技术指标 on 格物堂

用R中的eTTR包和tidyquant包绘制布林带

Thu, 22 May 2025 00:00:00 +0000

引言

俗话说，巧妇难为无米之炊。绘图的前提是得有数据在手。下面是获取数据的代码：

# 定义股票代码
tickers <- c("TSLA", "AAPL", "NVDA")

# 批量下载股票数据并进行预处理
stock_list <- map(tickers, function(ticker) {
 # 下载数据
 stock_data <- getSymbols(ticker, auto.assign = FALSE)
 # 重命名列
 colnames(stock_data) <- c("Open", "High", "Low", "Close", "Volume", "Adjusted")
 # 转化为tibble
 tibble_data <- as_tibble(fortify.zoo(stock_data))
 # 标准化列命名
 renamed_data <- tibble_data %>%
 rename(
 Date = Index,
 open = Open,
 high = High,
 low = Low,
 close = Close,
 volume = Volume,
 adjusted = Adjusted
 )
 # 动态命名
 dyn_name <- paste0(ticker, "_data")
 assign(dyn_name, renamed_data, envir = globalenv())
 return(get(dyn_name))
})
# 重新命名列表
names(stock_list) <- tickers

有了基础数据之后，接下来是根据布林带定义计算布林带值，并将布林带数据整合进原始数据备用。

# 使用dplyr生成包含high, low, close的tibble对象并计算布林带
stock_list_with_bbands <- map(stock_list, function(data) {
 # 确认输入参数为tibble对象
 if (is.list(data) && length(data) == 1) {
 data <- data[[1]]
 }
 # 提取eTTR::BBands所需参数
 hlc_tibble <- data %>% select(high, low, close)
 # 计算布林带
 bbands <- BBands(hlc_tibble, n = 20, sd = 2)
 # 整合进原始数据
 data %>%
 mutate(
 middle = bbands[, "mavg"],
 upper = bbands[, "up"],
 lower = bbands[, "dn"]
 )
})

# 将列表中的tibble行合并，并增加公司名作为列
combined_data <- bind_rows(stock_list_with_bbands,.id = "company_name")

# 确保相关列是数值型
num_cols <- c("open", "high", "low", "close", "middle", "upper", "lower")
combined_data <- combined_data %>% 
 mutate(across(all_of(num_cols), as.numeric))

数据准备好之后，用ggplot2包几行命令就可以打造一个叠加布林带的蜡烛图，代码如下：

# 利用分面功能绘制多支股票的蜡烛图和布林带
ggplot(combined_data, aes(x = Date)) +
 geom_candlestick(aes(open = open, high = high, low = low, close = close)) +
 geom_line(aes(y = middle), color = "blue") +
 geom_line(aes(y = upper), color = "red") +
 geom_line(aes(y = lower), color = "green") +
 facet_wrap(~ company_name, scales = "free_y") +
 labs(title = "多股票布林带对比", x = "日期", y = "价格") +
 theme_minimal()

当然，还可以单独绘制每支股票的蜡烛图叠加布林带。这里我们使用purrr包中的walk2函数来遍历列表中每一个对象。代码如下：

# 单独绘制每支股票的蜡烛图叠加布林带
walk2(stock_list_with_bbands, names(stock_list_with_bbands), function(data, name) {
 if (is.list(data) && length(data) == 1) {
 data <- data[[1]]
 }
 p <- ggplot(data, aes(x = Date)) +
 geom_candlestick(aes(open = open, high = high, low = low, close = close)) +
 geom_line(aes(y = middle), color = "blue") +
 geom_line(aes(y = upper), color = "red") +
 geom_line(aes(y = lower), color = "green") +
 labs(title = paste0("布林带 - ", name), x = "日期", y = "价格") +
 theme_minimal()
 print(p)
})

其实，tidyquant包中提供了一个直接绘制布林带的函数叫 tidyquant::geom_bbands，可以在绘图时直接基于HLC数据计算布林带。这样一来，可以免去单独计算布林带数据的过程。

# 基于geom_bbands 单独绘制每个对象的蜡烛图叠加布林带
walk2(stock_list, names(stock_list), function(data, name) {
 if (is.list(data) && length(data) == 1) {
 data <- data[[1]]
 }
 p <- ggplot(data, aes(x = Date)) +
 geom_candlestick(aes(open = open, high = high, low = low, close = close)) +
 geom_bbands(aes(high = high, low = low, close = close),ma_fun = SMA, n = 20) +
 labs(title = paste0("布林带 - ", name), x = "日期", y = "价格") +
 theme_minimal()
 print(p)
})

呐，有了R语言，尤其是eTTR包和ggplot2包之后，计算技术指标并进行可视化就是这么简单。欢迎收藏本网站，关注微信公众号ruijiao007。

RSI指标可以作为量化投资的信号因子吗

Sun, 04 May 2025 00:00:00 +0000

引言

技术指标是基于历史价格和成交量数据构建的分析工具，用于研判市场趋势及买卖时机。常见类型包括趋势指标（如移动平均线）、动量指标（如RSI）、波动率指标（布林带）和成交量指标（OBV）。其中，相对强弱指数（RSI）由韦尔斯·怀尔德于1978年提出，通过计算特定周期（通常14日）内平均涨幅与总波动的比值，衡量价格变化强度。其公式为：RSI = 100 - 100/(1 + 平均涨幅/平均跌幅)，数值在0-100间波动。应用时，70以上视为超买信号，提示潜在回调可能；30以下为超卖信号，暗示反弹机会。进阶用法包括：观察RSI与价格背离判断趋势反转；结合趋势线突破确认交易信号；在30-70区间内运用中位线（50）判断多空力道。

需注意，在单边行情中RSI易出现钝化，应与趋势指标配合使用以提高准确性。该指标广泛应用于股票、外汇及加密货币市场的短线交易策略。

策略实现

下面我们用R实现一个基于RSI指标的量化交易策略，我们基于quantstrat包实现相关策略，完整代码及注释如下：

# ======================================================
# 量化交易策略框架搭建（基于quantstrat包）
# 策略逻辑：基于RSI指标的双向交易系统
# 核心流程：环境初始化 -> 策略定义 -> 数据准备 -> 回测执行
# ======================================================

# ---------------------------
# 1. 包加载与环境清理
# ---------------------------
# 安装必要包（已注释，按需启用）
# install.packages("devtools") 
# install.packages("FinancialInstrument") 
# install.packages("PerformanceAnalytics") 
# devtools::install_github("braverock/blotter")
# devtools::install_github("braverock/quantstrat")

# 加载量化策略包
require(quantstrat)

## Loading required package: quantstrat

## Loading required package: quantmod

## Loading required package: xts

## Loading required package: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
## as.Date, as.Date.numeric

## Loading required package: TTR

## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo

## Loading required package: blotter

## Loading required package: FinancialInstrument

## Loading required package: PerformanceAnalytics

## 
## Attaching package: 'PerformanceAnalytics'

## The following object is masked from 'package:graphics':
## 
## legend

## Loading required package: foreach

# 清理历史策略数据（避免残留数据干扰）
suppressWarnings(rm("order_book.RSI",pos=.strategy))
suppressWarnings(rm("account.RSI","portfolio.RSI",pos=.blotter))
suppressWarnings(rm("account.st",
 "portfolio.st",
 "stock.str",
 "stratRSI",
 "initDate",
 "initEq",
 'start_t',
 'end_t'
 )
 )

# ---------------------------
# 2. 策略主体构建
# ---------------------------
# 创建策略容器
stratRSI <- strategy("RSI")
n=2 # 参数示例

# 2.1 添加技术指标
# 使用经典RSI指标（默认周期14）
stratRSI <- add.indicator(
 strategy = stratRSI, 
 name = "RSI", # 内置RSI函数
 arguments = list(price = quote(getPrice(mktdata))), # 获取价格数据
 label = "RSI"
)


# 2.2 定义交易信号
# 信号1：RSI上穿70（超买信号）
stratRSI <- add.signal(
 strategy = stratRSI, 
 name = "sigThreshold",
 arguments = list(
 threshold = 70,
 column = "RSI",
 relationship = "gt", # greater than
 cross = TRUE # 要求穿越阈值
 ),
 label = "RSI.gt.70"
)

# 信号2：RSI下穿30（超卖信号）
stratRSI <- add.signal(
 strategy = stratRSI, 
 name = "sigThreshold",
 arguments = list(
 threshold = 30,
 column = "RSI",
 relationship = "lt", # less than
 cross = TRUE
 ),
 label = "RSI.lt.30"
)

# 2.3 设置交易规则
# 规则组1：做空规则
# 入场规则：RSI>70时建立空头仓位
stratRSI <- add.rule(
 strategy = stratRSI, 
 name = 'ruleSignal',
 arguments = list(
 sigcol = "RSI.gt.70", # 触发信号列
 sigval = TRUE, # 信号有效值
 orderqty = -1000, # 卖出数量
 ordertype = 'market', # 市价单
 orderside = 'short', # 空头方向
 pricemethod = 'market',
 replace = FALSE, # 不替换现有订单
 osFUN = osMaxPos # 使用最大仓位函数
 ), 
 type = 'enter', # 入场规则
 path.dep = TRUE # 路径依赖
)

# 离场规则：RSI<30时平空仓
stratRSI <- add.rule(
 strategy = stratRSI,
 name = 'ruleSignal',
 arguments = list(
 sigcol = "RSI.lt.30",
 sigval = TRUE,
 orderqty = 'all', # 平掉全部仓位
 ordertype = 'market',
 orderside = 'short',
 pricemethod = 'market',
 replace = FALSE
 ),
 type = 'exit',
 path.dep = TRUE
)

# 规则组2：做多规则
# 入场规则：RSI<30时建立多头仓位
stratRSI <- add.rule(
 strategy = stratRSI,
 name = 'ruleSignal',
 arguments = list(
 sigcol = "RSI.lt.30",
 sigval = TRUE,
 orderqty = 1000, # 买入数量
 ordertype = 'market',
 orderside = 'long', # 多头方向
 pricemethod = 'market',
 replace = FALSE,
 osFUN = osMaxPos
 ),
 type = 'enter',
 path.dep = TRUE
)

# 离场规则：RSI>70时平多仓
stratRSI <- add.rule(
 strategy = stratRSI,
 name = 'ruleSignal',
 arguments = list(
 sigcol = "RSI.gt.70",
 sigval = TRUE,
 orderqty = 'all',
 ordertype = 'market',
 orderside = 'long',
 pricemethod = 'market',
 replace = FALSE
 ),
 type = 'exit',
 path.dep = TRUE
)

# ---------------------------
# 3. 市场数据准备
# ---------------------------
# 设置基础货币

currency("USD")

## [1] "USD"

currency("EUR")

## [1] "EUR"

# 定义交易标的（美国行业ETF）
symbols = c("XLF", "XLP", "XLE", "XLY", "XLV", "XLI", "XLB", "XLK", "XLU")
# 初始化交易品种数据
for(symbol in symbols){ 
 # 注册金融工具
 stock(symbol, currency="USD",multiplier=1)
 # 下载历史数据（默认从Yahoo Finance）
 getSymbols(symbol)
}

# 保存数据
# 遍历所有符号
# for (symbol in symbols) {
# # 检查对象是否存在
# if (exists(symbol)) {
# # 生成文件名
# file_name <- paste0(symbol, ".rds")
# # 保存为RDS文件
# saveRDS(get(symbol), file = file_name)
# # 打印保存信息
# message("已保存: ", symbol, " -> ", file_name)
# } else {
# warning("对象 ", symbol, " 不存在")
# }
#}

# 可以用类似以下方式测试：
# applySignals(strategy=stratRSI, mktdata=applyIndicators(strategy=stratRSI, mktdata=symbols[1]))

##### 在此放置演示和测试日期 #################
#
#if(isTRUE(options('in_test')$in_test))
# # 使用测试日期
# {initDate="2000-01-01" 
# endDate="2024-12-31" 
# } else
# # 使用演示默认值
# {initDate="2000-01-01"
# endDate=Sys.Date()}

# ---------------------------
# 4. 回测系统初始化
# ---------------------------
# 设置回测参数
initDate = '2000-01-01' # 初始化日期
initEq = 100000 # 初始资金（美元）
port.st = 'RSI' # 组合名称

# 初始化投资组合
initPortf(port.st, 
 symbols=symbols, 
 initDate=initDate)

## [1] "RSI"

# 初始化账户
initAcct(port.st, 
 portfolios=port.st, 
 initDate=initDate,
 initEq=initEq)

## [1] "RSI"

# 初始化订单簿
initOrders(portfolio=port.st, 
 initDate=initDate)

# 设置仓位限制（每个品种最大300股，最多3个品种）
for(symbol in symbols){ 
 addPosLimit(port.st, 
 symbol, 
 initDate, 
 300, 
 3 ) 
 } 

print("初始化完成")

## [1] "初始化完成"

end_t<-Sys.time()
print(paste0("策略循环耗时:",end_t-start_t))

## [1] "策略循环耗时:6.13126289844513"

# 查看订单簿
#print(getOrderBook(port.st))

start_t<-Sys.time()
# 更新组合净值
updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))

## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.
## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :
## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range
## were outside the available prices: 2007-01-03/2025-05-07. Using all data
## instead.

## [1] "RSI"

end_t<-Sys.time()
print(paste0("更新交易账簿耗时:",end_t-start_t))

## [1] "更新交易账簿耗时:0.747688055038452"

# 临时修改quantmod图形参数
themelist<-chart_theme()
themelist$col$up.col<-'lightgreen'
themelist$col$dn.col<-'pink'

for(symbol in symbols){
 # dev.new()
 chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist) # 绘制持仓图
 plot(add_RSI(n=2))
 print(paste0(symbol,"仓位图"))
}

## [1] "XLF仓位图"

## [1] "XLP仓位图"

## [1] "XLE仓位图"

## [1] "XLY仓位图"

## [1] "XLV仓位图"

## [1] "XLI仓位图"

## [1] "XLB仓位图"

## [1] "XLK仓位图"

## [1] "XLU仓位图"

# 统计组合表现
ret1 <- PortfReturns(port.st)
ret1$total <- rowSums(ret1)


if("package:PerformanceAnalytics" %in% search() || require("PerformanceAnalytics",quietly=TRUE)) {
 dev.new()
 # 绘制收益率图
 charts.PerformanceSummary(ret1$total,geometric=FALSE,wealth.index=TRUE)
 print("策略总体表现")
}

## [1] "策略总体表现"

##### 查看交易统计信息 #########################################
# 查看交易单据
book = getOrderBook(port.st)
# 查看交易统计
stats = tradeStats(port.st)
# 查看组合收益率
rets = PortfReturns(port.st)
################################################################

MACD 趋势跟踪策略的实现与解析：基于 AAPL 的量化回测

Mon, 10 Jul 2017 00:00:00 +0000

MACD（移动平均收敛散度）作为经典的趋势与动量指标，其核心价值在于通过短期与长期价格趋势的差异，捕捉市场动量的变化。在实际交易中，MACD 的信号线与零轴的交叉常被视为趋势转折的信号 —— 上穿零轴暗示趋势由弱转强，下穿零轴则可能预示趋势走弱。

本文将解析一段基于 R 语言quantstrat包的 MACD 策略代码，该代码以 AAPL 为标的，通过信号线穿越零轴生成交易信号，实现趋势跟踪，并展示量化策略从环境搭建到回测评估的完整流程。

MACD 指标的核心构成与策略逻辑

在深入代码前，先明确 MACD 指标的组成与策略设计逻辑：

快速 EMA（12 日）：基于收盘价计算的短期指数移动平均线，反映近期价格趋势。
慢速 EMA（26 日）：长期指数移动平均线，反映中长期价格趋势。
MACD 线：快速 EMA 与慢速 EMA 的差值，衡量短期与长期趋势的偏离程度。
信号线：MACD 线的 9 日 EMA，用于平滑 MACD 线的波动，减少噪音信号。
零轴：MACD 线与信号线围绕波动的基准线，代表多空力量的平衡点。

本策略的核心逻辑是：当信号线从下方穿越零轴（上穿）时，认为多头趋势确立，触发买入信号；当信号线从上方穿越零轴（下穿）时，认为空头趋势显现，触发卖出信号，通过这种方式跟踪中长期趋势。策略代码与详细注释

以下是完整的策略代码，包含逐段注释以解释各环节的功能：

# Simple MACD strategy
#
# MACD可通过多种方式使用，本策略展示其作为趋势指标的应用。
# 
# 传统上，当MACD信号线穿越零时，标志着正向趋势的确立
#
# 本策略将在“signal”列上穿零轴时买入，下穿零轴时卖出
# 
# Author: brian
###############################################################################


# 加载quantstrat包，用于量化策略开发与回测
require(quantstrat)

# 清理旧策略数据，确保回测环境纯净（避免残留数据干扰结果）
suppressWarnings(rm("order_book.macd", pos=.strategy))
suppressWarnings(rm("account.macd", "portfolio.macd", pos=.blotter))
suppressWarnings(rm("account.st", "portfolio.st", "stock.str", "stratMACD", "startDate", "initEq", 'start_t', 'end_t'))

# 设定交易标的为苹果公司股票（AAPL）
stock.str <- 'AAPL'

# MACD指标参数：快速EMA周期、慢速EMA周期、信号线周期，均采用指数移动平均线（EMA）
fastMA = 12 # 快速EMA周期（传统参数为12日）
slowMA = 26 # 慢速EMA周期（传统参数为26日）
signalMA = 9 # 信号线周期（传统参数为9日）
maType = "EMA" # 移动平均线类型为指数移动平均（EMA）

# 定义货币单位为美元，并初始化标的属性（AAPL以美元计价，合约乘数为1）
currency('USD')

## [1] "USD"

stock(stock.str, currency='USD', multiplier=1)

## [1] "AAPL"

# 回测参数设置：回测起始日期、初始资金、组合与账户名称
startDate = '2006-12-31' # 数据起始日期
initEq = 1000000 # 初始资金100万美元
portfolio.st = 'macd' # 投资组合名称
account.st = 'macd' # 账户名称

# 初始化回测环境：创建组合、账户与订单簿
initPortf(portfolio.st, symbols=stock.str) # 初始化组合，包含AAPL

## [1] "macd"

initAcct(account.st, portfolios=portfolio.st) # 初始化账户，关联组合

## [1] "macd"

initOrders(portfolio=portfolio.st) # 初始化订单簿，记录交易订单

# 创建策略对象，命名为'macd'并存储到环境中
strat.st <- portfolio.st
strategy(strat.st, store=TRUE)

# 添加MACD指标：基于收盘价计算MACD线、信号线
add.indicator(
 strat.st, 
 name = "MACD", # 使用TTR包中的MACD函数
 arguments = list(x=quote(Cl(mktdata))) # 输入为收盘价（Cl(mktdata)）
)

## [1] "macd"

# 生成交易信号：基于信号线与零轴的交叉
# 信号1：信号线上穿零轴（大于零且交叉），视为买入信号
add.signal(
 strat.st,
 name = "sigThreshold", # 阈值型信号函数
 arguments = list(
 column = "signal.MACD.ind", # 作用于MACD指标的信号线列
 relationship = "gt", # 大于（greater than）
 threshold = 0, # 阈值为0（零轴）
 cross = TRUE # 必须穿越阈值（避免持续触发）
 ),
 label = "signal.gt.zero" # 信号标签：上穿零轴
)

## [1] "macd"

# 信号2：信号线下穿零轴（小于零且交叉），视为卖出信号
add.signal(
 strat.st,
 name = "sigThreshold",
 arguments = list(
 column = "signal.MACD.ind",
 relationship = "lt", # 小于（less than）
 threshold = 0,
 cross = TRUE
 ),
 label = "signal.lt.zero" # 信号标签：下穿零轴
)

## [1] "macd"

# 定义交易规则：将信号转化为具体交易动作
# 入场规则：当出现上穿零轴信号时，买入（做多）
add.rule(
 strat.st,
 name = 'ruleSignal', # 基于信号的规则函数
 arguments = list(
 sigcol = "signal.gt.zero", # 触发信号列：上穿零轴
 sigval = TRUE, # 信号值为TRUE时触发
 orderqty = 1000000, # 订单数量（此处为大额，实际会由osMaxPos限制）
 ordertype = 'market', # 市价单
 orderside = 'long', # 做多方向
 threshold = NULL,
 osFUN = 'osMaxPos' # 使用最大仓位限制函数，避免超仓
 ),
 type = 'enter', # 入场规则
 label = 'enter'
)

## [1] "macd"

# 出场规则：当出现下穿零轴信号时，平仓（卖出所有持仓）
add.rule(
 strat.st,
 name = 'ruleSignal',
 arguments = list(
 sigcol = "signal.lt.zero", # 触发信号列：下穿零轴
 sigval = TRUE,
 orderqty = 'all', # 平仓全部持仓
 ordertype = 'market',
 orderside = 'long',
 threshold = NULL,
 orderset = 'exit2' # 订单集标签，用于管理出场订单
 ),
 type = 'exit', # 出场规则
 label = 'exit'
)

## [1] "macd"

# 再平衡规则：按月调整仓位，控制单只标的的资金占比
add.rule(
 strat.st,
 'rulePctEquity', # 基于权益比例的再平衡函数
 arguments = list(
 rebalance_on = 'months', # 再平衡周期：每月
 trade.percent = .02, # 单只标的持仓占总权益的比例（2%）
 refprice = quote(last(getPrice(mktdata)[paste('::', curIndex, sep='')])), # 参考价格为最新价格
 digits = 0 # 订单数量取整
 ),
 type = 'rebalance', # 再平衡规则
 label = 'rebalance'
)

## [1] "macd"

# 获取历史数据：从雅虎财经下载AAPL的历史数据（起始日期为startDate）
getSymbols(stock.str, from=startDate, src='yahoo')

## [1] "AAPL"

# 执行策略回测：应用再平衡策略
start_t <- Sys.time() # 记录回测开始时间
out <- applyStrategy.rebalancing(
 strat.st, 
 portfolios = portfolio.st,
 parameters = list(nFast=fastMA, nSlow=slowMA, nSig=signalMA, maType=maType), # 传递MACD参数
 verbose = TRUE # 输出详细过程
)

## [1] "2007-03-16 00:00:00 AAPL 6619 @ 3.19964289665222"

## [1] "2007-08-17 00:00:00 AAPL -6619 @ 4.35928583145142"

## [1] "2007-09-05 00:00:00 AAPL 4075 @ 4.88428592681885"

## [1] "2008-01-16 00:00:00 AAPL -4075 @ 5.70142889022827"

## [1] "2008-03-31 00:00:00 AAPL 4529 @ 5.125"

## [1] "2008-06-26 00:00:00 AAPL -4529 @ 6.00928592681885"

## [1] "2008-08-20 00:00:00 AAPL 3576 @ 6.28000020980835"

## [1] "2008-09-09 00:00:00 AAPL -3576 @ 5.41714286804199"

## [1] "2009-02-06 00:00:00 AAPL 6287 @ 3.56142902374268"

## [1] "2009-03-04 00:00:00 AAPL -6287 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 6330 @ 3.62928605079651"

## [1] "2009-12-15 00:00:00 AAPL -6330 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 2892 @ 7.46785688400269"

## [1] "2010-02-03 00:00:00 AAPL -2892 @ 7.11535692214966"

## [1] "2010-03-04 00:00:00 AAPL 2819 @ 7.52535676956177"

## [1] "2010-07-16 00:00:00 AAPL -2819 @ 8.92500019073486"

## [1] "2010-08-03 00:00:00 AAPL 2251 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -2251 @ 8.99892902374268"

## [1] "2010-09-15 00:00:00 AAPL 2380 @ 9.65071392059326"

## [1] "2011-03-22 00:00:00 AAPL -2380 @ 12.1857137680054"

## [1] "2011-05-03 00:00:00 AAPL 1662 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -1662 @ 11.9428567886353"

## [1] "2011-07-11 00:00:00 AAPL 1732 @ 12.6428565979004"

## [1] "2011-11-16 00:00:00 AAPL -1732 @ 13.7417860031128"

## [1] "2011-12-27 00:00:00 AAPL 1524 @ 14.518928527832"

## [1] "2012-05-09 00:00:00 AAPL -1524 @ 20.3278560638428"

## [1] "2012-06-20 00:00:00 AAPL 1017 @ 20.9192867279053"

## [1] "2012-10-12 00:00:00 AAPL -1017 @ 22.4896430969238"

## [1] "2013-05-09 00:00:00 AAPL 1329 @ 16.3132133483887"

## [1] "2013-06-19 00:00:00 AAPL -1329 @ 15.1071434020996"

## [1] "2013-07-26 00:00:00 AAPL 1481 @ 15.7496433258057"

## [1] "2014-01-22 00:00:00 AAPL -1481 @ 19.6967868804932"
## [1] "2014-01-24 00:00:00 AAPL 1053 @ 19.5025005340576"
## [1] "2014-01-29 00:00:00 AAPL -1053 @ 17.8839282989502"

## [1] "2014-03-26 00:00:00 AAPL 1121 @ 19.2778568267822"

## [1] "2014-04-15 00:00:00 AAPL -1121 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 1099 @ 21.1546421051025"

## [1] "2014-10-17 00:00:00 AAPL -1099 @ 24.4174995422363"
## [1] "2014-10-27 00:00:00 AAPL 839 @ 26.2775001525879"

## [1] "2015-01-06 00:00:00 AAPL -839 @ 26.5650005340576"

## [1] "2015-02-02 00:00:00 AAPL 721 @ 29.6574993133545"

## [1] "2015-06-19 00:00:00 AAPL -721 @ 31.6499996185303"

## [1] "2015-10-27 00:00:00 AAPL 767 @ 28.6375007629395"

## [1] "2015-12-16 00:00:00 AAPL -767 @ 27.8349990844727"

## [1] "2016-03-09 00:00:00 AAPL 874 @ 25.2800006866455"

## [1] "2016-05-02 00:00:00 AAPL -874 @ 23.4099998474121"

## [1] "2016-07-20 00:00:00 AAPL 883 @ 24.9899997711182"

## [1] "2016-11-09 00:00:00 AAPL -883 @ 27.7199993133545"

## [1] "2016-12-15 00:00:00 AAPL 766 @ 28.9549999237061"

## [1] "2017-06-20 00:00:00 AAPL -766 @ 36.252498626709"

## [1] "2017-07-25 00:00:00 AAPL 591 @ 38.185001373291"

## [1] "2017-09-27 00:00:00 AAPL -591 @ 38.5574989318848"

## [1] "2017-10-24 00:00:00 AAPL 552 @ 39.2750015258789"

## [1] "2018-02-02 00:00:00 AAPL -552 @ 40.125"

## [1] "2018-03-01 00:00:00 AAPL 478 @ 43.75"

## [1] "2018-04-02 00:00:00 AAPL -478 @ 41.6699981689453"
## [1] "2018-04-19 00:00:00 AAPL 507 @ 43.2000007629395"
## [1] "2018-04-25 00:00:00 AAPL -507 @ 40.9124984741211"

## [1] "2018-05-09 00:00:00 AAPL 514 @ 46.8400001525879"

## [1] "2018-07-06 00:00:00 AAPL -514 @ 46.9925003051758"
## [1] "2018-07-11 00:00:00 AAPL 459 @ 46.9700012207031"

## [1] "2018-10-29 00:00:00 AAPL -459 @ 53.060001373291"

## [1] "2019-02-08 00:00:00 AAPL 512 @ 42.6025009155273"

## [1] "2019-05-21 00:00:00 AAPL -512 @ 46.6500015258789"

## [1] "2019-06-21 00:00:00 AAPL 487 @ 49.6949996948242"

## [1] "2020-03-02 00:00:00 AAPL -487 @ 74.7024993896484"

## [1] "2020-04-23 00:00:00 AAPL 339 @ 68.7574996948242"

## [1] "2020-09-25 00:00:00 AAPL -339 @ 112.279998779297"

## [1] "2020-10-13 00:00:00 AAPL 189 @ 121.099998474121"

## [1] "2020-11-03 00:00:00 AAPL -189 @ 110.440002441406"
## [1] "2020-11-16 00:00:00 AAPL 201 @ 120.300003051758"

## [1] "2021-02-25 00:00:00 AAPL -201 @ 120.98999786377"

## [1] "2021-04-14 00:00:00 AAPL 179 @ 132.029998779297"

## [1] "2021-05-18 00:00:00 AAPL -179 @ 124.849998474121"

## [1] "2021-06-21 00:00:00 AAPL 175 @ 132.300003051758"

## [1] "2021-09-27 00:00:00 AAPL -175 @ 145.369995117188"

## [1] "2021-10-27 00:00:00 AAPL 154 @ 148.850006103516"

## [1] "2022-01-26 00:00:00 AAPL -154 @ 159.690002441406"

## [1] "2022-02-10 00:00:00 AAPL 125 @ 172.119995117188"
## [1] "2022-02-24 00:00:00 AAPL -125 @ 162.740005493164"

## [1] "2022-03-30 00:00:00 AAPL 132 @ 177.770004272461"

## [1] "2022-04-26 00:00:00 AAPL -132 @ 156.800003051758"

## [1] "2022-07-19 00:00:00 AAPL 160 @ 151"

## [1] "2022-09-13 00:00:00 AAPL -160 @ 153.839996337891"

## [1] "2022-11-23 00:00:00 AAPL 142 @ 151.070007324219"

## [1] "2022-12-08 00:00:00 AAPL -142 @ 142.649993896484"

## [1] "2023-01-30 00:00:00 AAPL 168 @ 143"

## [1] "2023-08-14 00:00:00 AAPL -168 @ 179.460006713867"

## [1] "2023-11-13 00:00:00 AAPL 128 @ 184.800003051758"

## [1] "2024-01-10 00:00:00 AAPL -128 @ 186.190002441406"
## [1] "2024-01-30 00:00:00 AAPL 114 @ 188.039993286133"

## [1] "2024-02-06 00:00:00 AAPL -114 @ 189.300003051758"

## [1] "2024-05-08 00:00:00 AAPL 129 @ 182.740005493164"

## [1] "2024-08-14 00:00:00 AAPL -129 @ 221.720001220703"
## [1] "2024-08-16 00:00:00 AAPL 99 @ 226.050003051758"

## [1] "2024-11-11 00:00:00 AAPL -99 @ 224.229995727539"
## [1] "2024-11-27 00:00:00 AAPL 97 @ 234.929992675781"

## [1] "2025-01-21 00:00:00 AAPL -97 @ 222.639999389648"

## [1] "2025-02-24 00:00:00 AAPL 93 @ 247.100006103516"

## [1] "2025-03-13 00:00:00 AAPL -93 @ 209.679992675781"

## [1] "2025-07-07 00:00:00 AAPL 107 @ 209.949996948242"

end_t <- Sys.time() # 记录回测结束时间
print(end_t - start_t) # 打印回测耗时

## Time difference of 8.527371 secs

# 更新组合数据：将交易记录同步到组合与账户
start_t <- Sys.time()
updatePortf(
 Portfolio = portfolio.st,
 Dates = paste('::', as.Date(Sys.time()), sep='') # 更新至当前日期
)

## [1] "macd"

end_t <- Sys.time()
print("trade blotter portfolio update:")

## [1] "trade blotter portfolio update:"

print(end_t - start_t) # 打印更新耗时

## Time difference of 0.03819585 secs

# 可视化回测结果：绘制持仓变化与MACD指标
chart.Posn(Portfolio = portfolio.st, Symbol = stock.str) # 展示AAPL的持仓变化

plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA, maType="EMA")) # 叠加MACD指标（快速EMA=12，慢速EMA=26，信号线=9）

# 查看订单簿：获取所有订单的详细记录（用于调试与分析）
getOrderBook('macd')

## $macd
## $macd$AAPL
## Order.Qty Order.Price Order.Type Order.Side Order.Threshold
## 2007-03-15 6619 3.19892907142639 market long NA
## 2007-08-16 all 4.18035697937012 market long NA
## 2007-09-04 4075 5.1485710144043 market long NA
## 2008-01-15 all 6.03714323043823 market long NA
## 2008-03-28 4529 5.10750007629395 market long NA
## 2008-06-25 all 6.33535718917847 market long NA
## 2008-08-19 3576 6.19750022888184 market long NA
## 2008-09-08 all 5.6399998664856 market long NA
## 2009-02-05 6287 3.4449999332428 market long NA
## 2009-03-03 all 3.15607094764709 market long NA
## ... 
## 2024-02-05 all 187.679992675781 market long NA
## 2024-05-07 129 182.399993896484 market long NA
## 2024-08-13 all 221.270004272461 market long NA
## 2024-08-15 99 224.720001220703 market long NA
## 2024-11-08 all 226.960006713867 market long NA
## 2024-11-26 97 235.059997558594 market long NA
## 2025-01-17 all 229.979995727539 market long NA
## 2025-02-21 93 245.550003051758 market long NA
## 2025-03-12 all 216.979995727539 market long NA
## 2025-07-03 107 213.550003051758 market long NA
## Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule
## 2007-03-15 closed 2007-03-16 00:00:00 NA 0 enter
## 2007-08-16 closed 2007-08-17 00:00:00 exit2 0 exit 
## 2007-09-04 closed 2007-09-05 00:00:00 NA 0 enter
## 2008-01-15 closed 2008-01-16 00:00:00 exit2 0 exit 
## 2008-03-28 closed 2008-03-31 00:00:00 NA 0 enter
## 2008-06-25 closed 2008-06-26 00:00:00 exit2 0 exit 
## 2008-08-19 closed 2008-08-20 00:00:00 NA 0 enter
## 2008-09-08 closed 2008-09-09 00:00:00 exit2 0 exit 
## 2009-02-05 closed 2009-02-06 00:00:00 NA 0 enter
## 2009-03-03 closed 2009-03-04 00:00:00 exit2 0 exit 
## ... 
## 2024-02-05 closed 2024-02-06 00:00:00 exit2 0 exit 
## 2024-05-07 closed 2024-05-08 00:00:00 NA 0 enter
## 2024-08-13 closed 2024-08-14 00:00:00 exit2 0 exit 
## 2024-08-15 closed 2024-08-16 00:00:00 NA 0 enter
## 2024-11-08 closed 2024-11-11 00:00:00 exit2 0 exit 
## 2024-11-26 closed 2024-11-27 00:00:00 NA 0 enter
## 2025-01-17 closed 2025-01-21 00:00:00 exit2 0 exit 
## 2025-02-21 closed 2025-02-24 00:00:00 NA 0 enter
## 2025-03-12 closed 2025-03-13 00:00:00 exit2 0 exit 
## 2025-07-03 closed 2025-07-07 00:00:00 NA 0 enter
## Time.In.Force
## 2007-03-15 
## 2007-08-16 
## 2007-09-04 
## 2008-01-15 
## 2008-03-28 
## 2008-06-25 
## 2008-08-19 
## 2008-09-08 
## 2009-02-05 
## 2009-03-03 
## ... 
## 2024-02-05 
## 2024-05-07 
## 2024-08-13 
## 2024-08-15 
## 2024-11-08 
## 2024-11-26 
## 2025-01-17 
## 2025-02-21 
## 2025-03-12 
## 2025-07-03 
## 
## 
## attr(,"class")
## [1] "order_book"

策略核心思路

该策略的实现遵循量化交易的经典流程，从环境初始化到信号生成，再到交易执行与结果可视化，各环节紧密衔接，核心思路可总结为以下几点：

环境与参数的标准化搭建：

代码首先清理旧有策略数据，避免残留信息干扰回测；随后定义交易标的（AAPL）、货币单位（USD）及初始资金（100 万美元），通过initPortf、initAcct等函数初始化组合、账户与订单簿，为策略运行创建纯净的环境。同时，设定 MACD 的核心参数（快速 EMA=12、慢速 EMA=26、信号线 = 9），这些参数是指标计算的基础，也是后续策略优化的关键变量。

指标与信号的逻辑闭环：

策略通过add.indicator添加 MACD 指标，基于收盘价计算 MACD 线与信号线；再通过add.signal定义信号规则 —— 当信号线从下方穿越零轴（signal.gt.zero）时，认为多头趋势确立，生成买入信号；当信号线从上方穿越零轴（signal.lt.zero）时，认为趋势转弱，生成卖出信号。这种 “指标计算→信号触发” 的逻辑，是趋势跟踪策略的核心。

交易规则的风险控制：

为避免盲目交易，策略通过多重规则控制风险：入场时使用osMaxPos函数限制最大仓位，防止单次下单量过大；出场时采用 “平仓全部持仓”（orderqty=‘all’），确保趋势反转时及时离场；每月再平衡（rulePctEquity）控制单只标的的持仓占比（2%），避免过度集中风险。

回测与可视化的结果验证：

策略通过applyStrategy.rebalancing执行回测，记录耗时以评估效率；随后更新组合数据，确保交易记录与账户权益同步；最后通过chart.Posn与add_MACD可视化持仓变化与指标走势，直观展示交易时机与 MACD 信号的对应关系，为策略分析提供依据。

策略的优势与局限性

该 MACD 趋势跟踪策略的优势在于逻辑清晰、实现简单，且具备明确的风险控制机制： - 基于信号线与零轴的交叉信号，避免了主观判断，规则可量化、可复现； - 再平衡机制与仓位限制有效控制了单一标的的风险暴露，适合资金管理； - 兼容量化回测框架，便于后续参数优化（如调整 EMA 周期）或策略扩展（如添加止损）。

但策略也存在趋势跟踪类策略的共性局限：

滞后性：EMA 基于历史价格计算，信号可能滞后于实际趋势转折，导致入场过晚或出场延迟；
震荡市失效：在横盘震荡行情中，信号线可能频繁穿越零轴，产生大量虚假信号，导致频繁交易与成本累积；
参数敏感性：过度依赖传统参数（12/26/9）可能无法适配不同市场环境，需结合标的特性优化。

MACD 策略的前进测试（Walk Forward）实现与解析

Wed, 10 Jun 2015 00:00:00 +0000

在量化交易中，策略的稳健性往往取决于其在不同市场周期的适应性。一次性回测容易因参数过拟合导致 “历史表现优异但未来失效” 的问题，而前进测试（Walk Forward Testing）通过滚动优化参数并验证，能有效降低过拟合风险。

本文将解析一段基于quantstrat包的 MACD 策略前进测试代码，展示其实现思路与核心价值，并结合 MACD 指标的原理说明策略设计逻辑。

代码实现与注释

以下是完整的前进测试代码，包含详细注释以解释各环节功能：

# Walk Forward demo for MACD
###############################################################################

# 加载必要的包：foreach用于并行迭代，iterators支持迭代器，quantstrat用于量化策略开发
require(foreach, quietly=TRUE)
require(iterators)
require(quantstrat)

# 运行内置的MACD策略演示代码，初始化策略环境（包含策略定义、标的数据等）
# 使用source而非demo确保所有变量在当前会话中可见
source(system.file('demo/macd.R', package='quantstrat'), echo = TRUE)

## 
## > require(quantstrat)
## 
## > suppressWarnings(rm("order_book.macd", pos = .strategy))
## 
## > suppressWarnings(rm("account.macd", "portfolio.macd", 
## + pos = .blotter))
## 
## > suppressWarnings(rm("account.st", "portfolio.st", 
## + "stock.str", "stratMACD", "startDate", "initEq", "start_t", 
## + "end_t"))
## 
## > oldtz <- Sys.getenv("TZ")
## 
## > if (oldtz == "") {
## + Sys.setenv(TZ = "GMT")
## + }
## 
## > stock.str = "AAPL"
## 
## > fastMA = 12
## 
## > slowMA = 26
## 
## > signalMA = 9
## 
## > maType = "EMA"
## 
## > currency("USD")
## [1] "USD"
## 
## > stock(stock.str, currency = "USD", multiplier = 1)
## [1] "AAPL"
## 
## > startDate = "2006-12-31"
## 
## > initEq = 1e+06
## 
## > portfolio.st = "macd"
## 
## > account.st = "macd"
## 
## > initPortf(portfolio.st, symbols = stock.str)
## [1] "macd"
## 
## > initAcct(account.st, portfolios = portfolio.st)
## [1] "macd"
## 
## > initOrders(portfolio = portfolio.st)
## 
## > strat.st <- portfolio.st
## 
## > strategy(strat.st, store = TRUE)
## 
## > add.indicator(strat.st, name = "MACD", arguments = list(x = quote(Cl(mktdata)), 
## + nFast = fastMA, nSlow = slowMA), label = "_")
## [1] "macd"
## 
## > add.signal(strat.st, name = "sigThreshold", arguments = list(column = "signal._", 
## + relationship = "gt", threshold = 0, cross = TRUE), label = .... [TRUNCATED] 
## [1] "macd"
## 
## > add.signal(strat.st, name = "sigThreshold", arguments = list(column = "signal._", 
## + relationship = "lt", threshold = 0, cross = TRUE), label = .... [TRUNCATED] 
## [1] "macd"
## 
## > add.rule(strat.st, name = "ruleSignal", arguments = list(sigcol = "signal.gt.zero", 
## + sigval = TRUE, orderqty = 100, ordertype = "market", orde .... [TRUNCATED] 
## [1] "macd"
## 
## > add.rule(strat.st, name = "ruleSignal", arguments = list(sigcol = "signal.lt.zero", 
## + sigval = TRUE, orderqty = "all", ordertype = "market", or .... [TRUNCATED] 
## [1] "macd"
## 
## > getSymbols(stock.str, from = startDate, to = "2014-06-01", 
## + src = "yahoo")
## [1] "AAPL"
## 
## > start_t <- Sys.time()
## 
## > out <- applyStrategy(strat.st, portfolios = portfolio.st, 
## + parameters = list(nFast = fastMA, nSlow = slowMA, nSig = signalMA, 
## + maTyp .... [TRUNCATED] 
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057"
## [1] "2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932"
## [1] "2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## 
## > end_t <- Sys.time()
## 
## > print(end_t - start_t)
## Time difference of 0.4237199 secs
## 
## > start_t <- Sys.time()
## 
## > updatePortf(Portfolio = portfolio.st, Dates = paste("::", 
## + as.Date(Sys.time()), sep = ""))

## [1] "macd"
## 
## > end_t <- Sys.time()
## 
## > print("trade blotter portfolio update:")
## [1] "trade blotter portfolio update:"
## 
## > print(end_t - start_t)
## Time difference of 0.02946806 secs
## 
## > chart.Posn(Portfolio = portfolio.st, Symbol = stock.str)

## 
## > plot(add_MACD(fast = fastMA, slow = slowMA, signal = signalMA, 
## + maType = "EMA"))

## 
## > obook <- getOrderBook("macd")
## 
## > Sys.setenv(TZ = oldtz)

# 并行计算初始化（可选）：doParallel、doMC等并行包可加速参数搜索
# 此处以doParallel为例，默认使用物理核心数-1的线程
# require(doParallel)
# registerDoParallel()


# 从环境中获取策略对象（MACD策略在定义时设置了store=TRUE，因此可直接调用）
strategy.st <- 'macd'

### 设置参数搜索范围
.FastMA = (1:10) # MACD快速EMA周期候选值（1到10）
.SlowMA = (5:25) # MACD慢速EMA周期候选值（5到25）
.nsamples = 15 # 随机抽样的参数组合数量（并行计算时可减少迭代次数，提高效率）


### 定义参数分布（用于参数优化）
# 为策略添加快速EMA周期的参数分布
add.distribution(
 strategy.st, # 策略名称
 paramset.label = 'MA', # 参数集标签（用于标识该组参数）
 component.type = 'indicator', # 组件类型：指标（此处为MACD的EMA参数）
 component.label = '_', # 指标在策略中的标签（对应MACD指标的默认标识）
 variable = list(n = .FastMA), # 变量：快速EMA周期，取值范围为.FastMA
 label = 'nFAST' # 该参数的标签（用于后续约束和结果识别）
)

## [1] "macd"

# 为策略添加慢速EMA周期的参数分布
add.distribution(
 strategy.st,
 paramset.label = 'MA',
 component.type = 'indicator',
 component.label = '_',
 variable = list(n = .SlowMA), # 变量：慢速EMA周期，取值范围为.SlowMA
 label = 'nSLOW' # 该参数的标签
)

## [1] "macd"

# 添加参数约束：确保快速EMA周期小于慢速EMA周期（MACD计算的必要条件）
add.distribution.constraint(
 strategy.st,
 paramset.label = 'MA',
 distribution.label.1 = 'nFAST', # 第一个参数（快速周期）
 distribution.label.2 = 'nSLOW', # 第二个参数（慢速周期）
 operator = '<', # 约束关系：快速周期 < 慢速周期
 label = 'MA' # 约束标签
)

## [1] "macd"

### 初始化前进测试环境
wfportfolio <- "wf.macd" # 前进测试的组合名称
initPortf(wfportfolio, symbols = stock.str) # 初始化组合（stock.str来自MACD演示代码中的标的）

## [1] "wf.macd"

initOrders(portfolio = wfportfolio) # 初始化订单簿

# 执行前进测试
wf_start <- Sys.time() # 记录开始时间
wfresults <- walk.forward(
 strategy.st, # 策略名称
 paramset.label = 'MA', # 使用的参数集标签
 portfolio.st = wfportfolio, # 组合名称
 account.st = account.st, # 账户名称（来自MACD演示代码）
 nsamples = .nsamples, # 每次迭代随机抽样的参数组合数量
 period = 'months', # 滚动周期：按月划分训练期和测试期
 k.training = 36, # 训练期长度：36个月（用于参数优化）
 k.testing = 12, # 测试期长度：12个月（用于验证优化后的参数）
 verbose = TRUE, # 输出详细过程信息
 anchored = TRUE, # 固定起始点：训练期从最开始滚动（而非滑动窗口）
 include.insamples = TRUE, # 结果中包含训练期数据
 savewf = FALSE # 不保存中间结果
)

## [1] "=== training MA on 2007-01-03/2009-12-31"

## [1] "2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823"
## [1] "2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161"
## [1] "2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161"
## [1] "2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314"
## [1] "2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536"
## [1] "2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314"
## [1] "2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219"
## [1] "2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-21 00:00:00 AAPL -100 @ 7.07964277267456"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "=== testing param.combo 90 on 2010-01-04/2010-12-31"
## nFAST nSLOW
## 90 1 16
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "=== training MA on 2007-01-03/2010-12-31"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823"
## [1] "2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-02 00:00:00 AAPL -100 @ 6.99499988555908"
## [1] "2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989"
## [1] "2010-05-28 00:00:00 AAPL -100 @ 9.17428588867188"
## [1] "2010-06-02 00:00:00 AAPL 100 @ 9.42678642272949"
## [1] "2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "=== testing param.combo 21 on 2011-01-03/2011-12-30"
## nFAST nSLOW
## 21 6 8
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "=== training MA on 2007-01-03/2011-12-30"
## [1] "2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314"
## [1] "2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-05 00:00:00 AAPL -100 @ 12.103214263916"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823"
## [1] "2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-02 00:00:00 AAPL -100 @ 6.99499988555908"
## [1] "2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989"
## [1] "2010-05-28 00:00:00 AAPL -100 @ 9.17428588867188"
## [1] "2010-06-02 00:00:00 AAPL 100 @ 9.42678642272949"
## [1] "2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-21 00:00:00 AAPL -100 @ 12.1178569793701"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-10-11 00:00:00 AAPL -100 @ 14.2960710525513"
## [1] "2011-10-14 00:00:00 AAPL 100 @ 15.0714292526245"
## [1] "2011-11-15 00:00:00 AAPL -100 @ 13.8867864608765"
## [1] "2011-12-23 00:00:00 AAPL 100 @ 14.4046430587769"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176"
## [1] "2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536"
## [1] "2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-06 00:00:00 AAPL -100 @ 12.0728569030762"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536"
## [1] "2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-06 00:00:00 AAPL -100 @ 12.0728569030762"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "=== testing param.combo 17 on 2012-01-03/2012-12-31"
## nFAST nSLOW
## 17 2 8
## [1] "2012-05-08 00:00:00 AAPL -100 @ 20.292142868042"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "=== training MA on 2007-01-03/2012-12-31"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176"
## [1] "2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823"
## [1] "2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-02 00:00:00 AAPL -100 @ 6.99499988555908"
## [1] "2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989"
## [1] "2010-05-28 00:00:00 AAPL -100 @ 9.17428588867188"
## [1] "2010-06-02 00:00:00 AAPL 100 @ 9.42678642272949"
## [1] "2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-21 00:00:00 AAPL -100 @ 12.1178569793701"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-10-11 00:00:00 AAPL -100 @ 14.2960710525513"
## [1] "2011-10-14 00:00:00 AAPL 100 @ 15.0714292526245"
## [1] "2011-11-15 00:00:00 AAPL -100 @ 13.8867864608765"
## [1] "2011-12-23 00:00:00 AAPL 100 @ 14.4046430587769"
## [1] "2012-05-07 00:00:00 AAPL -100 @ 20.3385715484619"
## [1] "2012-06-19 00:00:00 AAPL 100 @ 20.9789295196533"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161"
## [1] "2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-21 00:00:00 AAPL -100 @ 12.1178569793701"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-10-12 00:00:00 AAPL -100 @ 14.3639287948608"
## [1] "2011-10-13 00:00:00 AAPL 100 @ 14.5867862701416"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-23 00:00:00 AAPL 100 @ 14.4046430587769"
## [1] "2012-05-08 00:00:00 AAPL -100 @ 20.292142868042"
## [1] "2012-06-19 00:00:00 AAPL 100 @ 20.9789295196533"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176"
## [1] "2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "=== testing param.combo 96 on 2013-01-02/2013-12-31"
## nFAST nSLOW
## 96 7 16
## [1] "2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "=== training MA on 2007-01-03/2013-12-31"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-05 00:00:00 AAPL -100 @ 12.103214263916"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-17 00:00:00 AAPL -100 @ 18.9328575134277"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-08 00:00:00 AAPL -100 @ 20.292142868042"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057"
## [1] "2013-09-24 00:00:00 AAPL -100 @ 17.4678573608398"
## [1] "2013-09-30 00:00:00 AAPL 100 @ 17.0267868041992"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-14 00:00:00 AAPL -100 @ 19.9364280700684"
## [1] "2012-06-22 00:00:00 AAPL 100 @ 20.78928565979"
## [1] "2012-10-16 00:00:00 AAPL -100 @ 23.2067852020264"
## [1] "2013-05-13 00:00:00 AAPL 100 @ 16.2407131195068"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161"
## [1] "2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068"
## [1] "2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-21 00:00:00 AAPL -100 @ 12.1178569793701"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-10-12 00:00:00 AAPL -100 @ 14.3639287948608"
## [1] "2011-10-13 00:00:00 AAPL 100 @ 14.5867862701416"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-23 00:00:00 AAPL 100 @ 14.4046430587769"
## [1] "2012-05-08 00:00:00 AAPL -100 @ 20.292142868042"
## [1] "2012-06-19 00:00:00 AAPL 100 @ 20.9789295196533"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-18 00:00:00 AAPL -100 @ 15.4203567504883"
## [1] "2013-07-25 00:00:00 AAPL 100 @ 15.6607141494751"
## [1] "2013-09-23 00:00:00 AAPL -100 @ 17.5228576660156"
## [1] "2013-10-01 00:00:00 AAPL 100 @ 17.4271430969238"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536"
## [1] "2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-06 00:00:00 AAPL -100 @ 12.0728569030762"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-17 00:00:00 AAPL -100 @ 18.9328575134277"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-19 00:00:00 AAPL -100 @ 21.7800006866455"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-30 00:00:00 AAPL 100 @ 9.1875"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-19 00:00:00 AAPL -100 @ 21.7800006866455"
## [1] "2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708"
## [1] "2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576"
## [1] "2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314"
## [1] "2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908"
## [1] "2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-11 00:00:00 AAPL -100 @ 20.2396430969238"
## [1] "2012-06-22 00:00:00 AAPL 100 @ 20.78928565979"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2013-05-13 00:00:00 AAPL 100 @ 16.2407131195068"
## [1] "2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708"
## [1] "2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-02 00:00:00 AAPL 100 @ 16.5192852020264"
## [1] "=== testing param.combo 14 on 2014-01-02/2014-05-30"
## nFAST nSLOW
## 14 5 7
## [1] "2014-01-15 00:00:00 AAPL -100 @ 19.9057140350342"
## [1] "2014-01-27 00:00:00 AAPL 100 @ 19.6607131958008"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-25 00:00:00 AAPL 100 @ 19.4639282226562"
## [1] "2014-04-14 00:00:00 AAPL -100 @ 18.6314296722412"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057"
## [1] "2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932"
## [1] "2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176"
## [1] "2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2014-02-03 00:00:00 AAPL -100 @ 17.9117851257324"
## [1] "2014-04-01 00:00:00 AAPL 100 @ 19.3446426391602"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071"
## [1] "2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178"
## [1] "2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-08 00:00:00 AAPL -100 @ 20.292142868042"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057"
## [1] "2013-09-24 00:00:00 AAPL -100 @ 17.4678573608398"
## [1] "2013-09-30 00:00:00 AAPL 100 @ 17.0267868041992"
## [1] "2014-01-16 00:00:00 AAPL -100 @ 19.7946434020996"
## [1] "2014-01-27 00:00:00 AAPL 100 @ 19.6607131958008"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-25 00:00:00 AAPL 100 @ 19.4639282226562"
## [1] "2014-04-14 00:00:00 AAPL -100 @ 18.6314296722412"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708"
## [1] "2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406"
## [1] "2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613"
## [1] "2010-07-30 00:00:00 AAPL 100 @ 9.1875"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-19 00:00:00 AAPL -100 @ 21.7800006866455"
## [1] "2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406"
## [1] "2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179"
## [1] "2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-16 00:00:00 AAPL -100 @ 19.502857208252"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406"
## [1] "2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931"
## [1] "2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641"
## [1] "2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092"
## [1] "2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-05 00:00:00 AAPL -100 @ 12.103214263916"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124"
## [1] "2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-05-17 00:00:00 AAPL -100 @ 18.9328575134277"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658"
## [1] "2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424"
## [1] "2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406"
## [1] "2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628"
## [1] "2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536"
## [1] "2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384"
## [1] "2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879"
## [1] "2011-11-23 00:00:00 AAPL -100 @ 13.106785774231"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826"
## [1] "2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004"
## [1] "2012-10-22 00:00:00 AAPL -100 @ 22.643928527832"
## [1] "2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694"
## [1] "2013-06-24 00:00:00 AAPL -100 @ 14.376428604126"
## [1] "2013-08-02 00:00:00 AAPL 100 @ 16.5192852020264"
## [1] "2014-02-03 00:00:00 AAPL -100 @ 17.9117851257324"
## [1] "2014-04-01 00:00:00 AAPL 100 @ 19.3446426391602"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222"
## [1] "2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142"
## [1] "2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885"
## [1] "2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827"
## [1] "2008-03-31 00:00:00 AAPL 100 @ 5.125"
## [1] "2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885"
## [1] "2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128"
## [1] "2011-12-27 00:00:00 AAPL 100 @ 14.518928527832"
## [1] "2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238"
## [1] "2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057"
## [1] "2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932"
## [1] "2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942"
## [1] "2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641"
## [1] "2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223"
## [1] "2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349"
## [1] "2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199"
## [1] "2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269"
## [1] "2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234"
## [1] "2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608"
## [1] "2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829"
## [1] "2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353"
## [1] "2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004"
## [1] "2011-11-17 00:00:00 AAPL -100 @ 13.478928565979"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939"
## [1] "2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182"
## [1] "2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708"
## [1] "2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576"
## [1] "2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502"
## [1] "2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2014-01-30 00:00:00 AAPL -100 @ 17.8492851257324"
## [1] "2014-03-27 00:00:00 AAPL 100 @ 19.1949996948242"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## [1] "2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303"
## [1] "2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395"
## [1] "2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885"
## [1] "2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663"
## [1] "2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153"
## [1] "2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176"
## [1] "2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418"
## [1] "2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651"
## [1] "2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641"
## [1] "2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172"
## [1] "2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245"
## [1] "2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982"
## [1] "2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875"
## [1] "2012-10-17 00:00:00 AAPL -100 @ 23.021785736084"
## [1] "2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324"
## [1] "2014-01-30 00:00:00 AAPL -100 @ 17.8492851257324"
## [1] "2014-03-27 00:00:00 AAPL 100 @ 19.1949996948242"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"

wf_end <- Sys.time() # 记录结束时间

# 输出前进测试耗时和总迭代次数
cat("\n Running the walk forward search: \n ")

## 
## Running the walk forward search: 
##

print(wf_end - wf_start) # 打印总耗时

## Time difference of 45.06131 secs

cat(" Total trials:", .strategy$macd$trials, "\n") # 打印总迭代次数

## Total trials: 98

# 提取并打印交易统计结果
wfa.stats <- wfresults$tradeStats
print(wfa.stats)

## Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL Avg.Trade.PL
## AAPL test.wf.macd AAPL 23 11 1235.214 99.65908
## Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses
## AAPL 89.50005 577.3214 -177.6785 1540.5 -444.2499
## Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive Percent.Negative
## AAPL 226.9792 68.4368 54.54545 45.45455
## Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade
## AAPL 3.467642 256.75 191.0535 -88.84998
## Med.Losing.Trade Avg.Daily.PL Med.Daily.PL Std.Dev.Daily.PL
## AAPL -83.24986 99.65908 89.50005 226.9792
## Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw
## AAPL 68.4368 6.969973 -381.3216 3.239298
## Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity
## AAPL 2.889702 2.294941 1402.643 0 1235.214

# 可视化前进测试结果
chart.forward(wfresults)

策略核心思路的解析围绕前进测试的实现逻辑、MACD 指标的应用以及参数优化方法展开，共同构成了一套科学验证策略有效性的框架。

前进测试作为一种动态优化策略参数的方法，其核心逻辑在于将历史数据划分为连续的 “训练期” 和 “测试期”。其中，训练期在代码中设定为 36 个月，用于在该时间段内优化策略参数 —— 例如 MACD 的快速与慢速 EMA 周期，从而寻找表现最佳的参数组合；而测试期则为 12 个月，作用是使用训练期优化得到的参数在该时间段验证策略表现，确保这些参数在未见过的数据上依然有效。整个过程按 “月” 为单位滚动窗口，不断重复 “训练 - 测试” 的迭代，最终汇总所有测试期的结果以评估策略的稳健性。这种方法相比传统的一次性回测，能有效减少过拟合风险，因为参数需要在连续的未知数据中得到验证，更接近实盘交易中 “用历史经验指导未来” 的实际场景。

MACD 指标作为策略的核心判断依据，是一种结合趋势和动量的技术指标，其计算逻辑包含多个部分。快速 EMA 是短期指数移动平均线，在代码中周期范围为 1-10 日，用于反映近期价格趋势；慢速 EMA 则是长期指数移动平均线，周期范围为 5-25 日，代表中长期趋势；MACD 线由快速 EMA 与慢速 EMA 的差值计算得出，用于衡量两者的收敛与发散程度；信号线则是 MACD 线的 9 日 EMA，起到平滑波动并生成交易信号的作用。策略通常基于 MACD 线与信号线的交叉产生交易信号：当 MACD 线上穿信号线时，即 “金叉”，视为买入信号，暗示趋势可能由弱转强；当 MACD 线下穿信号线时，即 “死叉”，视为卖出信号，意味着趋势可能由强转弱。代码中通过 add.distribution 定义了快速与慢速 EMA 的参数范围，并添加了 “快速 EMA < 慢速 EMA” 的约束，这是因为 MACD 的核心在于捕捉短期与长期趋势的差异，若快速周期大于慢速周期，指标的逻辑基础将失效。

在参数优化与并行计算方面，为避免遍历所有参数组合 —— 例如代码中 10 种快速 EMA 周期与 21 种慢速 EMA 周期组合会产生 210 种可能，耗时较长 —— 代码通过 nsamples=15 设置每次迭代随机抽样 15 组参数，在保证效率的同时覆盖较优组合。若启用并行计算，如 doParallel 等工具，可进一步缩短计算时间，尤其适用于参数范围较广的场景。

这段代码的核心价值在于演示了如何通过前进测试验证 MACD 策略的稳健性。它能够降低过拟合风险，通过滚动测试确保参数在不同市场周期中均有效，避免单一回测的偶然性；支持参数动态优化，允许策略参数随市场环境变化调整，比如不同时期的最佳 EMA 周期可能不同，从而增强策略的适应性；同时具备可视化与可解释性，通过 chart.forward 直观展示各阶段的策略表现，结合 tradeStats 分析胜率、盈亏比等关键指标，为策略改进提供依据。

对于量化交易者而言，这种方法提供了一套科学验证策略有效性的框架，不仅关注策略的历史表现，更强调其在未来未知数据中的可靠性，通过结合 MACD 指标对趋势和动量的捕捉能力，前进测试能帮助筛选出真正具备实战价值的参数组合，为实盘交易提供更可靠的决策依据。