R version 2.13.1 (2011-07-08) Copyright (C) 2011 The R Foundation for Statistical Computing ISBN 3-900051-07-0 Platform: x86_64-pc-linux-gnu (64-bit) R ist freie Software und kommt OHNE JEGLICHE GARANTIE. Sie sind eingeladen, es unter bestimmten Bedingungen weiter zu verbreiten. Tippen Sie 'license()' or 'licence()' für Details dazu. R ist ein Gemeinschaftsprojekt mit vielen Beitragenden. Tippen Sie 'contributors()' für mehr Information und 'citation()', um zu erfahren, wie R oder R packages in Publikationen zitiert werden können. Tippen Sie 'demo()' für einige Demos, 'help()' für on-line Hilfe, oder 'help.start()' für eine HTML Browserschnittstelle zur Hilfe. Tippen Sie 'q()', um R zu verlassen. > > # Load required libraries > require(quantmod) > require(quantstrat) > require(TTR) > require(blotter) > require(PerformanceAnalytics) > # Load the LSPM package > library(LSPM) > > # Try to clean up in case the demo was run previously > try(rm("account.longtrend","portfolio.longtrend",pos=.blotter),silent=TRUE) > try(rm("ltaccount","longstrat","ltportfolio","ClosePrice","CurrentDate","equity","SAVE","i","initDate","initEq","Posn","UnitSize","verbose"),silent=TRUE) > > > # Set initial values > initDate='2006-12-31' > initEq=30000 > > # Load data with quantmod > print("Loading data") [1] "Loading data" > currency("USD") [1] "USD" > > > symbols = c("SAVE")#, "XLY", "XLV", "XLI", "XLB", "XLK", "XLU") > > > > > getSymbols(symbols) [1] "SAVE" > > > > > # Set up indicators with TTR > print("Setting up indicators") [1] "Setting up indicators" > SAVE$SMA10m <- SMA(SAVE[,grep('Adj',colnames(SAVE))], 10) > > # Set up a portfolio object and an account object in blotter > print("Initializing portfolio and account structure") [1] "Initializing portfolio and account structure" > ltportfolio='longtrend' > ltaccount='longtrend' > > longtrend <- strategy("longtrend") > > longtrend <- add.indicator(strategy=longtrend, name = "RSI", arguments = list(price = quote(getPrice(mktdata))), label="RSI") > > # The second is to buy when the RSI crosses below the threshold > longtrend <- add.rule(strategy = longtrend, name='ruleSignal', arguments = list(sigcol="RSI.lt.5", sigval=TRUE, orderqty= 100, ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='enter', path.dep=TRUE) > > #stratRSI <- add.rule(strategy = stratRSI, name='ruleSignal', arguments = list(sigcol="RSI.gt.80", sigval=TRUE, orderqty='all', ordertype='market', orderside='long', pricemethod='market', replace=FALSE), type='exit', path.dep=TRUE) > > > > > initPortf(ltportfolio,'SAVE', initDate=initDate) [1] "longtrend" > initAcct(ltaccount,portfolios='longtrend', initDate=initDate, initEq=initEq) [1] "longtrend" > > verbose=TRUE > > # Create trades > for( i in 10:NROW(SAVE) ) { + # browser() + CurrentDate=time(SAVE)[i] + + equity = getEndEq(ltaccount, CurrentDate) + + + ClosePrice = as.numeric(Ad(to.weekly(SAVE[i,]))) + Posn = getPosQty(ltportfolio, Symbol='SAVE', Date=CurrentDate) + UnitSize = as.numeric(trunc(equity/ClosePrice)) + + + + + + + # Position Entry (assume fill at close) + if( Posn == 0 ) { + # No position, so test to initiate Long position + if( as.numeric(Ad(SAVE[i,])) > as.numeric(SAVE[i,'SMA10m']) ) { + cat('\n') + # Store trade with blotter + addTxn(ltportfolio, Symbol='SAVE', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose) + } + } else { + # Have a position, so check exit + if( as.numeric(Ad(SAVE[i,])) < as.numeric(SAVE[i,'SMA10m'])) { + cat('\n') + # Store trade with blotter + addTxn(ltportfolio, Symbol='SAVE', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose) + } + } + + # Calculate P&L and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop [1] "2011-06-09 SAVE 2465 @ 12.17" [1] "2011-06-15 SAVE -2465 @ 12" [1] "2011-06-21 SAVE 2454 @ 12.05" [1] "2011-06-30 SAVE -2454 @ 11.99" [1] "2011-07-01 SAVE 2373 @ 12.4" [1] "2011-07-20 SAVE -2373 @ 13.39" [1] "2011-08-03 SAVE 2400 @ 13.24" [1] "2011-08-04 SAVE -2400 @ 12.61" [1] "2011-08-16 SAVE 2495 @ 12.13" [1] "2011-08-18 SAVE -2495 @ 11.01" [1] "2011-08-23 SAVE 2360 @ 11.64" [1] "2011-09-02 SAVE -2360 @ 11.74" [1] "2011-09-14 SAVE 2233 @ 12.41" [1] "2011-09-20 SAVE -2233 @ 11.95" [1] "2011-09-27 SAVE 2187 @ 12.2" [1] "2011-10-03 SAVE -2187 @ 11.7" [1] "2011-10-04 SAVE 2058 @ 12.43" > cat('\n') > > # Chart results with quantmod > chart.Posn(ltportfolio, Symbol = 'SAVE', Dates = '2011::') > plot(add_SMA(n=10,col='darkgreen', on=1)) > > plot(add_RSI(n=2)) > > charts.PerformanceSummary(PortfReturns('longtrend'),main='longtrend Instrument Return on Equity',geometric=FALSE) > #look at a transaction summary > getTxns(Portfolio="longtrend", Symbol="SAVE") Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost 2006-12-31 0 0.00 0 0.00 0.00 2011-06-09 2465 12.17 0 29999.05 12.17 2011-06-15 -2465 12.00 0 -29580.00 12.00 2011-06-21 2454 12.05 0 29570.70 12.05 2011-06-30 -2454 11.99 0 -29423.46 11.99 2011-07-01 2373 12.40 0 29425.20 12.40 2011-07-20 -2373 13.39 0 -31774.47 13.39 2011-08-03 2400 13.24 0 31776.00 13.24 2011-08-04 -2400 12.61 0 -30264.00 12.61 2011-08-16 2495 12.13 0 30264.35 12.13 2011-08-18 -2495 11.01 0 -27469.95 11.01 2011-08-23 2360 11.64 0 27470.40 11.64 2011-09-02 -2360 11.74 0 -27706.40 11.74 2011-09-14 2233 12.41 0 27711.53 12.41 2011-09-20 -2233 11.95 0 -26684.35 11.95 2011-09-27 2187 12.20 0 26681.40 12.20 2011-10-03 -2187 11.70 0 -25587.90 11.70 2011-10-04 2058 12.43 0 25580.94 12.43 Net.Txn.Realized.PL 2006-12-31 0.00 2011-06-09 0.00 2011-06-15 -419.05 2011-06-21 0.00 2011-06-30 -147.24 2011-07-01 0.00 2011-07-20 2349.27 2011-08-03 0.00 2011-08-04 -1512.00 2011-08-16 0.00 2011-08-18 -2794.40 2011-08-23 0.00 2011-09-02 236.00 2011-09-14 0.00 2011-09-20 -1027.18 2011-09-27 0.00 2011-10-03 -1093.50 2011-10-04 0.00 > > # Copy the results into the local environment > print("Retrieving resulting portfolio and account") [1] "Retrieving resulting portfolio and account" > ltportfolio = getPortfolio("longtrend") > ltaccount = getAccount("longtrend") > > > > ltportfolio $symbols $symbols$SAVE $symbols$SAVE$txn Txn.Qty Txn.Price Txn.Value Txn.Avg.Cost Pos.Qty Pos.Avg.Cost 2006-12-31 0 0.00 0.00 0.00 0 0.00 2011-06-09 2465 12.17 29999.05 12.17 2465 12.17 2011-06-15 -2465 12.00 -29580.00 12.00 0 0.00 2011-06-21 2454 12.05 29570.70 12.05 2454 12.05 2011-06-30 -2454 11.99 -29423.46 11.99 0 0.00 2011-07-01 2373 12.40 29425.20 12.40 2373 12.40 2011-07-20 -2373 13.39 -31774.47 13.39 0 0.00 2011-08-03 2400 13.24 31776.00 13.24 2400 13.24 2011-08-04 -2400 12.61 -30264.00 12.61 0 0.00 2011-08-16 2495 12.13 30264.35 12.13 2495 12.13 2011-08-18 -2495 11.01 -27469.95 11.01 0 0.00 2011-08-23 2360 11.64 27470.40 11.64 2360 11.64 2011-09-02 -2360 11.74 -27706.40 11.74 0 0.00 2011-09-14 2233 12.41 27711.53 12.41 2233 12.41 2011-09-20 -2233 11.95 -26684.35 11.95 0 0.00 2011-09-27 2187 12.20 26681.40 12.20 2187 12.20 2011-10-03 -2187 11.70 -25587.90 11.70 0 0.00 2011-10-04 2058 12.43 25580.94 12.43 2058 12.43 Gross.Txn.Realized.PL Txn.Fees Net.Txn.Realized.PL Con.Mult 2006-12-31 0.00 0 0.00 0 2011-06-09 0.00 0 0.00 1 2011-06-15 -419.05 0 -419.05 1 2011-06-21 0.00 0 0.00 1 2011-06-30 -147.24 0 -147.24 1 2011-07-01 0.00 0 0.00 1 2011-07-20 2349.27 0 2349.27 1 2011-08-03 0.00 0 0.00 1 2011-08-04 -1512.00 0 -1512.00 1 2011-08-16 0.00 0 0.00 1 2011-08-18 -2794.40 0 -2794.40 1 2011-08-23 0.00 0 0.00 1 2011-09-02 236.00 0 236.00 1 2011-09-14 0.00 0 0.00 1 2011-09-20 -1027.18 0 -1027.18 1 2011-09-27 0.00 0 0.00 1 2011-10-03 -1093.50 0 -1093.50 1 2011-10-04 0.00 0 0.00 1 $symbols$SAVE$posPL Pos.Qty Con.Mult Ccy.Mult Pos.Value Pos.Avg.Cost Txn.Value 2006-12-31 0 1 1 0.00 0.00 0.00 2011-06-09 2465 1 1 29999.05 12.17 29999.05 2011-06-10 2465 1 1 29678.60 12.17 0.00 2011-06-13 2465 1 1 29653.95 12.17 0.00 2011-06-14 2465 1 1 29580.00 12.17 0.00 2011-06-15 0 1 1 0.00 0.00 -29580.00 2011-06-16 0 1 1 0.00 0.00 0.00 2011-06-17 0 1 1 0.00 0.00 0.00 2011-06-20 0 1 1 0.00 0.00 0.00 2011-06-21 2454 1 1 29570.70 12.05 29570.70 2011-06-22 2454 1 1 29521.62 12.05 0.00 2011-06-23 2454 1 1 29570.70 12.05 0.00 2011-06-24 2454 1 1 29448.00 12.05 0.00 2011-06-27 2454 1 1 29448.00 12.05 0.00 2011-06-28 2454 1 1 30184.20 12.05 0.00 2011-06-29 2454 1 1 30086.04 12.05 0.00 2011-06-30 0 1 1 0.00 0.00 -29423.46 2011-07-01 2373 1 1 29425.20 12.40 29425.20 2011-07-05 2373 1 1 28831.95 12.40 0.00 2011-07-06 2373 1 1 31252.41 12.40 0.00 2011-07-07 2373 1 1 30611.70 12.40 0.00 2011-07-08 2373 1 1 32533.83 12.40 0.00 2011-07-11 2373 1 1 31821.93 12.40 0.00 2011-07-12 2373 1 1 32130.42 12.40 0.00 2011-07-13 2373 1 1 33435.57 12.40 0.00 2011-07-14 2373 1 1 33910.17 12.40 0.00 2011-07-15 2373 1 1 33767.79 12.40 0.00 2011-07-18 2373 1 1 32415.18 12.40 0.00 2011-07-19 2373 1 1 33222.00 12.40 0.00 2011-07-20 0 1 1 0.00 0.00 -31774.47 2011-07-21 0 1 1 0.00 0.00 0.00 2011-07-22 0 1 1 0.00 0.00 0.00 2011-07-25 0 1 1 0.00 0.00 0.00 2011-07-26 0 1 1 0.00 0.00 0.00 2011-07-27 0 1 1 0.00 0.00 0.00 2011-07-28 0 1 1 0.00 0.00 0.00 2011-07-29 0 1 1 0.00 0.00 0.00 2011-08-01 0 1 1 0.00 0.00 0.00 2011-08-02 0 1 1 0.00 0.00 0.00 2011-08-03 2400 1 1 31776.00 13.24 31776.00 2011-08-04 0 1 1 0.00 0.00 -30264.00 2011-08-05 0 1 1 0.00 0.00 0.00 2011-08-08 0 1 1 0.00 0.00 0.00 2011-08-09 0 1 1 0.00 0.00 0.00 2011-08-10 0 1 1 0.00 0.00 0.00 2011-08-11 0 1 1 0.00 0.00 0.00 2011-08-12 0 1 1 0.00 0.00 0.00 2011-08-15 0 1 1 0.00 0.00 0.00 2011-08-16 2495 1 1 30264.35 12.13 30264.35 2011-08-17 2495 1 1 30214.45 12.13 0.00 2011-08-18 0 1 1 0.00 0.00 -27469.95 2011-08-19 0 1 1 0.00 0.00 0.00 2011-08-22 0 1 1 0.00 0.00 0.00 2011-08-23 2360 1 1 27470.40 11.64 27470.40 2011-08-24 2360 1 1 28107.60 11.64 0.00 2011-08-25 2360 1 1 27305.20 11.64 0.00 2011-08-26 2360 1 1 28650.40 11.64 0.00 2011-08-29 2360 1 1 29358.40 11.64 0.00 2011-08-30 2360 1 1 28485.20 11.64 0.00 2011-08-31 2360 1 1 28508.80 11.64 0.00 2011-09-01 2360 1 1 28202.00 11.64 0.00 2011-09-02 0 1 1 0.00 0.00 -27706.40 2011-09-06 0 1 1 0.00 0.00 0.00 2011-09-07 0 1 1 0.00 0.00 0.00 2011-09-08 0 1 1 0.00 0.00 0.00 2011-09-09 0 1 1 0.00 0.00 0.00 2011-09-12 0 1 1 0.00 0.00 0.00 2011-09-13 0 1 1 0.00 0.00 0.00 2011-09-14 2233 1 1 27711.53 12.41 27711.53 2011-09-15 2233 1 1 28515.41 12.41 0.00 2011-09-16 2233 1 1 28515.41 12.41 0.00 2011-09-19 2233 1 1 28024.15 12.41 0.00 2011-09-20 0 1 1 0.00 0.00 -26684.35 2011-09-21 0 1 1 0.00 0.00 0.00 2011-09-22 0 1 1 0.00 0.00 0.00 2011-09-23 0 1 1 0.00 0.00 0.00 2011-09-26 0 1 1 0.00 0.00 0.00 2011-09-27 2187 1 1 26681.40 12.20 26681.40 2011-09-28 2187 1 1 26528.31 12.20 0.00 2011-09-29 2187 1 1 27840.51 12.20 0.00 2011-09-30 2187 1 1 27337.50 12.20 0.00 2011-10-03 0 1 1 0.00 0.00 -25587.90 2011-10-04 2058 1 1 25580.94 12.43 25580.94 2011-10-05 2058 1 1 26198.34 12.43 0.00 2011-10-06 2058 1 1 27042.12 12.43 0.00 2011-10-07 2058 1 1 26959.80 12.43 0.00 2011-10-10 2058 1 1 27638.94 12.43 0.00 2011-10-11 2058 1 1 28215.18 12.43 0.00 2011-10-12 2058 1 1 29882.16 12.43 0.00 2011-10-13 2058 1 1 32722.20 12.43 0.00 2011-10-14 2058 1 1 32166.54 12.43 0.00 Period.Realized.PL Period.Unrealized.PL Gross.Trading.PL Txn.Fees 2006-12-31 0.00 0.00 0.00 0 2011-06-09 0.00 0.00 0.00 0 2011-06-10 0.00 -320.45 -320.45 0 2011-06-13 0.00 -24.65 -24.65 0 2011-06-14 0.00 -73.95 -73.95 0 2011-06-15 -419.05 419.05 0.00 0 2011-06-16 0.00 0.00 0.00 0 2011-06-17 0.00 0.00 0.00 0 2011-06-20 0.00 0.00 0.00 0 2011-06-21 0.00 0.00 0.00 0 2011-06-22 0.00 -49.08 -49.08 0 2011-06-23 0.00 49.08 49.08 0 2011-06-24 0.00 -122.70 -122.70 0 2011-06-27 0.00 0.00 0.00 0 2011-06-28 0.00 736.20 736.20 0 2011-06-29 0.00 -98.16 -98.16 0 2011-06-30 -147.24 -515.34 -662.58 0 2011-07-01 0.00 0.00 0.00 0 2011-07-05 0.00 -593.25 -593.25 0 2011-07-06 0.00 2420.46 2420.46 0 2011-07-07 0.00 -640.71 -640.71 0 2011-07-08 0.00 1922.13 1922.13 0 2011-07-11 0.00 -711.90 -711.90 0 2011-07-12 0.00 308.49 308.49 0 2011-07-13 0.00 1305.15 1305.15 0 2011-07-14 0.00 474.60 474.60 0 2011-07-15 0.00 -142.38 -142.38 0 2011-07-18 0.00 -1352.61 -1352.61 0 2011-07-19 0.00 806.82 806.82 0 2011-07-20 2349.27 -3796.80 -1447.53 0 2011-07-21 0.00 0.00 0.00 0 2011-07-22 0.00 0.00 0.00 0 2011-07-25 0.00 0.00 0.00 0 2011-07-26 0.00 0.00 0.00 0 2011-07-27 0.00 0.00 0.00 0 2011-07-28 0.00 0.00 0.00 0 2011-07-29 0.00 0.00 0.00 0 2011-08-01 0.00 0.00 0.00 0 2011-08-02 0.00 0.00 0.00 0 2011-08-03 0.00 0.00 0.00 0 2011-08-04 -1512.00 0.00 -1512.00 0 2011-08-05 0.00 0.00 0.00 0 2011-08-08 0.00 0.00 0.00 0 2011-08-09 0.00 0.00 0.00 0 2011-08-10 0.00 0.00 0.00 0 2011-08-11 0.00 0.00 0.00 0 2011-08-12 0.00 0.00 0.00 0 2011-08-15 0.00 0.00 0.00 0 2011-08-16 0.00 0.00 0.00 0 2011-08-17 0.00 -49.90 -49.90 0 2011-08-18 -2794.40 49.90 -2744.50 0 2011-08-19 0.00 0.00 0.00 0 2011-08-22 0.00 0.00 0.00 0 2011-08-23 0.00 0.00 0.00 0 2011-08-24 0.00 637.20 637.20 0 2011-08-25 0.00 -802.40 -802.40 0 2011-08-26 0.00 1345.20 1345.20 0 2011-08-29 0.00 708.00 708.00 0 2011-08-30 0.00 -873.20 -873.20 0 2011-08-31 0.00 23.60 23.60 0 2011-09-01 0.00 -306.80 -306.80 0 2011-09-02 236.00 -731.60 -495.60 0 2011-09-06 0.00 0.00 0.00 0 2011-09-07 0.00 0.00 0.00 0 2011-09-08 0.00 0.00 0.00 0 2011-09-09 0.00 0.00 0.00 0 2011-09-12 0.00 0.00 0.00 0 2011-09-13 0.00 0.00 0.00 0 2011-09-14 0.00 0.00 0.00 0 2011-09-15 0.00 803.88 803.88 0 2011-09-16 0.00 0.00 0.00 0 2011-09-19 0.00 -491.26 -491.26 0 2011-09-20 -1027.18 -312.62 -1339.80 0 2011-09-21 0.00 0.00 0.00 0 2011-09-22 0.00 0.00 0.00 0 2011-09-23 0.00 0.00 0.00 0 2011-09-26 0.00 0.00 0.00 0 2011-09-27 0.00 0.00 0.00 0 2011-09-28 0.00 -153.09 -153.09 0 2011-09-29 0.00 1312.20 1312.20 0 2011-09-30 0.00 -503.01 -503.01 0 2011-10-03 -1093.50 -656.10 -1749.60 0 2011-10-04 0.00 0.00 0.00 0 2011-10-05 0.00 617.40 617.40 0 2011-10-06 0.00 843.78 843.78 0 2011-10-07 0.00 -82.32 -82.32 0 2011-10-10 0.00 679.14 679.14 0 2011-10-11 0.00 576.24 576.24 0 2011-10-12 0.00 1666.98 1666.98 0 2011-10-13 0.00 2840.04 2840.04 0 2011-10-14 0.00 -555.66 -555.66 0 Net.Trading.PL 2006-12-31 0.00 2011-06-09 0.00 2011-06-10 -320.45 2011-06-13 -24.65 2011-06-14 -73.95 2011-06-15 0.00 2011-06-16 0.00 2011-06-17 0.00 2011-06-20 0.00 2011-06-21 0.00 2011-06-22 -49.08 2011-06-23 49.08 2011-06-24 -122.70 2011-06-27 0.00 2011-06-28 736.20 2011-06-29 -98.16 2011-06-30 -662.58 2011-07-01 0.00 2011-07-05 -593.25 2011-07-06 2420.46 2011-07-07 -640.71 2011-07-08 1922.13 2011-07-11 -711.90 2011-07-12 308.49 2011-07-13 1305.15 2011-07-14 474.60 2011-07-15 -142.38 2011-07-18 -1352.61 2011-07-19 806.82 2011-07-20 -1447.53 2011-07-21 0.00 2011-07-22 0.00 2011-07-25 0.00 2011-07-26 0.00 2011-07-27 0.00 2011-07-28 0.00 2011-07-29 0.00 2011-08-01 0.00 2011-08-02 0.00 2011-08-03 0.00 2011-08-04 -1512.00 2011-08-05 0.00 2011-08-08 0.00 2011-08-09 0.00 2011-08-10 0.00 2011-08-11 0.00 2011-08-12 0.00 2011-08-15 0.00 2011-08-16 0.00 2011-08-17 -49.90 2011-08-18 -2744.50 2011-08-19 0.00 2011-08-22 0.00 2011-08-23 0.00 2011-08-24 637.20 2011-08-25 -802.40 2011-08-26 1345.20 2011-08-29 708.00 2011-08-30 -873.20 2011-08-31 23.60 2011-09-01 -306.80 2011-09-02 -495.60 2011-09-06 0.00 2011-09-07 0.00 2011-09-08 0.00 2011-09-09 0.00 2011-09-12 0.00 2011-09-13 0.00 2011-09-14 0.00 2011-09-15 803.88 2011-09-16 0.00 2011-09-19 -491.26 2011-09-20 -1339.80 2011-09-21 0.00 2011-09-22 0.00 2011-09-23 0.00 2011-09-26 0.00 2011-09-27 0.00 2011-09-28 -153.09 2011-09-29 1312.20 2011-09-30 -503.01 2011-10-03 -1749.60 2011-10-04 0.00 2011-10-05 617.40 2011-10-06 843.78 2011-10-07 -82.32 2011-10-10 679.14 2011-10-11 576.24 2011-10-12 1666.98 2011-10-13 2840.04 2011-10-14 -555.66 $symbols$SAVE$posPL.USD Pos.Qty Con.Mult Ccy.Mult Pos.Value Pos.Avg.Cost Txn.Value 2006-12-31 0 1 1 0.00 0.00 0.00 2011-06-09 2465 1 1 29999.05 12.17 29999.05 2011-06-10 2465 1 1 29678.60 12.17 0.00 2011-06-13 2465 1 1 29653.95 12.17 0.00 2011-06-14 2465 1 1 29580.00 12.17 0.00 2011-06-15 0 1 1 0.00 0.00 -29580.00 2011-06-16 0 1 1 0.00 0.00 0.00 2011-06-17 0 1 1 0.00 0.00 0.00 2011-06-20 0 1 1 0.00 0.00 0.00 2011-06-21 2454 1 1 29570.70 12.05 29570.70 2011-06-22 2454 1 1 29521.62 12.05 0.00 2011-06-23 2454 1 1 29570.70 12.05 0.00 2011-06-24 2454 1 1 29448.00 12.05 0.00 2011-06-27 2454 1 1 29448.00 12.05 0.00 2011-06-28 2454 1 1 30184.20 12.05 0.00 2011-06-29 2454 1 1 30086.04 12.05 0.00 2011-06-30 0 1 1 0.00 0.00 -29423.46 2011-07-01 2373 1 1 29425.20 12.40 29425.20 2011-07-05 2373 1 1 28831.95 12.40 0.00 2011-07-06 2373 1 1 31252.41 12.40 0.00 2011-07-07 2373 1 1 30611.70 12.40 0.00 2011-07-08 2373 1 1 32533.83 12.40 0.00 2011-07-11 2373 1 1 31821.93 12.40 0.00 2011-07-12 2373 1 1 32130.42 12.40 0.00 2011-07-13 2373 1 1 33435.57 12.40 0.00 2011-07-14 2373 1 1 33910.17 12.40 0.00 2011-07-15 2373 1 1 33767.79 12.40 0.00 2011-07-18 2373 1 1 32415.18 12.40 0.00 2011-07-19 2373 1 1 33222.00 12.40 0.00 2011-07-20 0 1 1 0.00 0.00 -31774.47 2011-07-21 0 1 1 0.00 0.00 0.00 2011-07-22 0 1 1 0.00 0.00 0.00 2011-07-25 0 1 1 0.00 0.00 0.00 2011-07-26 0 1 1 0.00 0.00 0.00 2011-07-27 0 1 1 0.00 0.00 0.00 2011-07-28 0 1 1 0.00 0.00 0.00 2011-07-29 0 1 1 0.00 0.00 0.00 2011-08-01 0 1 1 0.00 0.00 0.00 2011-08-02 0 1 1 0.00 0.00 0.00 2011-08-03 2400 1 1 31776.00 13.24 31776.00 2011-08-04 0 1 1 0.00 0.00 -30264.00 2011-08-05 0 1 1 0.00 0.00 0.00 2011-08-08 0 1 1 0.00 0.00 0.00 2011-08-09 0 1 1 0.00 0.00 0.00 2011-08-10 0 1 1 0.00 0.00 0.00 2011-08-11 0 1 1 0.00 0.00 0.00 2011-08-12 0 1 1 0.00 0.00 0.00 2011-08-15 0 1 1 0.00 0.00 0.00 2011-08-16 2495 1 1 30264.35 12.13 30264.35 2011-08-17 2495 1 1 30214.45 12.13 0.00 2011-08-18 0 1 1 0.00 0.00 -27469.95 2011-08-19 0 1 1 0.00 0.00 0.00 2011-08-22 0 1 1 0.00 0.00 0.00 2011-08-23 2360 1 1 27470.40 11.64 27470.40 2011-08-24 2360 1 1 28107.60 11.64 0.00 2011-08-25 2360 1 1 27305.20 11.64 0.00 2011-08-26 2360 1 1 28650.40 11.64 0.00 2011-08-29 2360 1 1 29358.40 11.64 0.00 2011-08-30 2360 1 1 28485.20 11.64 0.00 2011-08-31 2360 1 1 28508.80 11.64 0.00 2011-09-01 2360 1 1 28202.00 11.64 0.00 2011-09-02 0 1 1 0.00 0.00 -27706.40 2011-09-06 0 1 1 0.00 0.00 0.00 2011-09-07 0 1 1 0.00 0.00 0.00 2011-09-08 0 1 1 0.00 0.00 0.00 2011-09-09 0 1 1 0.00 0.00 0.00 2011-09-12 0 1 1 0.00 0.00 0.00 2011-09-13 0 1 1 0.00 0.00 0.00 2011-09-14 2233 1 1 27711.53 12.41 27711.53 2011-09-15 2233 1 1 28515.41 12.41 0.00 2011-09-16 2233 1 1 28515.41 12.41 0.00 2011-09-19 2233 1 1 28024.15 12.41 0.00 2011-09-20 0 1 1 0.00 0.00 -26684.35 2011-09-21 0 1 1 0.00 0.00 0.00 2011-09-22 0 1 1 0.00 0.00 0.00 2011-09-23 0 1 1 0.00 0.00 0.00 2011-09-26 0 1 1 0.00 0.00 0.00 2011-09-27 2187 1 1 26681.40 12.20 26681.40 2011-09-28 2187 1 1 26528.31 12.20 0.00 2011-09-29 2187 1 1 27840.51 12.20 0.00 2011-09-30 2187 1 1 27337.50 12.20 0.00 2011-10-03 0 1 1 0.00 0.00 -25587.90 2011-10-04 2058 1 1 25580.94 12.43 25580.94 2011-10-05 2058 1 1 26198.34 12.43 0.00 2011-10-06 2058 1 1 27042.12 12.43 0.00 2011-10-07 2058 1 1 26959.80 12.43 0.00 2011-10-10 2058 1 1 27638.94 12.43 0.00 2011-10-11 2058 1 1 28215.18 12.43 0.00 2011-10-12 2058 1 1 29882.16 12.43 0.00 2011-10-13 2058 1 1 32722.20 12.43 0.00 2011-10-14 2058 1 1 32166.54 12.43 0.00 Period.Realized.PL Period.Unrealized.PL Gross.Trading.PL Txn.Fees 2006-12-31 0.00 0.000000e+00 0.000000e+00 0 2011-06-09 0.00 0.000000e+00 0.000000e+00 0 2011-06-10 0.00 -3.204500e+02 -3.204500e+02 0 2011-06-13 0.00 -2.465000e+01 -2.465000e+01 0 2011-06-14 0.00 -7.395000e+01 -7.395000e+01 0 2011-06-15 -419.05 4.190500e+02 -1.705303e-13 0 2011-06-16 0.00 0.000000e+00 0.000000e+00 0 2011-06-17 0.00 0.000000e+00 0.000000e+00 0 2011-06-20 0.00 0.000000e+00 0.000000e+00 0 2011-06-21 0.00 0.000000e+00 0.000000e+00 0 2011-06-22 0.00 -4.908000e+01 -4.908000e+01 0 2011-06-23 0.00 4.908000e+01 4.908000e+01 0 2011-06-24 0.00 -1.227000e+02 -1.227000e+02 0 2011-06-27 0.00 0.000000e+00 0.000000e+00 0 2011-06-28 0.00 7.362000e+02 7.362000e+02 0 2011-06-29 0.00 -9.816000e+01 -9.816000e+01 0 2011-06-30 -147.24 -5.153400e+02 -6.625800e+02 0 2011-07-01 0.00 0.000000e+00 0.000000e+00 0 2011-07-05 0.00 -5.932500e+02 -5.932500e+02 0 2011-07-06 0.00 2.420460e+03 2.420460e+03 0 2011-07-07 0.00 -6.407100e+02 -6.407100e+02 0 2011-07-08 0.00 1.922130e+03 1.922130e+03 0 2011-07-11 0.00 -7.119000e+02 -7.119000e+02 0 2011-07-12 0.00 3.084900e+02 3.084900e+02 0 2011-07-13 0.00 1.305150e+03 1.305150e+03 0 2011-07-14 0.00 4.746000e+02 4.746000e+02 0 2011-07-15 0.00 -1.423800e+02 -1.423800e+02 0 2011-07-18 0.00 -1.352610e+03 -1.352610e+03 0 2011-07-19 0.00 8.068200e+02 8.068200e+02 0 2011-07-20 2349.27 -3.796800e+03 -1.447530e+03 0 2011-07-21 0.00 0.000000e+00 0.000000e+00 0 2011-07-22 0.00 0.000000e+00 0.000000e+00 0 2011-07-25 0.00 0.000000e+00 0.000000e+00 0 2011-07-26 0.00 0.000000e+00 0.000000e+00 0 2011-07-27 0.00 0.000000e+00 0.000000e+00 0 2011-07-28 0.00 0.000000e+00 0.000000e+00 0 2011-07-29 0.00 0.000000e+00 0.000000e+00 0 2011-08-01 0.00 0.000000e+00 0.000000e+00 0 2011-08-02 0.00 0.000000e+00 0.000000e+00 0 2011-08-03 0.00 0.000000e+00 0.000000e+00 0 2011-08-04 -1512.00 1.818989e-12 -1.512000e+03 0 2011-08-05 0.00 0.000000e+00 0.000000e+00 0 2011-08-08 0.00 0.000000e+00 0.000000e+00 0 2011-08-09 0.00 0.000000e+00 0.000000e+00 0 2011-08-10 0.00 0.000000e+00 0.000000e+00 0 2011-08-11 0.00 0.000000e+00 0.000000e+00 0 2011-08-12 0.00 0.000000e+00 0.000000e+00 0 2011-08-15 0.00 0.000000e+00 0.000000e+00 0 2011-08-16 0.00 0.000000e+00 0.000000e+00 0 2011-08-17 0.00 -4.990000e+01 -4.990000e+01 0 2011-08-18 -2794.40 4.990000e+01 -2.744500e+03 0 2011-08-19 0.00 0.000000e+00 0.000000e+00 0 2011-08-22 0.00 0.000000e+00 0.000000e+00 0 2011-08-23 0.00 0.000000e+00 0.000000e+00 0 2011-08-24 0.00 6.372000e+02 6.372000e+02 0 2011-08-25 0.00 -8.024000e+02 -8.024000e+02 0 2011-08-26 0.00 1.345200e+03 1.345200e+03 0 2011-08-29 0.00 7.080000e+02 7.080000e+02 0 2011-08-30 0.00 -8.732000e+02 -8.732000e+02 0 2011-08-31 0.00 2.360000e+01 2.360000e+01 0 2011-09-01 0.00 -3.068000e+02 -3.068000e+02 0 2011-09-02 236.00 -7.316000e+02 -4.956000e+02 0 2011-09-06 0.00 0.000000e+00 0.000000e+00 0 2011-09-07 0.00 0.000000e+00 0.000000e+00 0 2011-09-08 0.00 0.000000e+00 0.000000e+00 0 2011-09-09 0.00 0.000000e+00 0.000000e+00 0 2011-09-12 0.00 0.000000e+00 0.000000e+00 0 2011-09-13 0.00 0.000000e+00 0.000000e+00 0 2011-09-14 0.00 0.000000e+00 0.000000e+00 0 2011-09-15 0.00 8.038800e+02 8.038800e+02 0 2011-09-16 0.00 0.000000e+00 0.000000e+00 0 2011-09-19 0.00 -4.912600e+02 -4.912600e+02 0 2011-09-20 -1027.18 -3.126200e+02 -1.339800e+03 0 2011-09-21 0.00 0.000000e+00 0.000000e+00 0 2011-09-22 0.00 0.000000e+00 0.000000e+00 0 2011-09-23 0.00 0.000000e+00 0.000000e+00 0 2011-09-26 0.00 0.000000e+00 0.000000e+00 0 2011-09-27 0.00 0.000000e+00 0.000000e+00 0 2011-09-28 0.00 -1.530900e+02 -1.530900e+02 0 2011-09-29 0.00 1.312200e+03 1.312200e+03 0 2011-09-30 0.00 -5.030100e+02 -5.030100e+02 0 2011-10-03 -1093.50 -6.561000e+02 -1.749600e+03 0 2011-10-04 0.00 0.000000e+00 0.000000e+00 0 2011-10-05 0.00 6.174000e+02 6.174000e+02 0 2011-10-06 0.00 8.437800e+02 8.437800e+02 0 2011-10-07 0.00 -8.232000e+01 -8.232000e+01 0 2011-10-10 0.00 6.791400e+02 6.791400e+02 0 2011-10-11 0.00 5.762400e+02 5.762400e+02 0 2011-10-12 0.00 1.666980e+03 1.666980e+03 0 2011-10-13 0.00 2.840040e+03 2.840040e+03 0 2011-10-14 0.00 -5.556600e+02 -5.556600e+02 0 Net.Trading.PL 2006-12-31 0.000000e+00 2011-06-09 0.000000e+00 2011-06-10 -3.204500e+02 2011-06-13 -2.465000e+01 2011-06-14 -7.395000e+01 2011-06-15 -1.705303e-13 2011-06-16 0.000000e+00 2011-06-17 0.000000e+00 2011-06-20 0.000000e+00 2011-06-21 0.000000e+00 2011-06-22 -4.908000e+01 2011-06-23 4.908000e+01 2011-06-24 -1.227000e+02 2011-06-27 0.000000e+00 2011-06-28 7.362000e+02 2011-06-29 -9.816000e+01 2011-06-30 -6.625800e+02 2011-07-01 0.000000e+00 2011-07-05 -5.932500e+02 2011-07-06 2.420460e+03 2011-07-07 -6.407100e+02 2011-07-08 1.922130e+03 2011-07-11 -7.119000e+02 2011-07-12 3.084900e+02 2011-07-13 1.305150e+03 2011-07-14 4.746000e+02 2011-07-15 -1.423800e+02 2011-07-18 -1.352610e+03 2011-07-19 8.068200e+02 2011-07-20 -1.447530e+03 2011-07-21 0.000000e+00 2011-07-22 0.000000e+00 2011-07-25 0.000000e+00 2011-07-26 0.000000e+00 2011-07-27 0.000000e+00 2011-07-28 0.000000e+00 2011-07-29 0.000000e+00 2011-08-01 0.000000e+00 2011-08-02 0.000000e+00 2011-08-03 0.000000e+00 2011-08-04 -1.512000e+03 2011-08-05 0.000000e+00 2011-08-08 0.000000e+00 2011-08-09 0.000000e+00 2011-08-10 0.000000e+00 2011-08-11 0.000000e+00 2011-08-12 0.000000e+00 2011-08-15 0.000000e+00 2011-08-16 0.000000e+00 2011-08-17 -4.990000e+01 2011-08-18 -2.744500e+03 2011-08-19 0.000000e+00 2011-08-22 0.000000e+00 2011-08-23 0.000000e+00 2011-08-24 6.372000e+02 2011-08-25 -8.024000e+02 2011-08-26 1.345200e+03 2011-08-29 7.080000e+02 2011-08-30 -8.732000e+02 2011-08-31 2.360000e+01 2011-09-01 -3.068000e+02 2011-09-02 -4.956000e+02 2011-09-06 0.000000e+00 2011-09-07 0.000000e+00 2011-09-08 0.000000e+00 2011-09-09 0.000000e+00 2011-09-12 0.000000e+00 2011-09-13 0.000000e+00 2011-09-14 0.000000e+00 2011-09-15 8.038800e+02 2011-09-16 0.000000e+00 2011-09-19 -4.912600e+02 2011-09-20 -1.339800e+03 2011-09-21 0.000000e+00 2011-09-22 0.000000e+00 2011-09-23 0.000000e+00 2011-09-26 0.000000e+00 2011-09-27 0.000000e+00 2011-09-28 -1.530900e+02 2011-09-29 1.312200e+03 2011-09-30 -5.030100e+02 2011-10-03 -1.749600e+03 2011-10-04 0.000000e+00 2011-10-05 6.174000e+02 2011-10-06 8.437800e+02 2011-10-07 -8.232000e+01 2011-10-10 6.791400e+02 2011-10-11 5.762400e+02 2011-10-12 1.666980e+03 2011-10-13 2.840040e+03 2011-10-14 -5.556600e+02 $summary Long.Value Short.Value Net.Value Gross.Value Realized.PL 2006-12-31 0.00 0 0.00 0.00 0.00 2011-06-09 29999.05 0 29999.05 29999.05 0.00 2011-06-10 29678.60 0 29678.60 29678.60 0.00 2011-06-13 29653.95 0 29653.95 29653.95 0.00 2011-06-14 29580.00 0 29580.00 29580.00 0.00 2011-06-15 0.00 0 0.00 0.00 -419.05 2011-06-16 0.00 0 0.00 0.00 0.00 2011-06-17 0.00 0 0.00 0.00 0.00 2011-06-20 0.00 0 0.00 0.00 0.00 2011-06-21 29570.70 0 29570.70 29570.70 0.00 2011-06-22 29521.62 0 29521.62 29521.62 0.00 2011-06-23 29570.70 0 29570.70 29570.70 0.00 2011-06-24 29448.00 0 29448.00 29448.00 0.00 2011-06-27 29448.00 0 29448.00 29448.00 0.00 2011-06-28 30184.20 0 30184.20 30184.20 0.00 2011-06-29 30086.04 0 30086.04 30086.04 0.00 2011-06-30 0.00 0 0.00 0.00 -147.24 2011-07-01 29425.20 0 29425.20 29425.20 0.00 2011-07-05 28831.95 0 28831.95 28831.95 0.00 2011-07-06 31252.41 0 31252.41 31252.41 0.00 2011-07-07 30611.70 0 30611.70 30611.70 0.00 2011-07-08 32533.83 0 32533.83 32533.83 0.00 2011-07-11 31821.93 0 31821.93 31821.93 0.00 2011-07-12 32130.42 0 32130.42 32130.42 0.00 2011-07-13 33435.57 0 33435.57 33435.57 0.00 2011-07-14 33910.17 0 33910.17 33910.17 0.00 2011-07-15 33767.79 0 33767.79 33767.79 0.00 2011-07-18 32415.18 0 32415.18 32415.18 0.00 2011-07-19 33222.00 0 33222.00 33222.00 0.00 2011-07-20 0.00 0 0.00 0.00 2349.27 2011-07-21 0.00 0 0.00 0.00 0.00 2011-07-22 0.00 0 0.00 0.00 0.00 2011-07-25 0.00 0 0.00 0.00 0.00 2011-07-26 0.00 0 0.00 0.00 0.00 2011-07-27 0.00 0 0.00 0.00 0.00 2011-07-28 0.00 0 0.00 0.00 0.00 2011-07-29 0.00 0 0.00 0.00 0.00 2011-08-01 0.00 0 0.00 0.00 0.00 2011-08-02 0.00 0 0.00 0.00 0.00 2011-08-03 31776.00 0 31776.00 31776.00 0.00 2011-08-04 0.00 0 0.00 0.00 -1512.00 2011-08-05 0.00 0 0.00 0.00 0.00 2011-08-08 0.00 0 0.00 0.00 0.00 2011-08-09 0.00 0 0.00 0.00 0.00 2011-08-10 0.00 0 0.00 0.00 0.00 2011-08-11 0.00 0 0.00 0.00 0.00 2011-08-12 0.00 0 0.00 0.00 0.00 2011-08-15 0.00 0 0.00 0.00 0.00 2011-08-16 30264.35 0 30264.35 30264.35 0.00 2011-08-17 30214.45 0 30214.45 30214.45 0.00 2011-08-18 0.00 0 0.00 0.00 -2794.40 2011-08-19 0.00 0 0.00 0.00 0.00 2011-08-22 0.00 0 0.00 0.00 0.00 2011-08-23 27470.40 0 27470.40 27470.40 0.00 2011-08-24 28107.60 0 28107.60 28107.60 0.00 2011-08-25 27305.20 0 27305.20 27305.20 0.00 2011-08-26 28650.40 0 28650.40 28650.40 0.00 2011-08-29 29358.40 0 29358.40 29358.40 0.00 2011-08-30 28485.20 0 28485.20 28485.20 0.00 2011-08-31 28508.80 0 28508.80 28508.80 0.00 2011-09-01 28202.00 0 28202.00 28202.00 0.00 2011-09-02 0.00 0 0.00 0.00 236.00 2011-09-06 0.00 0 0.00 0.00 0.00 2011-09-07 0.00 0 0.00 0.00 0.00 2011-09-08 0.00 0 0.00 0.00 0.00 2011-09-09 0.00 0 0.00 0.00 0.00 2011-09-12 0.00 0 0.00 0.00 0.00 2011-09-13 0.00 0 0.00 0.00 0.00 2011-09-14 27711.53 0 27711.53 27711.53 0.00 2011-09-15 28515.41 0 28515.41 28515.41 0.00 2011-09-16 28515.41 0 28515.41 28515.41 0.00 2011-09-19 28024.15 0 28024.15 28024.15 0.00 2011-09-20 0.00 0 0.00 0.00 -1027.18 2011-09-21 0.00 0 0.00 0.00 0.00 2011-09-22 0.00 0 0.00 0.00 0.00 2011-09-23 0.00 0 0.00 0.00 0.00 2011-09-26 0.00 0 0.00 0.00 0.00 2011-09-27 26681.40 0 26681.40 26681.40 0.00 2011-09-28 26528.31 0 26528.31 26528.31 0.00 2011-09-29 27840.51 0 27840.51 27840.51 0.00 2011-09-30 27337.50 0 27337.50 27337.50 0.00 2011-10-03 0.00 0 0.00 0.00 -1093.50 2011-10-04 25580.94 0 25580.94 25580.94 0.00 2011-10-05 26198.34 0 26198.34 26198.34 0.00 2011-10-06 27042.12 0 27042.12 27042.12 0.00 2011-10-07 26959.80 0 26959.80 26959.80 0.00 2011-10-10 27638.94 0 27638.94 27638.94 0.00 2011-10-11 28215.18 0 28215.18 28215.18 0.00 2011-10-12 29882.16 0 29882.16 29882.16 0.00 2011-10-13 32722.20 0 32722.20 32722.20 0.00 2011-10-14 32166.54 0 32166.54 32166.54 0.00 Unrealized.PL Gross.Trading.PL Txn.Fees Net.Trading.PL 2006-12-31 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-10 -3.204500e+02 -3.204500e+02 0 -3.204500e+02 2011-06-13 -2.465000e+01 -2.465000e+01 0 -2.465000e+01 2011-06-14 -7.395000e+01 -7.395000e+01 0 -7.395000e+01 2011-06-15 4.190500e+02 -1.705303e-13 0 -1.705303e-13 2011-06-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-17 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-20 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-22 -4.908000e+01 -4.908000e+01 0 -4.908000e+01 2011-06-23 4.908000e+01 4.908000e+01 0 4.908000e+01 2011-06-24 -1.227000e+02 -1.227000e+02 0 -1.227000e+02 2011-06-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-28 7.362000e+02 7.362000e+02 0 7.362000e+02 2011-06-29 -9.816000e+01 -9.816000e+01 0 -9.816000e+01 2011-06-30 -5.153400e+02 -6.625800e+02 0 -6.625800e+02 2011-07-01 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-05 -5.932500e+02 -5.932500e+02 0 -5.932500e+02 2011-07-06 2.420460e+03 2.420460e+03 0 2.420460e+03 2011-07-07 -6.407100e+02 -6.407100e+02 0 -6.407100e+02 2011-07-08 1.922130e+03 1.922130e+03 0 1.922130e+03 2011-07-11 -7.119000e+02 -7.119000e+02 0 -7.119000e+02 2011-07-12 3.084900e+02 3.084900e+02 0 3.084900e+02 2011-07-13 1.305150e+03 1.305150e+03 0 1.305150e+03 2011-07-14 4.746000e+02 4.746000e+02 0 4.746000e+02 2011-07-15 -1.423800e+02 -1.423800e+02 0 -1.423800e+02 2011-07-18 -1.352610e+03 -1.352610e+03 0 -1.352610e+03 2011-07-19 8.068200e+02 8.068200e+02 0 8.068200e+02 2011-07-20 -3.796800e+03 -1.447530e+03 0 -1.447530e+03 2011-07-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-25 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-26 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-28 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-29 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-01 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-02 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-03 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-04 1.818989e-12 -1.512000e+03 0 -1.512000e+03 2011-08-05 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-08 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-10 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-11 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-12 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-15 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-17 -4.990000e+01 -4.990000e+01 0 -4.990000e+01 2011-08-18 4.990000e+01 -2.744500e+03 0 -2.744500e+03 2011-08-19 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-23 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-24 6.372000e+02 6.372000e+02 0 6.372000e+02 2011-08-25 -8.024000e+02 -8.024000e+02 0 -8.024000e+02 2011-08-26 1.345200e+03 1.345200e+03 0 1.345200e+03 2011-08-29 7.080000e+02 7.080000e+02 0 7.080000e+02 2011-08-30 -8.732000e+02 -8.732000e+02 0 -8.732000e+02 2011-08-31 2.360000e+01 2.360000e+01 0 2.360000e+01 2011-09-01 -3.068000e+02 -3.068000e+02 0 -3.068000e+02 2011-09-02 -7.316000e+02 -4.956000e+02 0 -4.956000e+02 2011-09-06 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-07 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-08 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-12 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-13 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-14 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-15 8.038800e+02 8.038800e+02 0 8.038800e+02 2011-09-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-19 -4.912600e+02 -4.912600e+02 0 -4.912600e+02 2011-09-20 -3.126200e+02 -1.339800e+03 0 -1.339800e+03 2011-09-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-23 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-26 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-28 -1.530900e+02 -1.530900e+02 0 -1.530900e+02 2011-09-29 1.312200e+03 1.312200e+03 0 1.312200e+03 2011-09-30 -5.030100e+02 -5.030100e+02 0 -5.030100e+02 2011-10-03 -6.561000e+02 -1.749600e+03 0 -1.749600e+03 2011-10-04 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-10-05 6.174000e+02 6.174000e+02 0 6.174000e+02 2011-10-06 8.437800e+02 8.437800e+02 0 8.437800e+02 2011-10-07 -8.232000e+01 -8.232000e+01 0 -8.232000e+01 2011-10-10 6.791400e+02 6.791400e+02 0 6.791400e+02 2011-10-11 5.762400e+02 5.762400e+02 0 5.762400e+02 2011-10-12 1.666980e+03 1.666980e+03 0 1.666980e+03 2011-10-13 2.840040e+03 2.840040e+03 0 2.840040e+03 2011-10-14 -5.556600e+02 -5.556600e+02 0 -5.556600e+02 attr(,"class") [1] "blotter_portfolio" "portfolio" attr(,"currency") [1] "USD" attr(,"initDate") [1] "2006-12-31" > > ltaccount $portfolios $portfolios$longtrend Long.Value Short.Value Net.Value Gross.Value Realized.PL 2006-12-31 0.00 0 0.00 0.00 0.00 2011-06-09 29999.05 0 29999.05 29999.05 0.00 2011-06-10 29678.60 0 29678.60 29678.60 0.00 2011-06-13 29653.95 0 29653.95 29653.95 0.00 2011-06-14 29580.00 0 29580.00 29580.00 0.00 2011-06-15 0.00 0 0.00 0.00 -419.05 2011-06-16 0.00 0 0.00 0.00 0.00 2011-06-17 0.00 0 0.00 0.00 0.00 2011-06-20 0.00 0 0.00 0.00 0.00 2011-06-21 29570.70 0 29570.70 29570.70 0.00 2011-06-22 29521.62 0 29521.62 29521.62 0.00 2011-06-23 29570.70 0 29570.70 29570.70 0.00 2011-06-24 29448.00 0 29448.00 29448.00 0.00 2011-06-27 29448.00 0 29448.00 29448.00 0.00 2011-06-28 30184.20 0 30184.20 30184.20 0.00 2011-06-29 30086.04 0 30086.04 30086.04 0.00 2011-06-30 0.00 0 0.00 0.00 -147.24 2011-07-01 29425.20 0 29425.20 29425.20 0.00 2011-07-05 28831.95 0 28831.95 28831.95 0.00 2011-07-06 31252.41 0 31252.41 31252.41 0.00 2011-07-07 30611.70 0 30611.70 30611.70 0.00 2011-07-08 32533.83 0 32533.83 32533.83 0.00 2011-07-11 31821.93 0 31821.93 31821.93 0.00 2011-07-12 32130.42 0 32130.42 32130.42 0.00 2011-07-13 33435.57 0 33435.57 33435.57 0.00 2011-07-14 33910.17 0 33910.17 33910.17 0.00 2011-07-15 33767.79 0 33767.79 33767.79 0.00 2011-07-18 32415.18 0 32415.18 32415.18 0.00 2011-07-19 33222.00 0 33222.00 33222.00 0.00 2011-07-20 0.00 0 0.00 0.00 2349.27 2011-07-21 0.00 0 0.00 0.00 0.00 2011-07-22 0.00 0 0.00 0.00 0.00 2011-07-25 0.00 0 0.00 0.00 0.00 2011-07-26 0.00 0 0.00 0.00 0.00 2011-07-27 0.00 0 0.00 0.00 0.00 2011-07-28 0.00 0 0.00 0.00 0.00 2011-07-29 0.00 0 0.00 0.00 0.00 2011-08-01 0.00 0 0.00 0.00 0.00 2011-08-02 0.00 0 0.00 0.00 0.00 2011-08-03 31776.00 0 31776.00 31776.00 0.00 2011-08-04 0.00 0 0.00 0.00 -1512.00 2011-08-05 0.00 0 0.00 0.00 0.00 2011-08-08 0.00 0 0.00 0.00 0.00 2011-08-09 0.00 0 0.00 0.00 0.00 2011-08-10 0.00 0 0.00 0.00 0.00 2011-08-11 0.00 0 0.00 0.00 0.00 2011-08-12 0.00 0 0.00 0.00 0.00 2011-08-15 0.00 0 0.00 0.00 0.00 2011-08-16 30264.35 0 30264.35 30264.35 0.00 2011-08-17 30214.45 0 30214.45 30214.45 0.00 2011-08-18 0.00 0 0.00 0.00 -2794.40 2011-08-19 0.00 0 0.00 0.00 0.00 2011-08-22 0.00 0 0.00 0.00 0.00 2011-08-23 27470.40 0 27470.40 27470.40 0.00 2011-08-24 28107.60 0 28107.60 28107.60 0.00 2011-08-25 27305.20 0 27305.20 27305.20 0.00 2011-08-26 28650.40 0 28650.40 28650.40 0.00 2011-08-29 29358.40 0 29358.40 29358.40 0.00 2011-08-30 28485.20 0 28485.20 28485.20 0.00 2011-08-31 28508.80 0 28508.80 28508.80 0.00 2011-09-01 28202.00 0 28202.00 28202.00 0.00 2011-09-02 0.00 0 0.00 0.00 236.00 2011-09-06 0.00 0 0.00 0.00 0.00 2011-09-07 0.00 0 0.00 0.00 0.00 2011-09-08 0.00 0 0.00 0.00 0.00 2011-09-09 0.00 0 0.00 0.00 0.00 2011-09-12 0.00 0 0.00 0.00 0.00 2011-09-13 0.00 0 0.00 0.00 0.00 2011-09-14 27711.53 0 27711.53 27711.53 0.00 2011-09-15 28515.41 0 28515.41 28515.41 0.00 2011-09-16 28515.41 0 28515.41 28515.41 0.00 2011-09-19 28024.15 0 28024.15 28024.15 0.00 2011-09-20 0.00 0 0.00 0.00 -1027.18 2011-09-21 0.00 0 0.00 0.00 0.00 2011-09-22 0.00 0 0.00 0.00 0.00 2011-09-23 0.00 0 0.00 0.00 0.00 2011-09-26 0.00 0 0.00 0.00 0.00 2011-09-27 26681.40 0 26681.40 26681.40 0.00 2011-09-28 26528.31 0 26528.31 26528.31 0.00 2011-09-29 27840.51 0 27840.51 27840.51 0.00 2011-09-30 27337.50 0 27337.50 27337.50 0.00 2011-10-03 0.00 0 0.00 0.00 -1093.50 2011-10-04 25580.94 0 25580.94 25580.94 0.00 2011-10-05 26198.34 0 26198.34 26198.34 0.00 2011-10-06 27042.12 0 27042.12 27042.12 0.00 2011-10-07 26959.80 0 26959.80 26959.80 0.00 2011-10-10 27638.94 0 27638.94 27638.94 0.00 2011-10-11 28215.18 0 28215.18 28215.18 0.00 2011-10-12 29882.16 0 29882.16 29882.16 0.00 2011-10-13 32722.20 0 32722.20 32722.20 0.00 2011-10-14 32166.54 0 32166.54 32166.54 0.00 Unrealized.PL Gross.Trading.PL Txn.Fees Net.Trading.PL 2006-12-31 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-10 -3.204500e+02 -3.204500e+02 0 -3.204500e+02 2011-06-13 -2.465000e+01 -2.465000e+01 0 -2.465000e+01 2011-06-14 -7.395000e+01 -7.395000e+01 0 -7.395000e+01 2011-06-15 4.190500e+02 -1.705303e-13 0 -1.705303e-13 2011-06-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-17 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-20 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-22 -4.908000e+01 -4.908000e+01 0 -4.908000e+01 2011-06-23 4.908000e+01 4.908000e+01 0 4.908000e+01 2011-06-24 -1.227000e+02 -1.227000e+02 0 -1.227000e+02 2011-06-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-06-28 7.362000e+02 7.362000e+02 0 7.362000e+02 2011-06-29 -9.816000e+01 -9.816000e+01 0 -9.816000e+01 2011-06-30 -5.153400e+02 -6.625800e+02 0 -6.625800e+02 2011-07-01 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-05 -5.932500e+02 -5.932500e+02 0 -5.932500e+02 2011-07-06 2.420460e+03 2.420460e+03 0 2.420460e+03 2011-07-07 -6.407100e+02 -6.407100e+02 0 -6.407100e+02 2011-07-08 1.922130e+03 1.922130e+03 0 1.922130e+03 2011-07-11 -7.119000e+02 -7.119000e+02 0 -7.119000e+02 2011-07-12 3.084900e+02 3.084900e+02 0 3.084900e+02 2011-07-13 1.305150e+03 1.305150e+03 0 1.305150e+03 2011-07-14 4.746000e+02 4.746000e+02 0 4.746000e+02 2011-07-15 -1.423800e+02 -1.423800e+02 0 -1.423800e+02 2011-07-18 -1.352610e+03 -1.352610e+03 0 -1.352610e+03 2011-07-19 8.068200e+02 8.068200e+02 0 8.068200e+02 2011-07-20 -3.796800e+03 -1.447530e+03 0 -1.447530e+03 2011-07-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-25 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-26 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-28 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-07-29 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-01 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-02 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-03 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-04 1.818989e-12 -1.512000e+03 0 -1.512000e+03 2011-08-05 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-08 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-10 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-11 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-12 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-15 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-17 -4.990000e+01 -4.990000e+01 0 -4.990000e+01 2011-08-18 4.990000e+01 -2.744500e+03 0 -2.744500e+03 2011-08-19 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-23 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-08-24 6.372000e+02 6.372000e+02 0 6.372000e+02 2011-08-25 -8.024000e+02 -8.024000e+02 0 -8.024000e+02 2011-08-26 1.345200e+03 1.345200e+03 0 1.345200e+03 2011-08-29 7.080000e+02 7.080000e+02 0 7.080000e+02 2011-08-30 -8.732000e+02 -8.732000e+02 0 -8.732000e+02 2011-08-31 2.360000e+01 2.360000e+01 0 2.360000e+01 2011-09-01 -3.068000e+02 -3.068000e+02 0 -3.068000e+02 2011-09-02 -7.316000e+02 -4.956000e+02 0 -4.956000e+02 2011-09-06 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-07 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-08 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-09 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-12 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-13 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-14 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-15 8.038800e+02 8.038800e+02 0 8.038800e+02 2011-09-16 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-19 -4.912600e+02 -4.912600e+02 0 -4.912600e+02 2011-09-20 -3.126200e+02 -1.339800e+03 0 -1.339800e+03 2011-09-21 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-22 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-23 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-26 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-27 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-09-28 -1.530900e+02 -1.530900e+02 0 -1.530900e+02 2011-09-29 1.312200e+03 1.312200e+03 0 1.312200e+03 2011-09-30 -5.030100e+02 -5.030100e+02 0 -5.030100e+02 2011-10-03 -6.561000e+02 -1.749600e+03 0 -1.749600e+03 2011-10-04 0.000000e+00 0.000000e+00 0 0.000000e+00 2011-10-05 6.174000e+02 6.174000e+02 0 6.174000e+02 2011-10-06 8.437800e+02 8.437800e+02 0 8.437800e+02 2011-10-07 -8.232000e+01 -8.232000e+01 0 -8.232000e+01 2011-10-10 6.791400e+02 6.791400e+02 0 6.791400e+02 2011-10-11 5.762400e+02 5.762400e+02 0 5.762400e+02 2011-10-12 1.666980e+03 1.666980e+03 0 1.666980e+03 2011-10-13 2.840040e+03 2.840040e+03 0 2.840040e+03 2011-10-14 -5.556600e+02 -5.556600e+02 0 -5.556600e+02 $summary Additions Withdrawals Realized.PL Unrealized.PL Int.Income 2006-12-31 0 0 0.00 0.000000e+00 0 2011-06-09 0 0 0.00 0.000000e+00 0 2011-06-10 0 0 0.00 -3.204500e+02 0 2011-06-13 0 0 0.00 -2.465000e+01 0 2011-06-14 0 0 0.00 -7.395000e+01 0 2011-06-15 0 0 -419.05 4.190500e+02 0 2011-06-16 0 0 0.00 0.000000e+00 0 2011-06-17 0 0 0.00 0.000000e+00 0 2011-06-20 0 0 0.00 0.000000e+00 0 2011-06-21 0 0 0.00 0.000000e+00 0 2011-06-22 0 0 0.00 -4.908000e+01 0 2011-06-23 0 0 0.00 4.908000e+01 0 2011-06-24 0 0 0.00 -1.227000e+02 0 2011-06-27 0 0 0.00 0.000000e+00 0 2011-06-28 0 0 0.00 7.362000e+02 0 2011-06-29 0 0 0.00 -9.816000e+01 0 2011-06-30 0 0 -147.24 -5.153400e+02 0 2011-07-01 0 0 0.00 0.000000e+00 0 2011-07-05 0 0 0.00 -5.932500e+02 0 2011-07-06 0 0 0.00 2.420460e+03 0 2011-07-07 0 0 0.00 -6.407100e+02 0 2011-07-08 0 0 0.00 1.922130e+03 0 2011-07-11 0 0 0.00 -7.119000e+02 0 2011-07-12 0 0 0.00 3.084900e+02 0 2011-07-13 0 0 0.00 1.305150e+03 0 2011-07-14 0 0 0.00 4.746000e+02 0 2011-07-15 0 0 0.00 -1.423800e+02 0 2011-07-18 0 0 0.00 -1.352610e+03 0 2011-07-19 0 0 0.00 8.068200e+02 0 2011-07-20 0 0 2349.27 -3.796800e+03 0 2011-07-21 0 0 0.00 0.000000e+00 0 2011-07-22 0 0 0.00 0.000000e+00 0 2011-07-25 0 0 0.00 0.000000e+00 0 2011-07-26 0 0 0.00 0.000000e+00 0 2011-07-27 0 0 0.00 0.000000e+00 0 2011-07-28 0 0 0.00 0.000000e+00 0 2011-07-29 0 0 0.00 0.000000e+00 0 2011-08-01 0 0 0.00 0.000000e+00 0 2011-08-02 0 0 0.00 0.000000e+00 0 2011-08-03 0 0 0.00 0.000000e+00 0 2011-08-04 0 0 -1512.00 1.818989e-12 0 2011-08-05 0 0 0.00 0.000000e+00 0 2011-08-08 0 0 0.00 0.000000e+00 0 2011-08-09 0 0 0.00 0.000000e+00 0 2011-08-10 0 0 0.00 0.000000e+00 0 2011-08-11 0 0 0.00 0.000000e+00 0 2011-08-12 0 0 0.00 0.000000e+00 0 2011-08-15 0 0 0.00 0.000000e+00 0 2011-08-16 0 0 0.00 0.000000e+00 0 2011-08-17 0 0 0.00 -4.990000e+01 0 2011-08-18 0 0 -2794.40 4.990000e+01 0 2011-08-19 0 0 0.00 0.000000e+00 0 2011-08-22 0 0 0.00 0.000000e+00 0 2011-08-23 0 0 0.00 0.000000e+00 0 2011-08-24 0 0 0.00 6.372000e+02 0 2011-08-25 0 0 0.00 -8.024000e+02 0 2011-08-26 0 0 0.00 1.345200e+03 0 2011-08-29 0 0 0.00 7.080000e+02 0 2011-08-30 0 0 0.00 -8.732000e+02 0 2011-08-31 0 0 0.00 2.360000e+01 0 2011-09-01 0 0 0.00 -3.068000e+02 0 2011-09-02 0 0 236.00 -7.316000e+02 0 2011-09-06 0 0 0.00 0.000000e+00 0 2011-09-07 0 0 0.00 0.000000e+00 0 2011-09-08 0 0 0.00 0.000000e+00 0 2011-09-09 0 0 0.00 0.000000e+00 0 2011-09-12 0 0 0.00 0.000000e+00 0 2011-09-13 0 0 0.00 0.000000e+00 0 2011-09-14 0 0 0.00 0.000000e+00 0 2011-09-15 0 0 0.00 8.038800e+02 0 2011-09-16 0 0 0.00 0.000000e+00 0 2011-09-19 0 0 0.00 -4.912600e+02 0 2011-09-20 0 0 -1027.18 -3.126200e+02 0 2011-09-21 0 0 0.00 0.000000e+00 0 2011-09-22 0 0 0.00 0.000000e+00 0 2011-09-23 0 0 0.00 0.000000e+00 0 2011-09-26 0 0 0.00 0.000000e+00 0 2011-09-27 0 0 0.00 0.000000e+00 0 2011-09-28 0 0 0.00 -1.530900e+02 0 2011-09-29 0 0 0.00 1.312200e+03 0 2011-09-30 0 0 0.00 -5.030100e+02 0 2011-10-03 0 0 -1093.50 -6.561000e+02 0 2011-10-04 0 0 0.00 0.000000e+00 0 2011-10-05 0 0 0.00 6.174000e+02 0 2011-10-06 0 0 0.00 8.437800e+02 0 2011-10-07 0 0 0.00 -8.232000e+01 0 2011-10-10 0 0 0.00 6.791400e+02 0 2011-10-11 0 0 0.00 5.762400e+02 0 2011-10-12 0 0 0.00 1.666980e+03 0 2011-10-13 0 0 0.00 2.840040e+03 0 2011-10-14 0 0 0.00 -5.556600e+02 0 Gross.Trading.PL Txn.Fees Net.Trading.PL Advisory.Fees 2006-12-31 0.000000e+00 0 0.000000e+00 0 2011-06-09 0.000000e+00 0 0.000000e+00 0 2011-06-10 -3.204500e+02 0 -3.204500e+02 0 2011-06-13 -2.465000e+01 0 -2.465000e+01 0 2011-06-14 -7.395000e+01 0 -7.395000e+01 0 2011-06-15 -1.705303e-13 0 -1.705303e-13 0 2011-06-16 0.000000e+00 0 0.000000e+00 0 2011-06-17 0.000000e+00 0 0.000000e+00 0 2011-06-20 0.000000e+00 0 0.000000e+00 0 2011-06-21 0.000000e+00 0 0.000000e+00 0 2011-06-22 -4.908000e+01 0 -4.908000e+01 0 2011-06-23 4.908000e+01 0 4.908000e+01 0 2011-06-24 -1.227000e+02 0 -1.227000e+02 0 2011-06-27 0.000000e+00 0 0.000000e+00 0 2011-06-28 7.362000e+02 0 7.362000e+02 0 2011-06-29 -9.816000e+01 0 -9.816000e+01 0 2011-06-30 -6.625800e+02 0 -6.625800e+02 0 2011-07-01 0.000000e+00 0 0.000000e+00 0 2011-07-05 -5.932500e+02 0 -5.932500e+02 0 2011-07-06 2.420460e+03 0 2.420460e+03 0 2011-07-07 -6.407100e+02 0 -6.407100e+02 0 2011-07-08 1.922130e+03 0 1.922130e+03 0 2011-07-11 -7.119000e+02 0 -7.119000e+02 0 2011-07-12 3.084900e+02 0 3.084900e+02 0 2011-07-13 1.305150e+03 0 1.305150e+03 0 2011-07-14 4.746000e+02 0 4.746000e+02 0 2011-07-15 -1.423800e+02 0 -1.423800e+02 0 2011-07-18 -1.352610e+03 0 -1.352610e+03 0 2011-07-19 8.068200e+02 0 8.068200e+02 0 2011-07-20 -1.447530e+03 0 -1.447530e+03 0 2011-07-21 0.000000e+00 0 0.000000e+00 0 2011-07-22 0.000000e+00 0 0.000000e+00 0 2011-07-25 0.000000e+00 0 0.000000e+00 0 2011-07-26 0.000000e+00 0 0.000000e+00 0 2011-07-27 0.000000e+00 0 0.000000e+00 0 2011-07-28 0.000000e+00 0 0.000000e+00 0 2011-07-29 0.000000e+00 0 0.000000e+00 0 2011-08-01 0.000000e+00 0 0.000000e+00 0 2011-08-02 0.000000e+00 0 0.000000e+00 0 2011-08-03 0.000000e+00 0 0.000000e+00 0 2011-08-04 -1.512000e+03 0 -1.512000e+03 0 2011-08-05 0.000000e+00 0 0.000000e+00 0 2011-08-08 0.000000e+00 0 0.000000e+00 0 2011-08-09 0.000000e+00 0 0.000000e+00 0 2011-08-10 0.000000e+00 0 0.000000e+00 0 2011-08-11 0.000000e+00 0 0.000000e+00 0 2011-08-12 0.000000e+00 0 0.000000e+00 0 2011-08-15 0.000000e+00 0 0.000000e+00 0 2011-08-16 0.000000e+00 0 0.000000e+00 0 2011-08-17 -4.990000e+01 0 -4.990000e+01 0 2011-08-18 -2.744500e+03 0 -2.744500e+03 0 2011-08-19 0.000000e+00 0 0.000000e+00 0 2011-08-22 0.000000e+00 0 0.000000e+00 0 2011-08-23 0.000000e+00 0 0.000000e+00 0 2011-08-24 6.372000e+02 0 6.372000e+02 0 2011-08-25 -8.024000e+02 0 -8.024000e+02 0 2011-08-26 1.345200e+03 0 1.345200e+03 0 2011-08-29 7.080000e+02 0 7.080000e+02 0 2011-08-30 -8.732000e+02 0 -8.732000e+02 0 2011-08-31 2.360000e+01 0 2.360000e+01 0 2011-09-01 -3.068000e+02 0 -3.068000e+02 0 2011-09-02 -4.956000e+02 0 -4.956000e+02 0 2011-09-06 0.000000e+00 0 0.000000e+00 0 2011-09-07 0.000000e+00 0 0.000000e+00 0 2011-09-08 0.000000e+00 0 0.000000e+00 0 2011-09-09 0.000000e+00 0 0.000000e+00 0 2011-09-12 0.000000e+00 0 0.000000e+00 0 2011-09-13 0.000000e+00 0 0.000000e+00 0 2011-09-14 0.000000e+00 0 0.000000e+00 0 2011-09-15 8.038800e+02 0 8.038800e+02 0 2011-09-16 0.000000e+00 0 0.000000e+00 0 2011-09-19 -4.912600e+02 0 -4.912600e+02 0 2011-09-20 -1.339800e+03 0 -1.339800e+03 0 2011-09-21 0.000000e+00 0 0.000000e+00 0 2011-09-22 0.000000e+00 0 0.000000e+00 0 2011-09-23 0.000000e+00 0 0.000000e+00 0 2011-09-26 0.000000e+00 0 0.000000e+00 0 2011-09-27 0.000000e+00 0 0.000000e+00 0 2011-09-28 -1.530900e+02 0 -1.530900e+02 0 2011-09-29 1.312200e+03 0 1.312200e+03 0 2011-09-30 -5.030100e+02 0 -5.030100e+02 0 2011-10-03 -1.749600e+03 0 -1.749600e+03 0 2011-10-04 0.000000e+00 0 0.000000e+00 0 2011-10-05 6.174000e+02 0 6.174000e+02 0 2011-10-06 8.437800e+02 0 8.437800e+02 0 2011-10-07 -8.232000e+01 0 -8.232000e+01 0 2011-10-10 6.791400e+02 0 6.791400e+02 0 2011-10-11 5.762400e+02 0 5.762400e+02 0 2011-10-12 1.666980e+03 0 1.666980e+03 0 2011-10-13 2.840040e+03 0 2.840040e+03 0 2011-10-14 -5.556600e+02 0 -5.556600e+02 0 Net.Performance End.Eq 2006-12-31 0.000000e+00 30000.00 2011-06-09 0.000000e+00 30000.00 2011-06-10 -3.204500e+02 29679.55 2011-06-13 -2.465000e+01 29654.90 2011-06-14 -7.395000e+01 29580.95 2011-06-15 -1.705303e-13 29580.95 2011-06-16 0.000000e+00 29580.95 2011-06-17 0.000000e+00 29580.95 2011-06-20 0.000000e+00 29580.95 2011-06-21 0.000000e+00 29580.95 2011-06-22 -4.908000e+01 29531.87 2011-06-23 4.908000e+01 29580.95 2011-06-24 -1.227000e+02 29458.25 2011-06-27 0.000000e+00 29458.25 2011-06-28 7.362000e+02 30194.45 2011-06-29 -9.816000e+01 30096.29 2011-06-30 -6.625800e+02 29433.71 2011-07-01 0.000000e+00 29433.71 2011-07-05 -5.932500e+02 28840.46 2011-07-06 2.420460e+03 31260.92 2011-07-07 -6.407100e+02 30620.21 2011-07-08 1.922130e+03 32542.34 2011-07-11 -7.119000e+02 31830.44 2011-07-12 3.084900e+02 32138.93 2011-07-13 1.305150e+03 33444.08 2011-07-14 4.746000e+02 33918.68 2011-07-15 -1.423800e+02 33776.30 2011-07-18 -1.352610e+03 32423.69 2011-07-19 8.068200e+02 33230.51 2011-07-20 -1.447530e+03 31782.98 2011-07-21 0.000000e+00 31782.98 2011-07-22 0.000000e+00 31782.98 2011-07-25 0.000000e+00 31782.98 2011-07-26 0.000000e+00 31782.98 2011-07-27 0.000000e+00 31782.98 2011-07-28 0.000000e+00 31782.98 2011-07-29 0.000000e+00 31782.98 2011-08-01 0.000000e+00 31782.98 2011-08-02 0.000000e+00 31782.98 2011-08-03 0.000000e+00 31782.98 2011-08-04 -1.512000e+03 30270.98 2011-08-05 0.000000e+00 30270.98 2011-08-08 0.000000e+00 30270.98 2011-08-09 0.000000e+00 30270.98 2011-08-10 0.000000e+00 30270.98 2011-08-11 0.000000e+00 30270.98 2011-08-12 0.000000e+00 30270.98 2011-08-15 0.000000e+00 30270.98 2011-08-16 0.000000e+00 30270.98 2011-08-17 -4.990000e+01 30221.08 2011-08-18 -2.744500e+03 27476.58 2011-08-19 0.000000e+00 27476.58 2011-08-22 0.000000e+00 27476.58 2011-08-23 0.000000e+00 27476.58 2011-08-24 6.372000e+02 28113.78 2011-08-25 -8.024000e+02 27311.38 2011-08-26 1.345200e+03 28656.58 2011-08-29 7.080000e+02 29364.58 2011-08-30 -8.732000e+02 28491.38 2011-08-31 2.360000e+01 28514.98 2011-09-01 -3.068000e+02 28208.18 2011-09-02 -4.956000e+02 27712.58 2011-09-06 0.000000e+00 27712.58 2011-09-07 0.000000e+00 27712.58 2011-09-08 0.000000e+00 27712.58 2011-09-09 0.000000e+00 27712.58 2011-09-12 0.000000e+00 27712.58 2011-09-13 0.000000e+00 27712.58 2011-09-14 0.000000e+00 27712.58 2011-09-15 8.038800e+02 28516.46 2011-09-16 0.000000e+00 28516.46 2011-09-19 -4.912600e+02 28025.20 2011-09-20 -1.339800e+03 26685.40 2011-09-21 0.000000e+00 26685.40 2011-09-22 0.000000e+00 26685.40 2011-09-23 0.000000e+00 26685.40 2011-09-26 0.000000e+00 26685.40 2011-09-27 0.000000e+00 26685.40 2011-09-28 -1.530900e+02 26532.31 2011-09-29 1.312200e+03 27844.51 2011-09-30 -5.030100e+02 27341.50 2011-10-03 -1.749600e+03 25591.90 2011-10-04 0.000000e+00 25591.90 2011-10-05 6.174000e+02 26209.30 2011-10-06 8.437800e+02 27053.08 2011-10-07 -8.232000e+01 26970.76 2011-10-10 6.791400e+02 27649.90 2011-10-11 5.762400e+02 28226.14 2011-10-12 1.666980e+03 29893.12 2011-10-13 2.840040e+03 32733.16 2011-10-14 -5.556600e+02 32177.50 attr(,"currency") [1] "USD" attr(,"initEq") [1] 30000 attr(,"class") [1] "portfolio_account" "account" > > > tradeStats('longtrend')[,c('Net.Trading.PL','maxDrawdown','Num.Trades','Profit.Factor','Std.Dev.Trade.PL','Largest.Winner','Largest.Loser','Max.Equity','Min.Equity')] Net.Trading.PL maxDrawdown Num.Trades Profit.Factor Std.Dev.Trade.PL SAVE 2177.5 -8326.78 17 0.3696744 1497.082 Largest.Winner Largest.Loser Max.Equity Min.Equity SAVE 2349.27 -2794.4 3918.68 -4408.1 >