Macd on 格物堂

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 指标解析与策略实现：基于 AAPL 的趋势跟踪逻辑

Mon, 10 Aug 2015 00:00:00 +0000

MACD（移动平均收敛散度）是量化交易中经典的趋势与动量结合指标，其核心价值在于通过短期与长期价格趋势的差异，捕捉市场动量变化与潜在趋势转折。

MACD 的构成包括四个部分：快速 EMA（指数移动平均线，通常为 12 日）、慢速 EMA（通常为 26 日）、MACD 线（快速 EMA 与慢速 EMA 的差值）、信号线（MACD 线的 9 日 EMA，用于平滑波动）。在实际应用中，MACD 的主要用途包括：判断趋势方向（MACD 线在零轴上方为多头趋势，下方为空头趋势）、识别动量变化（MACD 线与价格的背离暗示趋势可能反转）、确认趋势确立（信号线穿越零轴标志趋势形成）。

本文解析的代码基于 quantstrat 包实现了一套简单的 MACD 趋势跟踪策略，以 AAPL 为标的，核心逻辑为：当信号线从下方穿越零轴（上穿）时，视为多头趋势确立，触发买入信号；当信号线从上方穿越零轴（下穿）时，视为趋势转弱，触发卖出信号，通过这种方式跟踪中长期趋势并捕获收益。

# Simple MACD strategy
#
# MACD可通过多种方式应用，本策略展示其作为趋势指标的用法。
# 
# 传统上，当MACD信号线穿越零时，标志着正向趋势的确立。
#
# 本策略将在信号线"signal"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、回测与绩效分析
require(quantstrat)

# 清理旧策略数据，确保回测环境纯净（避免残留的订单、账户数据干扰结果）
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'))

# 处理时区问题：若当前时区未设置，默认设为GMT，避免日期处理异常
oldtz <- Sys.getenv('TZ')
if (oldtz == '') {
 Sys.setenv(TZ = "GMT")
}


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

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

# 定义货币单位与标的属性：AAPL以美元计价，合约乘数为1（股票交易通常乘数为1）
currency('USD')

## [1] "USD"

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

## [1] "AAPL"

# 回测基础参数
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
initPortf(portfolio.st, symbols = stock.str) # 创建包含AAPL的投资组合

## [1] "macd"

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

## [1] "macd"

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

# 定义策略对象，名称与组合一致，并存入环境
strat.st <- portfolio.st
strategy(strat.st, store = TRUE)

# 添加MACD指标：基于收盘价计算，参数为快速EMA、慢速EMA
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)）
 nFast = fastMA, # 快速EMA周期12日
 nSlow = slowMA # 慢速EMA周期26日
 ),
 label = '_' # 指标标签，用于后续信号引用
)

## [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._", # 引用MACD指标中的信号线（因指标标签为'_'，故列名为signal._）
 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._",
 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：当买入信号触发时，以市价单买入100股
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时执行
 orderqty = 100, # 订单数量：100股
 ordertype = 'market', # 市价单（确保及时入场）
 orderside = 'long', # 做多方向
 threshold = NULL # 无额外阈值
 ),
 type = 'enter', # 入场规则
 label = 'enter',
 storefun = FALSE # 不存储规则函数结果
)

## [1] "macd"

# 可选的风险止损规则（注释未启用）：
# 1. 止损限价单：当价格回落5%时触发止损
# add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoplimit', orderside='long', threshold=-.05,tmult=TRUE, orderset='exit2'),type='chain', parent='enter', label='risk',storefun=FALSE)
# 2. 追踪止损单：当价格从高点回落1单位时触发止损
# add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=-1,tmult=FALSE, orderset='exit2'),	type='chain', parent='enter', label='trailingexit')

# 出场规则：当卖出信号触发时，以市价单平仓所有持仓
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', # 市价单（确保及时离场）
 orderside = 'long', # 针对多头持仓
 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"

# 结束规则定义
####

# 获取历史数据：从雅虎财经下载AAPL的历史数据（2006-12-31至2014-06-01）
getSymbols(stock.str, from = startDate, to = '2014-06-01', src = 'yahoo')

## [1] "AAPL"

# 执行策略回测并记录时间
start_t <- Sys.time() # 回测开始时间
out <- applyStrategy(
 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 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() # 回测结束时间
print(end_t - start_t) # 打印回测耗时

## Time difference of 0.4202731 secs

# 更新组合与账户数据
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) # 打印数据更新耗时

## Time difference of 0.032722 secs

# 可视化回测结果
chart.Posn(Portfolio = portfolio.st, Symbol = stock.str) # 绘制AAPL的持仓变化图

plot(add_MACD(fast = fastMA, slow = slowMA, signal = signalMA, maType = "EMA")) # 叠加MACD指标

# 查看订单簿（包含所有交易订单详情，用于调试与分析）
obook <- getOrderBook('macd')

# 恢复初始时区设置
Sys.setenv(TZ = oldtz)

策略核心思路

该策略以 “趋势跟踪” 为核心，通过 MACD 信号线与零轴的交叉信号构建完整的交易逻辑。

代码首先清理旧有策略数据，避免残留信息干扰回测；通过时区设置确保日期处理准确；定义交易标的（AAPL）、初始资金（100 万美元）及 MACD 核心参数（12/26/9 日 EMA），为策略运行奠定基础。这一步的关键是确保回测环境的纯净性与参数的明确性，避免后续结果出现偏差。

策略通过add.indicator添加 MACD 指标，基于收盘价计算快速 EMA、慢速 EMA 及信号线；再通过add.signal将指标转化为可执行的交易信号 —— 当信号线从下方穿越零轴时，认为多头趋势确立（买入信号）；当信号线从上方穿越零轴时，认为趋势转弱（卖出信号）。这种 “指标→信号” 的转化，是将技术分析逻辑量化的核心步骤。

信号需要通过具体的交易规则转化为订单。策略中，add.rule分别定义了入场与出场规则：入场时以市价单买入 100 股（跟随买入信号），出场时以市价单平仓所有持仓（跟随卖出信号）。代码中还预留了止损规则（未启用），为风险控制提供了扩展空间，体现了 “趋势收益捕获” 与 “风险控制” 的平衡思路。

策略通过applyStrategy执行回测，记录耗时以评估效率；更新组合与账户数据确保交易记录与资金权益同步；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信号的对应关系，为策略效果评估提供直观依据。

MACD 及策略的优劣势与改进方向

MACD 的优势在于兼顾趋势与动量，通过 EMA 平滑降低噪音，且零轴与交叉信号直观易懂，适合趋势跟踪场景。但其劣势也较为明显：作为滞后指标（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 / 出场时机偏晚；在横盘震荡市中，信号线可能频繁穿越零轴，产生大量虚假信号，降低策略效率。

策略的优势体现在逻辑简洁与可操作性强：基于明确的信号规则，避免主观判断，便于复现与参数优化；市价单入场出场确保了信号触发时的执行力。但策略也存在局限：未启用止损规则，若趋势突然反转可能导致大额亏损；单一依赖 MACD 信号，缺乏对市场波动率的考量，在高波动环境下风险较高；固定仓位（100 股）未考虑资金管理，可能无法适配不同资金规模。

未来可从三方面优化策略：一是添加动态止损机制（如追踪止损），限制单笔交易亏损；二是结合波动率指标（如 ATR）过滤信号，在震荡市减少交易频率；三是引入参数优化（如通过前进测试调整 EMA 周期），使策略适配不同市场阶段。通过这些改进，可提升策略的稳健性与实盘适用性，更好地平衡收益与风险。

MACD 策略的参数优化与有效性验证：基于 quantstrat 的实现

Fri, 10 Jul 2015 00:00:00 +0000

在量化交易中，策略参数的选择直接影响其表现 —— 同一策略在不同参数下可能呈现截然不同的收益特征。然而，盲目测试参数组合不仅效率低下，还可能因 “过度拟合” 导致策略在实盘失效。本文将解析一段基于 R 语言quantstrat包的 MACD 策略参数优化代码，展示如何系统地测试参数范围、施加合理约束，并通过统计指标验证参数有效性，为策略稳健性提供科学依据。

代码实现与核心注释

以下是完整的 MACD 参数优化代码，包含详细注释以说明各环节的功能与逻辑：

# Parameter demo for MACD
###############################################################################

# 加载必要的包：foreach支持并行迭代，iterators用于迭代控制，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，初始化策略环境（包含策略定义、交易标的、账户等基础设置）
demo('macd', ask=FALSE)

## 
## 
## 	demo(macd)
## 	---- ~~~~
## 
## > # Simple MACD strategy
## > #
## > # MACD may be used in many ways, this will demonstrate a trend indicator.
## > # 
## > # traditionally, when the MACD signal crosses zero, this indicated a establishment of a positive trend
## > #
## > # we'll buy on positive treshold crossover of the 'signal' column, and sell on negative threshold crossover
## > # 
## > # Author: brian
## > ###############################################################################
## > 
## > 
## > 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'))
## 
## > #correct for TZ issues if they crop up
## > oldtz<-Sys.getenv('TZ')
## 
## > if(oldtz=='') {
## + Sys.setenv(TZ="GMT")
## + }
## 
## > stock.str='AAPL' # what are we trying it on
## 
## > #MA parameters for MACD
## > fastMA = 12 
## 
## > slowMA = 26 
## 
## > signalMA = 9
## 
## > maType="EMA"
## 
## > currency('USD')
## [1] "USD"
## 
## > stock(stock.str,currency='USD',multiplier=1)
## [1] "AAPL"
## 
## > #or use fake data
## > #stock.str='sample_matrix' # what are we trying it on
## > #data(sample_matrix) # data included in package xts
## > #sample_matrix<-as.xts(sample_matrix)
## > 
## > startDate='2006-12-31'
## 
## > initEq=1000000
## 
## > 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
## 
## > # define the strategy
## > strategy(strat.st, store=TRUE)
## 
## > #one indicator
## > add.indicator(strat.st, name = "MACD", 
## + 			 arguments = list(x=quote(Cl(mktdata)),
## + 			 nFast=fastMA, 
## + 			 nSlow=slowMA),
## + 			 label='_' 
## + )
## [1] "macd"
## 
## > #two signals
## > add.signal(strat.st,name="sigThreshold",
## + 		 arguments = list(column="signal._",
## + 				 			 relationship="gt",
## + 							 threshold=0,
## + 							 cross=TRUE),
## + 		 label="signal.gt.zero"
## + )
## [1] "macd"
## 
## > add.signal(strat.st,name="sigThreshold",
## + 		 arguments = list(column="signal._",
## + 				 relationship="lt",
## + 							 threshold=0,
## + 							 cross=TRUE),
## + 	 label="signal.lt.zero"
## + )
## [1] "macd"
## 
## > ####
## > # add rules
## > 
## > # entry
## > add.rule(strat.st,name='ruleSignal', 
## + 		 arguments = list(sigcol="signal.gt.zero",
## + 				 sigval=TRUE, 
## + 						 orderqty=100, 
## + 						 ordertype='market', 
## + 						 orderside='long', 
## + 						 threshold=NULL),
## + 	 type='enter',
## + 		 label='enter',
## + 		 storefun=FALSE
## + )
## [1] "macd"
## 
## > #alternatives for risk stops:
## > # simple stoplimit order, with threshold multiplier
## > #add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoplimit', orderside='long', threshold=-.05,tmult=TRUE, orderset='exit2'),type='chain', parent='enter', label='risk',storefun=FALSE)
## > # alternately, use a trailing order, also with a threshold multiplier
## > #add.rule(strat.st,name='ruleSignal', arguments = list(sigcol="signal.gt.zero",sigval=TRUE, orderqty='all', ordertype='stoptrailing', orderside='long', threshold=-1,tmult=FALSE, orderset='exit2'),	type='chain', parent='enter', label='trailingexit')
## > 
## > # exit
## > add.rule(strat.st,name='ruleSignal', 
## + 		 arguments = list(sigcol="signal.lt.zero",
## + 				 sigval=TRUE, 
## + 						 orderqty='all', 
## + 						 ordertype='market', 
## + 						 orderside='long', 
## + 						 threshold=NULL,
## + 						 orderset='exit2'),
## + type='exit',
## + 		 label='exit'
## + )
## [1] "macd"
## 
## > #end rules
## > ####
## > 
## > 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,maType=maType),verbose=TRUE)
## [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 0.437279 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 0.05017185 secs
## 
## > chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)

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

## 
## > #look at the order book
## > obook<-getOrderBook('macd')
## 
## > # set tz as it was before the demo
## > Sys.setenv(TZ=oldtz)
## 
## > ###############################################################################
## > # R (http://r-project.org/) Quantitative Strategy Model Framework
## > #
## > # Copyright (c) 2009-2012
## > # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
## > #
## > # This library is distributed under the terms of the GNU Public License (GPL)
## > # for full details see the file COPYING
## > #
## > # $Id$
## > #
## > ##############################################################################

# 并行计算初始化（可选）：启用后可加速参数组合测试，适合大规模参数搜索
# 推荐使用doParallel、doMC等包，默认使用物理核心数-1的线程提升效率
# require(doParallel)
# registerDoParallel()


# 从环境中获取MACD策略对象（内置demo中已定义并存储策略，label为'macd'）
strategy.st <- 'macd'

### 设置参数搜索范围
.FastMA = (1:20) # MACD快速EMA周期候选值（1到20日）：反映短期价格动量
.SlowMA = (30:80) # MACD慢速EMA周期候选值（30到80日）：反映中长期价格趋势
.nsamples = 30 # 随机抽样的参数组合数量：减少全量测试的计算成本，同时覆盖关键组合


### 定义参数分布与约束
# 为策略添加快速EMA周期的参数分布
add.distribution(
 strategy.st, # 目标策略名称
 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的快速EMA）
 component.label = '_', # 指标在策略中的标识（对应MACD指标的默认标签）
 variable = list(n = .FastMA), # 待测试的参数：快速EMA周期，取值范围1-20
 label = 'nFAST' # 参数标签（用于后续约束与结果识别）
)

## [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), # 待测试的参数：慢速EMA周期，取值范围30-80
 label = 'nSLOW' # 参数标签
)

## [1] "macd"

# 添加参数约束：确保快速EMA周期小于慢速EMA周期（MACD指标的核心逻辑要求）
add.distribution.constraint(
 strategy.st,
 paramset.label = 'MA',
 distribution.label.1 = 'nFAST', # 第一个参数：快速EMA周期
 distribution.label.2 = 'nSLOW', # 第二个参数：慢速EMA周期
 operator = '<', # 约束关系：nFAST < nSLOW
 label = 'MA' # 约束标签
)

## [1] "macd"

### 执行参数优化并分析结果
.audit <- new.env() # 创建环境存储审计信息，用于后续有效性验证

# 应用参数集测试策略表现
results <- apply.paramset(
 strategy.st, # 策略名称
 paramset.label = 'MA', # 使用的参数集标签
 portfolio.st = portfolio.st, # 组合名称（来自内置MACD演示）
 account.st = account.st, # 账户名称（来自内置MACD演示）
 nsamples = .nsamples, # 随机抽样的参数组合数量（30组）
 audit = .audit, # 存储审计数据的环境
 store = TRUE, # 保存结果到策略环境
 verbose = TRUE # 输出详细过程信息
)

## evaluation # 1:
## $param.combo
## nFAST nSLOW
## 441 1 52
## 
## [1] "2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479"
## [1] "2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697"
## [1] "2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896"
## [1] "2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-05-27 00:00:00 AAPL -100 @ 12.0503568649292"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-01 00:00:00 AAPL -100 @ 13.854642868042"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779"
## [1] "2013-08-07 00:00:00 AAPL 100 @ 16.6064281463623"
## [1] "2014-02-11 00:00:00 AAPL -100 @ 19.141429901123"
## [1] "2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b1c696b0>
## got results for task 1
## numValues: 1, numResults: 1, stopped: FALSE
## returning status FALSE
## evaluation # 2:
## $param.combo
## nFAST nSLOW
## 243 3 42
## 
## [1] "2008-04-16 00:00:00 AAPL 100 @ 5.48928594589233"
## [1] "2008-07-25 00:00:00 AAPL -100 @ 5.78999996185303"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407"
## [1] "2010-02-24 00:00:00 AAPL -100 @ 7.16642904281616"
## [1] "2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989"
## [1] "2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-18 00:00:00 AAPL -100 @ 11.85178565979"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-29 00:00:00 AAPL -100 @ 13.3285713195801"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078"
## [1] "2013-06-07 00:00:00 AAPL 100 @ 15.7789287567139"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498"
## [1] "2014-02-07 00:00:00 AAPL -100 @ 18.5599994659424"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b1c69790>
## got results for task 2
## numValues: 2, numResults: 2, stopped: FALSE
## returning status FALSE
## evaluation # 3:
## $param.combo
## nFAST nSLOW
## 343 3 47
## 
## [1] "2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313"
## [1] "2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-25 00:00:00 AAPL 100 @ 3.80321407318115"
## [1] "2010-08-27 00:00:00 AAPL -100 @ 8.62928581237793"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-20 00:00:00 AAPL -100 @ 12.228928565979"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-11-02 00:00:00 AAPL -100 @ 20.6000003814697"
## [1] "2013-08-07 00:00:00 AAPL 100 @ 16.6064281463623"
## [1] "2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b43aa028>
## got results for task 3
## numValues: 3, numResults: 3, stopped: FALSE
## returning status FALSE
## evaluation # 4:
## $param.combo
## nFAST nSLOW
## 184 4 39
## 
## [1] "2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188"
## [1] "2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023"
## [1] "2010-02-19 00:00:00 AAPL -100 @ 7.2024998664856"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-06-06 00:00:00 AAPL -100 @ 20.4092864990234"
## [1] "2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053"
## [1] "2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078"
## [1] "2013-06-05 00:00:00 AAPL 100 @ 15.896785736084"
## [1] "2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708"
## [1] "2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498"
## [1] "2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b37266a0>
## got results for task 4
## numValues: 4, numResults: 4, stopped: FALSE
## returning status FALSE
## evaluation # 5:
## $param.combo
## nFAST nSLOW
## 604 4 60
## 
## [1] "2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092"
## [1] "2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778"
## [1] "2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-06-07 00:00:00 AAPL -100 @ 11.8585710525513"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406"
## [1] "2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936"
## [1] "2014-02-26 00:00:00 AAPL -100 @ 18.47678565979"
## [1] "2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053"
## [1] "2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b0218098>
## got results for task 5
## numValues: 5, numResults: 5, stopped: FALSE
## returning status FALSE
## evaluation # 6:
## $param.combo
## nFAST nSLOW
## 525 5 56
## 
## [1] "2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479"
## [1] "2008-07-31 00:00:00 AAPL -100 @ 5.67678594589233"
## [1] "2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896"
## [1] "2010-08-31 00:00:00 AAPL -100 @ 8.68214321136475"
## [1] "2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833"
## [1] "2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-02 00:00:00 AAPL -100 @ 13.917857170105"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779"
## [1] "2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936"
## [1] "2014-02-13 00:00:00 AAPL -100 @ 19.4439296722412"
## [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"
## result of evaluating expression:
## <environment: 0x7fa4b3650aa0>
## got results for task 6
## numValues: 6, numResults: 6, stopped: FALSE
## returning status FALSE
## evaluation # 7:
## $param.combo
## nFAST nSLOW
## 765 5 68
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651"
## [1] "2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279"
## [1] "2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107"
## [1] "2011-06-13 00:00:00 AAPL -100 @ 11.66428565979"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b3648c98>
## got results for task 7
## numValues: 7, numResults: 7, stopped: FALSE
## returning status FALSE
## evaluation # 8:
## $param.combo
## nFAST nSLOW
## 985 5 79
## 
## [1] "2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057"
## [1] "2008-08-06 00:00:00 AAPL -100 @ 5.86392879486084"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-02 00:00:00 AAPL 100 @ 4.02535676956177"
## [1] "2011-06-16 00:00:00 AAPL -100 @ 11.6128568649292"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641"
## [1] "2013-08-14 00:00:00 AAPL 100 @ 17.8035717010498"
## result of evaluating expression:
## <environment: 0x7fa4b08b4e18>
## got results for task 8
## numValues: 8, numResults: 8, stopped: FALSE
## returning status FALSE
## evaluation # 9:
## $param.combo
## nFAST nSLOW
## 626 6 61
## 
## [1] "2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092"
## [1] "2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778"
## [1] "2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-06-08 00:00:00 AAPL -100 @ 11.8657140731812"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406"
## [1] "2013-08-09 00:00:00 AAPL 100 @ 16.2303562164307"
## [1] "2014-02-27 00:00:00 AAPL -100 @ 18.8453578948975"
## [1] "2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053"
## [1] "2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4aaac46a0>
## got results for task 9
## numValues: 9, numResults: 9, stopped: FALSE
## returning status FALSE
## evaluation # 10:
## $param.combo
## nFAST nSLOW
## 167 7 38
## 
## [1] "2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188"
## [1] "2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-02-23 00:00:00 AAPL 100 @ 3.1053569316864"
## [1] "2009-03-02 00:00:00 AAPL -100 @ 3.14071393013"
## [1] "2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023"
## [1] "2010-02-18 00:00:00 AAPL -100 @ 7.24749994277954"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242"
## [1] "2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039"
## [1] "2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-06-05 00:00:00 AAPL -100 @ 20.1010704040527"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502"
## [1] "2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801"
## [1] "2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4aaabc898>
## got results for task 10
## numValues: 10, numResults: 10, stopped: FALSE
## returning status FALSE
## evaluation # 11:
## $param.combo
## nFAST nSLOW
## 927 7 76
## 
## [1] "2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-02 00:00:00 AAPL 100 @ 4.02535676956177"
## [1] "2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641"
## [1] "2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572"
## [1] "2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879"
## [1] "2014-04-25 00:00:00 AAPL 100 @ 20.4264297485352"
## result of evaluating expression:
## <environment: 0x7fa4b4e404a0>
## got results for task 11
## numValues: 11, numResults: 11, stopped: FALSE
## returning status FALSE
## evaluation # 12:
## $param.combo
## nFAST nSLOW
## 488 8 54
## 
## [1] "2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479"
## [1] "2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697"
## [1] "2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896"
## [1] "2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-02 00:00:00 AAPL -100 @ 13.917857170105"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779"
## [1] "2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936"
## [1] "2014-02-12 00:00:00 AAPL -100 @ 19.1399993896484"
## [1] "2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b4e38698>
## got results for task 12
## numValues: 12, numResults: 12, stopped: FALSE
## returning status FALSE
## evaluation # 13:
## $param.combo
## nFAST nSLOW
## 868 8 73
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-14 00:00:00 AAPL -100 @ 11.872857093811"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572"
## [1] "2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4b112baa0>
## got results for task 13
## numValues: 13, numResults: 13, stopped: FALSE
## returning status FALSE
## evaluation # 14:
## $param.combo
## nFAST nSLOW
## 489 9 54
## 
## [1] "2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479"
## [1] "2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697"
## [1] "2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429"
## [1] "2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199"
## [1] "2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896"
## [1] "2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-02 00:00:00 AAPL -100 @ 13.917857170105"
## [1] "2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285"
## [1] "2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779"
## [1] "2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936"
## [1] "2014-02-12 00:00:00 AAPL -100 @ 19.1399993896484"
## [1] "2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203"
## [1] "2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b31a2ea0>
## got results for task 14
## numValues: 14, numResults: 14, stopped: FALSE
## returning status FALSE
## evaluation # 15:
## $param.combo
## nFAST nSLOW
## 331 11 46
## 
## [1] "2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313"
## [1] "2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407"
## [1] "2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-19 00:00:00 AAPL -100 @ 12.0664291381836"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-11-01 00:00:00 AAPL -100 @ 21.3050003051758"
## [1] "2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498"
## [1] "2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b319b098>
## got results for task 15
## numValues: 15, numResults: 15, stopped: FALSE
## returning status FALSE
## evaluation # 16:
## $param.combo
## nFAST nSLOW
## 771 11 68
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651"
## [1] "2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279"
## [1] "2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107"
## [1] "2011-06-13 00:00:00 AAPL -100 @ 11.66428565979"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4af6404a0>
## got results for task 16
## numValues: 16, numResults: 16, stopped: FALSE
## returning status FALSE
## evaluation # 17:
## $param.combo
## nFAST nSLOW
## 332 12 46
## 
## [1] "2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313"
## [1] "2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407"
## [1] "2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-19 00:00:00 AAPL -100 @ 12.0664291381836"
## [1] "2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054"
## [1] "2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-11-01 00:00:00 AAPL -100 @ 21.3050003051758"
## [1] "2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498"
## [1] "2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b08dbe98>
## got results for task 17
## numValues: 17, numResults: 17, stopped: FALSE
## returning status FALSE
## evaluation # 18:
## $param.combo
## nFAST nSLOW
## 892 12 74
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572"
## [1] "2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4ae7698a0>
## got results for task 18
## numValues: 18, numResults: 18, stopped: FALSE
## returning status FALSE
## evaluation # 19:
## $param.combo
## nFAST nSLOW
## 912 12 75
## 
## [1] "2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641"
## [1] "2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572"
## [1] "2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879"
## [1] "2014-04-25 00:00:00 AAPL 100 @ 20.4264297485352"
## result of evaluating expression:
## <environment: 0x7fa4aaab6898>
## got results for task 19
## numValues: 19, numResults: 19, stopped: FALSE
## returning status FALSE
## evaluation # 20:
## $param.combo
## nFAST nSLOW
## 153 13 37
## 
## [1] "2007-04-04 00:00:00 AAPL 100 @ 3.36678600311279"
## [1] "2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904"
## [1] "2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188"
## [1] "2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023"
## [1] "2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534"
## [1] "2012-01-03 00:00:00 AAPL 100 @ 14.686785697937"
## [1] "2012-06-01 00:00:00 AAPL -100 @ 20.0353565216064"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502"
## [1] "2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801"
## [1] "2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4aaab6908>
## got results for task 20
## numValues: 20, numResults: 20, stopped: FALSE
## returning status FALSE
## evaluation # 21:
## $param.combo
## nFAST nSLOW
## 854 14 72
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-14 00:00:00 AAPL -100 @ 11.872857093811"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4ae77f8a0>
## got results for task 21
## numValues: 21, numResults: 21, stopped: FALSE
## returning status FALSE
## evaluation # 22:
## $param.combo
## nFAST nSLOW
## 235 15 41
## 
## [1] "2008-04-16 00:00:00 AAPL 100 @ 5.48928594589233"
## [1] "2008-07-25 00:00:00 AAPL -100 @ 5.78999996185303"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407"
## [1] "2010-02-23 00:00:00 AAPL -100 @ 7.03785705566406"
## [1] "2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177"
## [1] "2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621"
## [1] "2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264"
## [1] "2011-04-18 00:00:00 AAPL -100 @ 11.85178565979"
## [1] "2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245"
## [1] "2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-29 00:00:00 AAPL -100 @ 13.3285713195801"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078"
## [1] "2013-06-06 00:00:00 AAPL 100 @ 15.6592855453491"
## [1] "2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996"
## [1] "2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498"
## [1] "2014-02-07 00:00:00 AAPL -100 @ 18.5599994659424"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b175ca98>
## got results for task 22
## numValues: 22, numResults: 22, stopped: FALSE
## returning status FALSE
## evaluation # 23:
## $param.combo
## nFAST nSLOW
## 855 15 72
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-14 00:00:00 AAPL -100 @ 11.872857093811"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4b4e6e4a0>
## got results for task 23
## numValues: 23, numResults: 23, stopped: FALSE
## returning status FALSE
## evaluation # 24:
## $param.combo
## nFAST nSLOW
## 76 16 33
## 
## [1] "2007-04-02 00:00:00 AAPL 100 @ 3.34464311599731"
## [1] "2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904"
## [1] "2008-04-11 00:00:00 AAPL 100 @ 5.25500011444092"
## [1] "2008-07-22 00:00:00 AAPL -100 @ 5.78642892837524"
## [1] "2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-02-18 00:00:00 AAPL 100 @ 3.37035703659058"
## [1] "2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385"
## [1] "2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629"
## [1] "2010-02-16 00:00:00 AAPL -100 @ 7.26428604125977"
## [1] "2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931"
## [1] "2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-13 00:00:00 AAPL -100 @ 12.0046434402466"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-25 00:00:00 AAPL -100 @ 12.9846429824829"
## [1] "2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249"
## [1] "2012-05-25 00:00:00 AAPL -100 @ 20.0817852020264"
## [1] "2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814"
## [1] "2012-10-25 00:00:00 AAPL -100 @ 21.7692852020264"
## [1] "2013-05-29 00:00:00 AAPL 100 @ 15.8910713195801"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801"
## [1] "2014-02-05 00:00:00 AAPL -100 @ 18.3067855834961"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b4e66698>
## got results for task 24
## numValues: 24, numResults: 24, stopped: FALSE
## returning status FALSE
## evaluation # 25:
## $param.combo
## nFAST nSLOW
## 137 17 36
## 
## [1] "2007-04-03 00:00:00 AAPL 100 @ 3.375"
## [1] "2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904"
## [1] "2008-04-14 00:00:00 AAPL 100 @ 5.27785682678223"
## [1] "2008-07-23 00:00:00 AAPL -100 @ 5.93785715103149"
## [1] "2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988"
## [1] "2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824"
## [1] "2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023"
## [1] "2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-14 00:00:00 AAPL -100 @ 11.872142791748"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534"
## [1] "2012-01-03 00:00:00 AAPL 100 @ 14.686785697937"
## [1] "2012-05-31 00:00:00 AAPL -100 @ 20.6332149505615"
## [1] "2012-06-22 00:00:00 AAPL 100 @ 20.78928565979"
## [1] "2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502"
## [1] "2013-06-03 00:00:00 AAPL 100 @ 16.0971431732178"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801"
## [1] "2014-02-05 00:00:00 AAPL -100 @ 18.3067855834961"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b4e6e5b8>
## got results for task 25
## numValues: 25, numResults: 25, stopped: FALSE
## returning status FALSE
## evaluation # 26:
## $param.combo
## nFAST nSLOW
## 157 17 37
## 
## [1] "2007-04-04 00:00:00 AAPL 100 @ 3.36678600311279"
## [1] "2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904"
## [1] "2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188"
## [1] "2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429"
## [1] "2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177"
## [1] "2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856"
## [1] "2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988"
## [1] "2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709"
## [1] "2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023"
## [1] "2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708"
## [1] "2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988"
## [1] "2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689"
## [1] "2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868"
## [1] "2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242"
## [1] "2011-05-09 00:00:00 AAPL 100 @ 12.41428565979"
## [1] "2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608"
## [1] "2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231"
## [1] "2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534"
## [1] "2012-01-03 00:00:00 AAPL 100 @ 14.686785697937"
## [1] "2012-06-01 00:00:00 AAPL -100 @ 20.0353565216064"
## [1] "2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982"
## [1] "2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502"
## [1] "2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143"
## [1] "2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004"
## [1] "2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801"
## [1] "2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441"
## [1] "2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758"
## [1] "2014-04-15 00:00:00 AAPL -100 @ 18.498571395874"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4adf10aa0>
## got results for task 26
## numValues: 26, numResults: 26, stopped: FALSE
## returning status FALSE
## evaluation # 27:
## $param.combo
## nFAST nSLOW
## 637 17 61
## 
## [1] "2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092"
## [1] "2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165"
## [1] "2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778"
## [1] "2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195"
## [1] "2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326"
## [1] "2011-06-08 00:00:00 AAPL -100 @ 11.8657140731812"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303"
## [1] "2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409"
## [1] "2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406"
## [1] "2013-08-09 00:00:00 AAPL 100 @ 16.2303562164307"
## [1] "2014-02-27 00:00:00 AAPL -100 @ 18.8453578948975"
## [1] "2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053"
## [1] "2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4ade2ae98>
## got results for task 27
## numValues: 27, numResults: 27, stopped: FALSE
## returning status FALSE
## evaluation # 28:
## $param.combo
## nFAST nSLOW
## 797 17 69
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651"
## [1] "2010-09-07 00:00:00 AAPL -100 @ 9.20750045776367"
## [1] "2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107"
## [1] "2011-06-13 00:00:00 AAPL -100 @ 11.66428565979"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-22 00:00:00 AAPL -100 @ 18.9892864227295"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4b4c168a0>
## got results for task 28
## numValues: 28, numResults: 28, stopped: FALSE
## returning status FALSE
## evaluation # 29:
## $param.combo
## nFAST nSLOW
## 859 19 72
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337"
## [1] "2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827"
## [1] "2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977"
## [1] "2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697"
## [1] "2011-06-14 00:00:00 AAPL -100 @ 11.872857093811"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498"
## [1] "2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455"
## result of evaluating expression:
## <environment: 0x7fa4b4c10a98>
## got results for task 29
## numValues: 29, numResults: 29, stopped: FALSE
## returning status FALSE
## evaluation # 30:
## $param.combo
## nFAST nSLOW
## 780 20 68
## 
## [1] "2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417"
## [1] "2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211"
## [1] "2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069"
## [1] "2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153"
## [1] "2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651"
## [1] "2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279"
## [1] "2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107"
## [1] "2011-06-13 00:00:00 AAPL -100 @ 11.66428565979"
## [1] "2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697"
## [1] "2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498"
## [1] "2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836"
## [1] "2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975"
## [1] "2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025"
## result of evaluating expression:
## <environment: 0x7fa4b4c10b08>
## got results for task 30
## numValues: 30, numResults: 30, stopped: FALSE
## first call to combine function
## evaluating call object to combine results:
## fun(result.1, result.2, result.3, result.4, result.5, result.6, 
## result.7, result.8, result.9, result.10, result.11, result.12, 
## result.13, result.14, result.15, result.16, result.17, result.18, 
## result.19, result.20, result.21, result.22, result.23, result.24, 
## result.25, result.26, result.27, result.28, result.29, result.30)
## returning status FALSE
## numValues: 30, numResults: 30, stopped: TRUE

# 提取关键统计结果
df <- degrees.of.freedom('macd', 'macd') # 计算策略的自由度（评估过拟合风险）
tstats <- results$tradeStats # 交易统计数据（胜率、盈亏比等）
defSR <- SharpeRatio.deflated('macd', strategy='macd', audit=.audit) # 修正后的夏普比率（考虑过拟合）
hcSR <- SharpeRatio.haircut('macd', strategy='macd', audit=.audit) # 调整后的夏普比率（降低过拟合影响）

# 打印结果
print(tstats) # 输出交易统计

## nFAST nSLOW Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL
## 441 1 52 macd.train.441 AAPL 17 8 1648.500
## 243 3 42 macd.train.243 AAPL 23 11 1518.071
## 343 3 47 macd.train.343 AAPL 19 9 1571.500
## 184 4 39 macd.train.184 AAPL 25 12 1386.500
## 604 4 60 macd.train.604 AAPL 17 8 1618.428
## 525 5 56 macd.train.525 AAPL 17 8 1722.286
## 765 5 68 macd.train.765 AAPL 13 6 1651.179
## 985 5 79 macd.train.985 AAPL 9 4 1789.786
## 626 6 61 macd.train.626 AAPL 17 8 1702.107
## 167 7 38 macd.train.167 AAPL 27 13 1352.178
## 927 7 76 macd.train.927 AAPL 11 5 1799.786
## 488 8 54 macd.train.488 AAPL 17 8 1694.143
## 868 8 73 macd.train.868 AAPL 11 5 1573.536
## 489 9 54 macd.train.489 AAPL 17 8 1694.143
## 331 11 46 macd.train.331 AAPL 19 9 1651.679
## 771 11 68 macd.train.771 AAPL 13 6 1651.179
## 332 12 46 macd.train.332 AAPL 19 9 1651.679
## 892 12 74 macd.train.892 AAPL 11 5 1706.857
## 912 12 75 macd.train.912 AAPL 11 5 1814.143
## 153 13 37 macd.train.153 AAPL 29 14 1405.679
## 854 14 72 macd.train.854 AAPL 11 5 1621.143
## 235 15 41 macd.train.235 AAPL 23 11 1521.571
## 855 15 72 macd.train.855 AAPL 11 5 1621.143
## 76 16 33 macd.train.76 AAPL 29 14 1496.536
## 137 17 36 macd.train.137 AAPL 29 14 1502.500
## 157 17 37 macd.train.157 AAPL 29 14 1405.679
## 637 17 61 macd.train.637 AAPL 17 8 1702.107
## 797 17 69 macd.train.797 AAPL 13 6 1571.036
## 859 19 72 macd.train.859 AAPL 11 5 1621.143
## 780 20 68 macd.train.780 AAPL 13 6 1651.179
## Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits
## 441 187.90627 136.01780 641.0715 -84.07135 1640.286
## 243 124.80194 30.07140 679.7143 -74.39289 1582.286
## 343 158.47222 29.99992 613.5715 -74.39289 1594.214
## 184 103.43749 39.01784 594.5001 -100.96426 1484.178
## 604 184.14727 129.67854 643.6070 -79.03571 1616.607
## 525 197.12948 155.64284 641.0715 -80.85709 1726.107
## 765 250.98809 220.30358 657.8571 -82.35712 1647.214
## 985 327.35715 310.87499 758.7500 -71.07139 1409.250
## 626 194.60712 141.37497 643.6070 -79.03571 1700.286
## 167 92.84063 39.99996 563.6785 -127.89288 1476.785
## 927 316.34286 279.28562 764.4287 -71.07139 1694.214
## 488 193.61158 157.78565 641.0715 -84.07135 1697.857
## 868 286.91425 125.64278 799.1071 -74.96428 1542.000
## 489 193.61158 157.78565 641.0715 -84.07135 1697.857
## 331 167.38096 61.71427 684.0714 -74.39289 1674.393
## 771 250.98809 220.30358 657.8571 -82.35712 1647.214
## 332 167.38096 61.71427 684.0714 -74.39289 1674.393
## 892 313.57854 279.28562 778.7857 -74.96428 1675.321
## 912 319.21427 279.28562 778.7857 -71.07139 1708.571
## 153 90.03060 57.46427 534.8571 -127.89288 1560.143
## 854 296.43568 204.96426 799.1071 -74.96428 1589.607
## 235 125.12012 30.07140 679.7143 -74.39289 1573.821
## 855 296.43568 204.96426 799.1071 -74.96428 1589.607
## 76 96.52040 63.80358 561.7499 -112.32147 1659.786
## 137 96.94642 70.46430 594.6429 -132.92866 1649.250
## 157 90.03060 57.46427 534.8571 -127.89288 1560.143
## 637 194.60712 141.37497 643.6070 -79.03571 1700.286
## 797 238.67855 221.25001 585.5356 -82.35712 1573.357
## 859 296.43568 204.96426 799.1071 -74.96428 1589.607
## 780 250.98809 220.30358 657.8571 -82.35712 1647.214
## Gross.Losses Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive
## 441 -137.03566 261.4606 92.44028 62.50000
## 243 -209.46436 225.5217 67.99736 63.63636
## 343 -167.96427 250.7102 83.57008 55.55556
## 184 -242.92860 196.9424 56.85237 66.66667
## 604 -143.42880 266.6014 94.25784 62.50000
## 525 -149.07141 265.6197 93.91073 62.50000
## 765 -141.28575 304.4241 124.28063 66.66667
## 985 -99.82142 438.2080 219.10400 50.00000
## 626 -143.42880 268.2088 94.82611 62.50000
## 167 -269.85722 185.6172 51.48094 69.23077
## 927 -112.50000 384.6769 172.03275 60.00000
## 488 -148.96426 264.1330 93.38512 62.50000
## 868 -107.42860 396.9982 177.54301 60.00000
## 489 -148.96426 264.1330 93.38512 62.50000
## 331 -167.96427 264.2260 88.07535 55.55556
## 771 -141.28575 304.4241 124.28063 66.66667
## 332 -167.96427 264.2260 88.07535 55.55556
## 892 -107.42860 380.9597 170.37037 60.00000
## 912 -112.50000 388.8884 173.91616 60.00000
## 153 -299.71435 174.5118 46.64025 64.28571
## 854 -107.42860 384.2972 171.86295 60.00000
## 235 -197.50004 223.3315 67.33699 63.63636
## 855 -107.42860 384.2972 171.86295 60.00000
## 76 -308.49998 184.6163 49.34077 57.14286
## 137 -292.00015 186.5365 49.85397 64.28571
## 157 -299.71435 174.5118 46.64025 64.28571
## 637 -143.42880 268.2088 94.82611 62.50000
## 797 -141.28575 285.2111 116.43694 66.66667
## 859 -107.42860 384.2972 171.86295 60.00000
## 780 -141.28575 304.4241 124.28063 66.66667
## Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade
## 441 37.50000 11.969774 328.0572 253.50018 -45.67855
## 243 36.36364 7.553962 226.0408 194.39278 -52.36609
## 343 44.44444 9.491389 318.8428 239.42852 -41.99107
## 184 33.33333 6.109525 185.5223 136.44640 -60.73215
## 604 37.50000 11.271146 323.3214 201.21422 -47.80960
## 525 37.50000 11.579063 345.2214 297.92862 -49.69047
## 765 33.33333 11.658743 411.8036 388.32144 -70.64288
## 985 50.00000 14.117711 704.6250 704.62501 -49.91071
## 626 37.50000 11.854563 340.0572 261.50017 -47.80960
## 167 30.76923 5.472470 164.0873 94.03572 -67.46430
## 927 40.00000 15.059683 564.7381 650.50001 -56.25000
## 488 37.50000 11.397747 339.5714 267.53559 -49.65475
## 868 40.00000 14.353718 513.9999 617.24997 -53.71430
## 489 37.50000 11.397747 339.5714 267.53559 -49.65475
## 331 44.44444 9.968744 334.8786 227.64282 -41.99107
## 771 33.33333 11.658743 411.8036 388.32144 -70.64288
## 332 44.44444 9.968744 334.8786 227.64282 -41.99107
## 892 40.00000 15.594742 558.4404 617.24997 -53.71430
## 912 40.00000 15.187301 569.5238 650.50001 -56.25000
## 153 35.71429 5.205432 173.3492 127.64282 -59.94287
## 854 40.00000 14.796870 529.8690 585.53562 -53.71430
## 235 36.36364 7.968714 224.8316 194.39278 -49.37501
## 855 40.00000 14.796870 529.8690 585.53562 -53.71430
## 76 42.85714 5.380181 207.4732 144.01779 -51.41666
## 137 35.71429 5.648114 183.2500 126.82142 -58.40003
## 157 35.71429 5.205432 173.3492 127.64282 -59.94287
## 637 37.50000 11.854563 340.0572 261.50017 -47.80960
## 797 33.33333 11.135992 393.3393 387.55358 -70.64288
## 859 40.00000 14.796870 529.8690 585.53562 -53.71430
## 780 33.33333 11.658743 411.8036 388.32144 -70.64288
## Med.Losing.Trade Avg.Daily.PL Med.Daily.PL Std.Dev.Daily.PL
## 441 -51.82142 187.90627 136.01780 261.4606
## 243 -51.39289 124.80194 30.07140 225.5217
## 343 -39.71424 158.47222 29.99992 250.7102
## 184 -54.83932 103.43749 39.01784 196.9424
## 604 -42.14306 184.14727 129.67854 266.6014
## 525 -63.75003 197.12948 155.64284 265.6197
## 765 -70.64288 250.98809 220.30358 304.4241
## 985 -49.91071 327.35715 310.87499 438.2080
## 626 -42.14306 194.60712 141.37497 268.2088
## 167 -54.83932 92.84063 39.99996 185.6172
## 927 -56.25000 316.34286 279.28562 384.6769
## 488 -63.75003 193.61158 157.78565 264.1330
## 868 -53.71430 286.91425 125.64278 396.9982
## 489 -63.75003 193.61158 157.78565 264.1330
## 331 -39.71424 167.38096 61.71427 264.2260
## 771 -70.64288 250.98809 220.30358 304.4241
## 332 -39.71424 167.38096 61.71427 264.2260
## 892 -53.71430 313.57854 279.28562 380.9597
## 912 -56.25000 319.21427 279.28562 388.8884
## 153 -55.03569 90.03060 57.46427 174.5118
## 854 -53.71430 296.43568 204.96426 384.2972
## 235 -45.41073 125.12012 30.07140 223.3315
## 855 -53.71430 296.43568 204.96426 384.2972
## 76 -43.71425 96.52040 63.80358 184.6163
## 137 -55.03569 96.94642 70.46430 186.5365
## 157 -55.03569 90.03060 57.46427 174.5118
## 637 -42.14306 194.60712 141.37497 268.2088
## 797 -70.64288 238.67855 221.25001 285.2111
## 859 -53.71430 296.43568 204.96426 384.2972
## 780 -70.64288 250.98809 220.30358 304.4241
## Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw
## 441 92.44028 11.408677 -472.6429 3.487835
## 243 67.99736 8.784827 -502.5715 3.020608
## 343 83.57008 10.034167 -500.5714 3.139412
## 184 56.85237 8.337561 -536.3572 2.585031
## 604 94.25784 10.964859 -464.7860 3.482094
## 525 93.91073 11.781257 -458.4644 3.756640
## 765 124.28063 13.088031 -576.2144 2.865563
## 985 219.10400 11.858829 -726.5001 2.463573
## 626 94.82611 11.518238 -447.5000 3.803591
## 167 51.48094 7.939995 -547.2858 2.470699
## 927 172.03275 13.054558 -694.6074 2.591084
## 488 93.38512 11.636140 -458.4644 3.695255
## 868 177.54301 11.472651 -727.8574 2.161873
## 489 93.38512 11.636140 -458.4644 3.695255
## 331 88.07535 10.056126 -431.0358 3.831883
## 771 124.28063 13.088031 -576.2144 2.865563
## 332 88.07535 10.056126 -431.0358 3.831883
## 892 170.37037 13.066749 -727.8574 2.345043
## 912 173.91616 13.030396 -694.6074 2.611753
## 153 46.64025 8.189654 -547.2858 2.568454
## 854 171.86295 12.245132 -648.5359 2.499696
## 235 67.33699 8.893595 -490.6072 3.101405
## 855 171.86295 12.245132 -648.5359 2.499696
## 76 49.34077 8.299452 -511.9287 2.923328
## 137 49.85397 8.250273 -552.3216 2.720335
## 157 46.64025 8.189654 -547.2858 2.568454
## 637 94.82611 11.518238 -447.5000 3.803591
## 797 116.43694 13.284562 -648.5359 2.422434
## 859 171.86295 12.245132 -648.5359 2.499696
## 780 124.28063 13.088031 -576.2144 2.865563
## Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity
## 441 7.181864 4.891803 1753.393 -72.178602 1648.500
## 243 4.316549 3.782484 1701.357 -9.392786 1518.071
## 343 7.593111 6.028782 1719.536 -53.571391 1571.500
## 184 3.054763 2.488112 1629.179 -5.571365 1386.500
## 604 6.762688 4.774552 1740.000 -109.714246 1618.428
## 525 6.947438 4.673388 1779.536 -87.428617 1722.286
## 765 5.829372 5.496965 1792.679 -141.285753 1651.179
## 985 14.117711 14.117711 1863.143 -103.535748 1789.786
## 626 7.112738 6.205059 1763.393 -109.714246 1702.107
## 167 2.432209 1.714750 1605.786 -2.035666 1352.178
## 927 10.039788 11.564445 1856.143 -116.214323 1799.786
## 488 6.838648 4.196635 1785.000 -84.107208 1694.143
## 868 9.569146 11.491353 1895.893 -111.142921 1573.536
## 489 6.838648 4.196635 1785.000 -84.107208 1694.143
## 331 7.974996 5.732020 1730.179 -53.607082 1651.679
## 771 5.829372 5.496965 1792.679 -141.285753 1651.179
## 332 7.974996 5.732020 1730.179 -53.607082 1651.679
## 892 10.396495 11.491353 1875.572 -111.142921 1706.857
## 912 10.124867 11.564445 1870.500 -116.214323 1814.143
## 153 2.891907 2.319274 1659.286 -14.392900 1405.679
## 854 9.864580 10.900926 1864.179 -111.142921 1621.143
## 235 4.553551 4.280768 1692.893 -9.392786 1521.571
## 855 9.864580 10.900926 1864.179 -111.142921 1621.143
## 76 4.035135 3.294527 1714.500 -12.178612 1496.536
## 137 3.137841 2.304349 1760.857 -15.214300 1502.500
## 157 2.891907 2.319274 1659.286 -14.392900 1405.679
## 637 7.112738 6.205059 1763.393 -109.714246 1702.107
## 797 5.567996 5.486096 1789.250 -141.285753 1571.036
## 859 9.864580 10.900926 1864.179 -111.142921 1621.143
## 780 5.829372 5.496965 1792.679 -141.285753 1651.179

print(df) # 输出自由度

## 
## Degrees of freedom report for strategy: macd 
## Total market observations: 1865 
## Degrees of freedom consumed by strategy: 257 
## Total degrees of freedom remaining: 1608 
## % Degrees of Freedom: 86.22 %

print(defSR) # 输出修正夏普比率

## obs.Sharpe max.Sharpe deflated.Sharpe p.value nTrials
## 1 1.1 2.169138 1.095209 0.00435539 38

print(hcSR) # 输出调整夏普比率

## 
## Sharpe Ratio Haircut Report: 
## 
## Frequency = Daily 
## Number of Observations = 1866 
## Observed Sharpe Ratio: 1.1 
## Autocorrelation: NaN 
## Sharpe Ratio corrected for autocorrelation: 1.1 
## Assumed number of tests: 38 
## Assumed Average Correlation: 0.2 
## 
## Bonferroni Adjustment: 
## Adjusted P-value = 0.5742251 
## Haircut Sharpe Ratio = 0.2485153 
## Percentage Haircut = 0.774077 
## 
## Holm Adjustment: 
## Adjusted P-value = 0.483558 
## Haircut Sharpe Ratio = 0.3101128 
## Percentage Haircut = 0.7180793 
## 
## BHY Adjustment: 
## Adjusted P-value = 0.3133459 
## Haircut Sharpe Ratio = 0.4472566 
## Percentage Haircut = 0.5934031 
## 
## Average Adjustment: 
## Adjusted P-value = 0.457043 
## Haircut Sharpe Ratio = 0.3292902 
## Percentage Haircut = 0.7006452

策略核心思路解析

参数优化的必要性与逻辑

MACD 策略的表现高度依赖于快速 EMA（短期趋势）和慢速 EMA（长期趋势）的周期参数。例如，快速 EMA 过短可能导致信号频繁且噪音大，过长则可能滞后于趋势；慢速 EMA 同理。若仅凭经验选择参数（如默认的 12/26 日），可能错过更优组合，或因参数适配特定历史数据而在未来失效。

这段代码的核心是通过系统测试参数组合解决这一问题：首先定义合理的参数范围（快速 EMA 1-20 日、慢速 EMA 30-80 日），再通过add.distribution将参数引入策略，最后用apply.paramset批量测试不同组合的表现。这种方法避免了主观选择参数的盲目性，让数据决定最优解。

MACD 指标与参数约束的意义

MACD（移动平均收敛散度）的核心是通过短期与长期趋势的差异捕捉价格动量，其计算逻辑为： - MACD 线 = 快速 EMA - 慢速 EMA（反映短期与长期趋势的偏离） - 信号线 = MACD 线的 9 日 EMA（平滑波动，生成交易信号）

因此，快速 EMA 必须小于慢速 EMA—— 若快速周期大于慢速周期，MACD 线的物理意义将反转（变成长期减短期），无法正确反映趋势偏离。代码中add.distribution.constraint通过operator = ’<’强制这一约束，确保参数逻辑的合理性。

效率与有效性的平衡：随机抽样与统计验证

全量测试 1-20 日（20 种）与 30-80 日（51 种）的参数组合，会产生 20×51=1020 种可能，计算成本极高。代码通过nsamples = 30随机抽样 30 组参数，在效率与覆盖度间取得平衡 —— 既避免全量测试的冗余，又能覆盖大概率有效的组合。

更重要的是，代码引入了过拟合风险评估： degrees.of.freedom计算策略的自由度（参数数量与数据量的比值），自由度越高，过拟合风险越大； SharpeRatio.deflated和SharpeRatio.haircut对传统夏普比率进行修正，降低因过度优化导致的 “虚高收益” 影响，更真实反映策略的稳健性。

这些指标让交易者不仅关注 “哪个参数组合收益最高”，更能判断 “该组合的收益是否可靠”。

结果解读的核心价值

代码输出的tstats（交易统计）包含胜率、平均盈亏、最大回撤等指标，直观展示不同参数组合的表现；而修正后的夏普比率（defSR、hcSR）则提示哪些组合的收益是 “可复制的”，哪些可能是 “数据巧合”。例如，若某参数组合的传统夏普比率极高，但修正后大幅下降，说明其可能过度拟合历史数据，实盘表现大概率不佳；反之，修正前后差异小的组合，更可能在未来保持稳健。

科学参数优化的意义

这段代码展示了量化交易中 “参数优化” 的标准化流程：从定义合理参数范围、施加逻辑约束，到高效抽样测试、统计验证有效性，每一步都围绕 “降低主观干扰、提升策略稳健性” 展开。

对交易者而言，这种方法的价值在于：它不仅能找到历史表现优异的参数，更能通过统计指标识别参数的可靠性，避免 “回测神话” 与实盘失效的鸿沟。在量化交易中，“能解释的收益” 比 “高收益” 更重要 —— 而科学的参数优化，正是通往可解释、可复制收益的关键一步。

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。