</span>,
                                <span class="st">&quot;Conditional VaR&quot;</span>))
<span class="kw">kable</span>(tab.risk)</code></pre></div>
<table>
<thead>
<tr class="header">
<th align="left"></th>
<th align="right">IWM.DailyEndEq</th>
<th align="right">QQQ.DailyEndEq</th>
<th align="right">SPY.DailyEndEq</th>
</tr>
</thead>
<tbody>
<tr class="odd">
<td align="left">Annualized StdDev</td>
<td align="right">0.2043511</td>
<td align="right">0.1075549</td>
<td align="right">0.3192751</td>
</tr>
<tr class="even">
<td align="left">Max DrawDown</td>
<td align="right">0.1606735</td>
<td align="right">0.1275992</td>
<td align="right">0.2650170</td>
</tr>
<tr class="odd">
<td align="left">Value-at-Risk</td>
<td align="right">-0.0194849</td>
<td align="right">-0.0103564</td>
<td align="right">-0.0310188</td>
</tr>
<tr class="even">
<td align="left">Conditional VaR</td>
<td align="right">-0.0266399</td>
<td align="right">-0.0163183</td>
<td align="right">-0.0522518</td>
</tr>
</tbody>
</table>
</div>
<div id="buy-and-hold-performance" class="section level3">
<h3><span class="header-section-number">12.3.8</span> Buy and Hold Performance</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">rm.strat</span>(<span class="st">&quot;buyHold&quot;</span>)

<span class="co"># initialize portfolio and account</span>
<span class="kw">initPortf</span>(<span class="st">&quot;buyHold&quot;</span>, <span class="st">&quot;SPY&quot;</span>, <span class="dt">initDate =</span> init_date)</code></pre></div>
<pre><code>## [1] &quot;buyHold&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">initAcct</span>(<span class="st">&quot;buyHold&quot;</span>, <span class="dt">portfolios =</span> <span class="st">&quot;buyHold&quot;</span>,
         <span class="dt">initDate =</span> init_date, <span class="dt">initEq =</span> init_equity)</code></pre></div>
<pre><code>## [1] &quot;buyHold&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># place an entry order</span>
CurrentDate &lt;-<span class="st"> </span><span class="kw">time</span>(<span class="kw">getTxns</span>(<span class="dt">Portfolio =</span> portfolio.st, <span class="dt">Symbol =</span> <span class="st">&quot;SPY&quot;</span>))[<span class="dv">2</span>]
equity =<span class="st"> </span><span class="kw">getEndEq</span>(<span class="st">&quot;buyHold&quot;</span>, CurrentDate)
ClosePrice &lt;-<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">Cl</span>(SPY[CurrentDate,]))
UnitSize =<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">trunc</span>(equity/ClosePrice))
<span class="kw">addTxn</span>(<span class="st">&quot;buyHold&quot;</span>, <span class="dt">Symbol =</span> <span class="st">&quot;SPY&quot;</span>, <span class="dt">TxnDate =</span> CurrentDate, <span class="dt">TxnPrice =</span> ClosePrice,
       <span class="dt">TxnQty =</span> UnitSize, <span class="dt">TxnFees =</span> <span class="dv">0</span>)</code></pre></div>
<pre><code>## [1] &quot;2008-02-27 00:00:00 SPY 75 @ 131.917425267632&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># place an exit order</span>
LastDate &lt;-<span class="st"> </span><span class="kw">last</span>(<span class="kw">time</span>(SPY))
LastPrice &lt;-<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">Cl</span>(SPY[LastDate,]))
<span class="kw">addTxn</span>(<span class="st">&quot;buyHold&quot;</span>, <span class="dt">Symbol =</span> <span class="st">&quot;SPY&quot;</span>, <span class="dt">TxnDate =</span> LastDate, <span class="dt">TxnPrice =</span> LastPrice,
       <span class="dt">TxnQty =</span> -UnitSize , <span class="dt">TxnFees =</span> <span class="dv">0</span>)</code></pre></div>
<pre><code>## [1] &quot;2009-12-31 00:00:00 SPY -75 @ 111.440002&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># update portfolio and account</span>
<span class="kw">updatePortf</span>(<span class="dt">Portfolio =</span> <span class="st">&quot;buyHold&quot;</span>)</code></pre></div>
<pre><code>## [1] &quot;buyHold&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">updateAcct</span>(<span class="dt">name =</span> <span class="st">&quot;buyHold&quot;</span>)</code></pre></div>
<pre><code>## [1] &quot;buyHold&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">updateEndEq</span>(<span class="dt">Account =</span> <span class="st">&quot;buyHold&quot;</span>)</code></pre></div>
<pre><code>## [1] &quot;buyHold&quot;</code></pre>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">chart.Posn</span>(<span class="st">&quot;buyHold&quot;</span>, <span class="dt">Symbol =</span> <span class="st">&quot;SPY&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-21-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="strategy-vs.market" class="section level3">
<h3><span class="header-section-number">12.3.9</span> Strategy vs. Market</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">rets &lt;-<span class="st"> </span><span class="kw">PortfReturns</span>(<span class="dt">Account =</span> account.st)
rets.bh &lt;-<span class="st"> </span><span class="kw">PortfReturns</span>(<span class="dt">Account =</span> <span class="st">&quot;buyHold&quot;</span>)
returns &lt;-<span class="st"> </span><span class="kw">cbind</span>(rets, rets.bh)
<span class="kw">charts.PerformanceSummary</span>(returns, <span class="dt">geometric =</span> <span class="ot">FALSE</span>, <span class="dt">wealth.index =</span> <span class="ot">TRUE</span>, 
                          <span class="dt">main =</span> <span class="st">&quot;Strategy vs. Market&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-22-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="riskreturn-scatterplot" class="section level3">
<h3><span class="header-section-number">12.3.10</span> Risk/Return Scatterplot</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">chart.RiskReturnScatter</span>(returns, <span class="dt">Rf =</span> <span class="dv">0</span>, <span class="dt">add.sharpe =</span> <span class="kw">c</span>(<span class="dv">1</span>, <span class="dv">2</span>), 
                        <span class="dt">main =</span> <span class="st">&quot;Return vs. Risk&quot;</span>, <span class="dt">colorset =</span> <span class="kw">c</span>(<span class="st">&quot;red&quot;</span>, <span class="st">&quot;blue&quot;</span>))</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-23-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="relative-performance" class="section level3">
<h3><span class="header-section-number">12.3.11</span> Relative Performance</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">for(n in <span class="dv">1</span>:(<span class="kw">ncol</span>(returns) -<span class="st"> </span><span class="dv">1</span>)) {
    <span class="kw">chart.RelativePerformance</span>(returns[, n], returns[, <span class="kw">ncol</span>(returns)], 
                              <span class="dt">colorset =</span> <span class="kw">c</span>(<span class="st">&quot;red&quot;</span>, <span class="st">&quot;blue&quot;</span>), <span class="dt">lwd =</span> <span class="dv">2</span>, 
                              <span class="dt">legend.loc =</span> <span class="st">&quot;topleft&quot;</span>)
}</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-24-1.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-24-2.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-24-3.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="portfolio-summary" class="section level3">
<h3><span class="header-section-number">12.3.12</span> Portfolio Summary</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co">#&#39; Error</span>
pf &lt;-<span class="st"> </span><span class="kw">getPortfolio</span>(portfolio.st)
<span class="kw">xyplot</span>(pf$summary, <span class="dt">type =</span> <span class="st">&quot;h&quot;</span>, <span class="dt">col =</span> <span class="dv">4</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-25-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="order-book" class="section level3">
<h3><span class="header-section-number">12.3.13</span> Order Book</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">ob &lt;-<span class="st"> </span><span class="kw">getOrderBook</span>(portfolio.st)</code></pre></div>
</div>
<div id="maximum-adverse-excursion" class="section level3">
<h3><span class="header-section-number">12.3.14</span> Maximum Adverse Excursion</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">for(symbol in symbols) {
    <span class="kw">chart.ME</span>(<span class="dt">Portfolio =</span> portfolio.st, <span class="dt">Symbol =</span> symbol, <span class="dt">type =</span> <span class="st">&quot;MAE&quot;</span>, 
            <span class="dt">scale =</span> <span class="st">&quot;percent&quot;</span>)
}</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-27-1.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-27-2.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-27-3.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="maximum-favorable-excursion" class="section level3">
<h3><span class="header-section-number">12.3.15</span> Maximum Favorable Excursion</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">for(symbol in symbols) {
    <span class="kw">chart.ME</span>(<span class="dt">Portfolio =</span> portfolio.st, <span class="dt">Symbol =</span> symbol, <span class="dt">type =</span> <span class="st">&quot;MFE&quot;</span>, 
            <span class="dt">scale =</span> <span class="st">&quot;percent&quot;</span>)
}</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-28-1.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-28-2.png" title="" alt="" style="display: block; margin: auto;" /><img src="_main_files/figure-html/unnamed-chunk-28-3.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
</div>
<div id="account-summary" class="section level2">
<h2><span class="header-section-number">12.4</span> Account Summary</h2>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">a &lt;-<span class="st"> </span><span class="kw">getAccount</span>(account.st)
<span class="kw">xyplot</span>(a$summary, <span class="dt">type =</span> <span class="st">&quot;h&quot;</span>, <span class="dt">col =</span> <span class="dv">4</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-29-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
<div id="equity-curve" class="section level3">
<h3><span class="header-section-number">12.4.1</span> Equity Curve</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">equity &lt;-<span class="st"> </span>a$summary$End.Eq
<span class="kw">plot</span>(equity, <span class="dt">main =</span> <span class="st">&quot;Equity Curve&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-30-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="account-performance-summary" class="section level3">
<h3><span class="header-section-number">12.4.2</span> Account Performance Summary</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">ret &lt;-<span class="st"> </span><span class="kw">Return.calculate</span>(equity, <span class="dt">method =</span> <span class="st">&quot;log&quot;</span>)
<span class="kw">charts.PerformanceSummary</span>(ret, <span class="dt">colorset =</span> bluefocus, 
                          <span class="dt">main =</span> <span class="st">&quot;Strategy Performance&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-31-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="cumulative-returns" class="section level3">
<h3><span class="header-section-number">12.4.3</span> Cumulative Returns</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">rets &lt;-<span class="st"> </span><span class="kw">PortfReturns</span>(<span class="dt">Account =</span> account.st)
<span class="kw">chart.CumReturns</span>(rets, <span class="dt">colorset =</span> rich10equal, <span class="dt">legend.loc =</span> <span class="st">&quot;topleft&quot;</span>, 
                 <span class="dt">main=</span><span class="st">&quot;SPDR Cumulative Returns&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-32-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="distribution-analysis" class="section level3">
<h3><span class="header-section-number">12.4.4</span> Distribution Analysis</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">chart.Boxplot</span>(rets, <span class="dt">main =</span> <span class="st">&quot;SPDR Returns&quot;</span>, <span class="dt">colorset=</span> rich10equal)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-33-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="annualized-returns" class="section level3">
<h3><span class="header-section-number">12.4.5</span> Annualized Returns</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">(ar.tab &lt;-<span class="st"> </span><span class="kw">table.AnnualizedReturns</span>(rets))</code></pre></div>
<pre><code>##                           IWM.DailyEndEq QQQ.DailyEndEq SPY.DailyEndEq
## Annualized Return                 0.1096         0.0488         0.0632
## Annualized Std Dev                0.2044         0.1076         0.3193
## Annualized Sharpe (Rf=0%)         0.5363         0.4538         0.1980</code></pre>
</div>
<div id="performance-scatter-plot" class="section level3">
<h3><span class="header-section-number">12.4.6</span> Performance Scatter Plot</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">max.risk &lt;-<span class="st"> </span><span class="kw">max</span>(ar.tab[<span class="st">&quot;Annualized Std Dev&quot;</span>,])
max.return &lt;-<span class="st"> </span><span class="kw">max</span>(ar.tab[<span class="st">&quot;Annualized Return&quot;</span>,])
<span class="kw">chart.RiskReturnScatter</span>(rets,
                        <span class="dt">main =</span> <span class="st">&quot;SPDR Performance&quot;</span>, <span class="dt">colorset =</span> rich10equal,
                        <span class="dt">xlim =</span> <span class="kw">c</span>(<span class="dv">0</span>, max.risk *<span class="st"> </span><span class="fl">1.1</span>), <span class="dt">ylim =</span> <span class="kw">c</span>(<span class="dv">0</span>, max.return))</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-35-1.png" title="" alt="" style="display: block; margin: auto;" /></p>
</div>
<div id="notional-costs" class="section level3">
<h3><span class="header-section-number">12.4.7</span> Notional Costs</h3>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co">#quantstratII pp. 67/69</span>
mnc &lt;-<span class="st"> </span>pts$Max.Notional.Cost
pe &lt;-<span class="st"> </span><span class="kw">sapply</span>(pts$Start,getEndEq, <span class="dt">Account =</span> account.st)/<span class="dv">3</span>
<span class="kw">barplot</span>(<span class="kw">rbind</span>(pe,mnc),<span class="dt">beside=</span>T,<span class="dt">col=</span><span class="kw">c</span>(<span class="dv">2</span>,<span class="dv">4</span>),<span class="dt">names.arg=</span><span class="kw">format</span>(pts$Start,<span class="st">&quot;%m/%d/%y&quot;</span>),
        <span class="dt">ylim=</span><span class="kw">c</span>(<span class="dv">0</span>,<span class="fl">1.5e5</span>),<span class="dt">ylab=</span><span class="st">&quot;$&quot;</span>,<span class="dt">xlab=</span><span class="st">&quot;Trade Date&quot;</span>)
<span class="kw">legend</span>(<span class="dt">x=</span><span class="st">&quot;topleft&quot;</span>,<span class="dt">legend=</span><span class="kw">c</span>(<span class="st">&quot;(Portfolio Equity)/9&quot;</span>,<span class="st">&quot;Order Size&quot;</span>),
       <span class="dt">pch=</span><span class="dv">15</span>,<span class="dt">col=</span><span class="kw">c</span>(<span class="dv">2</span>,<span class="dv">4</span>),<span class="dt">bty=</span><span class="st">&quot;n&quot;</span>)
<span class="kw">title</span>(<span class="st">&quot;Percent of Portfolio Equity versus Trade Size for XLU&quot;</span>)</code></pre></div>
<p><img src="_main_files/figure-html/unnamed-chunk-36-1.png" title="" alt="" style="display: block; margin: auto;" /></p>

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