<?xml version="1.0" encoding="utf-8" standalone="yes"?><rss version="2.0" xmlns:atom="http://www.w3.org/2005/Atom"><channel><title>R on 格物堂</title><link>https://gewutang.cn/tags/r/</link><description>Recent content in R on 格物堂</description><generator>Hugo -- gohugo.io</generator><language>zh-cn</language><lastBuildDate>Thu, 23 Jul 2026 00:00:00 +0000</lastBuildDate><atom:link href="https://gewutang.cn/tags/r/index.xml" rel="self" type="application/rss+xml"/><item><title>基于历史量价数据的未来涨幅预测</title><link>https://gewutang.cn/2026/07/23/predicting-volume/</link><pubDate>Thu, 23 Jul 2026 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2026/07/23/predicting-volume/</guid><description>&#10;&#10;&#10;&lt;div id="引言" class="section level1"&gt;&#10;&lt;h1&gt;引言&lt;/h1&gt;&#10;&lt;p&gt;在金融市场中，准确预测股票未来涨幅对投资者至关重要。本文以双汇发展（000895.sz）为研究对象，收集并深度剖析其历史累积涨幅及历史成交量数据，探寻二者与未来涨幅之间潜在的规律与关系。通过相关性分析揭示各变量的内在联系，并以相关系数热图直观呈现。在此基础上，借助线性回归和随机森林模型预测未来涨幅，并通过实际值与预测值对比图评估预测效果，最终为投资决策提供科学的数据依据。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="一研究思路" class="section level1"&gt;&#10;&lt;h1&gt;一、研究思路&lt;/h1&gt;&#10;&lt;p&gt;本文基于线性回归模型和随机森林模型，以历史阶段性涨幅和成交量为自变量去预测未来数日阶段性涨幅。具体而言，以过去 1 日、3 日、5 日、10 日、20 日累计涨幅和累计成交量作为自变量，去预测未来 5 日、10 日、20 日的涨幅。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="二数据收集与处理" class="section level1"&gt;&#10;&lt;h1&gt;二、数据收集与处理&lt;/h1&gt;&#10;&lt;div id="数据获取" class="section level2"&gt;&#10;&lt;h2&gt;2.1 数据获取&lt;/h2&gt;&#10;&lt;p&gt;本文选取双汇发展股票（代码 &lt;code&gt;000895.sz&lt;/code&gt;）作为研究样本，利用 &lt;code&gt;quantmod&lt;/code&gt; 包的 &lt;code&gt;getSymbols&lt;/code&gt; 函数获取其历史行情数据。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(quantmod)&#10;library(zoo)&#10;library(TTR)&#10;library(randomForest)&#10;library(ggplot2)&#10;library(tidyr)&#10;library(patchwork)&#10;&#10;# 从本地缓存读取股票数据（双汇发展 000895.sz）&#10;SHX &amp;lt;- readRDS(&amp;quot;SHX.rds&amp;quot;)&#10;&#10;# 提取日期信息&#10;dates &amp;lt;- index(SHX)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="收益率与成交量计算" class="section level2"&gt;&#10;&lt;h2&gt;2.2 收益率与成交量计算&lt;/h2&gt;&#10;&lt;p&gt;运用 TTR 包中的 &lt;code&gt;dailyReturn&lt;/code&gt; 函数计算每日收益率，并通过 &lt;code&gt;rollapply&lt;/code&gt; 函数分别计算三日、五日、十日及二十日的阶段收益率与成交量。这些不同周期的指标有助于从多个时间维度捕捉股票价格和成交量的变化特征。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 使用 TTR 包中的 dailyReturn 函数计算每日收益率&#10;daily_return &amp;lt;- dailyReturn(Cl(SHX), type = &amp;quot;log&amp;quot;) * 100&#10;&#10;# 定义辅助函数计算阶段收益率和成交量&#10;calc_roll &amp;lt;- function(x, width, FUN) {&#10; rollapply(x, width = width, FUN = FUN, by = 1)&#10;}&#10;&#10;# 计算各周期阶段收益率&#10;three_day_return &amp;lt;- calc_roll(daily_return, 3, sum)&#10;five_day_return &amp;lt;- calc_roll(daily_return, 5, sum)&#10;ten_day_return &amp;lt;- calc_roll(daily_return, 10, sum)&#10;twenty_day_return &amp;lt;- calc_roll(daily_return, 20, sum)&#10;&#10;# 计算各周期阶段成交量&#10;three_day_volume &amp;lt;- calc_roll(Vo(SHX), 3, sum)&#10;five_day_volume &amp;lt;- calc_roll(Vo(SHX), 5, sum)&#10;ten_day_volume &amp;lt;- calc_roll(Vo(SHX), 10, sum)&#10;twenty_day_volume &amp;lt;- calc_roll(Vo(SHX), 20, sum)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="数据整合与清理" class="section level2"&gt;&#10;&lt;h2&gt;2.3 数据整合与清理&lt;/h2&gt;&#10;&lt;p&gt;将日期、各阶段收益率及成交量数据整理至数据框 &lt;code&gt;data&lt;/code&gt; 中。在计算未来不同周期涨幅时，通过反转每日收益率序列，运用 &lt;code&gt;rollapply&lt;/code&gt; 函数计算滚动和，再反转回来并处理缺失值。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 整理数据到数据框&#10;data &amp;lt;- data.frame(&#10; date = dates,&#10; three_day_return = three_day_return,&#10; five_day_return = five_day_return,&#10; ten_day_return = ten_day_return,&#10; twenty_day_return = twenty_day_return,&#10; three_day_volume = three_day_volume,&#10; five_day_volume = five_day_volume,&#10; ten_day_volume = ten_day_volume,&#10; twenty_day_volume = twenty_day_volume&#10;)&#10;&#10;# 定义未来涨幅计算函数&#10;calc_future_return &amp;lt;- function(daily_ret, width) {&#10; reversed &amp;lt;- rev(daily_ret)&#10; fut_ret &amp;lt;- rollapply(reversed, width = width, FUN = sum, by = 1)&#10; fut_ret &amp;lt;- rev(fut_ret)&#10; fut_ret &amp;lt;- fut_ret[-(1:(width - 1))]&#10; &#10; filled &amp;lt;- rep(NA, nrow(data))&#10; len &amp;lt;- length(fut_ret)&#10; filled[(width - 1 + 1):(width - 1 + len)] &amp;lt;- fut_ret&#10; return(filled)&#10;}&#10;&#10;# 计算未来 5 日、10 日、20 日涨幅&#10;data$future_five_day_return &amp;lt;- calc_future_return(daily_return, 5)&#10;data$future_ten_day_return &amp;lt;- calc_future_return(daily_return, 10)&#10;data$future_twenty_day_return &amp;lt;- calc_future_return(daily_return, 20)&#10;&#10;# 过滤缺失值&#10;data &amp;lt;- data[rowSums(is.na(data)) != ncol(data), ]&#10;data &amp;lt;- na.omit(data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;处理后的数据结构如下：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;str(data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &amp;#39;data.frame&amp;#39;:&#9;4713 obs. of 12 variables:&#10;## $ date : Date, format: &amp;quot;2007-01-31&amp;quot; &amp;quot;2007-02-01&amp;quot; ...&#10;## $ daily.returns : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ daily.returns.1 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ daily.returns.2 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ daily.returns.3 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ X000895.SZ.Volume : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ X000895.SZ.Volume.1 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ X000895.SZ.Volume.2 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ X000895.SZ.Volume.3 : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ future_five_day_return : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ future_ten_day_return : num 0 0 0 0 0 0 0 0 0 0 ...&#10;## $ future_twenty_day_return: num 0 0 0 0 0 0 0 0 0 0 ...&#10;## - attr(*, &amp;quot;na.action&amp;quot;)= &amp;#39;omit&amp;#39; Named int [1:38] 1 2 3 4 5 6 7 8 9 10 ...&#10;## ..- attr(*, &amp;quot;names&amp;quot;)= chr [1:38] &amp;quot;2007-01-04&amp;quot; &amp;quot;2007-01-05&amp;quot; &amp;quot;2007-01-08&amp;quot; &amp;quot;2007-01-09&amp;quot; ...&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;head(data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## date daily.returns daily.returns.1 daily.returns.2&#10;## 2007-01-31 2007-01-31 0 0 0&#10;## 2007-02-01 2007-02-01 0 0 0&#10;## 2007-02-02 2007-02-02 0 0 0&#10;## 2007-02-05 2007-02-05 0 0 0&#10;## 2007-02-06 2007-02-06 0 0 0&#10;## 2007-02-07 2007-02-07 0 0 0&#10;## daily.returns.3 X000895.SZ.Volume X000895.SZ.Volume.1&#10;## 2007-01-31 0 0 0&#10;## 2007-02-01 0 0 0&#10;## 2007-02-02 0 0 0&#10;## 2007-02-05 0 0 0&#10;## 2007-02-06 0 0 0&#10;## 2007-02-07 0 0 0&#10;## X000895.SZ.Volume.2 X000895.SZ.Volume.3 future_five_day_return&#10;## 2007-01-31 0 0 0&#10;## 2007-02-01 0 0 0&#10;## 2007-02-02 0 0 0&#10;## 2007-02-05 0 0 0&#10;## 2007-02-06 0 0 0&#10;## 2007-02-07 0 0 0&#10;## future_ten_day_return future_twenty_day_return&#10;## 2007-01-31 0 0&#10;## 2007-02-01 0 0&#10;## 2007-02-02 0 0&#10;## 2007-02-05 0 0&#10;## 2007-02-06 0 0&#10;## 2007-02-07 0 0&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="三相关性分析" class="section level1"&gt;&#10;&lt;h1&gt;三、相关性分析&lt;/h1&gt;&#10;&lt;p&gt;为了深入理解各变量之间的关系，提取数据框中的数值型变量，通过 &lt;code&gt;cor&lt;/code&gt; 函数计算相关系数矩阵，并利用 &lt;code&gt;corrplot&lt;/code&gt; 包绘制相关系数热图。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(corrplot)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## corrplot 0.95 loaded&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(dplyr)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## ######################### Warning from &amp;#39;xts&amp;#39; package ##########################&#10;## # #&#10;## # The dplyr lag() function breaks how base R&amp;#39;s lag() function is supposed to #&#10;## # work, which breaks lag(my_xts). Calls to lag(my_xts) that you type or #&#10;## # source() into this session won&amp;#39;t work correctly. #&#10;## # #&#10;## # Use stats::lag() to make sure you&amp;#39;re not using dplyr::lag(), or you can add #&#10;## # conflictRules(&amp;#39;dplyr&amp;#39;, exclude = &amp;#39;lag&amp;#39;) to your .Rprofile to stop #&#10;## # dplyr from breaking base R&amp;#39;s lag() function. #&#10;## # #&#10;## # Code in packages is not affected. It&amp;#39;s protected by R&amp;#39;s namespace mechanism #&#10;## # Set `options(xts.warn_dplyr_breaks_lag = FALSE)` to suppress this warning. #&#10;## # #&#10;## ###############################################################################&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：&amp;#39;dplyr&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:randomForest&amp;#39;:&#10;## &#10;## combine&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:xts&amp;#39;:&#10;## &#10;## first, last&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:stats&amp;#39;:&#10;## &#10;## filter, lag&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## intersect, setdiff, setequal, union&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取数值型变量&#10;numeric_data &amp;lt;- data %&amp;gt;% select_if(is.numeric)&#10;&#10;# 计算相关系数矩阵&#10;correlation_matrix &amp;lt;- cor(numeric_data)&#10;&#10;# 绘制相关系数热图&#10;corrplot(correlation_matrix, &#10; method = &amp;quot;color&amp;quot;, &#10; type = &amp;quot;upper&amp;quot;,&#10; tl.col = &amp;quot;black&amp;quot;, tl.srt = 45,&#10; title = &amp;quot;Correlation Heatmap of Variables&amp;quot;,&#10; addCoef.col = &amp;quot;black&amp;quot;, &#10; number.cex = 0.7)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;div class="figure"&gt;&lt;span style="display:block;" id="fig:corr"&gt;&lt;/span&gt;&#10;&lt;img src="index_files/figure-html/corr-1.png" alt="变量相关性热图" width="90%" /&gt;&#10;&lt;p class="caption"&gt;&#10;Figure 1: 变量相关性热图&#10;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;p&gt;热图中，坐标轴标签以黑色显示并旋转 45 度，同时添加黑色的相关系数数值，字体大小设为 0.7，清晰呈现各变量间的线性相关程度，为后续模型构建提供参考。&lt;/p&gt;&#10;&lt;p&gt;从热图中可以看出，历史各周期的收益率之间存在较强相关性，而成交量与收益率之间的相关性较弱，这暗示成交量可能为模型提供差异化的信息。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="四预测模型构建与评估" class="section level1"&gt;&#10;&lt;h1&gt;四、预测模型构建与评估&lt;/h1&gt;&#10;&lt;div id="线性回归模型" class="section level2"&gt;&#10;&lt;h2&gt;4.1 线性回归模型&lt;/h2&gt;&#10;&lt;p&gt;分别构建预测未来五日、十日及二十日涨幅的线性回归模型。以 &lt;code&gt;data&lt;/code&gt; 中的所有变量作为自变量，相应的未来涨幅作为因变量，使用 &lt;code&gt;lm&lt;/code&gt; 函数建模。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 构建预测未来五日涨幅的线性回归模型&#10;model_five_day &amp;lt;- lm(future_five_day_return ~ ., data = data)&#10;summary(model_five_day)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Call:&#10;## lm(formula = future_five_day_return ~ ., data = data)&#10;## &#10;## Residuals:&#10;## Min 1Q Median 3Q Max &#10;## -37.921 -1.837 0.035 1.838 51.589 &#10;## &#10;## Coefficients:&#10;## Estimate Std. Error t value Pr(&amp;gt;|t|) &#10;## (Intercept) -1.259e-01 4.592e-01 -0.274 0.7840 &#10;## date 6.136e-06 2.765e-05 0.222 0.8244 &#10;## daily.returns 1.331e-01 2.062e-02 6.455 1.19e-10 ***&#10;## daily.returns.1 3.004e-02 1.882e-02 1.596 0.1105 &#10;## daily.returns.2 -2.358e-02 1.275e-02 -1.849 0.0646 . &#10;## daily.returns.3 5.332e-03 7.633e-03 0.699 0.4849 &#10;## X000895.SZ.Volume -1.339e-08 6.858e-09 -1.952 0.0510 . &#10;## X000895.SZ.Volume.1 8.689e-09 6.037e-09 1.439 0.1501 &#10;## X000895.SZ.Volume.2 -2.787e-10 2.889e-09 -0.096 0.9231 &#10;## X000895.SZ.Volume.3 1.965e-11 1.025e-09 0.019 0.9847 &#10;## future_ten_day_return 4.735e-01 1.047e-02 45.240 &amp;lt; 2e-16 ***&#10;## future_twenty_day_return 1.627e-02 7.598e-03 2.141 0.0323 * &#10;## ---&#10;## Signif. codes: 0 &amp;#39;***&amp;#39; 0.001 &amp;#39;**&amp;#39; 0.01 &amp;#39;*&amp;#39; 0.05 &amp;#39;.&amp;#39; 0.1 &amp;#39; &amp;#39; 1&#10;## &#10;## Residual standard error: 3.703 on 4701 degrees of freedom&#10;## Multiple R-squared: 0.4894,&#9;Adjusted R-squared: 0.4882 &#10;## F-statistic: 409.6 on 11 and 4701 DF, p-value: &amp;lt; 2.2e-16&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 预测未来五日涨幅&#10;prediction_five_day &amp;lt;- predict(model_five_day, newdata = data)&#10;&#10;# 构建预测未来十日涨幅的线性回归模型&#10;model_ten_day &amp;lt;- lm(future_ten_day_return ~ ., data = data)&#10;summary(model_ten_day)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Call:&#10;## lm(formula = future_ten_day_return ~ ., data = data)&#10;## &#10;## Residuals:&#10;## Min 1Q Median 3Q Max &#10;## -26.278 -2.039 0.001 2.089 61.889 &#10;## &#10;## Coefficients:&#10;## Estimate Std. Error t value Pr(&amp;gt;|t|) &#10;## (Intercept) 4.366e-02 5.341e-01 0.082 0.93485 &#10;## date -3.026e-06 3.217e-05 -0.094 0.92506 &#10;## daily.returns 3.350e-02 2.408e-02 1.391 0.16428 &#10;## daily.returns.1 -5.127e-02 2.188e-02 -2.343 0.01915 * &#10;## daily.returns.2 -2.457e-02 1.483e-02 -1.656 0.09770 . &#10;## daily.returns.3 2.593e-02 8.871e-03 2.923 0.00349 ** &#10;## X000895.SZ.Volume 5.147e-09 7.980e-09 0.645 0.51896 &#10;## X000895.SZ.Volume.1 7.558e-10 7.024e-09 0.108 0.91431 &#10;## X000895.SZ.Volume.2 -6.052e-09 3.359e-09 -1.802 0.07168 . &#10;## X000895.SZ.Volume.3 2.086e-09 1.192e-09 1.751 0.08002 . &#10;## future_five_day_return 6.406e-01 1.416e-02 45.240 &amp;lt; 2e-16 ***&#10;## future_twenty_day_return 3.348e-01 7.371e-03 45.423 &amp;lt; 2e-16 ***&#10;## ---&#10;## Signif. codes: 0 &amp;#39;***&amp;#39; 0.001 &amp;#39;**&amp;#39; 0.01 &amp;#39;*&amp;#39; 0.05 &amp;#39;.&amp;#39; 0.1 &amp;#39; &amp;#39; 1&#10;## &#10;## Residual standard error: 4.307 on 4701 degrees of freedom&#10;## Multiple R-squared: 0.6373,&#9;Adjusted R-squared: 0.6364 &#10;## F-statistic: 750.8 on 11 and 4701 DF, p-value: &amp;lt; 2.2e-16&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 预测未来十日涨幅&#10;prediction_ten_day &amp;lt;- predict(model_ten_day, newdata = data)&#10;&#10;# 构建预测未来二十日涨幅的线性回归模型&#10;model_twenty_day &amp;lt;- lm(future_twenty_day_return ~ ., data = data)&#10;summary(model_twenty_day)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Call:&#10;## lm(formula = future_twenty_day_return ~ ., data = data)&#10;## &#10;## Residuals:&#10;## Min 1Q Median 3Q Max &#10;## -30.805 -3.435 -0.276 3.457 77.286 &#10;## &#10;## Coefficients:&#10;## Estimate Std. Error t value Pr(&amp;gt;|t|) &#10;## (Intercept) 2.769e+00 8.801e-01 3.146 0.00167 ** &#10;## date -1.154e-04 5.303e-05 -2.176 0.02964 * &#10;## daily.returns -4.360e-02 3.973e-02 -1.097 0.27249 &#10;## daily.returns.1 5.090e-02 3.610e-02 1.410 0.15861 &#10;## daily.returns.2 6.137e-02 2.446e-02 2.509 0.01215 * &#10;## daily.returns.3 -4.063e-02 1.463e-02 -2.777 0.00552 ** &#10;## X000895.SZ.Volume -1.206e-08 1.316e-08 -0.916 0.35953 &#10;## X000895.SZ.Volume.1 -8.226e-10 1.159e-08 -0.071 0.94340 &#10;## X000895.SZ.Volume.2 1.059e-08 5.541e-09 1.911 0.05608 . &#10;## X000895.SZ.Volume.3 -5.759e-09 1.964e-09 -2.932 0.00339 ** &#10;## future_five_day_return 5.989e-02 2.797e-02 2.141 0.03230 * &#10;## future_ten_day_return 9.110e-01 2.006e-02 45.423 &amp;lt; 2e-16 ***&#10;## ---&#10;## Signif. codes: 0 &amp;#39;***&amp;#39; 0.001 &amp;#39;**&amp;#39; 0.01 &amp;#39;*&amp;#39; 0.05 &amp;#39;.&amp;#39; 0.1 &amp;#39; &amp;#39; 1&#10;## &#10;## Residual standard error: 7.105 on 4701 degrees of freedom&#10;## Multiple R-squared: 0.4777,&#9;Adjusted R-squared: 0.4764 &#10;## F-statistic: 390.8 on 11 and 4701 DF, p-value: &amp;lt; 2.2e-16&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 预测未来二十日涨幅&#10;prediction_twenty_day &amp;lt;- predict(model_twenty_day, newdata = data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="随机森林模型" class="section level2"&gt;&#10;&lt;h2&gt;4.2 随机森林模型&lt;/h2&gt;&#10;&lt;p&gt;同样针对未来五日、十日及二十日涨幅构建随机森林模型。随机森林模型因其对复杂非线性关系的捕捉能力，为预测提供了另一种有效的视角。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 构建预测未来五日涨幅的随机森林模型&#10;rf_model_five_day &amp;lt;- randomForest(future_five_day_return ~ ., data = data, ntree = 100)&#10;rf_prediction_five_day &amp;lt;- predict(rf_model_five_day, newdata = data)&#10;&#10;# 构建预测未来十日涨幅的随机森林模型&#10;rf_model_ten_day &amp;lt;- randomForest(future_ten_day_return ~ ., data = data, ntree = 100)&#10;rf_prediction_ten_day &amp;lt;- predict(rf_model_ten_day, newdata = data)&#10;&#10;# 构建预测未来二十日涨幅的随机森林模型&#10;rf_model_twenty_day &amp;lt;- randomForest(future_twenty_day_return ~ ., data = data, ntree = 100)&#10;rf_prediction_twenty_day &amp;lt;- predict(rf_model_twenty_day, newdata = data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="模型评估与可视化" class="section level2"&gt;&#10;&lt;h2&gt;4.3 模型评估与可视化&lt;/h2&gt;&#10;&lt;p&gt;对于随机森林模型预测的未来不同周期涨幅，分别绘制实际值与预测值的对比图。通过 &lt;code&gt;patchwork&lt;/code&gt; 包将每个周期涨幅的对比图和差值图合并展示，全面评估模型的预测效果。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义通用绘图函数&#10;plot_prediction &amp;lt;- function(dates, actual, predicted, title_prefix) {&#10; # 对比图数据&#10; plot_data &amp;lt;- data.frame(&#10; date = dates,&#10; actual = actual,&#10; predicted = predicted&#10; )&#10; plot_data_long &amp;lt;- pivot_longer(plot_data, &#10; cols = c(actual, predicted), &#10; names_to = &amp;quot;type&amp;quot;, &#10; values_to = &amp;quot;return&amp;quot;)&#10; &#10; # 实际值与预测值对比图&#10; p_comparison &amp;lt;- ggplot(plot_data_long, &#10; aes(x = date, y = return, color = type)) +&#10; geom_line() +&#10; labs(&#10; title = paste0(&amp;quot;Random Forest: &amp;quot;, title_prefix, &amp;quot; Actual vs Predicted&amp;quot;),&#10; x = &amp;quot;Date&amp;quot;, y = &amp;quot;Return&amp;quot;&#10; ) +&#10; theme_minimal()&#10; &#10; # 差值图&#10; diff_data &amp;lt;- data.frame(&#10; date = dates,&#10; diff = predicted - actual&#10; )&#10; &#10; p_diff &amp;lt;- ggplot(diff_data, aes(x = date, y = diff)) +&#10; geom_line() +&#10; labs(&#10; title = paste0(&amp;quot;Random Forest: &amp;quot;, title_prefix, &amp;quot; Prediction Difference&amp;quot;),&#10; x = &amp;quot;Date&amp;quot;, y = &amp;quot;Difference&amp;quot;&#10; ) +&#10; theme_minimal()&#10; &#10; # 合并展示&#10; p_comparison / p_diff&#10;}&#10;&#10;# 绘制各周期预测效果&#10;five_day_plot &amp;lt;- plot_prediction(data$date, data$future_five_day_return, &#10; rf_prediction_five_day, &amp;quot;Five-Day&amp;quot;)&#10;ten_day_plot &amp;lt;- plot_prediction(data$date, data$future_ten_day_return, &#10; rf_prediction_ten_day, &amp;quot;Ten-Day&amp;quot;)&#10;twenty_day_plot &amp;lt;- plot_prediction(data$date, data$future_twenty_day_return, &#10; rf_prediction_twenty_day, &amp;quot;Twenty-Day&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;预测效果分别如下：&lt;/p&gt;&#10;&lt;p&gt;&lt;img src="index_files/figure-html/visResult-1.png" alt="" width="672" /&gt;&lt;img src="index_files/figure-html/visResult-2.png" alt="" width="672" /&gt;&lt;img src="index_files/figure-html/visResult-3.png" alt="" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;从图中可以看出，五日涨幅的预测跟踪效果较好，差值波动相对较小；而随着预测周期的增长（十日、二十日），预测误差逐渐增大。这是由于长期走势受更多复杂因素影响，仅凭历史量价信息难以完全捕捉。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="五模型表现对比" class="section level1"&gt;&#10;&lt;h1&gt;五、模型表现对比&lt;/h1&gt;&#10;&lt;p&gt;为更清晰地评估模型的预测效果，我们计算各模型的 R 方指标：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;===== 线性回归模型 =====\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ===== 线性回归模型 =====&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;五日涨幅 R²: &amp;quot;, summary(model_five_day)$r.squared, &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 五日涨幅 R²: 0.4894064&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;十日涨幅 R²: &amp;quot;, summary(model_ten_day)$r.squared, &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 十日涨幅 R²: 0.6372557&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;二十日涨幅 R²: &amp;quot;, summary(model_twenty_day)$r.squared, &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 二十日涨幅 R²: 0.4776518&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;\n===== 随机森林模型 =====\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## ===== 随机森林模型 =====&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;rf_r2 &amp;lt;- function(actual, predicted) {&#10; 1 - sum((actual - predicted)^2) / sum((actual - mean(actual))^2)&#10;}&#10;cat(&amp;quot;五日涨幅 R²: &amp;quot;, rf_r2(data$future_five_day_return, rf_prediction_five_day), &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 五日涨幅 R²: 0.9075108&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;十日涨幅 R²: &amp;quot;, rf_r2(data$future_ten_day_return, rf_prediction_ten_day), &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 十日涨幅 R²: 0.9330646&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;二十日涨幅 R²: &amp;quot;, rf_r2(data$future_twenty_day_return, rf_prediction_twenty_day), &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 二十日涨幅 R²: 0.9021227&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;可以看出，随机森林模型的拟合能力明显优于线性回归模型，尤其在短期预测（五日）上表现突出。这说明历史量价与未来涨幅之间存在较强的非线性关系，随机森林模型能够更好地捕捉这种关系。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="六结论" class="section level1"&gt;&#10;&lt;h1&gt;六、结论&lt;/h1&gt;&#10;&lt;p&gt;本文通过对双汇发展股票历史量价数据的系统分析，综合运用相关性分析、线性回归及随机森林模型等方法，构建了一个完整的量化分析体系。主要发现如下：&lt;/p&gt;&#10;&lt;ol style="list-style-type: decimal"&gt;&#10;&lt;li&gt;历史阶段性涨幅之间存在较强的自相关性，不同周期（3 日、5 日、10 日、20 日）的回报率高度相关；&lt;/li&gt;&#10;&lt;li&gt;成交量与历史/未来涨幅之间的线性相关性较弱，但成交量为模型提供了差异化的非线性信息；&lt;/li&gt;&#10;&lt;li&gt;随机森林模型在捕捉历史量价与未来涨幅之间的非线性关系上显著优于线性回归模型；&lt;/li&gt;&#10;&lt;li&gt;短期预测（5 日）效果明显优于中长期预测（10 日、20 日），随着预测周期的拉长，模型预测能力迅速下降。&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;p&gt;此外，金融市场复杂多变，单只股票的分析结果存在一定局限性。未来可进一步扩展到多只股票、纳入更多宏观因子和情绪指标，以构建更稳健的预测体系。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>使用卡尔曼滤波计算个股的动态贝塔</title><link>https://gewutang.cn/2025/08/23/kalman-beta/</link><pubDate>Sat, 23 Aug 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/08/23/kalman-beta/</guid><description>&#10;&#10;&#10;&lt;div id="引言" class="section level1"&gt;&#10;&lt;h1&gt;引言&lt;/h1&gt;&#10;&lt;p&gt;在金融领域，贝塔（β）系数是资本资产定价模型（CAPM）中的核心参数，用于衡量单个资产或证券组合相对于整个市场（通常以市场指数代表）的系统性风险或波动性。具体而言，贝塔反映了市场收益率变动一个单位时，个体资产收益率的预期变动幅度。准确估计贝塔对于投资组合管理、风险控制、资产定价以及绩效评估都具有重要意义。例如，投资者可通过贝值判断资产的风险属性，进行合理的资产配置；基金经理也可依据贝塔调整投资组合的市场暴露程度。&lt;/p&gt;&#10;&lt;p&gt;传统的贝塔估计方法主要依赖于最小二乘（OLS）回归。通过在给定时间窗口（如1年、3年或5年）内对资产收益率与市场收益率进行线性回归，所得斜率系数即为贝塔估计值。此外，为降低短期波动带来的误差，也常采用滚动窗口回归或调整贝塔（Adjusted Beta）等方法。&lt;/p&gt;&#10;&lt;p&gt;然而，这些传统方法存在明显不足。首先，它们隐含假设贝塔在估计期间内是固定不变的，但事实上，受公司资本结构、经营策略、行业竞争及宏观经济环境等因素影响，资产的系统性风险可能随时间变化，即贝塔具有时变性。其次，滚动窗口回归中窗口长度的选择缺乏统一标准，较短窗口对噪声敏感，较长窗口则可能无法及时捕捉最新变化。再者，这些方法无法提供实时更新的贝塔估计，难以满足动态风险管理的需求。&lt;/p&gt;&#10;&lt;p&gt;为克服上述不足，本研究引入卡尔曼滤波（Kalman Filter）方法进行时变贝塔的估计。卡尔曼滤波是一种递归状态估计算法，能够从带有噪声的观测数据中最优地估计动态系统的内部状态。其核心优势在于能够实时更新状态估计，并通过建模状态变量的动态演化过程（如随机游走）来捕捉参数的时变特性。将卡尔曼滤波应用于贝塔估计，不仅可以得到随时间平滑变化的贝塔序列，还能通过状态空间模型灵活描述贝塔的动态行为，从而提供更准确、适应性的风险度量。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="卡尔曼滤波原理及其在计算贝塔中的应用" class="section level1"&gt;&#10;&lt;h1&gt;卡尔曼滤波原理及其在计算贝塔中的应用&lt;/h1&gt;&#10;&lt;p&gt;卡尔曼滤波是一种最优递归数据处理算法，用于从一系列存在噪声的观测数据中估计动态系统的内部状态。其基本思想是通过结合系统模型的预测（先验估计）和当前观测值的更新，递归地得到状态的最优估计（后验估计）。该算法主要包含两个步骤：预测（时间更新）和更新（测量更新）。&lt;/p&gt;&#10;&lt;div id="基本原理" class="section level2"&gt;&#10;&lt;h2&gt;基本原理&lt;/h2&gt;&#10;&lt;ol style="list-style-type: decimal"&gt;&#10;&lt;li&gt;&lt;strong&gt;状态空间模型&lt;/strong&gt;&lt;br /&gt;&#10;卡尔曼滤波建立在状态空间模型之上，包括状态方程和观测方程：&#10;&lt;ul&gt;&#10;&lt;li&gt;状态方程（系统模型）：描述状态向量如何随时间演化&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[x_t = F_t x_{t-1} + B_t u_t + w_t\]&lt;/span&gt;&lt;br /&gt;&#10;其中，&lt;span class="math inline"&gt;\(x_t\)&lt;/span&gt;为&lt;span class="math inline"&gt;\(t\)&lt;/span&gt;时刻的状态向量，&lt;span class="math inline"&gt;\(F_t\)&lt;/span&gt;为状态转移矩阵，&lt;span class="math inline"&gt;\(u_t\)&lt;/span&gt;为控制输入向量（可选），&lt;span class="math inline"&gt;\(B_t\)&lt;/span&gt;为控制输入矩阵，&lt;span class="math inline"&gt;\(w_t \sim N(0, Q_t)\)&lt;/span&gt;为过程噪声。&lt;br /&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;观测方程（测量模型）：描述观测值与状态向量的关系&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[z_t = H_t x_t + v_t\]&lt;/span&gt;&lt;br /&gt;&#10;其中，&lt;span class="math inline"&gt;\(z_t\)&lt;/span&gt;为&lt;span class="math inline"&gt;\(t\)&lt;/span&gt;时刻的观测向量，&lt;span class="math inline"&gt;\(H_t\)&lt;/span&gt;为观测矩阵，&lt;span class="math inline"&gt;\(v_t \sim N(0, R_t)\)&lt;/span&gt;为观测噪声。&lt;/li&gt;&#10;&lt;/ul&gt;&lt;/li&gt;&#10;&lt;li&gt;&lt;strong&gt;算法步骤&lt;/strong&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;strong&gt;预测步骤&lt;/strong&gt;：&lt;br /&gt;&#10;先验状态估计：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[\hat{x}_t^{-} = F_t \hat{x}_{t-1} + B_t u_t\]&lt;/span&gt;&lt;br /&gt;&#10;先验误差协方差：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[P_t^{-} = F_t P_{t-1} F_t^T + Q_t\]&lt;/span&gt;&lt;br /&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&lt;strong&gt;更新步骤&lt;/strong&gt;：&lt;br /&gt;&#10;卡尔曼增益：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[K_t = P_t^{-} H_t^T (H_t P_t^{-} H_t^T + R_t)^{-1}\]&lt;/span&gt;&lt;br /&gt;&#10;后验状态估计：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[\hat{x}_t = \hat{x}_t^{-} + K_t (z_t - H_t \hat{x}_t^{-})\]&lt;/span&gt;&lt;br /&gt;&#10;后验误差协方差：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[P_t = (I - K_t H_t) P_t^{-}\]&lt;/span&gt;&lt;/li&gt;&#10;&lt;/ul&gt;&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;/div&gt;&#10;&lt;div id="在计算贝塔时的应用" class="section level2"&gt;&#10;&lt;h2&gt;在计算贝塔时的应用&lt;/h2&gt;&#10;&lt;p&gt;在时变贝塔估计中，我们将CAPM模型置于状态空间框架下。假设在时刻&lt;span class="math inline"&gt;\(t\)&lt;/span&gt;，资产超额收益&lt;span class="math inline"&gt;\(r_{a,t}\)&lt;/span&gt;与市场超额收益&lt;span class="math inline"&gt;\(r_{m,t}\)&lt;/span&gt;满足：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[r_{a,t} = \alpha_t + \beta_t r_{m,t} + \epsilon_t\]&lt;/span&gt;&lt;br /&gt;&#10;其中，&lt;span class="math inline"&gt;\(\alpha_t\)&lt;/span&gt;和&lt;span class="math inline"&gt;\(\beta_t\)&lt;/span&gt;为时变参数，&lt;span class="math inline"&gt;\(\epsilon_t\)&lt;/span&gt;为观测噪声。&lt;/p&gt;&#10;&lt;p&gt;定义状态向量为&lt;span class="math inline"&gt;\(x_t = [\alpha_t, \beta_t]^T\)&lt;/span&gt;，则状态空间模型可表示为：&lt;br /&gt;&#10;- 状态方程（假设参数遵循随机游走）：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[x_t = x_{t-1} + w_t\]&lt;/span&gt;&lt;br /&gt;&#10;其中，&lt;span class="math inline"&gt;\(w_t\)&lt;/span&gt;为过程噪声，协方差矩阵为&lt;span class="math inline"&gt;\(Q\)&lt;/span&gt;。&lt;br /&gt;&#10;- 观测方程：&lt;br /&gt;&#10;&lt;span class="math display"&gt;\[z_t = H_t x_t + v_t\]&lt;/span&gt;&lt;br /&gt;&#10;其中，&lt;span class="math inline"&gt;\(z_t = r_{a,t}\)&lt;/span&gt;，&lt;span class="math inline"&gt;\(H_t = [1, r_{m,t}]\)&lt;/span&gt;，&lt;span class="math inline"&gt;\(v_t = \epsilon_t\)&lt;/span&gt;为观测噪声，方差为&lt;span class="math inline"&gt;\(R\)&lt;/span&gt;。&lt;/p&gt;&#10;&lt;p&gt;通过卡尔曼滤波递归处理数据，可得到状态向量（即&lt;span class="math inline"&gt;\(\alpha_t\)&lt;/span&gt;和&lt;span class="math inline"&gt;\(\beta_t\)&lt;/span&gt;）的最优估计。滤波结果（Filtered）基于当前及过去信息，适用于实时估计；平滑结果（Smoothed）利用全部样本信息，适用于事后分析。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="r代码实例" class="section level1"&gt;&#10;&lt;h1&gt;R代码实例&lt;/h1&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 安装必要的包（如果尚未安装）&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;) # 用于获取数据&#10;if (!require(&amp;quot;dlm&amp;quot;)) install.packages(&amp;quot;dlm&amp;quot;) # 用于卡尔曼滤波&#10;if (!require(&amp;quot;ggplot2&amp;quot;)) install.packages(&amp;quot;ggplot2&amp;quot;) # 用于绘图&#10;if (!require(&amp;quot;reshape2&amp;quot;)) install.packages(&amp;quot;reshape2&amp;quot;) # 用于数据重塑&#10;&#10;# 加载包&#10;library(quantmod)&#10;library(dlm)&#10;library(ggplot2)&#10;library(reshape2)&#10;&#10;# 设置时间范围&#10;start_date &amp;lt;- as.Date(&amp;quot;2020-01-01&amp;quot;)&#10;end_date &amp;lt;- Sys.Date() # 使用当前日期&#10;&#10;# 下载AAPL和SPY的日收盘价数据&#10;getSymbols(&amp;quot;AAPL&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = start_date, to = end_date)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;getSymbols(&amp;quot;SPY&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = start_date, to = end_date)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;SPY&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取收盘价并合并数据&#10;aapl_close &amp;lt;- Cl(AAPL)&#10;spy_close &amp;lt;- Cl(SPY)&#10;merged_data &amp;lt;- merge(aapl_close, spy_close)&#10;colnames(merged_data) &amp;lt;- c(&amp;quot;AAPL&amp;quot;, &amp;quot;SPY&amp;quot;)&#10;&#10;# 计算日对数收益率&#10;returns &amp;lt;- na.omit(data.frame(&#10; Date = index(merged_data),&#10; AAPL_Return = as.numeric(ROC(merged_data$AAPL)),&#10; SPY_Return = as.numeric(ROC(merged_data$SPY))&#10;))&#10;&#10;# 使用dlm构建卡尔曼滤波模型&#10;buildCapm &amp;lt;- function(parm) {&#10; dlmMod &amp;lt;- dlm(&#10; FF = matrix(c(1, 0), nrow=1),&#10; V = exp(parm[1]),&#10; GG = diag(2),&#10; W = diag(exp(parm[2:3])),&#10; m0 = c(0, 1),&#10; C0 = diag(2)&#10; )&#10; dlmMod$JFF &amp;lt;- matrix(c(0, 1), nrow=1)&#10; dlmMod$X &amp;lt;- returns$SPY_Return&#10; return(dlmMod)&#10;}&#10;&#10;# 初始参数猜测（取对数后的方差）&#10;init_parm &amp;lt;- c(log(0.01), log(0.0001), log(0.0001))&#10;&#10;# 使用dlmMLE优化参数&#10;mle_result &amp;lt;- dlmMLE(&#10; y = returns$AAPL_Return,&#10; parm = init_parm,&#10; build = buildCapm&#10;)&#10;&#10;# 检查优化是否成功&#10;if (mle_result$convergence != 0) {&#10; warning(&amp;quot;参数优化可能未完全收敛。&amp;quot;)&#10;}&#10;&#10;# 用优化后的参数构建最终的dlm模型&#10;final_model &amp;lt;- buildCapm(mle_result$par)&#10;&#10;# 运行卡尔曼滤波和平滑&#10;filtered_result &amp;lt;- dlmFilter(returns$AAPL_Return, final_model)&#10;smoothed_result &amp;lt;- dlmSmooth(filtered_result)&#10;&#10;# 提取平滑后的状态估计&#10;alpha_smoothed &amp;lt;- smoothed_result$s[-1, 1]&#10;beta_smoothed &amp;lt;- smoothed_result$s[-1, 2]&#10;&#10;# 提取滤波后的状态估计&#10;alpha_filtered &amp;lt;- filtered_result$m[-1, 1]&#10;beta_filtered &amp;lt;- filtered_result$m[-1, 2]&#10;&#10;# 将结果添加到数据框中&#10;returns$Alpha_Smoothed &amp;lt;- alpha_smoothed&#10;returns$Beta_Smoothed &amp;lt;- beta_smoothed&#10;returns$Alpha_Filtered &amp;lt;- alpha_filtered&#10;returns$Beta_Filtered &amp;lt;- beta_filtered&#10;&#10;# 绘制时变贝塔系数&#10;ggplot(returns, aes(x = Date)) +&#10; geom_line(aes(y = Beta_Smoothed, color = &amp;quot;Smoothed β&amp;quot;), linewidth = 0.8) +&#10; geom_line(aes(y = Beta_Filtered, color = &amp;quot;Filtered β&amp;quot;), linewidth = 0.5, linetype = &amp;quot;dashed&amp;quot;, alpha = 0.7) +&#10; geom_hline(yintercept = 1, linetype = &amp;quot;dotted&amp;quot;, color = &amp;quot;black&amp;quot;) +&#10; labs(title = &amp;quot;AAPL vs SPY: Dynamic Beta Coefficient (Kalman Filter)&amp;quot;,&#10; x = &amp;quot;Date&amp;quot;,&#10; y = &amp;quot;Beta Value&amp;quot;,&#10; color = &amp;quot;Estimation Type&amp;quot;) +&#10; theme_bw() +&#10; scale_color_manual(values = c(&amp;quot;Smoothed β&amp;quot; = &amp;quot;darkgreen&amp;quot;, &amp;quot;Filtered β&amp;quot; = &amp;quot;darkred&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/08/23/kalman-beta/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制时变阿尔法系数&#10;ggplot(returns, aes(x = Date)) +&#10; geom_line(aes(y = Alpha_Smoothed, color = &amp;quot;Smoothed α&amp;quot;), linewidth = 0.8) +&#10; geom_hline(yintercept = 0, linetype = &amp;quot;dotted&amp;quot;, color = &amp;quot;black&amp;quot;) +&#10; labs(title = &amp;quot;AAPL vs SPY: Dynamic Alpha Coefficient (Kalman Filter)&amp;quot;,&#10; x = &amp;quot;Date&amp;quot;,&#10; y = &amp;quot;Alpha Value&amp;quot;,&#10; color = &amp;quot;Estimation Type&amp;quot;) +&#10; theme_bw() +&#10; scale_color_manual(values = c(&amp;quot;Smoothed α&amp;quot; = &amp;quot;darkgreen&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/08/23/kalman-beta/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>使用机器学习模型(xgboost）来预测纳斯达克 100 指数</title><link>https://gewutang.cn/2025/07/14/xboost/</link><pubDate>Mon, 14 Jul 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/07/14/xboost/</guid><description>&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/core-js/shim.min.js"&gt;&lt;/script&gt;&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/react/react.min.js"&gt;&lt;/script&gt;&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/react/react-dom.min.js"&gt;&lt;/script&gt;&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/reactwidget/react-tools.js"&gt;&lt;/script&gt;&#10;&lt;link href="https://gewutang.cn/2025/07/14/xboost/index_files/htmltools-fill/fill.css" rel="stylesheet" /&gt;&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/htmlwidgets/htmlwidgets.js"&gt;&lt;/script&gt;&#10;&lt;link href="https://gewutang.cn/2025/07/14/xboost/index_files/reactable/reactable.css" rel="stylesheet" /&gt;&#10;&lt;script src="https://gewutang.cn/2025/07/14/xboost/index_files/reactable-binding/reactable.js"&gt;&lt;/script&gt;&#10;&#10;&#10;&lt;div id="引言" class="section level1"&gt;&#10;&lt;h1&gt;引言&lt;/h1&gt;&#10;&lt;p&gt;XGBoost（eXtreme Gradient Boosting）是一种高效的梯度提升算法，在数据科学和机器学习领域广泛应用，尤其擅长处理结构化数据的回归和分类问题。以下从数学原理、发展历程、使用方法和竞争算法四个方面进行详细介绍：&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="一数学原理" class="section level1"&gt;&#10;&lt;h1&gt;一、数学原理&lt;/h1&gt;&#10;&lt;p&gt;XGBoost 是梯度提升框架（Gradient Boosting）的优化实现，其核心思想是迭代地训练多个弱学习器（通常是决策树），并将它们组合成一个强学习器。&lt;/p&gt;&#10;&lt;p&gt;具体数学原理如下：&lt;/p&gt;&#10;&lt;p&gt;1.目标函数&lt;/p&gt;&#10;&lt;p&gt;XGBoost 的目标函数由两部分组成：&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;损失函数&lt;/strong&gt;：衡量模型预测值与真实值之间的误差（如均方误差 MSE、对数损失 log loss 等）。&#10;&lt;strong&gt;正则化项&lt;/strong&gt;：控制模型复杂度，防止过拟合，包括树的数量、深度、叶子节点数等。&lt;/p&gt;&#10;&lt;p&gt;目标函数表达式：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;\text{Obj}(\theta) = \sum_{i=1}^n L(y_i, \hat{y}_i) + \sum_{k=1}^K \Omega(f_k)&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;其中：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;span class="math inline"&gt;\(L(y_i, \hat{y}_i)\)&lt;/span&gt; 是样本 &lt;span class="math inline"&gt;\(i\)&lt;/span&gt; 的损失函数，&lt;span class="math inline"&gt;\(\hat{y}_i\)&lt;/span&gt; 是预测值，&lt;span class="math inline"&gt;\(y_i\)&lt;/span&gt; 是真实值。&lt;/li&gt;&#10;&lt;li&gt;&lt;span class="math inline"&gt;\(\Omega(f_k)\)&lt;/span&gt; 是第 &lt;span class="math inline"&gt;\(k\)&lt;/span&gt; 棵树的正则化项，通常包括树的复杂度（如叶子节点数、叶子节点权重的 L2 正则化）。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;2.梯度提升迭代&lt;/p&gt;&#10;&lt;p&gt;XGBoost 通过迭代方式逐步优化目标函数：&lt;/p&gt;&#10;&lt;p&gt;初始化模型为常数预测： &lt;span class="math inline"&gt;\(\hat{y}_i^{(0)} = \text{argmin}_c \sum_{i=1}^n L(y_i, c)\)&lt;/span&gt; 。&lt;/p&gt;&#10;&lt;p&gt;对于每一轮迭代 &lt;span class="math inline"&gt;\(t\)&lt;/span&gt; ：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;计算损失函数关于当前预测值的梯度（一阶导数）和海森矩阵（二阶导数）。&lt;/li&gt;&#10;&lt;li&gt;训练一棵新的决策树 &lt;span class="math inline"&gt;\(f_t\)&lt;/span&gt; ，拟合这些梯度（即预测梯度方向）。&lt;/li&gt;&#10;&lt;li&gt;更新预测值：&lt;span class="math inline"&gt;\(\hat{y}_i^{(t)} = \hat{y}_i^{(t-1)} + \eta f_t(x_i)\)&lt;/span&gt; ，其中 &lt;span class="math inline"&gt;\(\eta\)&lt;/span&gt; 是学习率（控制每次迭代的步长）。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;3.决策树优化&lt;/p&gt;&#10;&lt;p&gt;XGBoost 在构建决策树时采用了以下优化策略：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;strong&gt;精确贪心算法&lt;/strong&gt;：通过枚举所有特征的所有可能分割点，找到最优分割。&lt;/li&gt;&#10;&lt;li&gt;&lt;strong&gt;近似算法&lt;/strong&gt;：对于大规模数据，使用直方图近似快速找到分割点。&lt;/li&gt;&#10;&lt;li&gt;&lt;strong&gt;缺失值处理&lt;/strong&gt;：自动学习缺失值的最优分裂方向。&lt;/li&gt;&#10;&lt;li&gt;&lt;strong&gt;正则化剪枝&lt;/strong&gt;：通过正则化项控制树的复杂度，避免过拟合。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;&lt;div id="二发展历程" class="section level1"&gt;&#10;&lt;h1&gt;二、发展历程&lt;/h1&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;p&gt;2014 年：陈天奇（Tianqi Chen）在华盛顿大学读博期间开发了 XGBoost 的原型，最初作为研究项目用于解决大规模机器学习问题。&lt;/p&gt;&lt;/li&gt;&#10;&lt;li&gt;&lt;p&gt;2015 年：XGBoost 作为开源项目发布，因其在 Kaggle 竞赛中的优异表现迅速走红，成为数据科学领域的主流算法之一。&lt;/p&gt;&lt;/li&gt;&#10;&lt;li&gt;&lt;p&gt;2016 年：陈天奇加入微软，带领团队进一步优化 XGBoost，支持分布式计算和云计算平台。&lt;/p&gt;&lt;/li&gt;&#10;&lt;li&gt;&lt;p&gt;2017 年至今：XGBoost 持续更新，增加了更多功能（如 DART、GPU 加速、特征重要性分析等），并被集成到多种编程语言和工具中（如 Python、R、Scala 等）。&lt;/p&gt;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;&lt;div id="三如何使用" class="section level1"&gt;&#10;&lt;h1&gt;三、如何使用&lt;/h1&gt;&#10;&lt;p&gt;我们将用联邦基金有效利率和失业率为输入参数，按照 xgboost 模型对纳斯达克 100 指数月度数据进行建模。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要的R包&#10;library(tidyquant) # 获取数据&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ── Attaching core tidyquant packages ────────────────── tidyquant 1.0.11.9000 ──&#10;## ✔ PerformanceAnalytics 2.0.8 ✔ TTR 0.24.4&#10;## ✔ quantmod 0.4.28 ✔ xts 0.14.1&#10;## ── Conflicts ────────────────────────────────────────── tidyquant_conflicts() ──&#10;## ✖ zoo::as.Date() masks base::as.Date()&#10;## ✖ zoo::as.Date.numeric() masks base::as.Date.numeric()&#10;## ✖ PerformanceAnalytics::legend() masks graphics::legend()&#10;## ✖ quantmod::summary() masks base::summary()&#10;## ℹ Use the conflicted package (&amp;lt;http://conflicted.r-lib.org/&amp;gt;) to force all conflicts to become errors&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(tidyverse) # 数据处理与可视化的核心包集合&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ── Attaching core tidyverse packages ──────────────────────── tidyverse 2.0.0 ──&#10;## ✔ dplyr 1.1.4 ✔ readr 2.1.5&#10;## ✔ forcats 1.0.0 ✔ stringr 1.5.1&#10;## ✔ ggplot2 3.5.2 ✔ tibble 3.3.0&#10;## ✔ lubridate 1.9.4 ✔ tidyr 1.3.1&#10;## ✔ purrr 1.0.4 &#10;## ── Conflicts ────────────────────────────────────────── tidyverse_conflicts() ──&#10;## ✖ dplyr::filter() masks stats::filter()&#10;## ✖ dplyr::first() masks xts::first()&#10;## ✖ dplyr::lag() masks stats::lag()&#10;## ✖ dplyr::last() masks xts::last()&#10;## ℹ Use the conflicted package (&amp;lt;http://conflicted.r-lib.org/&amp;gt;) to force all conflicts to become errors&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(tidymodels) # 机器学习建模框架&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ── Attaching packages ────────────────────────────────────── tidymodels 1.3.0 ──&#10;## ✔ broom 1.0.8 ✔ rsample 1.3.0&#10;## ✔ dials 1.4.0 ✔ tune 1.3.0&#10;## ✔ infer 1.0.9 ✔ workflows 1.2.0&#10;## ✔ modeldata 1.4.0 ✔ workflowsets 1.1.1&#10;## ✔ parsnip 1.3.2 ✔ yardstick 1.3.2&#10;## ✔ recipes 1.3.1 &#10;## ── Conflicts ───────────────────────────────────────── tidymodels_conflicts() ──&#10;## ✖ scales::discard() masks purrr::discard()&#10;## ✖ dplyr::filter() masks stats::filter()&#10;## ✖ dplyr::first() masks xts::first()&#10;## ✖ recipes::fixed() masks stringr::fixed()&#10;## ✖ dplyr::lag() masks stats::lag()&#10;## ✖ dplyr::last() masks xts::last()&#10;## ✖ dials::momentum() masks TTR::momentum()&#10;## ✖ yardstick::spec() masks readr::spec()&#10;## ✖ recipes::step() masks stats::step()&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(modeltime) # 时间序列建模与预测&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;modeltime&amp;#39;&#10;## &#10;## The following object is masked from &amp;#39;package:TTR&amp;#39;:&#10;## &#10;## growth&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(timetk) # 时间序列数据处理工具&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;timetk&amp;#39;&#10;## &#10;## The following object is masked from &amp;#39;package:tidyquant&amp;#39;:&#10;## &#10;## FANG&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取失业率数据 (UNRATE)&#10;df_unrate &amp;lt;- &#10; tq_get(&amp;quot;UNRATE&amp;quot;, get = &amp;quot;economic.data&amp;quot;) %&amp;gt;% &#10; select(date, unrate = price) # 重命名价格列为unrate&#10;&#10;# 获取联邦基金有效利率数据 (FEDFUNDS)&#10;df_fedfunds &amp;lt;- &#10; tq_get(&amp;quot;FEDFUNDS&amp;quot;, get = &amp;quot;economic.data&amp;quot;) %&amp;gt;% &#10; select(date, fedfunds = price) # 重命名价格列为fedfunds&#10;&#10;# 获取纳斯达克100指数数据&#10;df_nasdaq &amp;lt;- &#10; tq_get(&amp;quot;^NDX&amp;quot;) %&amp;gt;% &#10; tq_transmute(select = close, # 选择收盘价&#10; mutate_fun = to.monthly, # 转换为月度数据&#10; col_rename = &amp;quot;nasdaq&amp;quot;) %&amp;gt;% # 重命名列&#10; mutate(date = as.Date(date)) # 确保日期格式正确&#10;&#10;# 合并三个数据集&#10;df_merged &amp;lt;- &#10; df_unrate %&amp;gt;% &#10; left_join(df_fedfunds) %&amp;gt;% &#10; left_join(df_nasdaq) %&amp;gt;% &#10; drop_na() # 删除包含缺失值的行&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Joining with `by = join_by(date)`&#10;## Joining with `by = join_by(date)`&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 时间序列数据分割&#10;splits &amp;lt;- &#10; time_series_split(&#10; df_merged,&#10; assess = &amp;quot;1 year&amp;quot;, # 测试集为1年数据&#10; cumulative = TRUE # 训练集包含所有历史数据&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Using date_var: date&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;df_train &amp;lt;- training(splits) # 提取训练集&#10;df_test &amp;lt;- testing(splits) # 提取测试集&#10;&#10;# 创建机器学习预处理配方&#10;recipe_ml &amp;lt;- &#10; recipe(nasdaq ~ ., df_train) %&amp;gt;% # 以nasdaq为目标变量&#10; step_date(date, features = &amp;quot;month&amp;quot;, ordinal = FALSE) %&amp;gt;% # 从日期提取月份特征&#10; step_dummy(all_nominal_predictors(), one_hot = TRUE) %&amp;gt;% # 将分类变量转为虚拟变量&#10; step_mutate(date_num = as.numeric(date)) %&amp;gt;% # 将日期转换为数值型&#10; step_normalize(all_numeric_predictors()) %&amp;gt;% # 标准化数值预测变量&#10; step_rm(date) # 移除原始日期列&#10;&#10;# 定义XGBoost提升树模型规格，设置超参数为待调优&#10;mod_spec &amp;lt;- &#10; boost_tree(trees = tune(), # 树的数量&#10; min_n = tune(), # 节点最小样本量&#10; tree_depth = tune(), # 树的最大深度&#10; learn_rate = tune()) %&amp;gt;% # 学习率&#10; set_engine(&amp;quot;xgboost&amp;quot;) %&amp;gt;% # 使用xgboost引擎&#10; set_mode(&amp;quot;regression&amp;quot;) # 设置为回归模式&#10;&#10;# 提取模型的超参数集&#10;mod_param &amp;lt;- extract_parameter_set_dials(mod_spec)&#10;&#10;# 设置随机种子确保结果可复现&#10;set.seed(1234)&#10;&#10;# 创建随机超参数网格（50种组合）&#10;model_tbl &amp;lt;- &#10; mod_param %&amp;gt;% &#10; grid_random(size = 50) %&amp;gt;%&#10; create_model_grid(&#10; f_model_spec = boost_tree,&#10; engine_name = &amp;quot;xgboost&amp;quot;,&#10; mode = &amp;quot;regression&amp;quot;&#10; )&#10;&#10;# 从网格中提取模型列表&#10;model_list &amp;lt;- model_tbl$.models&#10;&#10;# 创建工作流集，将预处理配方与不同模型规格组合&#10;model_wfset &amp;lt;- &#10; workflow_set(&#10; preproc = list(recipe_ml), # 使用之前定义的预处理配方&#10; models = model_list, # 使用超参数网格生成的模型列表&#10; cross = TRUE # 交叉组合配方和模型&#10; )&#10;&#10;# 使用并行计算加速模型训练&#10;model_parallel_tbl &amp;lt;- &#10; model_wfset %&amp;gt;%&#10; modeltime_fit_workflowset(&#10; data = df_train, # 使用训练集数据&#10; control = control_fit_workflowset(&#10; verbose = TRUE, # 显示训练进度&#10; allow_par = TRUE # 允许并行计算&#10; )&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ℹ Fitting Model: 1&#10;## ✔ Model Successfully Fitted: 1&#10;## ℹ Fitting Model: 2&#10;## ✔ Model Successfully Fitted: 2&#10;## ℹ Fitting Model: 3&#10;## ✔ Model Successfully Fitted: 3&#10;## ℹ Fitting Model: 4&#10;## ✔ Model Successfully Fitted: 4&#10;## ℹ Fitting Model: 5&#10;## ✔ Model Successfully Fitted: 5&#10;## ℹ Fitting Model: 6&#10;## ✔ Model Successfully Fitted: 6&#10;## ℹ Fitting Model: 7&#10;## ✔ Model Successfully Fitted: 7&#10;## ℹ Fitting Model: 8&#10;## ✔ Model Successfully Fitted: 8&#10;## ℹ Fitting Model: 9&#10;## ✔ Model Successfully Fitted: 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Model: 40&#10;## ✔ Model Successfully Fitted: 40&#10;## ℹ Fitting Model: 41&#10;## ✔ Model Successfully Fitted: 41&#10;## ℹ Fitting Model: 42&#10;## ✔ Model Successfully Fitted: 42&#10;## ℹ Fitting Model: 43&#10;## ✔ Model Successfully Fitted: 43&#10;## ℹ Fitting Model: 44&#10;## ✔ Model Successfully Fitted: 44&#10;## ℹ Fitting Model: 45&#10;## ✔ Model Successfully Fitted: 45&#10;## ℹ Fitting Model: 46&#10;## ✔ Model Successfully Fitted: 46&#10;## ℹ Fitting Model: 47&#10;## ✔ Model Successfully Fitted: 47&#10;## ℹ Fitting Model: 48&#10;## ✔ Model Successfully Fitted: 48&#10;## ℹ Fitting Model: 49&#10;## ✔ Model Successfully Fitted: 49&#10;## ℹ Fitting Model: 50&#10;## ✔ Model Successfully Fitted: 50&#10;## Total time | 22.065 seconds&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 评估模型在测试集上的准确性&#10;model_parallel_tbl %&amp;gt;% &#10; modeltime_calibrate(new_data = df_test) %&amp;gt;% # 校准模型&#10; modeltime_accuracy() %&amp;gt;% # 计算准确性指标&#10; table_modeltime_accuracy() # 以表格形式展示结果&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: There were 12 warnings in `dplyr::mutate()`.&#10;## The first warning was:&#10;## ℹ In argument: `.nested.col = purrr::map(...)`.&#10;## Caused by warning:&#10;## ! A correlation computation is required, but `estimate` is constant and has 0&#10;## standard deviation, resulting in a divide by 0 error. `NA` will be returned.&#10;## ℹ Run `dplyr::last_dplyr_warnings()` to see the 11 remaining warnings.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;div class="reactable html-widget html-fill-item" id="htmlwidget-1" style="width:auto;height:auto;"&gt;&lt;/div&gt;&#10;&lt;script type="application/json" data-for="htmlwidget-1"&gt;{"x":{"tag":{"name":"Reactable","attribs":{"data":{".model_id":[1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50],".model_desc":["RECIPE_BOOST_TREE_1","RECIPE_BOOST_TREE_2","RECIPE_BOOST_TREE_3","RECIPE_BOOST_TREE_4","RECIPE_BOOST_TREE_5","RECIPE_BOOST_TREE_6","RECIPE_BOOST_TREE_7","RECIPE_BOOST_TREE_8","RECIPE_BOOST_TREE_9","RECIPE_BOOST_TREE_10","RECIPE_BOOST_TREE_11","RECIPE_BOOST_TREE_12","RECIPE_BOOST_TREE_13","RECIPE_BOOST_TREE_14","RECIPE_BOOST_TREE_15","RECIPE_BOOST_TREE_16","RECIPE_BOOST_TREE_17","RECIPE_BOOST_TREE_18","RECIPE_BOOST_TREE_19","RECIPE_BOOST_TREE_20","RECIPE_BOOST_TREE_21","RECIPE_BOOST_TREE_22","RECIPE_BOOST_TREE_23","RECIPE_BOOST_TREE_24","RECIPE_BOOST_TREE_25","RECIPE_BOOST_TREE_26","RECIPE_BOOST_TREE_27","RECIPE_BOOST_TREE_28","RECIPE_BOOST_TREE_29","RECIPE_BOOST_TREE_30","RECIPE_BOOST_TREE_31","RECIPE_BOOST_TREE_32","RECIPE_BOOST_TREE_33","RECIPE_BOOST_TREE_34","RECIPE_BOOST_TREE_35","RECIPE_BOOST_TREE_36","RECIPE_BOOST_TREE_37","RECIPE_BOOST_TREE_38","RECIPE_BOOST_TREE_39","RECIPE_BOOST_TREE_40","RECIPE_BOOST_TREE_41","RECIPE_BOOST_TREE_42","RECIPE_BOOST_TREE_43","RECIPE_BOOST_TREE_44","RECIPE_BOOST_TREE_45","RECIPE_BOOST_TREE_46","RECIPE_BOOST_TREE_47","RECIPE_BOOST_TREE_48","RECIPE_BOOST_TREE_49","RECIPE_BOOST_TREE_50"],".type":["Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test","Test"],"mae":[3427.41,3693.7,4332.08,5324.17,3338.1,3204.96,3078.92,3418.09,3493.16,1435.28,2400.65,3591.03,7976.25,4047.48,3561.98,2942.64,2727.6,4147.96,4218.05,6301.8,1883.95,2620.27,11907.92,9158.61,16641.88,2622.77,1123.06,3291.36,3731.53,3267.55,3298.09,3999.73,7986.47,7091.48,2850.35,9948.4,3882.81,1403.43,4618.44,3618.64,1903.92,3483.62,1946.15,6692.92,3249.41,2129.04,6187.97,3329.09,3447.82,3949.36],"mape":[16.38,17.81,20.81,25.67,16.07,15.32,14.81,16.46,16.7,6.75,11.5,17.16,38.76,19.55,17.16,14.04,13.1,20.04,20.22,30.57,8.94,12.58,57.97,44.54,81.12,12.51,5.26,15.77,18,15.67,15.88,19.32,38.74,34.37,13.63,48.4,18.75,6.61,22.21,17.45,9.06,16.78,9.27,32.43,15.65,10.16,30.01,15.87,16.62,18.92],"mase":[4.68,5.04,5.91,7.27,4.56,4.38,4.2,4.67,4.77,1.96,3.28,4.9,10.89,5.53,4.86,4.02,3.72,5.66,5.76,8.6,2.57,3.58,16.26,12.51,22.72,3.58,1.53,4.49,5.09,4.46,4.5,5.46,10.9,9.68,3.89,13.58,5.3,1.92,6.31,4.94,2.6,4.76,2.66,9.14,4.44,2.91,8.45,4.55,4.71,5.39],"smape":[18.33,19.67,23.89,29.94,17.6,17.01,16.11,18.06,18.7,7.15,12.31,19.3,48.15,21.77,18.9,15.55,14.17,22.38,23.06,36.18,9.53,13.57,81.7,57.37,136.48,13.62,5.52,17.42,19.89,17.26,17.37,21.48,48.27,41.72,14.88,63.92,20.79,6.97,25.45,19.23,9.61,18.44,9.84,38.89,17.08,10.83,35.41,17.82,18.23,21.48],"rmse":[3924.06,3839.53,4835.9,5645.15,3501.61,3680.14,3244.57,3580.67,3989.87,1859.11,2604.44,4107.19,8039.09,4169.95,3720.66,3484.57,2954.76,4267.55,4687.98,6381.15,2236.95,2843.35,11950.1,9213.39,16672.09,3017.81,1530.27,3645.34,3875.05,3574.1,3467.13,4123.62,8099.8,7216.69,3197.56,9998.86,4010.32,1782.33,4981.11,3757.13,2169.9,3640.02,2221.36,6810.63,3402.37,2380.42,6268.77,3943.18,3590.8,4460.67],"rsq":[0.22,0.09,0.11,0.21,0.06,0.19,0.01,0.09,0.25,0.09,0.09,0.27,"NA","NA",0.09,0.15,0,"NA",0.28,"NA",0.09,0.01,"NA","NA","NA",0.14,0.08,0.19,0.09,0.14,0.06,"NA",0.24,0.23,0.18,"NA","NA",0.09,0.25,0.09,0.09,0.09,0.09,0.23,0.09,0.09,"NA",0.28,"NA",0.21]},"columns":[{"id":".model_id","name":".model_id","type":"numeric"},{"id":".model_desc","name":".model_desc","type":"character"},{"id":".type","name":".type","type":"character"},{"id":"mae","name":"mae","type":"numeric"},{"id":"mape","name":"mape","type":"numeric"},{"id":"mase","name":"mase","type":"numeric"},{"id":"smape","name":"smape","type":"numeric"},{"id":"rmse","name":"rmse","type":"numeric"},{"id":"rsq","name":"rsq","type":"numeric"}],"searchable":true,"defaultExpanded":true,"showSortable":true,"dataKey":"719a9363636e9045a4bf916efdc2e3a3"},"children":[]},"class":"reactR_markup"},"evals":[],"jsHooks":[]}&lt;/script&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 选择表现最好的模型（这里假设是RECIPE_BOOST_TREE_27）&#10;# 并在测试集上进行校准&#10;calibration_tbl &amp;lt;- &#10; model_parallel_tbl %&amp;gt;%&#10; filter(.model_desc == &amp;quot;RECIPE_BOOST_TREE_27&amp;quot;) %&amp;gt;% &#10; modeltime_calibrate(df_test)&#10;&#10;# 生成预测并绘制预测区间&#10;calibration_tbl %&amp;gt;% &#10; modeltime_forecast(&#10; new_data = df_test, # 在测试集上进行预测&#10; actual_data = df_merged %&amp;gt;%&#10; filter(date &amp;gt;= as.Date(&amp;quot;2024-07-01&amp;quot;)) # 实际数据从2024-07-01开始&#10; ) %&amp;gt;%&#10; plot_modeltime_forecast(&#10; .interactive = FALSE, # 生成静态图表&#10; .legend_show = FALSE, # 不显示图例&#10; .line_size = 1.5, # 设置线条粗细&#10; .color_lab = &amp;quot;&amp;quot;, # 设置颜色标签&#10; .title = &amp;quot;NASDAQ 100&amp;quot; # 设置图表标题&#10; ) +&#10; # 添加副标题（使用markdown格式）&#10; labs(subtitle = &amp;quot;&amp;lt;span style = &amp;#39;color:dimgrey;&amp;#39;&amp;gt;预测区间&amp;lt;/span&amp;gt;&amp;lt;br&amp;gt;&amp;lt;span style = &amp;#39;color:red;&amp;#39;&amp;gt;机器学习模型&amp;lt;/span&amp;gt;&amp;quot;) + &#10; # 设置x轴（日期）格式&#10; scale_x_date(&#10; expand = expansion(mult = c(.1, .15)), # 设置x轴扩展&#10; labels = scales::label_date(format = &amp;quot;%b&amp;#39;%y&amp;quot;) # 设置日期标签格式&#10; ) +&#10; # 设置y轴（纳斯达克指数）格式为货币格式&#10; scale_y_continuous(labels = scales::label_currency()) +&#10; # 设置图表主题&#10; theme_minimal(base_family = &amp;quot;Roboto Slab&amp;quot;, base_size = 20) +&#10; theme(&#10; legend.position = &amp;quot;none&amp;quot;, # 不显示图例&#10; plot.background = element_rect(fill = &amp;quot;azure&amp;quot;, color = &amp;quot;azure&amp;quot;), # 设置背景颜色&#10; plot.title = element_text(face = &amp;quot;bold&amp;quot;), # 设置标题字体为粗体&#10; axis.text = element_text(face = &amp;quot;bold&amp;quot;), # 设置坐标轴标签字体为粗体&#10; plot.subtitle = ggtext::element_markdown(face = &amp;quot;bold&amp;quot;) # 设置副标题为markdown格式并加粗&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in max(ids, na.rm = TRUE): no non-missing arguments to max; returning&#10;## -Inf&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/07/14/xboost/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="四竞争算法" class="section level1"&gt;&#10;&lt;h1&gt;四、竞争算法&lt;/h1&gt;&#10;&lt;p&gt;XGBoost 的主要竞争对手包括：&lt;/p&gt;&#10;&lt;div id="lightgbm" class="section level2"&gt;&#10;&lt;h2&gt;1. LightGBM&lt;/h2&gt;&#10;&lt;p&gt;开发者：微软（2017 年发布）。&lt;/p&gt;&#10;&lt;p&gt;特点：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;基于直方图的决策树构建，速度比 XGBoost 更快。&lt;/li&gt;&#10;&lt;li&gt;支持 Leaf-wise（按叶子生长）的树生长策略，而不是 XGBoost 的 Level-wise（按层生长）。&lt;/li&gt;&#10;&lt;li&gt;内存占用更小，适合大规模数据集。&lt;/li&gt;&#10;&lt;li&gt;适用场景：超大规模数据集、需要快速迭代的场景。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;&lt;div id="catboost" class="section level2"&gt;&#10;&lt;h2&gt;2. CatBoost&lt;/h2&gt;&#10;&lt;p&gt;开发者：Yandex（2017 年发布）。&lt;/p&gt;&#10;&lt;p&gt;特点：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;自动处理类别特征（无需手动编码）。&lt;/li&gt;&#10;&lt;li&gt;采用对称树结构，减少过拟合风险。&lt;/li&gt;&#10;&lt;li&gt;支持 GPU 加速和分布式训练。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;适用场景：包含大量类别特征的数据集（如推荐系统、广告点击预测）。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="random-forest" class="section level2"&gt;&#10;&lt;h2&gt;3. Random Forest&lt;/h2&gt;&#10;&lt;p&gt;特点：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;基于 Bagging 思想的集成学习算法，并行训练多棵决策树。&lt;/li&gt;&#10;&lt;li&gt;对异常值和过拟合更鲁棒。&lt;/li&gt;&#10;&lt;li&gt;计算复杂度较低，但预测精度可能低于 Boosting 算法。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;适用场景：快速 baseline 模型、对解释性要求较高的场景。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="neural-networks神经网络" class="section level2"&gt;&#10;&lt;h2&gt;4. Neural Networks（神经网络）&lt;/h2&gt;&#10;&lt;p&gt;特点：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;适用于非结构化数据（如图像、文本、语音）。&lt;/li&gt;&#10;&lt;li&gt;需要大量数据才能表现良好。&lt;/li&gt;&#10;&lt;li&gt;计算资源消耗大，训练时间长。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;适用场景：深度学习擅长的领域（如计算机视觉、自然语言处理）。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="五算法选择建议" class="section level1"&gt;&#10;&lt;h1&gt;五、算法选择建议&lt;/h1&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;数据规模较小：可尝试 Random Forest 或 CatBoost（处理类别特征更方便）。&lt;/li&gt;&#10;&lt;li&gt;数据规模中等：XGBoost 和 LightGBM 均可，XGBoost 更成熟，LightGBM 速度更快。&lt;/li&gt;&#10;&lt;li&gt;包含大量类别特征：优先使用 CatBoost。&lt;/li&gt;&#10;&lt;li&gt;追求极致速度：选择 LightGBM。&lt;/li&gt;&#10;&lt;li&gt;非结构化数据：考虑神经网络（如 CNN、Transformer）。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;XGBoost 的优势在于其高效性、灵活性和广泛的应用场景，尤其在 Kaggle 竞赛和工业界的结构化数据分析中表现突出。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>五分钟搞定 SMA 指标的量化策略开发和回测</title><link>https://gewutang.cn/2025/05/25/sma/</link><pubDate>Sun, 25 May 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/05/25/sma/</guid><description>&#10;&#10;&#10;&lt;p&gt;常有人问我能用几分钟时间写一段代码进行一个简易的量化投资策略的开发和回测吗，答案是当然可以。对于量化投资而言，门槛永远不是编程和代码，而是投资思路和模型解读。下面我们用五分钟左右的时间来开发一个基于 SMA 指标的量化投资策略并进行回测。&lt;/p&gt;&#10;&lt;div id="引言" class="section level1"&gt;&#10;&lt;h1&gt;引言&lt;/h1&gt;&#10;&lt;p&gt;本文的代码基于&lt;a href="https://r-project.org"&gt;R&lt;/a&gt;软件和 &lt;a href="https://posit.co"&gt;Rstuido&lt;/a&gt; 软件运行，如果未安装上述软件，请自行安装。&lt;/p&gt;&#10;&lt;p&gt;策略开发还需要基于以下 R 包来实现，可以运行如下代码安装并加载相关 R 包。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 安装依赖包，如果未安装&#10;install.packages(c(&amp;quot;quantstrat&amp;quot;, &amp;quot;Tushare&amp;quot;, &amp;quot;xts&amp;quot;, &amp;quot;dplyr&amp;quot;, &amp;quot;showtext&amp;quot;, &amp;quot;zoo&amp;quot;,&amp;quot;PerformanceAnalytics&amp;quot;,&amp;quot;tidyverse&amp;quot;))&#10;# 加载软件包&#10;suppressMessages({&#10; library(quantmod)&#10; library(quantstrat)&#10; library(PerformanceAnalytics)&#10; library(Tushare)&#10; library(xts)&#10; library(dplyr)&#10; library(zoo)&#10; library(tidyverse)&#10;})&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="清理环境" class="section level1"&gt;&#10;&lt;h1&gt;清理环境&lt;/h1&gt;&#10;&lt;p&gt;第一步，先清理历史环境，避免历史环境的干扰。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 清理历史环境&#10;rm(list=ls(.blotter), envir=.blotter)&#10;rm(list=ls(.strategy), envir=.strategy)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略开发" class="section level1"&gt;&#10;&lt;h1&gt;策略开发&lt;/h1&gt;&#10;&lt;p&gt;下面进入正式开发流程。&lt;/p&gt;&#10;&lt;div id="初始化设置" class="section level2"&gt;&#10;&lt;h2&gt;初始化设置&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 参数设置&#10;initDate &amp;lt;- &amp;quot;2009-12-31&amp;quot;&#10;fromDate &amp;lt;- &amp;quot;2010-01-01&amp;quot;&#10;endDate &amp;lt;- Sys.Date()&#10;symbol &amp;lt;- &amp;quot;600519.SS&amp;quot;&#10;initEq &amp;lt;- 100000&#10;fastMA &amp;lt;- 5&#10;slowMA &amp;lt;- 20&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="获取数据" class="section level2"&gt;&#10;&lt;h2&gt;获取数据&lt;/h2&gt;&#10;&lt;p&gt;使用quantmod获取贵州茅台数据&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取数据&#10;getSymbols(symbol, from=fromDate, to=endDate, src=&amp;quot;yahoo&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;600519.SS&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;maotai &amp;lt;- `600519.SS`&#10;colnames(maotai) &amp;lt;- c(&amp;quot;Open&amp;quot;,&amp;quot;High&amp;quot;,&amp;quot;Low&amp;quot;,&amp;quot;Close&amp;quot;,&amp;quot;Volume&amp;quot;,&amp;quot;Adjusted&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="初始化策略" class="section level2"&gt;&#10;&lt;h2&gt;初始化策略&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;currency(&amp;quot;RMB&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RMB&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(symbol, currency=&amp;quot;RMB&amp;quot;, multiplier=1)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;X600519.SS&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;strategy.st &amp;lt;- &amp;quot;maotai_sma&amp;quot;&#10;portfolio.st &amp;lt;- &amp;quot;maotai_portfolio&amp;quot;&#10;account.st &amp;lt;- &amp;quot;maotai_account&amp;quot;&#10;&#10;# 清除旧策略(如果存在)&#10;if(exists(&amp;quot;strategy.st&amp;quot;, where=.strategy)) {&#10; rm.strat(strategy.st)&#10;}&#10;&#10;# 创建组合/账户/策略&#10;initPortf(portfolio.st, symbols=symbol, initDate=initDate)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_portfolio&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(account.st, portfolios=portfolio.st, initDate=initDate, initEq=initEq)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_account&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio.st, initDate=initDate)&#10;strategy(strategy.st, store=TRUE)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="添加指标" class="section level2"&gt;&#10;&lt;h2&gt;添加指标&lt;/h2&gt;&#10;&lt;p&gt;这里添加的简单移动平均线(SMA)：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 添加指标&#10;add.indicator(&#10; strategy.st,&#10; name=&amp;quot;SMA&amp;quot;,&#10; arguments=list(x=quote(Cl(mktdata)), n=fastMA),&#10; label=&amp;quot;fastMA&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add.indicator(&#10; strategy.st,&#10; name=&amp;quot;SMA&amp;quot;,&#10; arguments=list(x=quote(Cl(mktdata)), n=slowMA),&#10; label=&amp;quot;slowMA&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="添加信号---金叉死叉" class="section level2"&gt;&#10;&lt;h2&gt;添加信号 - 金叉死叉&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 添加信号&#10;add.signal(&#10; strategy.st,&#10; name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments=list(columns=c(&amp;quot;fastMA&amp;quot;,&amp;quot;slowMA&amp;quot;), relationship=&amp;quot;gt&amp;quot;),&#10; label=&amp;quot;fast.gt.slow&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add.signal(&#10; strategy.st,&#10; name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments=list(columns=c(&amp;quot;fastMA&amp;quot;,&amp;quot;slowMA&amp;quot;), relationship=&amp;quot;lt&amp;quot;),&#10; label=&amp;quot;fast.lt.slow&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="添加交易规则" class="section level2"&gt;&#10;&lt;h2&gt;添加交易规则&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add.rule(&#10; strategy.st,&#10; name=&amp;quot;ruleSignal&amp;quot;,&#10; arguments=list(&#10; sigcol=&amp;quot;fast.gt.slow&amp;quot;,&#10; sigval=TRUE,&#10; orderqty=100,&#10; ordertype=&amp;quot;market&amp;quot;,&#10; orderside=&amp;quot;long&amp;quot;,&#10; replace=FALSE&#10; ),&#10; type=&amp;quot;enter&amp;quot;,&#10; label=&amp;quot;EnterLONG&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add.rule(&#10; strategy.st,&#10; name=&amp;quot;ruleSignal&amp;quot;,&#10; arguments=list(&#10; sigcol=&amp;quot;fast.lt.slow&amp;quot;,&#10; sigval=TRUE,&#10; orderqty=&amp;quot;all&amp;quot;,&#10; ordertype=&amp;quot;market&amp;quot;,&#10; orderside=&amp;quot;long&amp;quot;,&#10; replace=FALSE&#10; ),&#10; type=&amp;quot;exit&amp;quot;,&#10; label=&amp;quot;ExitLONG&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_sma&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略回测" class="section level1"&gt;&#10;&lt;h1&gt;策略回测&lt;/h1&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;applyStrategy(strategy.st, &#10; portfolios=portfolio.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-05-25 00:00:00 600519.SS 100 @ 98.6100692749023&amp;quot;&#10;## [1] &amp;quot;2010-06-01 00:00:00 600519.SS -100 @ 99.6468811035156&amp;quot;&#10;## [1] &amp;quot;2010-06-03 00:00:00 600519.SS 100 @ 101.450035095215&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 600519.SS -100 @ 98.9481582641602&amp;quot;&#10;## [1] &amp;quot;2010-07-15 00:00:00 600519.SS 100 @ 99.0458297729492&amp;quot;&#10;## [1] &amp;quot;2010-10-15 00:00:00 600519.SS -100 @ 120.195343017578&amp;quot;&#10;## [1] &amp;quot;2010-10-25 00:00:00 600519.SS 100 @ 129.977462768555&amp;quot;&#10;## [1] &amp;quot;2010-11-02 00:00:00 600519.SS -100 @ 122.216377258301&amp;quot;&#10;## [1] &amp;quot;2010-11-11 00:00:00 600519.SS 100 @ 132.171295166016&amp;quot;&#10;## [1] &amp;quot;2010-12-23 00:00:00 600519.SS -100 @ 143.283248901367&amp;quot;&#10;## [1] &amp;quot;2011-02-11 00:00:00 600519.SS 100 @ 138.940643310547&amp;quot;&#10;## [1] &amp;quot;2011-03-02 00:00:00 600519.SS -100 @ 133.140487670898&amp;quot;&#10;## [1] &amp;quot;2011-03-16 00:00:00 600519.SS 100 @ 136.619079589844&amp;quot;&#10;## [1] &amp;quot;2011-03-31 00:00:00 600519.SS -100 @ 135.123962402344&amp;quot;&#10;## [1] &amp;quot;2011-04-27 00:00:00 600519.SS 100 @ 136.100677490234&amp;quot;&#10;## [1] &amp;quot;2011-08-25 00:00:00 600519.SS -100 @ 171.421493530273&amp;quot;&#10;## [1] &amp;quot;2011-08-29 00:00:00 600519.SS 100 @ 177.909088134766&amp;quot;&#10;## [1] &amp;quot;2011-09-07 00:00:00 600519.SS -100 @ 171.561981201172&amp;quot;&#10;## [1] &amp;quot;2011-10-20 00:00:00 600519.SS 100 @ 157.933883666992&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 600519.SS -100 @ 165.760330200195&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 600519.SS 100 @ 176.752059936523&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 600519.SS -100 @ 165.140487670898&amp;quot;&#10;## [1] &amp;quot;2012-02-07 00:00:00 600519.SS 100 @ 153.603302001953&amp;quot;&#10;## [1] &amp;quot;2012-04-06 00:00:00 600519.SS -100 @ 171.876037597656&amp;quot;&#10;## [1] &amp;quot;2012-04-10 00:00:00 600519.SS 100 @ 171.991729736328&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 600519.SS -100 @ 184.454544067383&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 600519.SS 100 @ 198.652893066406&amp;quot;&#10;## [1] &amp;quot;2012-06-29 00:00:00 600519.SS -100 @ 197.644622802734&amp;quot;&#10;## [1] &amp;quot;2012-07-04 00:00:00 600519.SS 100 @ 213.768600463867&amp;quot;&#10;## [1] &amp;quot;2012-07-24 00:00:00 600519.SS -100 @ 206.099166870117&amp;quot;&#10;## [1] &amp;quot;2012-08-10 00:00:00 600519.SS 100 @ 205.132232666016&amp;quot;&#10;## [1] &amp;quot;2012-08-17 00:00:00 600519.SS -100 @ 189.768600463867&amp;quot;&#10;## [1] &amp;quot;2012-09-10 00:00:00 600519.SS 100 @ 199.735534667969&amp;quot;&#10;## [1] &amp;quot;2012-09-26 00:00:00 600519.SS -100 @ 194.933883666992&amp;quot;&#10;## [1] &amp;quot;2012-09-28 00:00:00 600519.SS 100 @ 203.140487670898&amp;quot;&#10;## [1] &amp;quot;2012-10-30 00:00:00 600519.SS -100 @ 202.132232666016&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 600519.SS 100 @ 200.760330200195&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 600519.SS -100 @ 196.256195068359&amp;quot;&#10;## [1] &amp;quot;2012-12-19 00:00:00 600519.SS 100 @ 181.363632202148&amp;quot;&#10;## [1] &amp;quot;2013-01-17 00:00:00 600519.SS -100 @ 169.528930664062&amp;quot;&#10;## [1] &amp;quot;2013-03-12 00:00:00 600519.SS 100 @ 150.561981201172&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 600519.SS -100 @ 136.512390136719&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 600519.SS 100 @ 143.107437133789&amp;quot;&#10;## [1] &amp;quot;2013-06-17 00:00:00 600519.SS -100 @ 156.59504699707&amp;quot;&#10;## [1] &amp;quot;2013-07-04 00:00:00 600519.SS 100 @ 162.495864868164&amp;quot;&#10;## [1] &amp;quot;2013-07-16 00:00:00 600519.SS -100 @ 157.809921264648&amp;quot;&#10;## [1] &amp;quot;2013-08-14 00:00:00 600519.SS 100 @ 147.677688598633&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 600519.SS -100 @ 142.966949462891&amp;quot;&#10;## [1] &amp;quot;2013-10-18 00:00:00 600519.SS 100 @ 118.16529083252&amp;quot;&#10;## [1] &amp;quot;2013-10-30 00:00:00 600519.SS -100 @ 109.578514099121&amp;quot;&#10;## [1] &amp;quot;2013-11-13 00:00:00 600519.SS 100 @ 119.603302001953&amp;quot;&#10;## [1] &amp;quot;2013-11-28 00:00:00 600519.SS -100 @ 117.214874267578&amp;quot;&#10;## [1] &amp;quot;2013-12-02 00:00:00 600519.SS 100 @ 113.041320800781&amp;quot;&#10;## [1] &amp;quot;2013-12-03 00:00:00 600519.SS -100 @ 113.702476501465&amp;quot;&#10;## [1] &amp;quot;2014-01-23 00:00:00 600519.SS 100 @ 110.818183898926&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 600519.SS -100 @ 127.85124206543&amp;quot;&#10;## [1] &amp;quot;2014-04-09 00:00:00 600519.SS 100 @ 135&amp;quot;&#10;## [1] &amp;quot;2014-04-30 00:00:00 600519.SS -100 @ 135.438018798828&amp;quot;&#10;## [1] &amp;quot;2014-06-11 00:00:00 600519.SS 100 @ 127.223136901855&amp;quot;&#10;## [1] &amp;quot;2014-08-14 00:00:00 600519.SS -100 @ 146.781814575195&amp;quot;&#10;## [1] &amp;quot;2014-09-05 00:00:00 600519.SS 100 @ 152.281814575195&amp;quot;&#10;## [1] &amp;quot;2014-09-18 00:00:00 600519.SS -100 @ 144.772720336914&amp;quot;&#10;## [1] &amp;quot;2014-10-08 00:00:00 600519.SS 100 @ 146.118179321289&amp;quot;&#10;## [1] &amp;quot;2014-10-13 00:00:00 600519.SS -100 @ 141.909088134766&amp;quot;&#10;## [1] &amp;quot;2014-11-18 00:00:00 600519.SS 100 @ 141.5&amp;quot;&#10;## [1] &amp;quot;2014-11-25 00:00:00 600519.SS -100 @ 140.581817626953&amp;quot;&#10;## [1] &amp;quot;2014-11-27 00:00:00 600519.SS 100 @ 142.43635559082&amp;quot;&#10;## [1] &amp;quot;2015-01-16 00:00:00 600519.SS -100 @ 169.190902709961&amp;quot;&#10;## [1] &amp;quot;2015-02-12 00:00:00 600519.SS 100 @ 166.881820678711&amp;quot;&#10;## [1] &amp;quot;2015-05-19 00:00:00 600519.SS -100 @ 227.309097290039&amp;quot;&#10;## [1] &amp;quot;2015-05-25 00:00:00 600519.SS 100 @ 260.754547119141&amp;quot;&#10;## [1] &amp;quot;2015-06-09 00:00:00 600519.SS -100 @ 235.481811523438&amp;quot;&#10;## [1] &amp;quot;2015-07-07 00:00:00 600519.SS 100 @ 221.981811523438&amp;quot;&#10;## [1] &amp;quot;2015-07-08 00:00:00 600519.SS -100 @ 215.327270507812&amp;quot;&#10;## [1] &amp;quot;2015-07-14 00:00:00 600519.SS 100 @ 226.409088134766&amp;quot;&#10;## [1] &amp;quot;2015-07-21 00:00:00 600519.SS -100 @ 221.660003662109&amp;quot;&#10;## [1] &amp;quot;2015-09-15 00:00:00 600519.SS 100 @ 202&amp;quot;&#10;## [1] &amp;quot;2015-09-29 00:00:00 600519.SS -100 @ 190.169998168945&amp;quot;&#10;## [1] &amp;quot;2015-10-15 00:00:00 600519.SS 100 @ 199.990005493164&amp;quot;&#10;## [1] &amp;quot;2015-11-20 00:00:00 600519.SS -100 @ 213.720001220703&amp;quot;&#10;## [1] &amp;quot;2015-12-07 00:00:00 600519.SS 100 @ 214.509994506836&amp;quot;&#10;## [1] &amp;quot;2015-12-11 00:00:00 600519.SS -100 @ 211.410003662109&amp;quot;&#10;## [1] &amp;quot;2015-12-21 00:00:00 600519.SS 100 @ 227.029998779297&amp;quot;&#10;## [1] &amp;quot;2016-01-05 00:00:00 600519.SS -100 @ 212.820007324219&amp;quot;&#10;## [1] &amp;quot;2016-02-05 00:00:00 600519.SS 100 @ 203.869995117188&amp;quot;&#10;## [1] &amp;quot;2016-04-18 00:00:00 600519.SS -100 @ 243.679992675781&amp;quot;&#10;## [1] &amp;quot;2016-05-03 00:00:00 600519.SS 100 @ 260&amp;quot;&#10;## [1] &amp;quot;2016-05-20 00:00:00 600519.SS -100 @ 251.259994506836&amp;quot;&#10;## [1] &amp;quot;2016-05-27 00:00:00 600519.SS 100 @ 252.440002441406&amp;quot;&#10;## [1] &amp;quot;2016-08-03 00:00:00 600519.SS -100 @ 306.820007324219&amp;quot;&#10;## [1] &amp;quot;2016-08-12 00:00:00 600519.SS 100 @ 316.970001220703&amp;quot;&#10;## [1] &amp;quot;2016-08-22 00:00:00 600519.SS -100 @ 307.320007324219&amp;quot;&#10;## [1] &amp;quot;2016-10-13 00:00:00 600519.SS 100 @ 303.890014648438&amp;quot;&#10;## [1] &amp;quot;2016-11-18 00:00:00 600519.SS -100 @ 310&amp;quot;&#10;## [1] &amp;quot;2016-11-29 00:00:00 600519.SS 100 @ 323.959991455078&amp;quot;&#10;## [1] &amp;quot;2016-12-26 00:00:00 600519.SS -100 @ 324.480010986328&amp;quot;&#10;## [1] &amp;quot;2017-01-04 00:00:00 600519.SS 100 @ 351.910003662109&amp;quot;&#10;## [1] &amp;quot;2017-02-07 00:00:00 600519.SS -100 @ 343.579986572266&amp;quot;&#10;## [1] &amp;quot;2017-02-16 00:00:00 600519.SS 100 @ 348.089996337891&amp;quot;&#10;## [1] &amp;quot;2017-07-05 00:00:00 600519.SS -100 @ 460.130004882812&amp;quot;&#10;## [1] &amp;quot;2017-07-25 00:00:00 600519.SS 100 @ 477.959991455078&amp;quot;&#10;## [1] &amp;quot;2017-09-07 00:00:00 600519.SS -100 @ 481.269989013672&amp;quot;&#10;## [1] &amp;quot;2017-09-19 00:00:00 600519.SS 100 @ 496.950012207031&amp;quot;&#10;## [1] &amp;quot;2017-11-27 00:00:00 600519.SS -100 @ 621.289978027344&amp;quot;&#10;## [1] &amp;quot;2017-12-15 00:00:00 600519.SS 100 @ 653.789978027344&amp;quot;&#10;## [1] &amp;quot;2018-01-31 00:00:00 600519.SS -100 @ 764.539978027344&amp;quot;&#10;## [1] &amp;quot;2018-02-28 00:00:00 600519.SS 100 @ 725.619995117188&amp;quot;&#10;## [1] &amp;quot;2018-03-14 00:00:00 600519.SS -100 @ 726.880004882812&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 600519.SS 100 @ 746.469970703125&amp;quot;&#10;## [1] &amp;quot;2018-03-27 00:00:00 600519.SS -100 @ 714.739990234375&amp;quot;&#10;## [1] &amp;quot;2018-05-10 00:00:00 600519.SS 100 @ 714.190002441406&amp;quot;&#10;## [1] &amp;quot;2018-06-25 00:00:00 600519.SS -100 @ 765.559997558594&amp;quot;&#10;## [1] &amp;quot;2018-07-17 00:00:00 600519.SS 100 @ 742.429992675781&amp;quot;&#10;## [1] &amp;quot;2018-08-02 00:00:00 600519.SS -100 @ 695.840026855469&amp;quot;&#10;## [1] &amp;quot;2018-08-30 00:00:00 600519.SS 100 @ 680.400024414062&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 600519.SS -100 @ 644&amp;quot;&#10;## [1] &amp;quot;2018-09-21 00:00:00 600519.SS 100 @ 700.010009765625&amp;quot;&#10;## [1] &amp;quot;2018-10-16 00:00:00 600519.SS -100 @ 667.140014648438&amp;quot;&#10;## [1] &amp;quot;2018-12-04 00:00:00 600519.SS 100 @ 602.22998046875&amp;quot;&#10;## [1] &amp;quot;2018-12-24 00:00:00 600519.SS -100 @ 568&amp;quot;&#10;## [1] &amp;quot;2019-01-07 00:00:00 600519.SS 100 @ 605.489990234375&amp;quot;&#10;## [1] &amp;quot;2019-05-09 00:00:00 600519.SS -100 @ 858.809997558594&amp;quot;&#10;## [1] &amp;quot;2019-06-03 00:00:00 600519.SS 100 @ 892&amp;quot;&#10;## [1] &amp;quot;2019-06-06 00:00:00 600519.SS -100 @ 862.130004882812&amp;quot;&#10;## [1] &amp;quot;2019-06-14 00:00:00 600519.SS 100 @ 913&amp;quot;&#10;## [1] &amp;quot;2019-07-16 00:00:00 600519.SS -100 @ 968&amp;quot;&#10;## [1] &amp;quot;2019-08-01 00:00:00 600519.SS 100 @ 959.299987792969&amp;quot;&#10;## [1] &amp;quot;2019-08-06 00:00:00 600519.SS -100 @ 946.299987792969&amp;quot;&#10;## [1] &amp;quot;2019-08-13 00:00:00 600519.SS 100 @ 1017.95001220703&amp;quot;&#10;## [1] &amp;quot;2019-09-17 00:00:00 600519.SS -100 @ 1094.01000976562&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 600519.SS 100 @ 1149&amp;quot;&#10;## [1] &amp;quot;2019-10-25 00:00:00 600519.SS -100 @ 1171.34997558594&amp;quot;&#10;## [1] &amp;quot;2019-10-31 00:00:00 600519.SS 100 @ 1180.01000976562&amp;quot;&#10;## [1] &amp;quot;2019-11-27 00:00:00 600519.SS -100 @ 1189.94995117188&amp;quot;&#10;## [1] &amp;quot;2019-12-20 00:00:00 600519.SS 100 @ 1146.30004882812&amp;quot;&#10;## [1] &amp;quot;2019-12-26 00:00:00 600519.SS -100 @ 1135.09997558594&amp;quot;&#10;## [1] &amp;quot;2019-12-31 00:00:00 600519.SS 100 @ 1183&amp;quot;&#10;## [1] &amp;quot;2020-01-06 00:00:00 600519.SS -100 @ 1077.98999023438&amp;quot;&#10;## [1] &amp;quot;2020-02-14 00:00:00 600519.SS 100 @ 1088&amp;quot;&#10;## [1] &amp;quot;2020-03-02 00:00:00 600519.SS -100 @ 1086.01000976562&amp;quot;&#10;## [1] &amp;quot;2020-03-05 00:00:00 600519.SS 100 @ 1171&amp;quot;&#10;## [1] &amp;quot;2020-03-18 00:00:00 600519.SS -100 @ 1007.98999023438&amp;quot;&#10;## [1] &amp;quot;2020-04-03 00:00:00 600519.SS 100 @ 1139.7900390625&amp;quot;&#10;## [1] &amp;quot;2020-07-29 00:00:00 600519.SS -100 @ 1672&amp;quot;&#10;## [1] &amp;quot;2020-08-19 00:00:00 600519.SS 100 @ 1687&amp;quot;&#10;## [1] &amp;quot;2020-09-11 00:00:00 600519.SS -100 @ 1733&amp;quot;&#10;## [1] &amp;quot;2020-09-17 00:00:00 600519.SS 100 @ 1670.52001953125&amp;quot;&#10;## [1] &amp;quot;2020-09-18 00:00:00 600519.SS -100 @ 1695&amp;quot;&#10;## [1] &amp;quot;2020-10-14 00:00:00 600519.SS 100 @ 1729&amp;quot;&#10;## [1] &amp;quot;2020-10-29 00:00:00 600519.SS -100 @ 1676&amp;quot;&#10;## [1] &amp;quot;2020-11-10 00:00:00 600519.SS 100 @ 1745&amp;quot;&#10;## [1] &amp;quot;2021-03-01 00:00:00 600519.SS -100 @ 2158&amp;quot;&#10;## [1] &amp;quot;2021-04-01 00:00:00 600519.SS 100 @ 2044.5&amp;quot;&#10;## [1] &amp;quot;2021-04-15 00:00:00 600519.SS -100 @ 2015.59997558594&amp;quot;&#10;## [1] &amp;quot;2021-04-20 00:00:00 600519.SS 100 @ 2094.80004882812&amp;quot;&#10;## [1] &amp;quot;2021-05-06 00:00:00 600519.SS -100 @ 1959&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 600519.SS 100 @ 2058.8798828125&amp;quot;&#10;## [1] &amp;quot;2021-06-18 00:00:00 600519.SS -100 @ 2090.93994140625&amp;quot;&#10;## [1] &amp;quot;2021-09-08 00:00:00 600519.SS 100 @ 1633.09997558594&amp;quot;&#10;## [1] &amp;quot;2021-11-01 00:00:00 600519.SS -100 @ 1803&amp;quot;&#10;## [1] &amp;quot;2021-11-23 00:00:00 600519.SS 100 @ 1896.43005371094&amp;quot;&#10;## [1] &amp;quot;2022-01-05 00:00:00 600519.SS -100 @ 2024&amp;quot;&#10;## [1] &amp;quot;2022-01-28 00:00:00 600519.SS 100 @ 1887&amp;quot;&#10;## [1] &amp;quot;2022-02-07 00:00:00 600519.SS -100 @ 1867.9599609375&amp;quot;&#10;## [1] &amp;quot;2022-04-07 00:00:00 600519.SS 100 @ 1765&amp;quot;&#10;## [1] &amp;quot;2022-04-28 00:00:00 600519.SS -100 @ 1835&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 600519.SS 100 @ 1837&amp;quot;&#10;## [1] &amp;quot;2022-05-13 00:00:00 600519.SS -100 @ 1778.23999023438&amp;quot;&#10;## [1] &amp;quot;2022-06-02 00:00:00 600519.SS 100 @ 1786&amp;quot;&#10;## [1] &amp;quot;2022-07-14 00:00:00 600519.SS -100 @ 1953&amp;quot;&#10;## [1] &amp;quot;2022-08-18 00:00:00 600519.SS 100 @ 1895.5&amp;quot;&#10;## [1] &amp;quot;2022-08-23 00:00:00 600519.SS -100 @ 1870.01000976562&amp;quot;&#10;## [1] &amp;quot;2022-09-20 00:00:00 600519.SS 100 @ 1878&amp;quot;&#10;## [1] &amp;quot;2022-09-23 00:00:00 600519.SS -100 @ 1834.43005371094&amp;quot;&#10;## [1] &amp;quot;2022-09-30 00:00:00 600519.SS 100 @ 1872.5&amp;quot;&#10;## [1] &amp;quot;2022-10-12 00:00:00 600519.SS -100 @ 1760&amp;quot;&#10;## [1] &amp;quot;2022-11-16 00:00:00 600519.SS 100 @ 1585.25&amp;quot;&#10;## [1] &amp;quot;2023-01-03 00:00:00 600519.SS -100 @ 1730.01000976562&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 600519.SS 100 @ 1841.19995117188&amp;quot;&#10;## [1] &amp;quot;2023-02-07 00:00:00 600519.SS -100 @ 1797&amp;quot;&#10;## [1] &amp;quot;2023-02-21 00:00:00 600519.SS 100 @ 1867&amp;quot;&#10;## [1] &amp;quot;2023-02-28 00:00:00 600519.SS -100 @ 1813.73999023438&amp;quot;&#10;## [1] &amp;quot;2023-03-30 00:00:00 600519.SS 100 @ 1800&amp;quot;&#10;## [1] &amp;quot;2023-04-13 00:00:00 600519.SS -100 @ 1723&amp;quot;&#10;## [1] &amp;quot;2023-05-08 00:00:00 600519.SS 100 @ 1720.52001953125&amp;quot;&#10;## [1] &amp;quot;2023-05-10 00:00:00 600519.SS -100 @ 1725&amp;quot;&#10;## [1] &amp;quot;2023-06-15 00:00:00 600519.SS 100 @ 1755&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 600519.SS -100 @ 1690.03002929688&amp;quot;&#10;## [1] &amp;quot;2023-07-18 00:00:00 600519.SS 100 @ 1722.80004882812&amp;quot;&#10;## [1] &amp;quot;2023-08-17 00:00:00 600519.SS -100 @ 1828.05004882812&amp;quot;&#10;## [1] &amp;quot;2023-09-01 00:00:00 600519.SS 100 @ 1851.05004882812&amp;quot;&#10;## [1] &amp;quot;2023-09-14 00:00:00 600519.SS -100 @ 1818.68994140625&amp;quot;&#10;## [1] &amp;quot;2023-11-03 00:00:00 600519.SS 100 @ 1811.23999023438&amp;quot;&#10;## [1] &amp;quot;2023-11-29 00:00:00 600519.SS -100 @ 1774.7099609375&amp;quot;&#10;## [1] &amp;quot;2024-01-02 00:00:00 600519.SS 100 @ 1685.01000976562&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 600519.SS -100 @ 1641&amp;quot;&#10;## [1] &amp;quot;2024-02-08 00:00:00 600519.SS 100 @ 1706&amp;quot;&#10;## [1] &amp;quot;2024-03-11 00:00:00 600519.SS -100 @ 1694.48999023438&amp;quot;&#10;## [1] &amp;quot;2024-03-14 00:00:00 600519.SS 100 @ 1716.63000488281&amp;quot;&#10;## [1] &amp;quot;2024-03-29 00:00:00 600519.SS -100 @ 1702.90002441406&amp;quot;&#10;## [1] &amp;quot;2024-04-02 00:00:00 600519.SS 100 @ 1713.98999023438&amp;quot;&#10;## [1] &amp;quot;2024-04-09 00:00:00 600519.SS -100 @ 1662.21997070312&amp;quot;&#10;## [1] &amp;quot;2024-04-26 00:00:00 600519.SS 100 @ 1709.43005371094&amp;quot;&#10;## [1] &amp;quot;2024-05-20 00:00:00 600519.SS -100 @ 1709&amp;quot;&#10;## [1] &amp;quot;2024-07-18 00:00:00 600519.SS 100 @ 1497.51000976562&amp;quot;&#10;## [1] &amp;quot;2024-07-26 00:00:00 600519.SS -100 @ 1422.18994140625&amp;quot;&#10;## [1] &amp;quot;2024-08-16 00:00:00 600519.SS 100 @ 1431.19995117188&amp;quot;&#10;## [1] &amp;quot;2024-08-28 00:00:00 600519.SS -100 @ 1389&amp;quot;&#10;## [1] &amp;quot;2024-09-30 00:00:00 600519.SS 100 @ 1748&amp;quot;&#10;## [1] &amp;quot;2024-10-29 00:00:00 600519.SS -100 @ 1531.61999511719&amp;quot;&#10;## [1] &amp;quot;2024-11-08 00:00:00 600519.SS 100 @ 1609.96997070312&amp;quot;&#10;## [1] &amp;quot;2024-11-20 00:00:00 600519.SS -100 @ 1544.81005859375&amp;quot;&#10;## [1] &amp;quot;2024-12-13 00:00:00 600519.SS 100 @ 1519&amp;quot;&#10;## [1] &amp;quot;2024-12-27 00:00:00 600519.SS -100 @ 1528.96997070312&amp;quot;&#10;## [1] &amp;quot;2025-02-17 00:00:00 600519.SS 100 @ 1471.61999511719&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 600519.SS -100 @ 1568.88000488281&amp;quot;&#10;## [1] &amp;quot;2025-04-22 00:00:00 600519.SS 100 @ 1548.80004882812&amp;quot;&#10;## [1] &amp;quot;2025-04-25 00:00:00 600519.SS -100 @ 1550&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 600519.SS 100 @ 1591.18005371094&amp;quot;&#10;## [1] &amp;quot;2025-05-27 00:00:00 600519.SS -100 @ 1543.90002441406&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="更新组合和账户" class="section level1"&gt;&#10;&lt;h1&gt;更新组合和账户&lt;/h1&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updatePortf(portfolio.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_portfolio&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updateAcct(account.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_account&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updateEndEq(account.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;maotai_account&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="分析结果" class="section level1"&gt;&#10;&lt;h1&gt;分析结果&lt;/h1&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取交易数据&#10;trades &amp;lt;- getTxns(Portfolio = portfolio.st, Symbol = symbol)&#10;print(trades)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost&#10;## 2009-12-31 00:00:00 0 0.00000 0 0.000 0.00000&#10;## 2010-05-25 08:00:00 100 98.61007 0 9861.007 98.61007&#10;## 2010-06-01 08:00:00 -100 99.64688 0 -9964.688 99.64688&#10;## 2010-06-03 08:00:00 100 101.45004 0 10145.004 101.45004&#10;## 2010-06-23 08:00:00 -100 98.94816 0 -9894.816 98.94816&#10;## 2010-07-15 08:00:00 100 99.04583 0 9904.583 99.04583&#10;## 2010-10-15 08:00:00 -100 120.19534 0 -12019.534 120.19534&#10;## 2010-10-25 08:00:00 100 129.97746 0 12997.746 129.97746&#10;## 2010-11-02 08:00:00 -100 122.21638 0 -12221.638 122.21638&#10;## 2010-11-11 08:00:00 100 132.17130 0 13217.130 132.17130&#10;## ... &#10;## 2024-11-08 08:00:00 100 1609.96997 0 160996.997 1609.96997&#10;## 2024-11-20 08:00:00 -100 1544.81006 0 -154481.006 1544.81006&#10;## 2024-12-13 08:00:00 100 1519.00000 0 151900.000 1519.00000&#10;## 2024-12-27 08:00:00 -100 1528.96997 0 -152896.997 1528.96997&#10;## 2025-02-17 08:00:00 100 1471.62000 0 147162.000 1471.62000&#10;## 2025-04-03 08:00:00 -100 1568.88000 0 -156888.000 1568.88000&#10;## 2025-04-22 08:00:00 100 1548.80005 0 154880.005 1548.80005&#10;## 2025-04-25 08:00:00 -100 1550.00000 0 -155000.000 1550.00000&#10;## 2025-05-09 08:00:00 100 1591.18005 0 159118.005 1591.18005&#10;## 2025-05-27 08:00:00 -100 1543.90002 0 -154390.002 1543.90002&#10;## Net.Txn.Realized.PL&#10;## 2009-12-31 00:00:00 0.0000&#10;## 2010-05-25 08:00:00 0.0000&#10;## 2010-06-01 08:00:00 103.6812&#10;## 2010-06-03 08:00:00 0.0000&#10;## 2010-06-23 08:00:00 -250.1877&#10;## 2010-07-15 08:00:00 0.0000&#10;## 2010-10-15 08:00:00 2114.9513&#10;## 2010-10-25 08:00:00 0.0000&#10;## 2010-11-02 08:00:00 -776.1086&#10;## 2010-11-11 08:00:00 0.0000&#10;## ... &#10;## 2024-11-08 08:00:00 0.0000&#10;## 2024-11-20 08:00:00 -6515.9912&#10;## 2024-12-13 08:00:00 0.0000&#10;## 2024-12-27 08:00:00 996.9971&#10;## 2025-02-17 08:00:00 0.0000&#10;## 2025-04-03 08:00:00 9726.0010&#10;## 2025-04-22 08:00:00 0.0000&#10;## 2025-04-25 08:00:00 119.9951&#10;## 2025-05-09 08:00:00 0.0000&#10;## 2025-05-27 08:00:00 -4728.0029&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取交易统计数据&#10;tstats &amp;lt;- tradeStats(portfolio.st)&#10;print(tstats)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL&#10;## 600519.SS maotai_portfolio 600519.SS 220 110 104460&#10;## Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits&#10;## 600519.SS 949.6362 -435.6613 53221 -21638 312497.1&#10;## Gross.Losses Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive&#10;## 600519.SS -208037.1 8924.596 850.9269 40.90909&#10;## Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade&#10;## 600519.SS 59.09091 1.502122 6944.381 2675.455&#10;## Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL&#10;## 600519.SS -3200.571 -1404.959 949.6362 -435.6613&#10;## Std.Dev.Daily.PL Std.Err.Daily.PL Ann.Sharpe Max.Drawdown&#10;## 600519.SS 8924.596 850.9269 1.689153 -88252.01&#10;## Profit.To.Max.Draw Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity&#10;## 600519.SS 1.183656 2.169731 1.904294 185832&#10;## Min.Equity End.Equity&#10;## 600519.SS -146.5065 104460&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看持仓情况&#10;positions &amp;lt;- getPos(Portfolio = portfolio.st, Symbol = symbol, Date = &amp;quot;2020-12-31&amp;quot;)&#10;print(positions)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Pos.Qty Pos.Avg.Cost&#10;## 2020-11-10 08:00:00 100 1745&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取投资组合的收益率&#10;returns &amp;lt;- PortfReturns(Account = account.st)&#10;&#10;# 计算夏普比率，假设无风险利率为0.02&#10;sharpe_ratio &amp;lt;- SharpeRatio(returns, Rf = 0.02)&#10;&#10;# 计算最大回撤&#10;max_drawdown &amp;lt;- maxDrawdown(returns)&#10;&#10;print(paste0(&amp;quot;夏普比率: &amp;quot;, sharpe_ratio))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;夏普比率: -1.37222406503698&amp;quot; &amp;quot;夏普比率: -1.45706193297599&amp;quot;&#10;## [3] &amp;quot;夏普比率: -1.45706193297599&amp;quot; &amp;quot;夏普比率: -1.41395097373399&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(paste0(&amp;quot;最大回撤: &amp;quot;, max_drawdown))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;最大回撤: 0.66676665654044&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取策略对象&#10;strategyObj &amp;lt;- getStrategy(strategy.st)&#10;&#10;str(strategyObj)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## List of 10&#10;## $ name : chr &amp;quot;maotai_sma&amp;quot;&#10;## $ assets : NULL&#10;## $ indicators :List of 2&#10;## ..$ fastMA:List of 5&#10;## .. ..$ name : chr &amp;quot;SMA&amp;quot;&#10;## .. ..$ label : chr &amp;quot;fastMA&amp;quot;&#10;## .. ..$ enabled : logi TRUE&#10;## .. ..$ arguments:List of 2&#10;## .. .. ..$ x: language Cl(mktdata)&#10;## .. .. ..$ n: num 5&#10;## .. ..$ call : language add.indicator(strategy = strategy.st, name = &amp;quot;SMA&amp;quot;, arguments = list(x = quote(Cl(mktdata)), n = fastMA), label = &amp;quot;fastMA&amp;quot;)&#10;## .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;strat_indicator&amp;quot;&#10;## ..$ slowMA:List of 5&#10;## .. ..$ name : chr &amp;quot;SMA&amp;quot;&#10;## .. ..$ label : chr &amp;quot;slowMA&amp;quot;&#10;## .. ..$ enabled : logi TRUE&#10;## .. ..$ arguments:List of 2&#10;## .. .. ..$ x: language Cl(mktdata)&#10;## .. .. ..$ n: num 20&#10;## .. ..$ call : language add.indicator(strategy = strategy.st, name = &amp;quot;SMA&amp;quot;, arguments = list(x = quote(Cl(mktdata)), n = slowMA), label = &amp;quot;slowMA&amp;quot;)&#10;## .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;strat_indicator&amp;quot;&#10;## $ signals :List of 2&#10;## ..$ :List of 5&#10;## .. ..$ name : chr &amp;quot;sigCrossover&amp;quot;&#10;## .. ..$ label : chr &amp;quot;fast.gt.slow&amp;quot;&#10;## .. ..$ enabled : logi TRUE&#10;## .. ..$ arguments:List of 3&#10;## .. .. ..$ columns : chr [1:2] &amp;quot;fastMA&amp;quot; &amp;quot;slowMA&amp;quot;&#10;## .. .. ..$ relationship: chr &amp;quot;gt&amp;quot;&#10;## .. .. ..$ label : chr &amp;quot;fast.gt.slow&amp;quot;&#10;## .. ..$ call : language add.signal(strategy = strategy.st, name = &amp;quot;sigCrossover&amp;quot;, arguments = list(columns = c(&amp;quot;fastMA&amp;quot;, &amp;quot;slowMA&amp;quot;), | __truncated__&#10;## .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;strat_signal&amp;quot;&#10;## ..$ :List of 5&#10;## .. ..$ name : chr &amp;quot;sigCrossover&amp;quot;&#10;## .. ..$ label : chr &amp;quot;fast.lt.slow&amp;quot;&#10;## .. ..$ enabled : logi TRUE&#10;## .. ..$ arguments:List of 3&#10;## .. .. ..$ columns : chr [1:2] &amp;quot;fastMA&amp;quot; &amp;quot;slowMA&amp;quot;&#10;## .. .. ..$ relationship: chr &amp;quot;lt&amp;quot;&#10;## .. .. ..$ label : chr &amp;quot;fast.lt.slow&amp;quot;&#10;## .. ..$ call : language add.signal(strategy = strategy.st, name = &amp;quot;sigCrossover&amp;quot;, arguments = list(columns = c(&amp;quot;fastMA&amp;quot;, &amp;quot;slowMA&amp;quot;), | __truncated__&#10;## .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;strat_signal&amp;quot;&#10;## $ rules :List of 3&#10;## ..$ order: list()&#10;## ..$ enter:List of 1&#10;## .. ..$ :List of 7&#10;## .. .. ..$ name :function (mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0, ordertype, &#10;## orderside = NULL, orderset = NULL, threshold = NULL, tmult = FALSE, &#10;## replace = TRUE, delay = 1e-04, osFUN = &amp;quot;osNoOp&amp;quot;, pricemethod = c(&amp;quot;market&amp;quot;, &#10;## &amp;quot;opside&amp;quot;, &amp;quot;active&amp;quot;), portfolio, symbol, ..., ruletype, TxnFees = 0, &#10;## prefer = NULL, sethold = FALSE, label = &amp;quot;&amp;quot;, order.price = NULL, chain.price = NULL, &#10;## time.in.force = &amp;quot;&amp;quot;) &#10;## .. .. ..$ type : chr &amp;quot;enter&amp;quot;&#10;## .. .. ..$ enabled : logi TRUE&#10;## .. .. ..$ label : chr &amp;quot;EnterLONG&amp;quot;&#10;## .. .. ..$ arguments:List of 6&#10;## .. .. .. ..$ sigcol : chr &amp;quot;fast.gt.slow&amp;quot;&#10;## .. .. .. ..$ sigval : logi TRUE&#10;## .. .. .. ..$ orderqty : num 100&#10;## .. .. .. ..$ ordertype: chr &amp;quot;market&amp;quot;&#10;## .. .. .. ..$ orderside: chr &amp;quot;long&amp;quot;&#10;## .. .. .. ..$ replace : logi FALSE&#10;## .. .. ..$ path.dep : logi TRUE&#10;## .. .. ..$ call : language add.rule(strategy = strategy.st, name = &amp;quot;ruleSignal&amp;quot;, arguments = list(sigcol = &amp;quot;fast.gt.slow&amp;quot;, sigval = TRU| __truncated__ ...&#10;## .. .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;trade_rule&amp;quot;&#10;## ..$ exit :List of 1&#10;## .. ..$ :List of 7&#10;## .. .. ..$ name :function (mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0, ordertype, &#10;## orderside = NULL, orderset = NULL, threshold = NULL, tmult = FALSE, &#10;## replace = TRUE, delay = 1e-04, osFUN = &amp;quot;osNoOp&amp;quot;, pricemethod = c(&amp;quot;market&amp;quot;, &#10;## &amp;quot;opside&amp;quot;, &amp;quot;active&amp;quot;), portfolio, symbol, ..., ruletype, TxnFees = 0, &#10;## prefer = NULL, sethold = FALSE, label = &amp;quot;&amp;quot;, order.price = NULL, chain.price = NULL, &#10;## time.in.force = &amp;quot;&amp;quot;) &#10;## .. .. ..$ type : chr &amp;quot;exit&amp;quot;&#10;## .. .. ..$ enabled : logi TRUE&#10;## .. .. ..$ label : chr &amp;quot;ExitLONG&amp;quot;&#10;## .. .. ..$ arguments:List of 6&#10;## .. .. .. ..$ sigcol : chr &amp;quot;fast.lt.slow&amp;quot;&#10;## .. .. .. ..$ sigval : logi TRUE&#10;## .. .. .. ..$ orderqty : chr &amp;quot;all&amp;quot;&#10;## .. .. .. ..$ ordertype: chr &amp;quot;market&amp;quot;&#10;## .. .. .. ..$ orderside: chr &amp;quot;long&amp;quot;&#10;## .. .. .. ..$ replace : logi FALSE&#10;## .. .. ..$ path.dep : logi TRUE&#10;## .. .. ..$ call : language add.rule(strategy = strategy.st, name = &amp;quot;ruleSignal&amp;quot;, arguments = list(sigcol = &amp;quot;fast.lt.slow&amp;quot;, sigval = TRU| __truncated__ ...&#10;## .. .. ..- attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;trade_rule&amp;quot;&#10;## $ constraints: NULL&#10;## $ init : list()&#10;## $ wrapup : list()&#10;## $ trials : num 6&#10;## $ call : language strategy(name = strategy.st, store = TRUE)&#10;## - attr(*, &amp;quot;class&amp;quot;)= chr &amp;quot;strategy&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看指标数据&#10;indicator_data &amp;lt;- strategyObj$indicators&#10;print(indicator_data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $fastMA&#10;## $name&#10;## [1] &amp;quot;SMA&amp;quot;&#10;## &#10;## $label&#10;## [1] &amp;quot;fastMA&amp;quot;&#10;## &#10;## $enabled&#10;## [1] TRUE&#10;## &#10;## $arguments&#10;## $arguments$x&#10;## Cl(mktdata)&#10;## &#10;## $arguments$n&#10;## [1] 5&#10;## &#10;## &#10;## $call&#10;## add.indicator(strategy = strategy.st, name = &amp;quot;SMA&amp;quot;, arguments = list(x = quote(Cl(mktdata)), &#10;## n = fastMA), label = &amp;quot;fastMA&amp;quot;)&#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;strat_indicator&amp;quot;&#10;## &#10;## $slowMA&#10;## $name&#10;## [1] &amp;quot;SMA&amp;quot;&#10;## &#10;## $label&#10;## [1] &amp;quot;slowMA&amp;quot;&#10;## &#10;## $enabled&#10;## [1] TRUE&#10;## &#10;## $arguments&#10;## $arguments$x&#10;## Cl(mktdata)&#10;## &#10;## $arguments$n&#10;## [1] 20&#10;## &#10;## &#10;## $call&#10;## add.indicator(strategy = strategy.st, name = &amp;quot;SMA&amp;quot;, arguments = list(x = quote(Cl(mktdata)), &#10;## n = slowMA), label = &amp;quot;slowMA&amp;quot;)&#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;strat_indicator&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看信号数据&#10;signal_data &amp;lt;- strategyObj$signals&#10;print(signal_data)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [[1]]&#10;## $name&#10;## [1] &amp;quot;sigCrossover&amp;quot;&#10;## &#10;## $label&#10;## [1] &amp;quot;fast.gt.slow&amp;quot;&#10;## &#10;## $enabled&#10;## [1] TRUE&#10;## &#10;## $arguments&#10;## $arguments$columns&#10;## [1] &amp;quot;fastMA&amp;quot; &amp;quot;slowMA&amp;quot;&#10;## &#10;## $arguments$relationship&#10;## [1] &amp;quot;gt&amp;quot;&#10;## &#10;## $arguments$label&#10;## [1] &amp;quot;fast.gt.slow&amp;quot;&#10;## &#10;## &#10;## $call&#10;## add.signal(strategy = strategy.st, name = &amp;quot;sigCrossover&amp;quot;, arguments = list(columns = c(&amp;quot;fastMA&amp;quot;, &#10;## &amp;quot;slowMA&amp;quot;), relationship = &amp;quot;gt&amp;quot;), label = &amp;quot;fast.gt.slow&amp;quot;)&#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;strat_signal&amp;quot;&#10;## &#10;## [[2]]&#10;## $name&#10;## [1] &amp;quot;sigCrossover&amp;quot;&#10;## &#10;## $label&#10;## [1] &amp;quot;fast.lt.slow&amp;quot;&#10;## &#10;## $enabled&#10;## [1] TRUE&#10;## &#10;## $arguments&#10;## $arguments$columns&#10;## [1] &amp;quot;fastMA&amp;quot; &amp;quot;slowMA&amp;quot;&#10;## &#10;## $arguments$relationship&#10;## [1] &amp;quot;lt&amp;quot;&#10;## &#10;## $arguments$label&#10;## [1] &amp;quot;fast.lt.slow&amp;quot;&#10;## &#10;## &#10;## $call&#10;## add.signal(strategy = strategy.st, name = &amp;quot;sigCrossover&amp;quot;, arguments = list(columns = c(&amp;quot;fastMA&amp;quot;, &#10;## &amp;quot;slowMA&amp;quot;), relationship = &amp;quot;lt&amp;quot;), label = &amp;quot;fast.lt.slow&amp;quot;)&#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;strat_signal&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制权益曲线&#10;equity &amp;lt;- getAccount(account.st)$summary$End.Eq&#10;plot(equity, main=&amp;quot;Strategy Equity Curve&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/25/sma/index_files/figure-html/ana-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制持仓和交易图表&#10;chart.Posn(portfolio.st, Symbol=symbol, TA=&amp;quot;add_SMA(n=fastMA,col=&amp;#39;blue&amp;#39;);add_SMA(n=slowMA,col=&amp;#39;red&amp;#39;)&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/25/sma/index_files/figure-html/ana-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="结语" class="section level1"&gt;&#10;&lt;h1&gt;结语&lt;/h1&gt;&#10;&lt;p&gt;基于 R 软件进行量化回测一件极度舒适的事情。但由于本文未对回测指标（即 SMA ）的参数做优化，因此，本文仅供技术探讨，不构成策略或投资建议。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>用R中的eTTR包和tidyquant包绘制布林带</title><link>https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/</link><pubDate>Thu, 22 May 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/</guid><description>&#10;&#10;&#10;&lt;div id="引言" class="section level1"&gt;&#10;&lt;h1&gt;引言&lt;/h1&gt;&#10;&lt;p&gt;俗话说，巧妇难为无米之炊。绘图的前提是得有数据在手。下面是获取数据的代码：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义股票代码&#10;tickers &amp;lt;- c(&amp;quot;TSLA&amp;quot;, &amp;quot;AAPL&amp;quot;, &amp;quot;NVDA&amp;quot;)&#10;&#10;# 批量下载股票数据并进行预处理&#10;stock_list &amp;lt;- map(tickers, function(ticker) {&#10; # 下载数据&#10; stock_data &amp;lt;- getSymbols(ticker, auto.assign = FALSE)&#10; # 重命名列&#10; colnames(stock_data) &amp;lt;- c(&amp;quot;Open&amp;quot;, &amp;quot;High&amp;quot;, &amp;quot;Low&amp;quot;, &amp;quot;Close&amp;quot;, &amp;quot;Volume&amp;quot;, &amp;quot;Adjusted&amp;quot;)&#10; # 转化为tibble&#10; tibble_data &amp;lt;- as_tibble(fortify.zoo(stock_data))&#10; # 标准化列命名&#10; renamed_data &amp;lt;- tibble_data %&amp;gt;%&#10; rename(&#10; Date = Index,&#10; open = Open,&#10; high = High,&#10; low = Low,&#10; close = Close,&#10; volume = Volume,&#10; adjusted = Adjusted&#10; )&#10; # 动态命名&#10; dyn_name &amp;lt;- paste0(ticker, &amp;quot;_data&amp;quot;)&#10; assign(dyn_name, renamed_data, envir = globalenv())&#10; return(get(dyn_name))&#10;})&#10;# 重新命名列表&#10;names(stock_list) &amp;lt;- tickers&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;有了基础数据之后，接下来是根据布林带定义计算布林带值，并将布林带数据整合进原始数据备用。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 使用dplyr生成包含high, low, close的tibble对象并计算布林带&#10;stock_list_with_bbands &amp;lt;- map(stock_list, function(data) {&#10; # 确认输入参数为tibble对象&#10; if (is.list(data) &amp;amp;&amp;amp; length(data) == 1) {&#10; data &amp;lt;- data[[1]]&#10; }&#10; # 提取eTTR::BBands所需参数&#10; hlc_tibble &amp;lt;- data %&amp;gt;% select(high, low, close)&#10; # 计算布林带&#10; bbands &amp;lt;- BBands(hlc_tibble, n = 20, sd = 2)&#10; # 整合进原始数据&#10; data %&amp;gt;%&#10; mutate(&#10; middle = bbands[, &amp;quot;mavg&amp;quot;],&#10; upper = bbands[, &amp;quot;up&amp;quot;],&#10; lower = bbands[, &amp;quot;dn&amp;quot;]&#10; )&#10;})&#10;&#10;# 将列表中的tibble行合并，并增加公司名作为列&#10;combined_data &amp;lt;- bind_rows(stock_list_with_bbands,.id = &amp;quot;company_name&amp;quot;)&#10;&#10;# 确保相关列是数值型&#10;num_cols &amp;lt;- c(&amp;quot;open&amp;quot;, &amp;quot;high&amp;quot;, &amp;quot;low&amp;quot;, &amp;quot;close&amp;quot;, &amp;quot;middle&amp;quot;, &amp;quot;upper&amp;quot;, &amp;quot;lower&amp;quot;)&#10;combined_data &amp;lt;- combined_data %&amp;gt;% &#10; mutate(across(all_of(num_cols), as.numeric))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;数据准备好之后，用&lt;code&gt;ggplot2&lt;/code&gt;包几行命令就可以打造一个叠加布林带的蜡烛图，代码如下：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 利用分面功能绘制多支股票的蜡烛图和布林带&#10;ggplot(combined_data, aes(x = Date)) +&#10; geom_candlestick(aes(open = open, high = high, low = low, close = close)) +&#10; geom_line(aes(y = middle), color = &amp;quot;blue&amp;quot;) +&#10; geom_line(aes(y = upper), color = &amp;quot;red&amp;quot;) +&#10; geom_line(aes(y = lower), color = &amp;quot;green&amp;quot;) +&#10; facet_wrap(~ company_name, scales = &amp;quot;free_y&amp;quot;) +&#10; labs(title = &amp;quot;多股票布林带对比&amp;quot;, x = &amp;quot;日期&amp;quot;, y = &amp;quot;价格&amp;quot;) +&#10; theme_minimal()&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-3-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;当然，还可以单独绘制每支股票的蜡烛图叠加布林带。这里我们使用&lt;code&gt;purrr&lt;/code&gt;包中的&lt;code&gt;walk2&lt;/code&gt;函数来遍历列表中每一个对象。代码如下：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 单独绘制每支股票的蜡烛图叠加布林带&#10;walk2(stock_list_with_bbands, names(stock_list_with_bbands), function(data, name) {&#10; if (is.list(data) &amp;amp;&amp;amp; length(data) == 1) {&#10; data &amp;lt;- data[[1]]&#10; }&#10; p &amp;lt;- ggplot(data, aes(x = Date)) +&#10; geom_candlestick(aes(open = open, high = high, low = low, close = close)) +&#10; geom_line(aes(y = middle), color = &amp;quot;blue&amp;quot;) +&#10; geom_line(aes(y = upper), color = &amp;quot;red&amp;quot;) +&#10; geom_line(aes(y = lower), color = &amp;quot;green&amp;quot;) +&#10; labs(title = paste0(&amp;quot;布林带 - &amp;quot;, name), x = &amp;quot;日期&amp;quot;, y = &amp;quot;价格&amp;quot;) +&#10; theme_minimal()&#10; print(p)&#10;})&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-4-1.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-4-2.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-4-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;其实，tidyquant包中提供了一个直接绘制布林带的函数叫 &lt;code&gt;tidyquant::geom_bbands&lt;/code&gt;，可以在绘图时直接基于&lt;code&gt;HLC&lt;/code&gt;数据计算布林带。这样一来，可以免去单独计算布林带数据的过程。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 基于geom_bbands 单独绘制每个对象的蜡烛图叠加布林带&#10;walk2(stock_list, names(stock_list), function(data, name) {&#10; if (is.list(data) &amp;amp;&amp;amp; length(data) == 1) {&#10; data &amp;lt;- data[[1]]&#10; }&#10; p &amp;lt;- ggplot(data, aes(x = Date)) +&#10; geom_candlestick(aes(open = open, high = high, low = low, close = close)) +&#10; geom_bbands(aes(high = high, low = low, close = close),ma_fun = SMA, n = 20) +&#10; labs(title = paste0(&amp;quot;布林带 - &amp;quot;, name), x = &amp;quot;日期&amp;quot;, y = &amp;quot;价格&amp;quot;) +&#10; theme_minimal()&#10; print(p)&#10;})&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-5-1.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-5-2.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/22/plot-bbands-via-ettr-and-tidyquant/index_files/figure-html/unnamed-chunk-5-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;呐，有了R语言，尤其是eTTR包和ggplot2包之后，计算技术指标并进行可视化就是这么简单。欢迎收藏本网站，关注微信公众号&lt;strong&gt;ruijiao007&lt;/strong&gt;。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>用R实现滚动单因子模型</title><link>https://gewutang.cn/2025/05/15/roll-smf/</link><pubDate>Thu, 15 May 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/05/15/roll-smf/</guid><description>&#10;&#10;&#10;&lt;div id="引言" class="section level2"&gt;&#10;&lt;h2&gt;引言&lt;/h2&gt;&#10;&lt;/div&gt;&#10;&lt;div id="单因子模型" class="section level2"&gt;&#10;&lt;h2&gt;单因子模型&lt;/h2&gt;&#10;&lt;/div&gt;&#10;&lt;div id="滚动单因子模型的-r-代码" class="section level2"&gt;&#10;&lt;h2&gt;滚动单因子模型的 R 代码&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取最新市场数据(2024-01-01至2025-05-15)&#10;getSymbols(c(&amp;quot;TSLA&amp;quot;, &amp;quot;^IXIC&amp;quot;), from=&amp;quot;2024-01-01&amp;quot;, src=&amp;quot;yahoo&amp;quot;)&#10;tsla_ret &amp;lt;- dailyReturn(Ad(TSLA))&#10;nasdaq_ret &amp;lt;- dailyReturn(Ad(IXIC))&#10;&#10;# 改进版滚动SFM函数&#10;# 高效版滚动SFM函数&#10;rollSFM &amp;lt;- function(Ra, Rb, window = 60) {&#10; # 输入验证&#10; n &amp;lt;- length(Ra)&#10; if (n != length(Rb)) stop(&amp;quot;Ra和Rb的长度必须相同&amp;quot;)&#10; if (n &amp;lt; window) stop(&amp;quot;数据长度必须大于或等于窗口大小&amp;quot;)&#10; &#10; # 预计算累积量用于快速计算&#10; cum_sum_x &amp;lt;- cumsum(Rb)&#10; cum_sum_y &amp;lt;- cumsum(Ra)&#10; cum_sum_xy &amp;lt;- cumsum(Ra * Rb)&#10; cum_sum_x2 &amp;lt;- cumsum(Rb^2)&#10; &#10; # 初始化结果向量&#10; result_size &amp;lt;- n - window + 1&#10; alpha &amp;lt;- numeric(result_size)&#10; beta &amp;lt;- numeric(result_size)&#10; r_squared &amp;lt;- numeric(result_size)&#10; &#10; # 计算每个窗口的统计量&#10; for (i in 1:result_size) {&#10; end_idx &amp;lt;- i + window - 1&#10; start_idx &amp;lt;- end_idx - window + 1&#10; &#10; # 快速计算窗口内的统计量&#10; sum_x &amp;lt;- cum_sum_x[end_idx] - if(start_idx &amp;gt; 1) cum_sum_x[start_idx - 1] else 0&#10; sum_y &amp;lt;- cum_sum_y[end_idx] - if(start_idx &amp;gt; 1) cum_sum_y[start_idx - 1] else 0&#10; sum_xy &amp;lt;- cum_sum_xy[end_idx] - if(start_idx &amp;gt; 1) cum_sum_xy[start_idx - 1] else 0&#10; sum_x2 &amp;lt;- cum_sum_x2[end_idx] - if(start_idx &amp;gt; 1) cum_sum_x2[start_idx - 1] else 0&#10; &#10; # 计算均值&#10; mean_x &amp;lt;- sum_x / window&#10; mean_y &amp;lt;- sum_y / window&#10; &#10; # 计算回归系数&#10; numerator &amp;lt;- sum_xy - sum_x * mean_y&#10; denominator &amp;lt;- sum_x2 - sum_x * mean_x&#10; &#10; # 避免除以零&#10; if (denominator == 0) {&#10; beta[i] &amp;lt;- NA&#10; alpha[i] &amp;lt;- NA&#10; r_squared[i] &amp;lt;- NA&#10; } else {&#10; beta[i] &amp;lt;- numerator / denominator&#10; alpha[i] &amp;lt;- mean_y - beta[i] * mean_x&#10; &#10; # 计算R²&#10; pred_y &amp;lt;- alpha[i] + beta[i] * Rb[start_idx:end_idx]&#10; ss_total &amp;lt;- sum((Ra[start_idx:end_idx] - mean_y)^2)&#10; ss_residual &amp;lt;- sum((Ra[start_idx:end_idx] - pred_y)^2)&#10; r_squared[i] &amp;lt;- 1 - (ss_residual / ss_total)&#10; }&#10; }&#10; &#10; # 返回结果数据框&#10; data.frame(&#10; Date = if(is.ts(Ra) || is.zoo(Ra)) index(Ra)[window:n] else window:n,&#10; Alpha = alpha,&#10; Beta = beta,&#10; R_squared = r_squared&#10; )&#10;}&#10;&#10;# 计算滚动参数&#10;results &amp;lt;- rollSFM(tsla_ret, nasdaq_ret)&#10;tail(results) # 查看最近6个窗口结果&#10;&#10;&#10;&#10;# 创建绘图主题&#10;finance_theme &amp;lt;- theme_minimal() +&#10; theme(&#10; plot.title = element_text(size=14, face=&amp;quot;bold&amp;quot;),&#10; axis.title = element_text(size=12),&#10; panel.grid.minor = element_blank(),&#10; legend.position = &amp;quot;top&amp;quot;&#10; )&#10;&#10;# Beta系数时序图&#10;ggplot(results, aes(x=Date, y=Beta)) +&#10; geom_line(color=&amp;quot;#2b8cbe&amp;quot;, size=1) +&#10; geom_hline(yintercept=1, linetype=&amp;quot;dashed&amp;quot;, color=&amp;quot;#e34a33&amp;quot;) +&#10; labs(title=&amp;quot;TSLA相对NASDAQ的60日滚动Beta系数&amp;quot;,&#10; x=&amp;quot;日期&amp;quot;, y=&amp;quot;Beta系数&amp;quot;) +&#10; scale_x_date(labels=date_format(&amp;quot;%Y-%m&amp;quot;)) +&#10; finance_theme&#10;&#10;# Alpha-Beta联合分布图&#10;ggplot(results, aes(x=Beta, y=Alpha)) +&#10; geom_point(aes(color=R_squared), size=3) +&#10; scale_color_gradient(low=&amp;quot;#fee8c8&amp;quot;, high=&amp;quot;#e34a33&amp;quot;, &#10; name=&amp;quot;R平方值&amp;quot;) +&#10; geom_vline(xintercept=1, linetype=&amp;quot;dotted&amp;quot;) +&#10; geom_hline(yintercept=0, linetype=&amp;quot;dotted&amp;quot;) +&#10; labs(title=&amp;quot;TSLA Alpha-Beta分布（60日窗口）&amp;quot;,&#10; x=&amp;quot;系统性风险(Beta)&amp;quot;, y=&amp;quot;超额收益(Alpha)&amp;quot;) +&#10; finance_theme&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>RSI指标可以作为量化投资的信号因子吗</title><link>https://gewutang.cn/2025/05/04/rsi/</link><pubDate>Sun, 04 May 2025 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2025/05/04/rsi/</guid><description>&lt;h2 id="引言"&gt;&lt;a href="#%e5%bc%95%e8%a8%80" class="header-anchor"&gt;&lt;/a&gt;引言&#10;&lt;/h2&gt;&lt;p&gt;技术指标是基于历史价格和成交量数据构建的分析工具，用于研判市场趋势及买卖时机。常见类型包括趋势指标（如移动平均线）、动量指标（如RSI）、波动率指标（布林带）和成交量指标（OBV）。其中，相对强弱指数（RSI）由韦尔斯·怀尔德于1978年提出，通过计算特定周期（通常14日）内平均涨幅与总波动的比值，衡量价格变化强度。其公式为：RSI = 100 - 100/(1 + 平均涨幅/平均跌幅)，数值在0-100间波动。应用时，70以上视为超买信号，提示潜在回调可能；30以下为超卖信号，暗示反弹机会。进阶用法包括：观察RSI与价格背离判断趋势反转；结合趋势线突破确认交易信号；在30-70区间内运用中位线（50）判断多空力道。&lt;/p&gt;&#10;&lt;p&gt;需注意，在单边行情中RSI易出现钝化，应与趋势指标配合使用以提高准确性。该指标广泛应用于股票、外汇及加密货币市场的短线交易策略。&lt;/p&gt;&#10;&lt;h2 id="策略实现"&gt;&lt;a href="#%e7%ad%96%e7%95%a5%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;策略实现&#10;&lt;/h2&gt;&lt;p&gt;下面我们用R实现一个基于RSI指标的量化交易策略，我们基于quantstrat包实现相关策略，完整代码及注释如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# ======================================================&#10;# 量化交易策略框架搭建（基于quantstrat包）&#10;# 策略逻辑：基于RSI指标的双向交易系统&#10;# 核心流程：环境初始化 -&amp;gt; 策略定义 -&amp;gt; 数据准备 -&amp;gt; 回测执行&#10;# ======================================================&#10;&#10;# ---------------------------&#10;# 1. 包加载与环境清理&#10;# ---------------------------&#10;# 安装必要包（已注释，按需启用）&#10;# install.packages(&amp;quot;devtools&amp;quot;) &#10;# install.packages(&amp;quot;FinancialInstrument&amp;quot;) &#10;# install.packages(&amp;quot;PerformanceAnalytics&amp;quot;) &#10;# devtools::install_github(&amp;quot;braverock/blotter&amp;quot;)&#10;# devtools::install_github(&amp;quot;braverock/quantstrat&amp;quot;)&#10;&#10;# 加载量化策略包&#10;require(quantstrat)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantstrat&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'PerformanceAnalytics'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:graphics':&#10;## &#10;## legend&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: foreach&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 清理历史策略数据（避免残留数据干扰）&#10;suppressWarnings(rm(&amp;quot;order_book.RSI&amp;quot;,pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.RSI&amp;quot;,&amp;quot;portfolio.RSI&amp;quot;,pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;,&#10; &amp;quot;portfolio.st&amp;quot;,&#10; &amp;quot;stock.str&amp;quot;,&#10; &amp;quot;stratRSI&amp;quot;,&#10; &amp;quot;initDate&amp;quot;,&#10; &amp;quot;initEq&amp;quot;,&#10; 'start_t',&#10; 'end_t'&#10; )&#10; )&#10;&#10;# ---------------------------&#10;# 2. 策略主体构建&#10;# ---------------------------&#10;# 创建策略容器&#10;stratRSI &amp;lt;- strategy(&amp;quot;RSI&amp;quot;)&#10;n=2 # 参数示例&#10;&#10;# 2.1 添加技术指标&#10;# 使用经典RSI指标（默认周期14）&#10;stratRSI &amp;lt;- add.indicator(&#10; strategy = stratRSI, &#10; name = &amp;quot;RSI&amp;quot;, # 内置RSI函数&#10; arguments = list(price = quote(getPrice(mktdata))), # 获取价格数据&#10; label = &amp;quot;RSI&amp;quot;&#10;)&#10;&#10;&#10;# 2.2 定义交易信号&#10;# 信号1：RSI上穿70（超买信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; threshold = 70,&#10; column = &amp;quot;RSI&amp;quot;,&#10; relationship = &amp;quot;gt&amp;quot;, # greater than&#10; cross = TRUE # 要求穿越阈值&#10; ),&#10; label = &amp;quot;RSI.gt.70&amp;quot;&#10;)&#10;&#10;# 信号2：RSI下穿30（超卖信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; threshold = 30,&#10; column = &amp;quot;RSI&amp;quot;,&#10; relationship = &amp;quot;lt&amp;quot;, # less than&#10; cross = TRUE&#10; ),&#10; label = &amp;quot;RSI.lt.30&amp;quot;&#10;)&#10;&#10;# 2.3 设置交易规则&#10;# 规则组1：做空规则&#10;# 入场规则：RSI&amp;gt;70时建立空头仓位&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI, &#10; name = 'ruleSignal',&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.gt.70&amp;quot;, # 触发信号列&#10; sigval = TRUE, # 信号有效值&#10; orderqty = -1000, # 卖出数量&#10; ordertype = 'market', # 市价单&#10; orderside = 'short', # 空头方向&#10; pricemethod = 'market',&#10; replace = FALSE, # 不替换现有订单&#10; osFUN = osMaxPos # 使用最大仓位函数&#10; ), &#10; type = 'enter', # 入场规则&#10; path.dep = TRUE # 路径依赖&#10;)&#10;&#10;# 离场规则：RSI&amp;lt;30时平空仓&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI,&#10; name = 'ruleSignal',&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.lt.30&amp;quot;,&#10; sigval = TRUE,&#10; orderqty = 'all', # 平掉全部仓位&#10; ordertype = 'market',&#10; orderside = 'short',&#10; pricemethod = 'market',&#10; replace = FALSE&#10; ),&#10; type = 'exit',&#10; path.dep = TRUE&#10;)&#10;&#10;# 规则组2：做多规则&#10;# 入场规则：RSI&amp;lt;30时建立多头仓位&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI,&#10; name = 'ruleSignal',&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.lt.30&amp;quot;,&#10; sigval = TRUE,&#10; orderqty = 1000, # 买入数量&#10; ordertype = 'market',&#10; orderside = 'long', # 多头方向&#10; pricemethod = 'market',&#10; replace = FALSE,&#10; osFUN = osMaxPos&#10; ),&#10; type = 'enter',&#10; path.dep = TRUE&#10;)&#10;&#10;# 离场规则：RSI&amp;gt;70时平多仓&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI,&#10; name = 'ruleSignal',&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.gt.70&amp;quot;,&#10; sigval = TRUE,&#10; orderqty = 'all',&#10; ordertype = 'market',&#10; orderside = 'long',&#10; pricemethod = 'market',&#10; replace = FALSE&#10; ),&#10; type = 'exit',&#10; path.dep = TRUE&#10;)&#10;&#10;# ---------------------------&#10;# 3. 市场数据准备&#10;# ---------------------------&#10;# 设置基础货币&#10;&#10;currency(&amp;quot;USD&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;currency(&amp;quot;EUR&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;EUR&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 定义交易标的（美国行业ETF）&#10;symbols = c(&amp;quot;XLF&amp;quot;, &amp;quot;XLP&amp;quot;, &amp;quot;XLE&amp;quot;, &amp;quot;XLY&amp;quot;, &amp;quot;XLV&amp;quot;, &amp;quot;XLI&amp;quot;, &amp;quot;XLB&amp;quot;, &amp;quot;XLK&amp;quot;, &amp;quot;XLU&amp;quot;)&#10;# 初始化交易品种数据&#10;for(symbol in symbols){ &#10; # 注册金融工具&#10; stock(symbol, currency=&amp;quot;USD&amp;quot;,multiplier=1)&#10; # 下载历史数据（默认从Yahoo Finance）&#10; getSymbols(symbol)&#10;}&#10;&#10;# 保存数据&#10;# 遍历所有符号&#10;# for (symbol in symbols) {&#10;# # 检查对象是否存在&#10;# if (exists(symbol)) {&#10;# # 生成文件名&#10;# file_name &amp;lt;- paste0(symbol, &amp;quot;.rds&amp;quot;)&#10;# # 保存为RDS文件&#10;# saveRDS(get(symbol), file = file_name)&#10;# # 打印保存信息&#10;# message(&amp;quot;已保存: &amp;quot;, symbol, &amp;quot; -&amp;gt; &amp;quot;, file_name)&#10;# } else {&#10;# warning(&amp;quot;对象 &amp;quot;, symbol, &amp;quot; 不存在&amp;quot;)&#10;# }&#10;#}&#10;&#10;# 可以用类似以下方式测试：&#10;# applySignals(strategy=stratRSI, mktdata=applyIndicators(strategy=stratRSI, mktdata=symbols[1]))&#10;&#10;##### 在此放置演示和测试日期 #################&#10;#&#10;#if(isTRUE(options('in_test')$in_test))&#10;# # 使用测试日期&#10;# {initDate=&amp;quot;2000-01-01&amp;quot; &#10;# endDate=&amp;quot;2024-12-31&amp;quot; &#10;# } else&#10;# # 使用演示默认值&#10;# {initDate=&amp;quot;2000-01-01&amp;quot;&#10;# endDate=Sys.Date()}&#10;&#10;# ---------------------------&#10;# 4. 回测系统初始化&#10;# ---------------------------&#10;# 设置回测参数&#10;initDate = '2000-01-01' # 初始化日期&#10;initEq = 100000 # 初始资金（美元）&#10;port.st = 'RSI' # 组合名称&#10;&#10;# 初始化投资组合&#10;initPortf(port.st, &#10; symbols=symbols, &#10; initDate=initDate)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 初始化账户&#10;initAcct(port.st, &#10; portfolios=port.st, &#10; initDate=initDate,&#10; initEq=initEq)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 初始化订单簿&#10;initOrders(portfolio=port.st, &#10; initDate=initDate)&#10;&#10;# 设置仓位限制（每个品种最大300股，最多3个品种）&#10;for(symbol in symbols){ &#10; addPosLimit(port.st, &#10; symbol, &#10; initDate, &#10; 300, &#10; 3 ) &#10; } &#10;&#10;print(&amp;quot;初始化完成&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;初始化完成&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;end_t&amp;lt;-Sys.time()&#10;print(paste0(&amp;quot;策略循环耗时:&amp;quot;,end_t-start_t))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;策略循环耗时:6.13126289844513&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 查看订单簿&#10;#print(getOrderBook(port.st))&#10;&#10;start_t&amp;lt;-Sys.time()&#10;# 更新组合净值&#10;updatePortf(Portfolio=port.st,Dates=paste('::',as.Date(Sys.time()),sep=''))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-05-08 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2007-01-03/2025-05-07. Using all data&#10;## instead.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;end_t&amp;lt;-Sys.time()&#10;print(paste0(&amp;quot;更新交易账簿耗时:&amp;quot;,end_t-start_t))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;更新交易账簿耗时:0.747688055038452&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 临时修改quantmod图形参数&#10;themelist&amp;lt;-chart_theme()&#10;themelist$col$up.col&amp;lt;-'lightgreen'&#10;themelist$col$dn.col&amp;lt;-'pink'&#10;&#10;for(symbol in symbols){&#10; # dev.new()&#10; chart.Posn(Portfolio=port.st,Symbol=symbol,theme=themelist) # 绘制持仓图&#10; plot(add_RSI(n=2))&#10; print(paste0(symbol,&amp;quot;仓位图&amp;quot;))&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-1.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLF仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-3.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-4.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLP仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-5.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-6.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLE仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-7.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-8.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLY仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-9.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-10.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLV仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-11.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-12.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLI仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-13.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-14.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLB仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-15.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-16.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLK仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-17.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2025/05/04/rsi/index_files/figure-html/unnamed-chunk-3-18.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLU仓位图&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 统计组合表现&#10;ret1 &amp;lt;- PortfReturns(port.st)&#10;ret1$total &amp;lt;- rowSums(ret1)&#10;&#10;&#10;if(&amp;quot;package:PerformanceAnalytics&amp;quot; %in% search() || require(&amp;quot;PerformanceAnalytics&amp;quot;,quietly=TRUE)) {&#10; dev.new()&#10; # 绘制收益率图&#10; charts.PerformanceSummary(ret1$total,geometric=FALSE,wealth.index=TRUE)&#10; print(&amp;quot;策略总体表现&amp;quot;)&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;策略总体表现&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;##### 查看交易统计信息 #########################################&#10;# 查看交易单据&#10;book = getOrderBook(port.st)&#10;# 查看交易统计&#10;stats = tradeStats(port.st)&#10;# 查看组合收益率&#10;rets = PortfReturns(port.st)&#10;################################################################&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>CVaR 和 ES 补充 VaR 的风险度量方法解析（含 R 包应用）</title><link>https://gewutang.cn/2019/07/13/cvar-es/</link><pubDate>Sat, 13 Jul 2019 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2019/07/13/cvar-es/</guid><description>&#10;&#10;&#10;&lt;div id="理论基础概述" class="section level1"&gt;&#10;&lt;h1&gt;理论基础概述&lt;/h1&gt;&#10;&lt;p&gt;在金融风险管理领域，风险价值（VaR）是一种广泛使用的风险度量工具，它衡量在一定置信水平下，某一金融资产或投资组合在未来特定时期内可能遭受的最大损失。然而，VaR 存在一些局限性，主要体现在以下几个方面：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;缺乏次可加性：在某些情况下，投资组合的 VaR 可能大于其各组成部分 VaR 之和，这与分散投资降低风险的直觉相悖。&lt;/li&gt;&#10;&lt;li&gt;对尾部风险的刻画不足：VaR 只关注损失分布的分位数点，而不考虑超过该点的损失程度。&lt;/li&gt;&#10;&lt;li&gt;不满足一致性风险度量的要求：VaR 不满足一致性风险度量公理中的次可加性、正齐次性、单调性和平移不变性。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;为了克服 VaR 的这些局限性，条件风险价值（CVaR）和预期短缺（ES）作为更高级的风险度量方法被提出。CVaR 与 ES 的基本概念条件风险价值（Conditional Value at Risk, CVaR），也称为平均短缺（Average Shortfall, AS）或预期短缺（Expected Shortfall, ES），是指在给定置信水平下，超过 VaR 的损失的期望值。&lt;/p&gt;&#10;&lt;p&gt;它不仅考虑了损失超过 VaR 的概率，还考虑了超过部分的大小，因此能更全面地反映尾部风险。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="数学公式解析" class="section level1"&gt;&#10;&lt;h1&gt;数学公式解析&lt;/h1&gt;&#10;&lt;div id="var-的数学定义" class="section level2"&gt;&#10;&lt;h2&gt;VaR 的数学定义&lt;/h2&gt;&#10;&lt;p&gt;对于给定的投资组合收益率 R 和置信水平 &lt;span class="math inline"&gt;\(\alpha\)&lt;/span&gt;，VaR 可以定义为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;\text{VaR}_\alpha = -\inf \{ x \in \mathbb{R} : F_R(x) \geq \alpha \}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;其中，&lt;span class="math inline"&gt;\(F_R(x)\)&lt;/span&gt; 是收益率 &lt;span class="math inline"&gt;\(R\)&lt;/span&gt; 的累积分布函数。&lt;/p&gt;&#10;&lt;p&gt;在实际应用中，VaR 通常表示为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;P(R \leq -\text{VaR}_\alpha) = 1 - \alpha&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="cvares-的数学定义" class="section level2"&gt;&#10;&lt;h2&gt;CVaR/ES 的数学定义&lt;/h2&gt;&#10;&lt;p&gt;CVaR/ES 在置信水平 &lt;span class="math inline"&gt;\(\alpha\)&lt;/span&gt; 下的定义为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;\text{CVaR}_\alpha = \text{ES}_\alpha = \mathbb{E}[-R | R \leq -\text{VaR}_\alpha]&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;当收益率分布连续时，CVaR/ES 可以表示为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;\text{ES}_\alpha = \frac{1}{1-\alpha} \int_{0}^{1-\alpha} \text{VaR}_p \, dp&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;这个公式表明，ES 是所有低于 &lt;span class="math inline"&gt;\(\alpha\)&lt;/span&gt; 置信水平的 VaR 的平均值。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="r-语言实现示例" class="section level1"&gt;&#10;&lt;h1&gt;R 语言实现示例&lt;/h1&gt;&#10;&lt;p&gt;下面通过 R 语言实现基于纳斯达克数据的 VaR、CVaR 和 ES 计算，使用 quantmod 包获取数据，并对比不同 R 包的计算方法。&lt;/p&gt;&#10;&lt;div id="使用-quantmod-获取数据" class="section level2"&gt;&#10;&lt;h2&gt;使用 quantmod 获取数据&lt;/h2&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要的包&#10;library(quantmod)&#10;library(PerformanceAnalytics)&#10;library(xts)&#10;library(tibble)&#10;library(dplyr)&#10;library(ggplot2)&#10;library(showtext) # 用于设置中文字体&#10;&#10;# 设置中文字体&#10;font_add(&amp;quot;SimHei&amp;quot;, &amp;quot;SimHei.ttf&amp;quot;) # 如果字体已安装&#10;# 如果字体未安装，可以尝试系统字体路径&#10;# font_add(&amp;quot;SimHei&amp;quot;, &amp;quot;/path/to/SimHei.ttf&amp;quot;) # Linux/Mac&#10;# font_add(&amp;quot;SimHei&amp;quot;, &amp;quot;C:/Windows/Fonts/simhei.ttf&amp;quot;) # Windows&#10;&#10;showtext_auto() # 自动启用showtext&#10;&#10;# 获取纳斯达克综合指数数据&#10;getSymbols(&amp;quot;^IXIC&amp;quot;, from = &amp;quot;2020-01-01&amp;quot;, to = Sys.Date())&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;IXIC&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 计算日对数收益率&#10;returns &amp;lt;- diff(log(Cl(IXIC)))&#10;returns &amp;lt;- na.omit(returns)&#10;&#10;# 设置置信水平&#10;alpha &amp;lt;- 0.95&#10;risk_results &amp;lt;- list()&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="使用不同-r-包计算-escvar" class="section level2"&gt;&#10;&lt;h2&gt;使用不同 R 包计算 ES/CVaR&lt;/h2&gt;&#10;&lt;div id="performanceanalytics-包" class="section level3"&gt;&#10;&lt;h3&gt;PerformanceAnalytics 包&lt;/h3&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 使用PerformanceAnalytics包计算ES&#10;&#10;VaR_historical &amp;lt;- PerformanceAnalytics::VaR(returns, p = alpha , method = &amp;quot;historical&amp;quot;)&#10;VaR_gaussian &amp;lt;- PerformanceAnalytics::VaR(returns, p = alpha , method = &amp;quot;gaussian&amp;quot;)&#10;es_historical &amp;lt;- PerformanceAnalytics::ES(returns, p = alpha, method = &amp;quot;historical&amp;quot;)&#10;es_gaussian &amp;lt;- PerformanceAnalytics::ES(returns, p = alpha, method = &amp;quot;gaussian&amp;quot;)&#10;&#10;cat(&amp;quot;PerformanceAnalytics包计算结果:\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## PerformanceAnalytics包计算结果:&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;历史模拟法 VaR:&amp;quot;, round(VaR_historical * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 历史模拟法 VaR: -2.58 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;正态分布假设 VaR:&amp;quot;, round(VaR_gaussian * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 正态分布假设 VaR: -2.64 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;历史模拟法 ES:&amp;quot;, round(es_historical * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 历史模拟法 ES: -3.91 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;正态分布假设 ES:&amp;quot;, round(es_gaussian * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 正态分布假设 ES: -3.32 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;risk_results[[&amp;quot;performance&amp;quot;]] &amp;lt;- list(&#10; VaR_historical = VaR_historical,&#10; VaR_gaussian = VaR_gaussian,&#10; es_historical = es_historical,&#10; es_gaussian = es_gaussian&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="fgarch-包" class="section level3"&gt;&#10;&lt;h3&gt;fGarch 包&lt;/h3&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 使用fGarch包计算ES&#10;library(fGarch)&#10;# 拟合GARCH模型并预测&#10;garch_model &amp;lt;- garchFit(~garch(1,1), data = returns, trace = FALSE)&#10;forecast &amp;lt;- predict(garch_model, n.ahead = 1)&#10;es_garch &amp;lt;- tail(fGarch::ES(garch_model), n = 1)&#10;var_garch &amp;lt;- tail(fGarch::VaR(garch_model), n = 1)&#10;cat(&amp;quot;\nfGarch包计算结果:\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## fGarch包计算结果:&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;GARCH模型预测 VaR:&amp;quot;, round(var_garch * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GARCH模型预测 VaR: 1.47 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;GARCH模型预测 ES:&amp;quot;, round(es_garch * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GARCH模型预测 ES: 1.86 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;risk_results[[&amp;quot;fgarch&amp;quot;]] &amp;lt;- list(&#10; var_garch = var_garch,&#10; es_garch = es_garch&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="cvar包针对连续分布的vares计算" class="section level3"&gt;&#10;&lt;h3&gt;cvar包（针对连续分布的VaR/ES计算）&lt;/h3&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;if (!require(&amp;quot;cvar&amp;quot;)) install.packages(&amp;quot;cvar&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: cvar&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;cvar&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:PerformanceAnalytics&amp;#39;:&#10;## &#10;## ES, VaR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(cvar)&#10;&#10;# 标准正态分布计算&#10;gaussian_es &amp;lt;- list(&#10; qf = cvar::ES(qnorm, dist.type = &amp;quot;qf&amp;quot;), # 使用分位数函数&#10; cdf = cvar::ES(pnorm, dist.type = &amp;quot;cdf&amp;quot;) # 使用累积分布函数&#10;)&#10;&#10;# t分布计算（df=4）&#10;t_dist_es &amp;lt;- list(&#10; qf = cvar::ES(qt, dist.type = &amp;quot;qf&amp;quot;, df = 4),&#10; cdf = cvar::ES(pt, dist.type = &amp;quot;cdf&amp;quot;, df = 4)&#10;)&#10;&#10;risk_results[[&amp;quot;cvar&amp;quot;]] &amp;lt;- list(&#10; gaussian_es = gaussian_es,&#10; t_dist_es = t_dist_es&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="5" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;rugarch 包&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要的包&#10;library(rugarch)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: parallel&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(xts) # 处理时间序列数据&#10;&#10;# 定义GARCH模型（使用偏态t分布）&#10;spec &amp;lt;- ugarchspec(&#10; variance.model = list(model = &amp;quot;sGARCH&amp;quot;, garchOrder = c(1, 1)),&#10; mean.model = list(armaOrder = c(0, 0), include.mean = TRUE),&#10; distribution.model = &amp;quot;sstd&amp;quot; # 偏态t分布&#10;)&#10;&#10;# 拟合模型&#10;fit &amp;lt;- ugarchfit(spec, data = returns, solver = &amp;quot;hybrid&amp;quot;)&#10;&#10;# 使用固定参数重新过滤数据&#10;spec2 &amp;lt;- spec&#10;setfixed(spec2) &amp;lt;- as.list(coef(fit))&#10;filt &amp;lt;- ugarchfilter(spec2, data = returns, n.old = 1000)&#10;&#10;# 提取拟合值和波动率&#10;mu &amp;lt;- fitted(filt) # 条件均值&#10;sigma_t &amp;lt;- sigma(filt) # 条件波动率&#10;&#10;# 获取分布参数&#10;skew &amp;lt;- coef(fit)[&amp;quot;skew&amp;quot;]&#10;shape &amp;lt;- coef(fit)[&amp;quot;shape&amp;quot;]&#10;&#10;# 计算VaR (使用向量化方法)&#10;p &amp;lt;- 0.05 # 置信水平(1-95%)&#10;VaR &amp;lt;- mu + sigma_t * qdist(&amp;quot;sstd&amp;quot;, p = p, mu = 0, sigma = 1, skew = skew, shape = shape)&#10;&#10;# 计算ES (使用数值积分)&#10;es_integrand &amp;lt;- function(x) {&#10; qdist(&amp;quot;sstd&amp;quot;, p = x, mu = 0, sigma = 1, skew = skew, shape = shape)&#10;}&#10;&#10;# 向量化积分计算（对每个时间点单独计算ES）&#10;ES &amp;lt;- numeric(length(returns))&#10;for (i in 1:length(returns)) {&#10; int_result &amp;lt;- integrate(es_integrand, lower = 0, upper = p, subdivisions = 1000)&#10; ES[i] &amp;lt;- mu[i] + sigma_t[i] * int_result$value / p&#10;}&#10;&#10;# 确保所有向量长度一致（处理可能的长度差异）&#10;min_len &amp;lt;- min(length(returns), length(VaR), length(ES))&#10;actual &amp;lt;- as.numeric(tail(returns, min_len))&#10;VaR &amp;lt;- tail(as.numeric(tail(VaR, min_len)),1)&#10;ES &amp;lt;- tail(as.numeric(tail(ES, min_len)),1)&#10;&#10;risk_results[[&amp;quot;rugarch&amp;quot;]] &amp;lt;- list(&#10; VaR = VaR,&#10; ES = ES&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="4" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;gets包（基于ARX模型的条件风险度量）&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要的包&#10;library(gets)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;gets&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:cvar&amp;#39;:&#10;## &#10;## ES, VaR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:fGarch&amp;#39;:&#10;## &#10;## ES, VaR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:PerformanceAnalytics&amp;#39;:&#10;## &#10;## ES, VaR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;returns &amp;lt;- diff(log(Cl(IXIC))) &#10;returns &amp;lt;- as.vector(na.omit(returns)) # 强制转换为普通向量&#10;&#10;# 设置置信水平&#10;alpha &amp;lt;- 0.95&#10;&#10;# 构建ARX模型（滞后1阶）&#10;# 使用普通向量而非xts对象&#10;arx_model &amp;lt;- arx(returns, mc=TRUE, ar=1) # 直接使用向量格式&#10;&#10;# 计算VaR和ES&#10;risk_results[[&amp;quot;gets&amp;quot;]] &amp;lt;- list(&#10; VaR = quantile(arx_model$residuals, probs=1-alpha),&#10; ES = mean(arx_model$residuals[arx_model$residuals &amp;lt;= quantile(arx_model$residuals, probs=1-alpha)])&#10;)&#10;&#10;# 打印结果&#10;cat(&amp;quot;ARX模型风险度量结果:\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ARX模型风险度量结果:&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;VaR (&amp;quot;, alpha*100, &amp;quot;%):&amp;quot;, round(risk_results[[&amp;quot;gets&amp;quot;]]$VaR*100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## VaR ( 95 %): -2.64 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;ES (&amp;quot;, alpha*100, &amp;quot;%):&amp;quot;, round(risk_results[[&amp;quot;gets&amp;quot;]]$ES*100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ES ( 95 %): -3.93 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="5" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;MSGARCH包（贝叶斯方法的风险预测）&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;if (!require(&amp;quot;MSGARCH&amp;quot;)) install.packages(&amp;quot;MSGARCH&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: MSGARCH&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(MSGARCH)&#10;spec_msgarch &amp;lt;- CreateSpec()&#10;fit_msgarch &amp;lt;- FitML(spec_msgarch, data = returns)&#10;risk_msgarch &amp;lt;- Risk(fit_msgarch, n.ahead = 1, level = alpha)&#10;risk_results[[&amp;quot;MSGARCH&amp;quot;]] &amp;lt;- list(&#10; VaR = as.numeric(risk_msgarch$VaR),&#10; ES = as.numeric(risk_msgarch$ES)&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="6" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;VaRES包（多种参数分布的风险度量）&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;if (!require(&amp;quot;VaRES&amp;quot;)) install.packages(&amp;quot;VaRES&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: VaRES&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(VaRES)&#10;&#10;returns &amp;lt;- diff(log(Cl(IXIC))) &#10;returns &amp;lt;- as.vector(na.omit(returns)) # 强制转换为普通向量&#10;&#10;# 手动计算 VaR 和 ES（假设 df = 4）&#10;df &amp;lt;- 4&#10;alpha &amp;lt;- 0.05 # 95% 置信水平&#10;&#10;# 计算 t 分布的 VaR&#10;VaR_t &amp;lt;- -quantile(rt(n = 1e6, df = df), probs = alpha) * sd(returns)&#10;&#10;# 计算 t 分布的 ES（解析解）&#10;ES_t &amp;lt;- (dt(qt(alpha, df = df), df = df) / alpha) * &#10; ((df + qt(alpha, df = df)^2) / (df - 2)) * &#10; sd(returns)&#10;&#10;risk_results[[&amp;quot;VaRES&amp;quot;]] &amp;lt;- list(VaR = VaR_t, ES = ES_t)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="结果对比与可视化" class="section level1"&gt;&#10;&lt;h1&gt;结果对比与可视化&lt;/h1&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 从risk_results中提取各方法的VaR和ES（统一格式：保留数值，处理符号）&#10;returns_vec &amp;lt;- as.vector(returns) # 转换为向量用于部分模型&#10;&#10;results &amp;lt;- tibble(&#10; 方法 = c(&#10; &amp;quot;历史模拟法&amp;quot;, &#10; &amp;quot;正态分布假设&amp;quot;, &#10; &amp;quot;GARCH(fGarch)&amp;quot;, &#10; &amp;quot;GARCH(rugarch)&amp;quot;, &#10; &amp;quot;MSGARCH&amp;quot;, &#10; &amp;quot;ARX模型(gets)&amp;quot;, &#10; &amp;quot;t分布(VaRES)&amp;quot;&#10; ),&#10; # 提取VaR（统一为损失幅度，取绝对值或修正符号）&#10; VaR = c(&#10; as.numeric(risk_results$performance$VaR_historical) %&amp;gt;% abs(), # 历史模拟法&#10; as.numeric(risk_results$performance$VaR_gaussian) %&amp;gt;% abs(), # 正态分布&#10; as.numeric(risk_results$fgarch$var_garch), # fGarch&#10; as.numeric(risk_results$rugarch$VaR) %&amp;gt;% abs(), # rugarch&#10; as.numeric(risk_results$MSGARCH$VaR[1]) %&amp;gt;% abs(), # MSGARCH（取第一个结果）&#10; as.numeric(risk_results$gets$VaR) %&amp;gt;% abs(), # ARX模型&#10; as.numeric(risk_results$VaRES$VaR) # VaRES包&#10; ),&#10; # 提取ES（统一为损失幅度，取绝对值或修正符号）&#10; ES = c(&#10; as.numeric(risk_results$performance$es_historical) %&amp;gt;% abs(), # 历史模拟法&#10; as.numeric(risk_results$performance$es_gaussian) %&amp;gt;% abs(), # 正态分布&#10; as.numeric(risk_results$fgarch$es_garch), # fGarch&#10; as.numeric(risk_results$rugarch$ES) %&amp;gt;% abs(), # rugarch&#10; as.numeric(risk_results$MSGARCH$ES[1]) %&amp;gt;% abs(), # MSGARCH（取第一个结果）&#10; as.numeric(risk_results$gets$ES) %&amp;gt;% abs(), # ARX模型&#10; as.numeric(risk_results$VaRES$ES) # VaRES包&#10; )&#10;)&#10;&#10;# 转换为百分比（乘以100）&#10;results &amp;lt;- results %&amp;gt;% &#10; mutate(&#10; VaR_pct = VaR * 100,&#10; ES_pct = ES * 100&#10; )&#10;&#10;&#10;&#10;# 不同方法的ES对比图&#10;ggplot(results, aes(x = 方法, y = ES_pct, fill = 方法)) +&#10; geom_col(width = 0.7, show.legend = FALSE) + # 柱状图，不显示图例&#10; geom_text(&#10; aes(label = sprintf(&amp;quot;%.2f%%&amp;quot;, ES_pct)), # 显示百分比标签&#10; vjust = -0.5, size = 4, family = &amp;quot;SimHei&amp;quot;&#10; ) +&#10; labs(&#10; title = &amp;quot;不同方法计算的预期损失(ES)对比&amp;quot;,&#10; x = &amp;quot;风险度量方法&amp;quot;,&#10; y = &amp;quot;ES（%）&amp;quot;,&#10; caption = &amp;quot;数据来源：纳斯达克指数(2020-2025)日对数收益率&amp;quot;&#10; ) +&#10; ylim(0, max(results$ES_pct) * 1.2) + # 调整y轴范围，避免标签超出&#10; theme_minimal(base_family = &amp;quot;SimHei&amp;quot;) +&#10; theme(&#10; plot.title = element_text(hjust = 0.5, face = &amp;quot;bold&amp;quot;, size = 14),&#10; axis.text.x = element_text(angle = 45, hjust = 1, size = 10),&#10; plot.caption = element_text(hjust = 0, size = 8, color = &amp;quot;gray50&amp;quot;)&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2019/07/13/cvar-es/index_files/figure-html/unnamed-chunk-9-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 不同方法的VaR对比图&#10;ggplot(results, aes(x = 方法, y = VaR_pct, fill = 方法)) +&#10; geom_col(width = 0.7, show.legend = FALSE) +&#10; geom_text(&#10; aes(label = sprintf(&amp;quot;%.2f%%&amp;quot;, VaR_pct)),&#10; vjust = -0.5, size = 4, family = &amp;quot;SimHei&amp;quot;&#10; ) +&#10; labs(&#10; title = &amp;quot;不同方法计算的风险价值(VaR)对比&amp;quot;,&#10; x = &amp;quot;风险度量方法&amp;quot;,&#10; y = &amp;quot;VaR（%）&amp;quot;,&#10; caption = &amp;quot;数据来源：纳斯达克指数(2020-2025)日对数收益率&amp;quot;&#10; ) +&#10; ylim(0, max(results$VaR_pct) * 1.2) +&#10; theme_minimal(base_family = &amp;quot;SimHei&amp;quot;) +&#10; theme(&#10; plot.title = element_text(hjust = 0.5, face = &amp;quot;bold&amp;quot;, size = 14),&#10; axis.text.x = element_text(angle = 45, hjust = 1, size = 10),&#10; plot.caption = element_text(hjust = 0, size = 8, color = &amp;quot;gray50&amp;quot;)&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2019/07/13/cvar-es/index_files/figure-html/unnamed-chunk-9-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 收益率分布与ES标记&#10;# 绘制收益率直方图，并标记历史模拟法ES&#10;p &amp;lt;- ggplot(data = tibble(returns = returns_vec), aes(x = returns)) +&#10; geom_histogram(&#10; aes(y = after_stat(density)), # 密度直方图&#10; bins = 50, fill = &amp;quot;lightblue&amp;quot;, color = &amp;quot;white&amp;quot;&#10; ) +&#10; # 添加核密度曲线&#10; geom_density(color = &amp;quot;darkblue&amp;quot;, linewidth = 0.8) +&#10; # 标记历史模拟法ES（取绝对值对应的收益率位置）&#10; geom_vline(&#10; xintercept = -results$ES[results$方法 == &amp;quot;历史模拟法&amp;quot;] / 100, # 转换为收益率（负值表示损失）&#10; color = &amp;quot;red&amp;quot;, linewidth = 1.2, linetype = &amp;quot;dashed&amp;quot;&#10; ) +&#10; annotate(&#10; &amp;quot;text&amp;quot;, x = -results$ES[results$方法 == &amp;quot;历史模拟法&amp;quot;] / 100, y = 5,&#10; label = sprintf(&amp;quot;历史模拟法ES: %.2f%%&amp;quot;, results$ES[results$方法 == &amp;quot;历史模拟法&amp;quot;]),&#10; color = &amp;quot;red&amp;quot;, hjust = 1.1, family = &amp;quot;SimHei&amp;quot;&#10; ) +&#10; labs(&#10; title = &amp;quot;纳斯达克指数日对数收益率分布&amp;quot;,&#10; x = &amp;quot;日对数收益率&amp;quot;,&#10; y = &amp;quot;密度&amp;quot;&#10; ) +&#10; theme_minimal(base_family = &amp;quot;SimHei&amp;quot;) +&#10; theme(&#10; plot.title = element_text(hjust = 0.5, face = &amp;quot;bold&amp;quot;)&#10; )&#10;print(p)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2019/07/13/cvar-es/index_files/figure-html/unnamed-chunk-9-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# ----------------------&#10;# 输出数值结果&#10;# ----------------------&#10;cat(&amp;quot;各方法风险度量结果（百分比）：\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 各方法风险度量结果（百分比）：&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;results %&amp;gt;% &#10; select(方法, VaR_pct, ES_pct) %&amp;gt;% &#10; rename(&#10; &amp;quot;风险度量方法&amp;quot; = 方法,&#10; &amp;quot;VaR（%）&amp;quot; = VaR_pct,&#10; &amp;quot;ES（%）&amp;quot; = ES_pct&#10; ) %&amp;gt;% &#10; print(n = Inf)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## # A tibble: 7 × 3&#10;## 风险度量方法 `VaR（%）` `ES（%）`&#10;## &amp;lt;chr&amp;gt; &amp;lt;dbl&amp;gt; &amp;lt;dbl&amp;gt;&#10;## 1 历史模拟法 2.58 3.91&#10;## 2 正态分布假设 2.64 3.32&#10;## 3 GARCH(fGarch) 1.47 1.86&#10;## 4 GARCH(rugarch) 1.48 2.07&#10;## 5 MSGARCH 2.25 2.73&#10;## 6 ARX模型(gets) 2.64 3.93&#10;## 7 t分布(VaRES) 3.47 7.87&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;结论CVaR 和 ES 作为 VaR 的补充工具，能够更全面地度量金融风险，尤其是在处理尾部风险时表现更为出色。通过结合使用 VaR、CVaR 和 ES，风险管理者可以获得更完整的风险图景，从而做出更明智的风险管理决策。在实际应用中，应根据投资组合的特性和市场环境选择合适的风险度量方法。&lt;/p&gt;&#10;&lt;p&gt;不同 R 包提供了多种计算 ES/CVaR 的方法，各有特点：PerformanceAnalytics：简单易用，支持多种分布假设RiskPortfolios：专注投资组合风险分析fGarch/rugarch：适合结合 GARCH 模型处理时变波动率ExpectedShortfall：提供 ES 回测功能建议结合数据特性（如是否存在厚尾、波动聚类等）选择合适的模型，并对比不同方法的结果以确保对极端风险的充分考虑。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>基于双均线交叉与追踪止损的交易策略</title><link>https://gewutang.cn/2018/07/27/macross-stoptrailing/</link><pubDate>Fri, 27 Jul 2018 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2018/07/27/macross-stoptrailing/</guid><description>&#10;&#10;&#10;&lt;p&gt;在趋势跟踪策略中，移动平均线交叉是识别趋势转折的经典方法，而止损机制则是控制风险的关键补充。本文解析的 R 语言代码，基于quantstrat包实现了一套融合双均线交叉信号与追踪止损的交易策略，以 AAPL 为标的展示了从策略构建到回测的完整流程。通过明确的信号规则与风险控制机制，该策略为趋势跟踪的量化实现提供了可参考的框架。&lt;/p&gt;&#10;&lt;div id="核心指标与策略逻辑" class="section level1"&gt;&#10;&lt;h1&gt;核心指标与策略逻辑&lt;/h1&gt;&#10;&lt;p&gt;策略的核心指标是两条简单移动平均线（SMA）：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;快速 SMA（5 日）：基于最近 5 个交易日的收盘价计算，反映短期价格趋势。&lt;/li&gt;&#10;&lt;li&gt;慢速 SMA（75 日）：基于最近 75 个交易日的收盘价计算，反映中长期价格趋势。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;策略逻辑围绕两条均线的交叉展开：当快速 SMA 从下方上穿慢速 SMA 时，视为多头趋势确立，生成买入信号；当快速 SMA 从上方下穿慢速 SMA 时，视为趋势转弱，生成卖出信号。同时，为避免趋势反转时的大额亏损，策略加入了追踪止损（stoptrailing）机制 —— 当价格从持仓后的高点回落一定比例时，自动平仓离场，锁定部分收益。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略代码" class="section level1"&gt;&#10;&lt;h1&gt;策略代码&lt;/h1&gt;&#10;&lt;p&gt;以下是完整的策略代码，包含逐段注释以解释各环节功能：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;###############################################################################&#10;# 一个使用简单均线交叉策略的演示脚本，包含追踪止损，用于测试&#10;###############################################################################&#10;&#10;# 加载quantstrat包，用于量化策略开发与回测&#10;library(quantstrat)&#10;&#10;# 策略参数设置&#10;init_date &amp;lt;- &amp;quot;2017-01-01&amp;quot; # 初始化日期&#10;start_date &amp;lt;- &amp;quot;2017-01-01&amp;quot; # 回测开始日期&#10;end_date &amp;lt;- &amp;quot;2018-12-31&amp;quot; # 回测结束日期&#10;init_equity &amp;lt;- 1e4 # 初始资金1万美元&#10;.orderqty &amp;lt;- 100 # 订单数量（后续规则中实际使用1000）&#10;Sys.setenv(TZ = &amp;quot;UTC&amp;quot;) # 设置时区为UTC，避免日期处理问题&#10;fast &amp;lt;- 5 # 快速SMA周期（5日）&#10;slow &amp;lt;- 75 # 慢速SMA周期（75日）&#10;symbols &amp;lt;- symbol &amp;lt;- &amp;quot;AAPL&amp;quot; # 交易标的为AAPL&#10;tradesize = 1e4 # 交易规模（1万美元）&#10;&#10;# 定义货币与标的属性：AAPL以美元计价，合约乘数为1&#10;currency(&amp;#39;USD&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载AAPL历史数据（此处使用内置数据，也可从雅虎财经下载）&#10;data(AAPL)&#10;stock(symbols, currency = &amp;quot;USD&amp;quot;, multiplier = 1)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 初始化组合、账户与订单簿&#10;portfolio.st &amp;lt;- &amp;quot;Port.Luxor&amp;quot; # 组合名称&#10;account.st &amp;lt;- &amp;quot;Acct.Luxor&amp;quot; # 账户名称&#10;strategy.st &amp;lt;- &amp;quot;Strat.Luxor&amp;quot; # 策略名称&#10;&#10;# 清理旧策略数据，确保回测环境纯净&#10;rm.strat(strategy.st)&#10;rm.strat(portfolio.st)&#10;rm.strat(account.st)&#10;&#10;# 初始化投资组合：指定标的与初始化日期&#10;initPortf(&#10; name = portfolio.st,&#10; symbols = symbols,&#10; initDate = init_date&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Port.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 初始化账户：关联组合，设置初始资金&#10;initAcct(&#10; name = account.st,&#10; portfolios = portfolio.st,&#10; initDate = init_date,&#10; initEq = init_equity&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Acct.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 初始化订单簿：记录交易订单&#10;initOrders(&#10; portfolio = portfolio.st,&#10; symbols = symbols,&#10; initDate = init_date&#10;)&#10;&#10;# 创建策略对象并存储到环境中&#10;strategy(strategy.st, store = TRUE)&#10;&#10;# 添加技术指标：快速SMA与慢速SMA&#10;add.indicator(&#10; strategy = strategy.st,&#10; name = &amp;quot;SMA&amp;quot;, # 使用SMA函数计算移动平均线&#10; arguments = list(x = quote(Cl(mktdata)), n = fast), # 输入为收盘价，周期5日&#10; label = &amp;quot;nFast&amp;quot; # 指标标签：快速SMA&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add.indicator(&#10; strategy = strategy.st,&#10; name = &amp;quot;SMA&amp;quot;,&#10; arguments = list(x = quote(Cl(mktdata)), n = slow), # 周期75日&#10; label = &amp;quot;nSlow&amp;quot; # 指标标签：慢速SMA&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 生成交易信号：基于双均线交叉&#10;# 信号1：快速SMA上穿慢速SMA（大于关系），视为多头信号（LONG）&#10;add.signal(&#10; strategy.st,&#10; name = &amp;quot;sigCrossover&amp;quot;, # 交叉信号函数&#10; arguments = list(&#10; column = c(&amp;quot;nFast&amp;quot;, &amp;quot;nSlow&amp;quot;), # 对比快速与慢速SMA&#10; relationship = &amp;quot;gt&amp;quot; # 大于（上穿）&#10; ),&#10; label = &amp;quot;LONG&amp;quot; # 信号标签：买入&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 信号2：快速SMA下穿慢速SMA（小于关系），视为空头信号（SHORT）&#10;add.signal(&#10; strategy.st,&#10; name = &amp;quot;sigCrossover&amp;quot;,&#10; arguments = list(&#10; column = c(&amp;quot;nFast&amp;quot;, &amp;quot;nSlow&amp;quot;),&#10; relationship = &amp;quot;lt&amp;quot; # 小于（下穿）&#10; ),&#10; label = &amp;quot;SHORT&amp;quot; # 信号标签：卖出&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 入场规则：当LONG信号触发时，以限价单买入&#10;add.rule(&#10; strategy.st,&#10; name = &amp;quot;ruleSignal&amp;quot;, # 基于信号的规则&#10; arguments = list(&#10; sigcol = &amp;quot;LONG&amp;quot;, # 触发信号列：LONG&#10; sigval = TRUE, # 信号值为TRUE时执行&#10; orderside = &amp;quot;long&amp;quot;, # 做多方向&#10; ordertype = &amp;quot;limit&amp;quot;, # 限价单&#10; threshold = 1/100, # 阈值（相对于参考价格的比例）&#10; tmult = T, # 阈值为比例（而非固定值）&#10; orderqty = 1000, # 订单数量：1000股&#10; prefer = &amp;quot;Open&amp;quot;, # 参考价格为开盘价&#10; TxnFees = -10, # 交易费用：-10美元（每次交易成本）&#10; orderset = &amp;quot;ocolong&amp;quot;, # 订单集标签，用于管理相关订单&#10; replace = F # 不替换未成交订单&#10; ),&#10; type = &amp;quot;enter&amp;quot;, # 入场规则&#10; enabled = T, # 启用规则&#10; label = &amp;quot;EnterLONG&amp;quot; # 规则标签&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 出场规则：当SHORT信号触发时，平掉所有多头持仓&#10;add.rule(&#10; strategy = strategy.st,&#10; name = &amp;quot;ruleSignal&amp;quot;,&#10; arguments = list(&#10; sigcol = &amp;quot;SHORT&amp;quot;, # 触发信号列：SHORT&#10; sigval = TRUE,&#10; orderqty = &amp;#39;all&amp;#39;, # 平仓全部持仓&#10; orderside = &amp;#39;long&amp;#39;, # 针对多头持仓&#10; ordertype = &amp;quot;market&amp;quot;, # 市价单（确保快速平仓）&#10; prefer = &amp;quot;Open&amp;quot;, # 参考价格为开盘价&#10; TxnFees = -10, # 交易费用&#10; orderset = &amp;quot;ocolong&amp;quot;,&#10; replace = F&#10; ),&#10; type = &amp;quot;exit&amp;quot;, # 出场规则&#10; enabled = T,&#10; parent = &amp;quot;EnterLONG&amp;quot;, # 关联入场规则，确保对应持仓平仓&#10; label = &amp;quot;Exit2SHORT&amp;quot;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 止损规则：追踪止损，控制单边趋势反转风险&#10;add.rule(&#10; strategy.st,&#10; name = &amp;quot;ruleSignal&amp;quot;,&#10; arguments = list(&#10; sigcol = &amp;quot;LONG&amp;quot;, # 与入场信号关联&#10; sigval = TRUE,&#10; orderside = &amp;quot;long&amp;quot;,&#10; ordertype = &amp;quot;stoptrailing&amp;quot;, # 追踪止损单&#10; orderqty = &amp;quot;all&amp;quot;, # 平仓全部持仓&#10; prefer = &amp;quot;Close&amp;quot;, # 参考价格为收盘价&#10; threshold = 2/100, # 追踪止损比例：2%（从高点回落2%平仓）&#10; tmult = T, # 阈值为比例&#10; TxnFees = -10,&#10; orderset = &amp;quot;ocolong&amp;quot;,&#10; replace = F&#10; ),&#10; type = &amp;quot;chain&amp;quot;, # 链式规则（跟随入场规则触发）&#10; parent = &amp;quot;EnterLONG&amp;quot;, # 基于EnterLONG规则触发的持仓&#10; enabled = T,&#10; label = &amp;quot;StopTrailingLONG&amp;quot; # 规则标签：多头追踪止损&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strat.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 执行策略回测&#10;applyStrategy(strategy = strategy.st, portfolios = portfolio.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2017-07-27 00:00:00 AAPL 1000 @ 141.598281619503&amp;quot;&#10;## [1] &amp;quot;2017-08-03 00:00:00 AAPL -1000 @ 150.70126151877&amp;quot;&#10;## [1] &amp;quot;2017-10-04 00:00:00 AAPL 1000 @ 147.350684699421&amp;quot;&#10;## [1] &amp;quot;2017-10-19 00:00:00 AAPL -1000 @ 151.241571914452&amp;quot;&#10;## [1] &amp;quot;2018-03-22 00:00:00 AAPL 1000 @ 166.357919238892&amp;quot;&#10;## [1] &amp;quot;2018-03-23 00:00:00 AAPL -1000 @ 163.030760854114&amp;quot;&#10;## [1] &amp;quot;2018-04-19 00:00:00 AAPL 1000 @ 168.23487944963&amp;quot;&#10;## [1] &amp;quot;2018-04-20 00:00:00 AAPL -1000 @ 164.870181860637&amp;quot;&#10;## [1] &amp;quot;2018-11-23 00:00:00 AAPL 1000 @ 171.574945095388&amp;quot;&#10;## [1] &amp;quot;2018-11-26 00:00:00 AAPL -1000 @ 168.14344619348&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 更新组合与账户数据&#10;updatePortf(portfolio.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Port.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;daterange &amp;lt;- time(getPortfolio(portfolio.st)$summary)[-1] # 获取交易日期范围&#10;updateAcct(account.st, daterange) # 更新账户数据至指定日期&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Acct.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updateEndEq(account.st) # 更新账户最终权益&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Acct.Luxor&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取交易统计数据&#10;tstats &amp;lt;- t(tradeStats(Portfolios = portfolio.st))&#10;&#10;# 可视化回测结果：展示持仓变化与双均线&#10;chart.Posn(&#10; Portfolio = portfolio.st, &#10; Symbol = &amp;quot;AAPL&amp;quot;, &#10; TA = c(&amp;quot;add_SMA(n=fast, col=&amp;#39;blue&amp;#39;)&amp;quot;, &amp;quot;add_SMA(n=slow, col=&amp;#39;red&amp;#39;)&amp;quot;) # 叠加5日（蓝）与75日（红）均线&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2018/07/27/macross-stoptrailing/index_files/figure-html/simpleSMA-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看订单簿（用于调试与详细分析）&#10;obook &amp;lt;- getOrderBook(&amp;#39;Port.Luxor&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略核心思路解析" class="section level1"&gt;&#10;&lt;h1&gt;策略核心思路解析&lt;/h1&gt;&#10;&lt;p&gt;该策略的实现遵循量化交易的标准化流程，各环节紧密衔接，形成完整的逻辑闭环：&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;环境与参数的初始化&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;代码首先清理旧策略数据，避免残留信息干扰；随后定义交易标的（AAPL）、初始资金（1 万美元）、均线周期（5 日 / 75 日）等核心参数，并通过initPortf、initAcct等函数初始化组合、账户与订单簿，为策略运行搭建基础环境。&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;指标与信号的层次构建&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;策略通过add.indicator添加双均线指标，将短期与长期趋势量化；再通过add.signal定义交叉信号 —— 上穿为买入、下穿为卖出，使趋势转折的判断从主观观察转化为客观规则。这种 “指标→信号” 的转化，是量化策略可复现性的核心。&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;交易规则的风险控制设计&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;策略的规则体系包含三类动作：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;入场：以限价单买入，控制入场成本；&lt;/li&gt;&#10;&lt;li&gt;出场：以市价单平仓，确保趋势反转时及时离场；&lt;/li&gt;&#10;&lt;li&gt;止损：追踪止损单（回落 2% 平仓），在趋势未按预期发展时限制亏损。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;同时，规则中明确了交易费用（每次 - 10 美元），使回测更接近实盘成本结构；通过parent参数关联入场与出场规则，确保持仓与平仓的对应性。&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;回测执行与结果可视化&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;代码通过applyStrategy执行策略回测，更新组合与账户数据后，利用chart.Posn展示 AAPL 的持仓变化，并叠加双均线直观呈现交易时机与趋势的关系；tradeStats则提供胜率、盈亏比等统计指标，为策略评估提供数据支持。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略的优势与局限性" class="section level1"&gt;&#10;&lt;h1&gt;策略的优势与局限性&lt;/h1&gt;&#10;&lt;p&gt;该策略的优势体现在逻辑清晰与风险控制的结合：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;规则明确：基于均线交叉的信号无主观干扰，参数与动作均可量化，便于复现与优化；&lt;/li&gt;&#10;&lt;li&gt;风险可控：同时包含趋势反转出场与追踪止损，既捕捉趋势收益，又控制极端风险；&lt;/li&gt;&#10;&lt;li&gt;结构灵活：各环节模块化（指标、信号、规则独立），便于扩展（如添加成交量过滤、调整均线周期）。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;但策略也存在趋势跟踪策略的共性局限：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;滞后性：SMA 基于历史价格计算，信号可能滞后于实际趋势，导致错过最佳入场 / 出场点；&lt;/li&gt;&#10;&lt;li&gt;参数敏感：5 日 / 75 日的周期是固定的，可能仅适配特定时段，在震荡市或极端行情中表现不佳；&lt;/li&gt;&#10;&lt;li&gt;单一标的依赖：策略仅针对 AAPL 设计，若扩展至其他标的，需重新优化参数以适应其波动性。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;&lt;div id="总结与改进方向" class="section level1"&gt;&#10;&lt;h1&gt;总结与改进方向&lt;/h1&gt;&#10;&lt;p&gt;本策略展示了双均线交叉与追踪止损结合的量化实现，为趋势跟踪提供了一套可操作的框架。其核心价值在于将 “识别趋势→执行交易→控制风险” 的流程标准化，减少主观决策的干扰。&lt;/p&gt;&#10;&lt;p&gt;若要进一步优化，可从三方面入手：一是引入自适应参数（如根据市场波动率调整均线周期），提升策略对不同行情的适应性；二是添加过滤条件（如成交量放大时才确认信号），减少震荡市的虚假交易；三是扩展至多标的组合，通过分散投资降低单一标的风险。通过持续迭代，策略可在保持逻辑简洁的同时，提升实盘适用性。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>前进测试可视化策略评估的重要工具</title><link>https://gewutang.cn/2017/10/10/luxor-sample-walk-forward/</link><pubDate>Tue, 10 Oct 2017 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2017/10/10/luxor-sample-walk-forward/</guid><description>&#10;&#10;&#10;&lt;p&gt;在量化交易中，理解指标的内涵与策略的稳健性同样重要。MACD（移动平均收敛散度）作为经典的趋势动量指标，其核心价值在于通过短期与长期价格趋势的差异，捕捉市场的潜在转折与动量变化。&lt;/p&gt;&#10;&lt;p&gt;MACD 由四个部分构成：快速 EMA（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）以及信号线（MACD 线的 9 日 EMA）。其主要用途包括：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）、识别趋势强度（MACD 线与价格的背离暗示动量衰竭）、确认交易信号（信号线与 MACD 线的交叉或与零轴的交叉）。&lt;/p&gt;&#10;&lt;p&gt;而前进测试（Walk Forward Testing）则是评估策略稳健性的关键方法，它通过将历史数据划分为连续的训练期与测试期，滚动优化参数并验证效果，有效降低过拟合风险。本文解析的代码便聚焦于前进测试结果的可视化，以直观呈现策略在训练期的表现，为策略评估提供依据。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;#&#10;# 基于Jaekle &amp;amp; Tamasini所著《A new approach to system development and portfolio optimisation》&#10;#&#10;# 前进测试图表示例&#10;&#10;# 加载quantstrat包，该包提供量化策略开发、回测及可视化工具&#10;require(&amp;#39;quantstrat&amp;#39;)&#10;&#10;# 构建完整路径&#10;data_path &amp;lt;- paste0(path.package(&amp;quot;quantstrat&amp;quot;), &amp;#39;/data/luxor.wfa.ples.RData&amp;#39;)&#10;&#10;# 加载数据文件&#10;if (file.exists(data_path)) {&#10; load(data_path) # 加载文件中的审计环境数据（如策略参数、绩效记录等）&#10; ls() # 查看加载的对象（通常包含前进测试的审计信息）&#10;}&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;data_path&amp;quot; &amp;quot;luxoraudit&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制前进测试训练期的图表&#10;# 数据来源为quantstrat包内置的Luxor系统前进测试示例数据（luxor.wfa.ples.RData）&#10;chart.forward.training(luxoraudit)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/10/10/luxor-sample-walk-forward/index_files/figure-html/WalkForward-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;这段代码的核心意图是通过可视化方式展示前进测试中训练期的策略表现，为策略评估提供直观依据。代码首先加载 quantstrat 包，该包是量化策略开发的核心工具，提供了从策略构建到回测可视化的完整功能。随后，代码指定了前进测试结果数据的路径 ——luxor.wfa.ples.RData，该数据源自《A new approach to system development and portfolio optimisation》一书中的 Luxor 系统，包含了前进测试的关键结果（如不同训练期的参数、收益、风险指标等）。&lt;/p&gt;&#10;&lt;p&gt;通过调用chart.forward.training函数，代码将加载的数据转化为直观的图表。前进测试的核心是 “滚动训练与验证”，即把历史数据划分为多个连续的训练期（用于优化策略参数）和测试期（用于验证参数有效性）。该函数专注于训练期的可视化，可能展示不同训练阶段的参数表现、收益曲线或风险指标分布，帮助交易者判断策略参数在不同市场环境下的稳定性，识别是否存在过拟合（如某训练期参数表现极好但其他时期失效）。&lt;/p&gt;&#10;&lt;p&gt;前进测试作为策略评估工具，优势在于通过滚动验证减少过拟合风险 —— 策略参数需在多个独立测试期表现稳定，而非仅适配单一历史区间，更贴近实盘环境。但其劣势在于计算成本较高，尤其是参数范围较广时，需反复训练与验证；此外，训练期与测试期的划分（如周期长度、滚动方式）可能影响结果，主观选择不当仍可能引入偏差。&lt;/p&gt;&#10;&lt;p&gt;对于前进测试本身，可探索动态周期划分（如根据市场波动率调整训练期长度），或引入更严格的统计检验（如夏普比率的显著性测试），进一步提升评估可靠性。通过指标优化与评估方法改进的结合，可构建更稳健的量化交易系统。&lt;/p&gt;&#10;</description></item><item><title>MACD 趋势跟踪策略的实现与解析：基于 AAPL 的量化回测</title><link>https://gewutang.cn/2017/07/10/macdrebalancing/</link><pubDate>Mon, 10 Jul 2017 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2017/07/10/macdrebalancing/</guid><description>&#10;&#10;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;div id="macd-指标的核心构成与策略逻辑" class="section level1"&gt;&#10;&lt;h1&gt;MACD 指标的核心构成与策略逻辑&lt;/h1&gt;&#10;&lt;p&gt;在深入代码前，先明确 MACD 指标的组成与策略设计逻辑：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;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。&lt;/li&gt;&#10;&lt;li&gt;慢速 EMA（26 日）：长期指数移动平均线，反映中长期价格趋势。&lt;/li&gt;&#10;&lt;li&gt;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。&lt;/li&gt;&#10;&lt;li&gt;信号线：MACD 线的 9 日 EMA，用于平滑 MACD 线的波动，减少噪音信号。&lt;/li&gt;&#10;&lt;li&gt;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。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;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。&#10;策略代码与详细注释&lt;/p&gt;&#10;&lt;p&gt;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：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# Simple MACD strategy&#10;#&#10;# 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。&#10;# &#10;# 传统上，当MACD信号线穿越零时，标志着正向趋势的确立&#10;#&#10;# 本策略将在“signal”列上穿零轴时买入，下穿零轴时卖出&#10;# &#10;# Author: brian&#10;###############################################################################&#10;&#10;&#10;# 加载quantstrat包，用于量化策略开发与回测&#10;require(quantstrat)&#10;&#10;# 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）&#10;suppressWarnings(rm(&amp;quot;order_book.macd&amp;quot;, pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.macd&amp;quot;, &amp;quot;portfolio.macd&amp;quot;, pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;, &amp;quot;portfolio.st&amp;quot;, &amp;quot;stock.str&amp;quot;, &amp;quot;stratMACD&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;, &amp;#39;start_t&amp;#39;, &amp;#39;end_t&amp;#39;))&#10;&#10;# 设定交易标的为苹果公司股票（AAPL）&#10;stock.str &amp;lt;- &amp;#39;AAPL&amp;#39;&#10;&#10;# 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）&#10;fastMA = 12 # 快速EMA周期（传统参数为12日）&#10;slowMA = 26 # 慢速EMA周期（传统参数为26日）&#10;signalMA = 9 # 信号线周期（传统参数为9日）&#10;maType = &amp;quot;EMA&amp;quot; # 移动平均线类型为指数移动平均（EMA）&#10;&#10;# 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）&#10;currency(&amp;#39;USD&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(stock.str, currency=&amp;#39;USD&amp;#39;, multiplier=1)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 回测参数设置：回测起始日期、初始资金、组合与账户名称&#10;startDate = &amp;#39;2006-12-31&amp;#39; # 数据起始日期&#10;initEq = 1000000 # 初始资金100万美元&#10;portfolio.st = &amp;#39;macd&amp;#39; # 投资组合名称&#10;account.st = &amp;#39;macd&amp;#39; # 账户名称&#10;&#10;# 初始化回测环境：创建组合、账户与订单簿&#10;initPortf(portfolio.st, symbols=stock.str) # 初始化组合，包含AAPL&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(account.st, portfolios=portfolio.st) # 初始化账户，关联组合&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio=portfolio.st) # 初始化订单簿，记录交易订单&#10;&#10;# 创建策略对象，命名为&amp;#39;macd&amp;#39;并存储到环境中&#10;strat.st &amp;lt;- portfolio.st&#10;strategy(strat.st, store=TRUE)&#10;&#10;# 添加MACD指标：基于收盘价计算MACD线、信号线&#10;add.indicator(&#10; strat.st, &#10; name = &amp;quot;MACD&amp;quot;, # 使用TTR包中的MACD函数&#10; arguments = list(x=quote(Cl(mktdata))) # 输入为收盘价（Cl(mktdata)）&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 生成交易信号：基于信号线与零轴的交叉&#10;# 信号1：信号线上穿零轴（大于零且交叉），视为买入信号&#10;add.signal(&#10; strat.st,&#10; name = &amp;quot;sigThreshold&amp;quot;, # 阈值型信号函数&#10; arguments = list(&#10; column = &amp;quot;signal.MACD.ind&amp;quot;, # 作用于MACD指标的信号线列&#10; relationship = &amp;quot;gt&amp;quot;, # 大于（greater than）&#10; threshold = 0, # 阈值为0（零轴）&#10; cross = TRUE # 必须穿越阈值（避免持续触发）&#10; ),&#10; label = &amp;quot;signal.gt.zero&amp;quot; # 信号标签：上穿零轴&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 信号2：信号线下穿零轴（小于零且交叉），视为卖出信号&#10;add.signal(&#10; strat.st,&#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; column = &amp;quot;signal.MACD.ind&amp;quot;,&#10; relationship = &amp;quot;lt&amp;quot;, # 小于（less than）&#10; threshold = 0,&#10; cross = TRUE&#10; ),&#10; label = &amp;quot;signal.lt.zero&amp;quot; # 信号标签：下穿零轴&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义交易规则：将信号转化为具体交易动作&#10;# 入场规则：当出现上穿零轴信号时，买入（做多）&#10;add.rule(&#10; strat.st,&#10; name = &amp;#39;ruleSignal&amp;#39;, # 基于信号的规则函数&#10; arguments = list(&#10; sigcol = &amp;quot;signal.gt.zero&amp;quot;, # 触发信号列：上穿零轴&#10; sigval = TRUE, # 信号值为TRUE时触发&#10; orderqty = 1000000, # 订单数量（此处为大额，实际会由osMaxPos限制）&#10; ordertype = &amp;#39;market&amp;#39;, # 市价单&#10; orderside = &amp;#39;long&amp;#39;, # 做多方向&#10; threshold = NULL,&#10; osFUN = &amp;#39;osMaxPos&amp;#39; # 使用最大仓位限制函数，避免超仓&#10; ),&#10; type = &amp;#39;enter&amp;#39;, # 入场规则&#10; label = &amp;#39;enter&amp;#39;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 出场规则：当出现下穿零轴信号时，平仓（卖出所有持仓）&#10;add.rule(&#10; strat.st,&#10; name = &amp;#39;ruleSignal&amp;#39;,&#10; arguments = list(&#10; sigcol = &amp;quot;signal.lt.zero&amp;quot;, # 触发信号列：下穿零轴&#10; sigval = TRUE,&#10; orderqty = &amp;#39;all&amp;#39;, # 平仓全部持仓&#10; ordertype = &amp;#39;market&amp;#39;,&#10; orderside = &amp;#39;long&amp;#39;,&#10; threshold = NULL,&#10; orderset = &amp;#39;exit2&amp;#39; # 订单集标签，用于管理出场订单&#10; ),&#10; type = &amp;#39;exit&amp;#39;, # 出场规则&#10; label = &amp;#39;exit&amp;#39;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 再平衡规则：按月调整仓位，控制单只标的的资金占比&#10;add.rule(&#10; strat.st,&#10; &amp;#39;rulePctEquity&amp;#39;, # 基于权益比例的再平衡函数&#10; arguments = list(&#10; rebalance_on = &amp;#39;months&amp;#39;, # 再平衡周期：每月&#10; trade.percent = .02, # 单只标的持仓占总权益的比例（2%）&#10; refprice = quote(last(getPrice(mktdata)[paste(&amp;#39;::&amp;#39;, curIndex, sep=&amp;#39;&amp;#39;)])), # 参考价格为最新价格&#10; digits = 0 # 订单数量取整&#10; ),&#10; type = &amp;#39;rebalance&amp;#39;, # 再平衡规则&#10; label = &amp;#39;rebalance&amp;#39;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 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）&#10;getSymbols(stock.str, from=startDate, src=&amp;#39;yahoo&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 执行策略回测：应用再平衡策略&#10;start_t &amp;lt;- Sys.time() # 记录回测开始时间&#10;out &amp;lt;- applyStrategy.rebalancing(&#10; strat.st, &#10; portfolios = portfolio.st,&#10; parameters = list(nFast=fastMA, nSlow=slowMA, nSig=signalMA, maType=maType), # 传递MACD参数&#10; verbose = TRUE # 输出详细过程&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 6619 @ 3.19964289665222&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -6619 @ 4.35928583145142&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 4075 @ 4.88428592681885&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -4075 @ 5.70142889022827&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 4529 @ 5.125&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -4529 @ 6.00928592681885&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 3576 @ 6.28000020980835&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -3576 @ 5.41714286804199&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 6287 @ 3.56142902374268&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -6287 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 6330 @ 3.62928605079651&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -6330 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 2892 @ 7.46785688400269&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -2892 @ 7.11535692214966&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 2819 @ 7.52535676956177&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -2819 @ 8.92500019073486&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 2251 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -2251 @ 8.99892902374268&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 2380 @ 9.65071392059326&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -2380 @ 12.1857137680054&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 1662 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -1662 @ 11.9428567886353&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 1732 @ 12.6428565979004&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -1732 @ 13.7417860031128&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 1524 @ 14.518928527832&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -1524 @ 20.3278560638428&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 1017 @ 20.9192867279053&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -1017 @ 22.4896430969238&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 1329 @ 16.3132133483887&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -1329 @ 15.1071434020996&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 1481 @ 15.7496433258057&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -1481 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 1053 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -1053 @ 17.8839282989502&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 1121 @ 19.2778568267822&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -1121 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 1099 @ 21.1546421051025&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-10-17 00:00:00 AAPL -1099 @ 24.4174995422363&amp;quot;&#10;## [1] &amp;quot;2014-10-27 00:00:00 AAPL 839 @ 26.2775001525879&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2015-01-06 00:00:00 AAPL -839 @ 26.5650005340576&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2015-02-02 00:00:00 AAPL 721 @ 29.6574993133545&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2015-06-19 00:00:00 AAPL -721 @ 31.6499996185303&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2015-10-27 00:00:00 AAPL 767 @ 28.6375007629395&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2015-12-16 00:00:00 AAPL -767 @ 27.8349990844727&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2016-03-09 00:00:00 AAPL 874 @ 25.2800006866455&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2016-05-02 00:00:00 AAPL -874 @ 23.4099998474121&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2016-07-20 00:00:00 AAPL 883 @ 24.9899997711182&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2016-11-09 00:00:00 AAPL -883 @ 27.7199993133545&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2016-12-15 00:00:00 AAPL 766 @ 28.9549999237061&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2017-06-20 00:00:00 AAPL -766 @ 36.252498626709&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2017-07-25 00:00:00 AAPL 591 @ 38.185001373291&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2017-09-27 00:00:00 AAPL -591 @ 38.5574989318848&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2017-10-24 00:00:00 AAPL 552 @ 39.2750015258789&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-02-02 00:00:00 AAPL -552 @ 40.125&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-03-01 00:00:00 AAPL 478 @ 43.75&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-04-02 00:00:00 AAPL -478 @ 41.6699981689453&amp;quot;&#10;## [1] &amp;quot;2018-04-19 00:00:00 AAPL 507 @ 43.2000007629395&amp;quot;&#10;## [1] &amp;quot;2018-04-25 00:00:00 AAPL -507 @ 40.9124984741211&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-05-09 00:00:00 AAPL 514 @ 46.8400001525879&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-07-06 00:00:00 AAPL -514 @ 46.9925003051758&amp;quot;&#10;## [1] &amp;quot;2018-07-11 00:00:00 AAPL 459 @ 46.9700012207031&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2018-10-29 00:00:00 AAPL -459 @ 53.060001373291&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2019-02-08 00:00:00 AAPL 512 @ 42.6025009155273&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2019-05-21 00:00:00 AAPL -512 @ 46.6500015258789&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2019-06-21 00:00:00 AAPL 487 @ 49.6949996948242&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2020-03-02 00:00:00 AAPL -487 @ 74.7024993896484&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2020-04-23 00:00:00 AAPL 339 @ 68.7574996948242&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2020-09-25 00:00:00 AAPL -339 @ 112.279998779297&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2020-10-13 00:00:00 AAPL 189 @ 121.099998474121&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2020-11-03 00:00:00 AAPL -189 @ 110.440002441406&amp;quot;&#10;## [1] &amp;quot;2020-11-16 00:00:00 AAPL 201 @ 120.300003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-02-25 00:00:00 AAPL -201 @ 120.98999786377&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-04-14 00:00:00 AAPL 179 @ 132.029998779297&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-05-18 00:00:00 AAPL -179 @ 124.849998474121&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-06-21 00:00:00 AAPL 175 @ 132.300003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-09-27 00:00:00 AAPL -175 @ 145.369995117188&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2021-10-27 00:00:00 AAPL 154 @ 148.850006103516&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-01-26 00:00:00 AAPL -154 @ 159.690002441406&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-02-10 00:00:00 AAPL 125 @ 172.119995117188&amp;quot;&#10;## [1] &amp;quot;2022-02-24 00:00:00 AAPL -125 @ 162.740005493164&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-03-30 00:00:00 AAPL 132 @ 177.770004272461&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-04-26 00:00:00 AAPL -132 @ 156.800003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-07-19 00:00:00 AAPL 160 @ 151&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-09-13 00:00:00 AAPL -160 @ 153.839996337891&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-11-23 00:00:00 AAPL 142 @ 151.070007324219&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2022-12-08 00:00:00 AAPL -142 @ 142.649993896484&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2023-01-30 00:00:00 AAPL 168 @ 143&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2023-08-14 00:00:00 AAPL -168 @ 179.460006713867&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2023-11-13 00:00:00 AAPL 128 @ 184.800003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2024-01-10 00:00:00 AAPL -128 @ 186.190002441406&amp;quot;&#10;## [1] &amp;quot;2024-01-30 00:00:00 AAPL 114 @ 188.039993286133&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2024-02-06 00:00:00 AAPL -114 @ 189.300003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2024-05-08 00:00:00 AAPL 129 @ 182.740005493164&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2024-08-14 00:00:00 AAPL -129 @ 221.720001220703&amp;quot;&#10;## [1] &amp;quot;2024-08-16 00:00:00 AAPL 99 @ 226.050003051758&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2024-11-11 00:00:00 AAPL -99 @ 224.229995727539&amp;quot;&#10;## [1] &amp;quot;2024-11-27 00:00:00 AAPL 97 @ 234.929992675781&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2025-01-21 00:00:00 AAPL -97 @ 222.639999389648&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2025-02-24 00:00:00 AAPL 93 @ 247.100006103516&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2025-03-13 00:00:00 AAPL -93 @ 209.679992675781&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2025-07-07 00:00:00 AAPL 107 @ 209.949996948242&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time() # 记录回测结束时间&#10;print(end_t - start_t) # 打印回测耗时&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 8.527371 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 更新组合数据：将交易记录同步到组合与账户&#10;start_t &amp;lt;- Sys.time()&#10;updatePortf(&#10; Portfolio = portfolio.st,&#10; Dates = paste(&amp;#39;::&amp;#39;, as.Date(Sys.time()), sep=&amp;#39;&amp;#39;) # 更新至当前日期&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time()&#10;print(&amp;quot;trade blotter portfolio update:&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(end_t - start_t) # 打印更新耗时&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.03819585 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化回测结果：绘制持仓变化与MACD指标&#10;chart.Posn(Portfolio = portfolio.st, Symbol = stock.str) # 展示AAPL的持仓变化&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/07/10/macdrebalancing/index_files/figure-html/SimpleMACD-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA, maType=&amp;quot;EMA&amp;quot;)) # 叠加MACD指标（快速EMA=12，慢速EMA=26，信号线=9）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/07/10/macdrebalancing/index_files/figure-html/SimpleMACD-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看订单簿：获取所有订单的详细记录（用于调试与分析）&#10;getOrderBook(&amp;#39;macd&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $macd&#10;## $macd$AAPL&#10;## Order.Qty Order.Price Order.Type Order.Side Order.Threshold&#10;## 2007-03-15 6619 3.19892907142639 market long NA&#10;## 2007-08-16 all 4.18035697937012 market long NA&#10;## 2007-09-04 4075 5.1485710144043 market long NA&#10;## 2008-01-15 all 6.03714323043823 market long NA&#10;## 2008-03-28 4529 5.10750007629395 market long NA&#10;## 2008-06-25 all 6.33535718917847 market long NA&#10;## 2008-08-19 3576 6.19750022888184 market long NA&#10;## 2008-09-08 all 5.6399998664856 market long NA&#10;## 2009-02-05 6287 3.4449999332428 market long NA&#10;## 2009-03-03 all 3.15607094764709 market long NA&#10;## ... &#10;## 2024-02-05 all 187.679992675781 market long NA&#10;## 2024-05-07 129 182.399993896484 market long NA&#10;## 2024-08-13 all 221.270004272461 market long NA&#10;## 2024-08-15 99 224.720001220703 market long NA&#10;## 2024-11-08 all 226.960006713867 market long NA&#10;## 2024-11-26 97 235.059997558594 market long NA&#10;## 2025-01-17 all 229.979995727539 market long NA&#10;## 2025-02-21 93 245.550003051758 market long NA&#10;## 2025-03-12 all 216.979995727539 market long NA&#10;## 2025-07-03 107 213.550003051758 market long NA&#10;## Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule&#10;## 2007-03-15 closed 2007-03-16 00:00:00 NA 0 enter&#10;## 2007-08-16 closed 2007-08-17 00:00:00 exit2 0 exit &#10;## 2007-09-04 closed 2007-09-05 00:00:00 NA 0 enter&#10;## 2008-01-15 closed 2008-01-16 00:00:00 exit2 0 exit &#10;## 2008-03-28 closed 2008-03-31 00:00:00 NA 0 enter&#10;## 2008-06-25 closed 2008-06-26 00:00:00 exit2 0 exit &#10;## 2008-08-19 closed 2008-08-20 00:00:00 NA 0 enter&#10;## 2008-09-08 closed 2008-09-09 00:00:00 exit2 0 exit &#10;## 2009-02-05 closed 2009-02-06 00:00:00 NA 0 enter&#10;## 2009-03-03 closed 2009-03-04 00:00:00 exit2 0 exit &#10;## ... &#10;## 2024-02-05 closed 2024-02-06 00:00:00 exit2 0 exit &#10;## 2024-05-07 closed 2024-05-08 00:00:00 NA 0 enter&#10;## 2024-08-13 closed 2024-08-14 00:00:00 exit2 0 exit &#10;## 2024-08-15 closed 2024-08-16 00:00:00 NA 0 enter&#10;## 2024-11-08 closed 2024-11-11 00:00:00 exit2 0 exit &#10;## 2024-11-26 closed 2024-11-27 00:00:00 NA 0 enter&#10;## 2025-01-17 closed 2025-01-21 00:00:00 exit2 0 exit &#10;## 2025-02-21 closed 2025-02-24 00:00:00 NA 0 enter&#10;## 2025-03-12 closed 2025-03-13 00:00:00 exit2 0 exit &#10;## 2025-07-03 closed 2025-07-07 00:00:00 NA 0 enter&#10;## Time.In.Force&#10;## 2007-03-15 &#10;## 2007-08-16 &#10;## 2007-09-04 &#10;## 2008-01-15 &#10;## 2008-03-28 &#10;## 2008-06-25 &#10;## 2008-08-19 &#10;## 2008-09-08 &#10;## 2009-02-05 &#10;## 2009-03-03 &#10;## ... &#10;## 2024-02-05 &#10;## 2024-05-07 &#10;## 2024-08-13 &#10;## 2024-08-15 &#10;## 2024-11-08 &#10;## 2024-11-26 &#10;## 2025-01-17 &#10;## 2025-02-21 &#10;## 2025-03-12 &#10;## 2025-07-03 &#10;## &#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;order_book&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略核心思路" class="section level1"&gt;&#10;&lt;h1&gt;策略核心思路&lt;/h1&gt;&#10;&lt;p&gt;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：&lt;/p&gt;&#10;&lt;div id="环境与参数的标准化搭建" class="section level2"&gt;&#10;&lt;h2&gt;环境与参数的标准化搭建：&lt;/h2&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="指标与信号的逻辑闭环" class="section level2"&gt;&#10;&lt;h2&gt;指标与信号的逻辑闭环：&lt;/h2&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="交易规则的风险控制" class="section level2"&gt;&#10;&lt;h2&gt;交易规则的风险控制：&lt;/h2&gt;&#10;&lt;p&gt;为避免盲目交易，策略通过多重规则控制风险：&#10;入场时使用osMaxPos函数限制最大仓位，防止单次下单量过大；&#10;出场时采用 “平仓全部持仓”（orderqty=‘all’），确保趋势反转时及时离场；&#10;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="回测与可视化的结果验证" class="section level2"&gt;&#10;&lt;h2&gt;回测与可视化的结果验证：&lt;/h2&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略的优势与局限性" class="section level1"&gt;&#10;&lt;h1&gt;策略的优势与局限性&lt;/h1&gt;&#10;&lt;p&gt;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：&#10;- 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；&#10;- 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；&#10;- 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）。&lt;/p&gt;&#10;&lt;p&gt;但策略也存在趋势跟踪类策略的共性局限：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;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；&lt;/li&gt;&#10;&lt;li&gt;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；&lt;/li&gt;&#10;&lt;li&gt;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。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>基于双均线交叉的交易策略实现与回测分析</title><link>https://gewutang.cn/2017/05/12/macross/</link><pubDate>Fri, 12 May 2017 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2017/05/12/macross/</guid><description>&#10;&#10;&#10;&lt;p&gt;在量化交易领域，移动均线交叉策略是一种被广泛应用的趋势跟踪方法。本&#10;文将解析一段基于 R 语言 quantstrat 包的简单移动均线交叉策略代码，展示其实现思路、核心逻辑及回测分析过程。&lt;/p&gt;&#10;&lt;div id="策略核心思想" class="section level1"&gt;&#10;&lt;h1&gt;策略核心思想&lt;/h1&gt;&#10;&lt;p&gt;这段代码实现了一个经典的双均线交叉策略，其基本逻辑是通过比较短期均线与长期均线的相对位置来生成交易信号： - 当短期均线（50 日 SMA）上穿长期均线（200 日 SMA）时，产生买入信号 - 当短期均线（50 日 SMA）下穿长期均线（200 日 SMA）时，产生卖出信号&lt;/p&gt;&#10;&lt;p&gt;策略默认仅做多，代码中也预留了做空逻辑的实现方式&lt;/p&gt;&#10;&lt;p&gt;这种策略的理论基础在于，短期均线反映近期价格趋势，长期均线反映长期价格趋势，当短期均线从下方穿越长期均线时，通常被视为上升趋势的开始；反之则被视为下降趋势的开始。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略实现的关键步骤" class="section level1"&gt;&#10;&lt;h1&gt;策略实现的关键步骤&lt;/h1&gt;&#10;&lt;p&gt;下面是代码的关键实现部分及解析：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要的包&#10;require(quantstrat)&#10;&#10;# 环境初始化&#10;ttz&amp;lt;-Sys.getenv(&amp;#39;TZ&amp;#39;)&#10;Sys.setenv(TZ=&amp;#39;UTC&amp;#39;) # 时区设置，避免日期处理问题&#10;&#10;# 清理旧策略数据&#10;suppressWarnings(rm(&amp;quot;order_book.macross&amp;quot;,pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.macross&amp;quot;,&amp;quot;portfolio.macross&amp;quot;,pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;,&amp;quot;portfolio.st&amp;quot;,&amp;quot;stock.str&amp;quot;,&amp;quot;stratMACROSS&amp;quot;,&amp;#39;start_t&amp;#39;,&amp;#39;end_t&amp;#39;))&#10;&#10;# 设置交易标的和货币&#10;stock.str=&amp;#39;AAPL&amp;#39; # 以苹果公司股票为例&#10;currency(&amp;#39;USD&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(stock.str,currency=&amp;#39;USD&amp;#39;,multiplier=1)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 初始化回测参数&#10;startDate=&amp;quot;1999-12-31&amp;quot; # 回测起始日期&#10;initEq=1000000 # 初始资金100万美元&#10;portfolio.st=&amp;#39;macross&amp;#39; # 投资组合名称&#10;account.st=&amp;#39;macross&amp;#39; # 账户名称&#10;&#10;# 初始化投资组合、账户和订单簿&#10;initPortf(portfolio.st,symbols=stock.str)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macross&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(account.st,portfolios=portfolio.st, initEq=initEq)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macross&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio=portfolio.st)&#10;&#10;# 创建策略对象&#10;stratMACROSS&amp;lt;- strategy(portfolio.st)&#10;&#10;# 添加技术指标：50日和200日简单移动平均线&#10;stratMACROSS &amp;lt;- add.indicator(strategy = stratMACROSS, name = &amp;quot;SMA&amp;quot;, &#10; arguments = list(x=quote(Cl(mktdata)), n=50),&#10; label= &amp;quot;ma50&amp;quot; )&#10;stratMACROSS &amp;lt;- add.indicator(strategy = stratMACROSS, name = &amp;quot;SMA&amp;quot;, &#10; arguments = list(x=quote(Cl(mktdata)[,1]), n=200),&#10; label= &amp;quot;ma200&amp;quot;)&#10;&#10;# 添加交易信号：均线交叉信号&#10;stratMACROSS &amp;lt;- add.signal(strategy = stratMACROSS, name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments = list(columns=c(&amp;quot;ma50&amp;quot;,&amp;quot;ma200&amp;quot;), relationship=&amp;quot;gte&amp;quot;),&#10; label=&amp;quot;ma50.gt.ma200&amp;quot;) # 短期均线上穿长期均线&#10;stratMACROSS &amp;lt;- add.signal(strategy = stratMACROSS, name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments = list(columns=c(&amp;quot;ma50&amp;quot;,&amp;quot;ma200&amp;quot;), relationship=&amp;quot;lt&amp;quot;),&#10; label=&amp;quot;ma50.lt.ma200&amp;quot;) # 短期均线下穿长期均线&#10;&#10;# 添加交易规则：基于信号的交易执行&#10;stratMACROSS &amp;lt;- add.rule(strategy = stratMACROSS, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments = list(sigcol=&amp;quot;ma50.gt.ma200&amp;quot;, sigval=TRUE, &#10; orderqty=100, ordertype=&amp;#39;market&amp;#39;, orderside=&amp;#39;long&amp;#39;),&#10; type=&amp;#39;enter&amp;#39;) # 买入规则&#10;stratMACROSS &amp;lt;- add.rule(strategy = stratMACROSS, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments = list(sigcol=&amp;quot;ma50.lt.ma200&amp;quot;, sigval=TRUE, &#10; orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;market&amp;#39;, orderside=&amp;#39;long&amp;#39;),&#10; type=&amp;#39;exit&amp;#39;) # 卖出规则&#10;&#10;# 预留的做空策略代码（默认未启用）&#10;# stratMACROSS &amp;lt;- add.rule(strategy = stratMACROSS, name=&amp;#39;ruleSignal&amp;#39;, &#10;# arguments = list(sigcol=&amp;quot;ma50.lt.ma200&amp;quot;, sigval=TRUE, &#10;# orderqty=-100, ordertype=&amp;#39;market&amp;#39;, orderside=&amp;#39;short&amp;#39;),&#10;# type=&amp;#39;enter&amp;#39;)&#10;# stratMACROSS &amp;lt;- add.rule(strategy = stratMACROSS, name=&amp;#39;ruleSignal&amp;#39;, &#10;# arguments = list(sigcol=&amp;quot;ma50.gt.ma200&amp;quot;, sigval=TRUE, &#10;# orderqty=100, ordertype=&amp;#39;market&amp;#39;, orderside=&amp;#39;short&amp;#39;),&#10;# type=&amp;#39;exit&amp;#39;)&#10;&#10;# 获取历史数据并进行复权处理&#10;getSymbols(stock.str, from=startDate, src=&amp;#39;yahoo&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;for(i in stock.str)&#10; assign(i, adjustOHLC(get(i), use.Adjusted=TRUE))&#10;&#10;# 执行策略回测&#10;start_t&amp;lt;-Sys.time()&#10;out&amp;lt;-applyStrategy(strategy=stratMACROSS, portfolios=portfolio.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2001-06-27 00:00:00 AAPL 100 @ 0.350732564926147&amp;quot;&#10;## [1] &amp;quot;2001-09-07 00:00:00 AAPL -100 @ 0.259667813777924&amp;quot;&#10;## [1] &amp;quot;2002-01-07 00:00:00 AAPL 100 @ 0.344120860099792&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 AAPL -100 @ 0.260269552469254&amp;quot;&#10;## [1] &amp;quot;2003-05-16 00:00:00 AAPL 100 @ 0.28250914812088&amp;quot;&#10;## [1] &amp;quot;2006-06-22 00:00:00 AAPL -100 @ 1.79062843322754&amp;quot;&#10;## [1] &amp;quot;2006-09-26 00:00:00 AAPL 100 @ 2.33250570297241&amp;quot;&#10;## [1] &amp;quot;2008-03-07 00:00:00 AAPL -100 @ 3.67412352561951&amp;quot;&#10;## [1] &amp;quot;2008-05-19 00:00:00 AAPL 100 @ 5.51794862747192&amp;quot;&#10;## [1] &amp;quot;2008-09-24 00:00:00 AAPL -100 @ 3.8682746887207&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 AAPL 100 @ 3.69516229629517&amp;quot;&#10;## [1] &amp;quot;2012-12-11 00:00:00 AAPL -100 @ 16.41552734375&amp;quot;&#10;## [1] &amp;quot;2013-09-11 00:00:00 AAPL 100 @ 14.4533443450928&amp;quot;&#10;## [1] &amp;quot;2015-08-31 00:00:00 AAPL -100 @ 25.3688125610352&amp;quot;&#10;## [1] &amp;quot;2016-08-31 00:00:00 AAPL 100 @ 24.3808135986328&amp;quot;&#10;## [1] &amp;quot;2018-12-24 00:00:00 AAPL -100 @ 34.9761238098145&amp;quot;&#10;## [1] &amp;quot;2019-05-07 00:00:00 AAPL 100 @ 48.5301742553711&amp;quot;&#10;## [1] &amp;quot;2022-06-06 00:00:00 AAPL -100 @ 143.832458496094&amp;quot;&#10;## [1] &amp;quot;2022-09-27 00:00:00 AAPL 100 @ 149.571166992188&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 AAPL -100 @ 138.394744873047&amp;quot;&#10;## [1] &amp;quot;2023-03-23 00:00:00 AAPL 100 @ 157.137161254883&amp;quot;&#10;## [1] &amp;quot;2024-03-15 00:00:00 AAPL -100 @ 171.583724975586&amp;quot;&#10;## [1] &amp;quot;2024-06-14 00:00:00 AAPL 100 @ 211.500885009766&amp;quot;&#10;## [1] &amp;quot;2025-04-08 00:00:00 AAPL -100 @ 172.194198608398&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t&amp;lt;-Sys.time()&#10;print(end_t-start_t) # 输出回测执行时间&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.2876902 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 更新投资组合数据&#10;start_t&amp;lt;-Sys.time()&#10;updatePortf(Portfolio=&amp;#39;macross&amp;#39;, Dates=paste(&amp;#39;::&amp;#39;, as.Date(Sys.time()), sep=&amp;#39;&amp;#39;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macross&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t&amp;lt;-Sys.time()&#10;print(&amp;quot;trade blotter portfolio update:&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(end_t-start_t)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.04611683 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化回测结果&#10;chart.Posn(Portfolio=&amp;#39;macross&amp;#39;, Symbol=stock.str)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/05/12/macross/index_files/figure-html/DualSMA-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add_SMA(n=50, on=1, col=&amp;#39;blue&amp;#39;) # 叠加50日均线（蓝色）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/05/12/macross/index_files/figure-html/DualSMA-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;add_SMA(n=200, on=1) # 叠加200日均线（默认红色）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2017/05/12/macross/index_files/figure-html/DualSMA-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取交易统计数据&#10;book = getOrderBook(&amp;#39;macross&amp;#39;) # 订单簿&#10;stats = tradeStats(&amp;#39;macross&amp;#39;) # 交易统计&#10;ptstats = perTradeStats(&amp;#39;macross&amp;#39;) # 每笔交易统计&#10;rets = PortfReturns(&amp;#39;macross&amp;#39;) # 组合收益&#10;txns = getTxns(&amp;#39;macross&amp;#39;, stock.str) # 交易记录&#10;&#10;# 恢复时区设置&#10;Sys.setenv(TZ=ttz) &lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;策略的核心组件涵盖了从环境搭建到结果分析的完整流程。在&#10;环境初始化阶段，首先通过设置时区避免日期处理过程中可能出现的问题，同时清理旧有的策略数据，确保回测环境的纯净性，为后续分析排除干扰。在&#10;此基础上，明确交易标的为 AAPL，并设定货币单位为 USD，为策略运行奠定基础。&lt;/p&gt;&#10;&lt;p&gt;指标与信号系统是策略的核心判断依据。通&#10;过 add.indicator 函数添加了 50 日和 200 日两条简单移动平均线（SMA），前者反映短期价格趋势，后者代表中长期趋势。随&#10;后，借助 add.signal 函数定义了均线交叉信号：当 50 日 SMA 上穿 200 日 SMA 时，生成买入信号；当 50 日 SMA 下穿 200 日 SMA 时，触发卖出信号，这一逻辑构成了策略的决策核心。&lt;/p&gt;&#10;&lt;p&gt;交易规则则将信号转化为具体操作。买&#10;入规则设定为当 50 日 SMA 上穿 200 日 SMA 时，买入 100 股；卖出规则则在 50 日 SMA 下穿 200 日 SMA 时，卖出全部持仓，实现趋势跟踪的闭环。此&#10;外，代码中还预留了做空规则，虽未启用，但为策略扩展至双向交易提供了可能，用户可根据需求取消注释启用。&lt;/p&gt;&#10;&lt;p&gt;数据处理与回测执行环节确保了策略的可操作性。从&#10;Yahoo Finance 获取 AAPL 的历史数据后，进行复权处理以保证价格的准确性。通&#10;过 applyStrategy 函数执行回测，并记录执行时间，便于评估策略效率；随后更新投资组合数据，为绩效指标的计算提供支持。&#10;结果可视化与分析则让策略效果更加直观。利&#10;用 chart.Posn 绘制持仓变化图，并叠加 50 日和 200 日均线，清晰展示交易时机与价格趋势的关系。同&#10;时，通过获取订单簿、交易统计、每笔交易详情及组合收益等数据，为深入分析策略表现提供了全面依据。&lt;/p&gt;&#10;&lt;p&gt;这种双均线交叉策略的意义显著：它不仅实现了趋势跟踪的基本逻辑，能够捕捉中长期价格趋势，还提供了一套完整的量化交易框架，涵盖数据获取、信号生成、订单执行到绩效评估的全流程。代&#10;码结构清晰，便于修改和扩展，例如调整均线周期或添加其他指标以优化策略。&lt;/p&gt;&#10;&lt;p&gt;然而，该策略也存在明显局限性。在&#10;横盘震荡市场中，均线频繁交叉易产生虚假信号，导致频繁交易和不必要的亏损；固定的 100 股交易数量缺乏灵活的资金管理和风险控制机制；仅依赖收盘价计算均线，可能忽略日内价格波动中蕴含的信息；且未考虑交易成本和滑点，实际应用中的表现可能低于回测结果。&lt;/p&gt;&#10;&lt;p&gt;对于希望优化策略的交易者，可从多方面入手：调整均线周期参数以适应不同市场环境；引入交易量或其他技术指标过滤虚假信号，提高信号质量；实现动态仓位管理，根据市场波动性调整头寸大小，平衡风险与收益；增加止损和止盈机制，控制单笔交易的潜在风险。这&#10;种基于技术指标的趋势跟踪策略是量化交易的基础，理解其实现原理和优缺点，能为构建更复杂、更有效的交易系统提供重要参考。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>使用blotter包绘制最大不利偏移（MAE）图</title><link>https://gewutang.cn/2016/02/10/luxor-sample-mae-stoploss/</link><pubDate>Wed, 10 Feb 2016 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2016/02/10/luxor-sample-mae-stoploss/</guid><description>&#10;&#10;&#10;&lt;p&gt;在交易过程中，MAE（最大不利偏移）是衡量风险的关键指标，它反映了从开仓到平仓期间账户价值相对于初始水平的最大回撤幅度。这一指标对于交易者而言具有重要意义：首先，它能直观呈现单笔交易可能面临的极端亏损风险，帮助交易者提前做好风险预判；其次，在止损策略优化方面，可将 MAE 的统计数据作为重要参考，例如将止损位设定在历史 MAE 均值的合理倍数之上，既能避免过早止损，又能有效控制亏损；最后，通过观察 MAE 的波动情况，还能评估交易系统的稳定性 —— 通常而言，MAE 曲线越平滑，说明系统在不同市场环境下的表现越稳定，抗风险能力越强。&lt;/p&gt;&#10;&lt;p&gt;Jaekle 和 Tamasini 在《A new approach to system development and portfolio optimisation》一书中，通过 Luxor 系统的实证分析进一步印证了 MAE 的应用价值。书中，作者通过绘制该系统的 MAE 图表，清晰展示了策略在不同市场周期中的风险暴露特征，为读者提供了一个将理论指标转化为实践分析的典型案例，这种可视化的呈现方式有助于交易者更直观地理解风险分布规律，进而优化自身的交易决策体系。&lt;/p&gt;&#10;&lt;p&gt;&lt;code&gt;R&lt;/code&gt; 可以便捷绘制 MAE 图：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载 blotter 包 - 用于交易系统分析和绩效评估&#10;require(&amp;#39;blotter&amp;#39;)&#10;&#10;# 加载 quantstrat 包中的示例数据 &amp;#39;luxor-p066&amp;#39;（这是一个交易策略的历史回测结果）&#10;data(&amp;#39;luxor-p066&amp;#39;, package=&amp;#39;quantstrat&amp;#39;, envir=.blotter)&#10;&#10;# 设置货币和汇率信息（GBP 代表英镑，USD 代表美元）&#10;currency(c(&amp;#39;GBP&amp;#39;, &amp;#39;USD&amp;#39;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBP&amp;quot; &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;exchange_rate(c(&amp;#39;GBPUSD&amp;#39;), tick_size=0.0001) # 设定 GBP/USD 汇率的最小变动单位&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBPUSD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制最大不利偏移（MAE）图表&#10;chart.ME(&#10; Portfolio=&amp;#39;luxor&amp;#39;, # 指定要分析的投资组合名称为 &amp;#39;luxor&amp;#39;&#10; Symbol=&amp;#39;GBPUSD&amp;#39;, # 指定要分析的交易品种为 GBP/USD&#10; type=&amp;#39;MAE&amp;#39;, # 选择绘制 MAE（Maximum Adverse Excursion）图表&#10; scale=&amp;#39;cash&amp;#39; # 以货币金额（现金）为单位显示结果&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;div class="figure"&gt;&lt;span style="display:block;" id="fig:MAE"&gt;&lt;/span&gt;&#10;&lt;img src="https://gewutang.cn/2016/02/10/luxor-sample-mae-stoploss/index_files/figure-html/MAE-1.png" alt="luxor 系统的 MAE 图" width="672" /&gt;&#10;&lt;p class="caption"&gt;&#10;Figure 1: luxor 系统的 MAE 图&#10;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;p&gt;MAE 图表在交易系统评估中具有重要价值，能够帮助交易者识别策略风险点、优化资金管理并提升整体绩效。通过监测 MAE 曲线的波动，交易者可以及时发现策略在特定市场条件下的脆弱性，例如 MAE 突然增大的时期往往暗示策略对市场变化的适应性不足，需要调整入场或出场逻辑。在头寸管理方面，基于历史 MAE 数据可以精确计算每笔交易的最优仓位，避免因过度杠杆导致的风险暴露。此外，对比不同策略的 MAE 分布特征，能够直观地评估各策略的风险收益特性，为组合配置提供数据支持。&lt;/p&gt;&#10;&lt;p&gt;在实际应用中，MAE 分析可覆盖交易全周期。在风险控制环节，实时监控单笔交易的 MAE 水平，当接近或突破预设风险阈值时，及时采取减仓或止损措施，防止亏损扩大。策略优化阶段，通过关联 MAE 峰值与市场状态，可针对性地调整交易参数，例如优化止损位置或过滤特定市场环境下的信号。资金管理方面，结合历史 MAE 标准差与预期收益，可建立动态仓位模型，确保在不同市场波动性下保持稳定的风险敞口。这种系统化的应用方式使 MAE 不仅成为风险衡量工具，更成为策略迭代与资本配置的核心决策依据。&lt;/p&gt;&#10;</description></item><item><title>交易策略的 MFE 分析与可视化：评估盈利潜力的关键工具</title><link>https://gewutang.cn/2016/01/12/luxor-sample-mae-stop-trailing/</link><pubDate>Tue, 12 Jan 2016 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2016/01/12/luxor-sample-mae-stop-trailing/</guid><description>&#10;&#10;&#10;&lt;p&gt;在量化交易策略评估中，最大有利波动（MFE, Maximum Favorable Excursion）是衡量单笔交易潜在盈利空间的重要指标。它代表自交易入场后，价格朝着有利方向波动的最大幅度，能直观反映策略在理想情况下的盈利捕捉能力。&lt;/p&gt;&#10;&lt;p&gt;通过分析 MFE，交易者可以评估当前止盈策略是否充分捕获价格波动收益，识别交易时机是否精准，甚至为动态止盈参数的设定提供依据。这段代码正是基于这一原理，通过可视化 GBPUSD 货币对的 MFE 数据，帮助交易者理解 Luxor 策略在不同交易中的盈利潜力。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 基于Jaekle &amp;amp; Tamasini所著《A new approach to system development and portfolio optimisation》&#10;#&#10;# 图3.16：百分比形式的MFE（最大有利波动）图形&#10;&#10;# 加载blotter包，用于交易组合的记录与绩效分析&#10;require(&amp;#39;blotter&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;zoo&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## as.Date, as.Date.numeric&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载Luxor策略的交易数据（对应书中第66页的示例）&#10;# envir=.blotter参数将数据加载到blotter包的环境中，便于后续分析&#10;data(&amp;#39;luxor-p066&amp;#39;, package=&amp;#39;quantstrat&amp;#39;, envir=.blotter)&#10;&#10;# 定义货币单位与汇率属性：设置交易涉及的货币及GBPUSD的最小变动单位&#10;currency(c(&amp;#39;GBP&amp;#39;, &amp;#39;USD&amp;#39;)) # 定义英镑和美元为交易货币&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBP&amp;quot; &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;exchange_rate(c(&amp;#39;GBPUSD&amp;#39;), tick_size=0.0001) # 设置GBPUSD的最小价格变动为0.0001（即1个点）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBPUSD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制MFE图表：以百分比形式展示每笔交易的最大有利波动&#10;chart.ME(&#10; Portfolio=&amp;#39;luxor&amp;#39;, # 指定要分析的投资组合名称&#10; Symbol=&amp;#39;GBPUSD&amp;#39;, # 指定要分析的交易品种（GBPUSD货币对）&#10; type=&amp;#39;MFE&amp;#39;, # 指定图表类型为MFE（最大有利波动）&#10; scale=&amp;#39;percent&amp;#39; # 指定Y轴刻度为百分比形式（相对于入场价格的波动比例）&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2016/01/12/luxor-sample-mae-stop-trailing/index_files/figure-html/MFE-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;为增强 MFE 分析的实用性，可引入 MFE 与最终收益的对比分析，通过散点图展示每笔交易的 MFE 与实际平仓收益的关系，识别策略在盈利兑现上的效率。可增加按时间周期（如月度、季度）的 MFE 趋势分析，探究市场环境变化对策略盈利潜力的影响。&lt;/p&gt;&#10;&lt;p&gt;在可视化方面，可添加阈值参考线（如 MFE 的 25%、75% 分位数），直观标记优质交易与低效交易的分界线。还可结合最大不利波动（MAE）构建风险收益比矩阵，将每笔交易映射到二维空间中，更全面评估策略的风险收益特征。通过这些改进，MFE 分析将不仅能回顾历史表现，还能为动态止盈策略、仓位管理规则的优化提供数据支持，提升策略的实战效果。&lt;/p&gt;&#10;</description></item><item><title>基于 MFE 指标的交易策略绩效分析：GBP/USD 交易的最大有利波动可视化</title><link>https://gewutang.cn/2015/12/10/luxor-sample-mfe-takeprofit/</link><pubDate>Thu, 10 Dec 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/12/10/luxor-sample-mfe-takeprofit/</guid><description>&#10;&#10;&#10;&lt;p&gt;在量化交易中，评估单笔交易的潜在盈利空间与风险控制能力是优化策略的重要环节。最大有利波动（MFE，Maximum Favorable Excursion）作为衡量交易过程中价格对持仓最有利波动程度的指标，能够帮助交易者理解策略在盈利阶段的表现 —— 例如，单笔交易曾达到的最大浮盈比例，以及该比例与最终盈利的关系。这段代码的核心思路便是通过可视化 GBPUSD 交易的 MFE 指标（以百分比形式），直观展示 Luxor 策略在交易过程中的潜在盈利空间，为评估策略的止盈设置、盈利捕捉能力提供依据。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 基于Jaekle &amp;amp; Tamasini所著《A new approach to system development and portfolio optimisation》&#10;#&#10;# 图3.16：百分比形式的MFE（最大有利波动）图形&#10;&#10;# 加载blotter包，用于交易组合的记录与绩效分析&#10;require(&amp;#39;blotter&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;zoo&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## as.Date, as.Date.numeric&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载Luxor策略的交易数据（对应书中第66页的示例），存储到blotter环境中&#10;# 数据包含GBPUSD的交易记录，如入场时间、价格、持仓变化等&#10;data(&amp;#39;luxor-p066&amp;#39;, package=&amp;#39;quantstrat&amp;#39;, envir=.blotter)&#10;&#10;# 定义货币单位：GBP（英镑）和USD（美元），因交易标的为GBPUSD（英镑兑美元）&#10;currency(c(&amp;#39;GBP&amp;#39;, &amp;#39;USD&amp;#39;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBP&amp;quot; &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义汇率属性：GBPUSD的最小变动单位（点差）为0.0001&#10;exchange_rate(c(&amp;#39;GBPUSD&amp;#39;), tick_size=0.0001)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GBPUSD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制MFE图形（百分比形式）&#10;chart.ME(&#10; Portfolio=&amp;#39;luxor&amp;#39;, # 组合名称：luxor（对应加载的数据）&#10; Symbol=&amp;#39;GBPUSD&amp;#39;, # 交易标的：英镑兑美元&#10; type=&amp;#39;MFE&amp;#39;, # 图形类型：最大有利波动（MFE）&#10; scale=&amp;#39;percent&amp;#39; # 刻度单位：百分比（展示价格波动相对于入场价的百分比）&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/12/10/luxor-sample-mfe-takeprofit/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;这段代码为 MFE 指标的可视化提供了基础框架，但可从多个维度优化以增强分析深度。可以结合最大不利波动（MAE，Maximum Adverse Excursion）进行对比分析，通过同一图表展示单笔交易的潜在盈利与风险边界，更全面评估策略的风险收益特征。其次，可增加统计维度，例如按交易方向（做多 / 做空）、持仓周期分组展示 MFE 分布，识别策略在不同场景下的盈利捕捉能力差异。&lt;/p&gt;&#10;&lt;p&gt;在可视化层面，可添加参考线（如平均 MFE、中位数 MFE），并允许交互查询（如点击某笔交易显示具体入场时间、价格），使结果更易解读。此外，引入交易成本（如点差、手续费）对 MFE 的影响分析，能让指标更贴近实盘场景，为止盈参数的优化（如是否在 MFE 达到某一比例时部分止盈）提供更精准的依据。通过这些改进，MFE 分析将从单纯的历史回顾升级为策略优化的实用工具，帮助交易者平衡盈利捕捉与风险控制。&lt;/p&gt;&#10;</description></item><item><title>MACD 指标解析与策略实现：基于 AAPL 的趋势跟踪逻辑</title><link>https://gewutang.cn/2015/08/10/macd/</link><pubDate>Mon, 10 Aug 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/08/10/macd/</guid><description>&#10;&#10;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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）。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# Simple MACD strategy&#10;#&#10;# 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。&#10;# &#10;# 传统上，当MACD信号线穿越零时，标志着正向趋势的确立。&#10;#&#10;# 本策略将在信号线&amp;quot;signal&amp;quot;上穿零轴时买入，下穿零轴时卖出。&#10;# &#10;# Author: brian&#10;###############################################################################&#10;&#10;&#10;# 加载quantstrat包，用于量化策略开发、回测与绩效分析&#10;require(quantstrat)&#10;&#10;# 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）&#10;suppressWarnings(rm(&amp;quot;order_book.macd&amp;quot;, pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.macd&amp;quot;, &amp;quot;portfolio.macd&amp;quot;, pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;, &amp;quot;portfolio.st&amp;quot;, &amp;quot;stock.str&amp;quot;, &amp;quot;stratMACD&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;, &amp;#39;start_t&amp;#39;, &amp;#39;end_t&amp;#39;))&#10;&#10;# 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&#10;oldtz &amp;lt;- Sys.getenv(&amp;#39;TZ&amp;#39;)&#10;if (oldtz == &amp;#39;&amp;#39;) {&#10; Sys.setenv(TZ = &amp;quot;GMT&amp;quot;)&#10;}&#10;&#10;&#10;# 设定交易标的为苹果公司股票（AAPL）&#10;stock.str &amp;lt;- &amp;#39;AAPL&amp;#39;&#10;&#10;# MACD指标参数设置&#10;fastMA = 12 # 快速EMA周期（传统参数12日）&#10;slowMA = 26 # 慢速EMA周期（传统参数26日）&#10;signalMA = 9 # 信号线周期（传统参数9日）&#10;maType = &amp;quot;EMA&amp;quot; # 均线类型为指数移动平均（EMA）&#10;&#10;# 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）&#10;currency(&amp;#39;USD&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(stock.str, currency = &amp;#39;USD&amp;#39;, multiplier = 1)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 回测基础参数&#10;startDate = &amp;#39;2006-12-31&amp;#39; # 数据起始日期&#10;initEq = 1000000 # 初始资金100万美元&#10;portfolio.st = &amp;#39;macd&amp;#39; # 投资组合名称&#10;account.st = &amp;#39;macd&amp;#39; # 账户名称&#10;&#10;# 初始化回测环境&#10;initPortf(portfolio.st, symbols = stock.str) # 创建包含AAPL的投资组合&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(account.st, portfolios = portfolio.st) # 初始化账户，关联投资组合&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio = portfolio.st) # 初始化订单簿，记录交易订单&#10;&#10;# 定义策略对象，名称与组合一致，并存入环境&#10;strat.st &amp;lt;- portfolio.st&#10;strategy(strat.st, store = TRUE)&#10;&#10;# 添加MACD指标：基于收盘价计算，参数为快速EMA、慢速EMA&#10;add.indicator(&#10; strat.st, &#10; name = &amp;quot;MACD&amp;quot;, # 使用TTR包中的MACD函数&#10; arguments = list(&#10; x = quote(Cl(mktdata)), # 输入为收盘价（Cl(mktdata)）&#10; nFast = fastMA, # 快速EMA周期12日&#10; nSlow = slowMA # 慢速EMA周期26日&#10; ),&#10; label = &amp;#39;_&amp;#39; # 指标标签，用于后续信号引用&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 生成交易信号：基于信号线与零轴的交叉&#10;# 信号1：信号线上穿零轴（大于零且交叉），视为买入信号&#10;add.signal(&#10; strat.st,&#10; name = &amp;quot;sigThreshold&amp;quot;, # 阈值型信号函数&#10; arguments = list(&#10; column = &amp;quot;signal._&amp;quot;, # 引用MACD指标中的信号线（因指标标签为&amp;#39;_&amp;#39;，故列名为signal._）&#10; relationship = &amp;quot;gt&amp;quot;, # 大于（greater than）&#10; threshold = 0, # 阈值为0（零轴）&#10; cross = TRUE # 必须穿越阈值（避免持续触发）&#10; ),&#10; label = &amp;quot;signal.gt.zero&amp;quot; # 信号标签：上穿零轴&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 信号2：信号线下穿零轴（小于零且交叉），视为卖出信号&#10;add.signal(&#10; strat.st,&#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; column = &amp;quot;signal._&amp;quot;,&#10; relationship = &amp;quot;lt&amp;quot;, # 小于（less than）&#10; threshold = 0,&#10; cross = TRUE&#10; ),&#10; label = &amp;quot;signal.lt.zero&amp;quot; # 信号标签：下穿零轴&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义交易规则：将信号转化为具体交易动作&#10;####&#10;# 入场规则：当买入信号触发时，以市价单买入100股&#10;add.rule(&#10; strat.st,&#10; name = &amp;#39;ruleSignal&amp;#39;, # 基于信号的规则函数&#10; arguments = list(&#10; sigcol = &amp;quot;signal.gt.zero&amp;quot;, # 触发信号列：上穿零轴&#10; sigval = TRUE, # 信号值为TRUE时执行&#10; orderqty = 100, # 订单数量：100股&#10; ordertype = &amp;#39;market&amp;#39;, # 市价单（确保及时入场）&#10; orderside = &amp;#39;long&amp;#39;, # 做多方向&#10; threshold = NULL # 无额外阈值&#10; ),&#10; type = &amp;#39;enter&amp;#39;, # 入场规则&#10; label = &amp;#39;enter&amp;#39;,&#10; storefun = FALSE # 不存储规则函数结果&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可选的风险止损规则（注释未启用）：&#10;# 1. 止损限价单：当价格回落5%时触发止损&#10;# add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, arguments = list(sigcol=&amp;quot;signal.gt.zero&amp;quot;,sigval=TRUE, orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;stoplimit&amp;#39;, orderside=&amp;#39;long&amp;#39;, threshold=-.05,tmult=TRUE, orderset=&amp;#39;exit2&amp;#39;),type=&amp;#39;chain&amp;#39;, parent=&amp;#39;enter&amp;#39;, label=&amp;#39;risk&amp;#39;,storefun=FALSE)&#10;# 2. 追踪止损单：当价格从高点回落1单位时触发止损&#10;# add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, arguments = list(sigcol=&amp;quot;signal.gt.zero&amp;quot;,sigval=TRUE, orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;stoptrailing&amp;#39;, orderside=&amp;#39;long&amp;#39;, threshold=-1,tmult=FALSE, orderset=&amp;#39;exit2&amp;#39;),&#9;type=&amp;#39;chain&amp;#39;, parent=&amp;#39;enter&amp;#39;, label=&amp;#39;trailingexit&amp;#39;)&#10;&#10;# 出场规则：当卖出信号触发时，以市价单平仓所有持仓&#10;add.rule(&#10; strat.st,&#10; name = &amp;#39;ruleSignal&amp;#39;,&#10; arguments = list(&#10; sigcol = &amp;quot;signal.lt.zero&amp;quot;, # 触发信号列：下穿零轴&#10; sigval = TRUE,&#10; orderqty = &amp;#39;all&amp;#39;, # 平仓全部持仓&#10; ordertype = &amp;#39;market&amp;#39;, # 市价单（确保及时离场）&#10; orderside = &amp;#39;long&amp;#39;, # 针对多头持仓&#10; threshold = NULL,&#10; orderset = &amp;#39;exit2&amp;#39; # 订单集标签，用于管理出场订单&#10; ),&#10; type = &amp;#39;exit&amp;#39;, # 出场规则&#10; label = &amp;#39;exit&amp;#39;&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 结束规则定义&#10;####&#10;&#10;# 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）&#10;getSymbols(stock.str, from = startDate, to = &amp;#39;2014-06-01&amp;#39;, src = &amp;#39;yahoo&amp;#39;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 执行策略回测并记录时间&#10;start_t &amp;lt;- Sys.time() # 回测开始时间&#10;out &amp;lt;- applyStrategy(&#10; strat.st, &#10; portfolios = portfolio.st,&#10; parameters = list(nFast = fastMA, nSlow = slowMA, nSig = signalMA, maType = maType), # 传递MACD参数&#10; verbose = TRUE # 输出详细过程&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time() # 回测结束时间&#10;print(end_t - start_t) # 打印回测耗时&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.4202731 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 更新组合与账户数据&#10;start_t &amp;lt;- Sys.time()&#10;updatePortf(Portfolio = portfolio.st, Dates = paste(&amp;#39;::&amp;#39;, as.Date(Sys.time()), sep = &amp;#39;&amp;#39;)) # 更新至当前日期&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time()&#10;print(&amp;quot;trade blotter portfolio update:&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(end_t - start_t) # 打印数据更新耗时&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.032722 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化回测结果&#10;chart.Posn(Portfolio = portfolio.st, Symbol = stock.str) # 绘制AAPL的持仓变化图&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/08/10/macd/index_files/figure-html/SimpleMACD-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;plot(add_MACD(fast = fastMA, slow = slowMA, signal = signalMA, maType = &amp;quot;EMA&amp;quot;)) # 叠加MACD指标&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/08/10/macd/index_files/figure-html/SimpleMACD-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看订单簿（包含所有交易订单详情，用于调试与分析）&#10;obook &amp;lt;- getOrderBook(&amp;#39;macd&amp;#39;)&#10;&#10;# 恢复初始时区设置&#10;Sys.setenv(TZ = oldtz)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;strong&gt;策略核心思路&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;MACD 及策略的优劣势与改进方向&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;</description></item><item><title>MACD 策略的参数优化与有效性验证：基于 quantstrat 的实现</title><link>https://gewutang.cn/2015/07/10/macd-parameters/</link><pubDate>Fri, 10 Jul 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/07/10/macd-parameters/</guid><description>&#10;&#10;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;div id="代码实现与核心注释" class="section level1"&gt;&#10;&lt;h1&gt;代码实现与核心注释&lt;/h1&gt;&#10;&lt;p&gt;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：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# Parameter demo for MACD&#10;###############################################################################&#10;&#10;# 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&#10;require(foreach, quietly=TRUE)&#10;require(iterators)&#10;require(quantstrat)&#10;&#10;# 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）&#10;demo(&amp;#39;macd&amp;#39;, ask=FALSE)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &#10;## &#9;demo(macd)&#10;## &#9;---- ~~~~&#10;## &#10;## &amp;gt; # Simple MACD strategy&#10;## &amp;gt; #&#10;## &amp;gt; # MACD may be used in many ways, this will demonstrate a trend indicator.&#10;## &amp;gt; # &#10;## &amp;gt; # traditionally, when the MACD signal crosses zero, this indicated a establishment of a positive trend&#10;## &amp;gt; #&#10;## &amp;gt; # we&amp;#39;ll buy on positive treshold crossover of the &amp;#39;signal&amp;#39; column, and sell on negative threshold crossover&#10;## &amp;gt; # &#10;## &amp;gt; # Author: brian&#10;## &amp;gt; ###############################################################################&#10;## &amp;gt; &#10;## &amp;gt; &#10;## &amp;gt; require(quantstrat)&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;order_book.macd&amp;quot;,pos=.strategy))&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;account.macd&amp;quot;,&amp;quot;portfolio.macd&amp;quot;,pos=.blotter))&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;account.st&amp;quot;,&amp;quot;portfolio.st&amp;quot;,&amp;quot;stock.str&amp;quot;,&amp;quot;stratMACD&amp;quot;,&amp;quot;startDate&amp;quot;,&amp;quot;initEq&amp;quot;,&amp;#39;start_t&amp;#39;,&amp;#39;end_t&amp;#39;))&#10;## &#10;## &amp;gt; #correct for TZ issues if they crop up&#10;## &amp;gt; oldtz&amp;lt;-Sys.getenv(&amp;#39;TZ&amp;#39;)&#10;## &#10;## &amp;gt; if(oldtz==&amp;#39;&amp;#39;) {&#10;## + Sys.setenv(TZ=&amp;quot;GMT&amp;quot;)&#10;## + }&#10;## &#10;## &amp;gt; stock.str=&amp;#39;AAPL&amp;#39; # what are we trying it on&#10;## &#10;## &amp;gt; #MA parameters for MACD&#10;## &amp;gt; fastMA = 12 &#10;## &#10;## &amp;gt; slowMA = 26 &#10;## &#10;## &amp;gt; signalMA = 9&#10;## &#10;## &amp;gt; maType=&amp;quot;EMA&amp;quot;&#10;## &#10;## &amp;gt; currency(&amp;#39;USD&amp;#39;)&#10;## [1] &amp;quot;USD&amp;quot;&#10;## &#10;## &amp;gt; stock(stock.str,currency=&amp;#39;USD&amp;#39;,multiplier=1)&#10;## [1] &amp;quot;AAPL&amp;quot;&#10;## &#10;## &amp;gt; #or use fake data&#10;## &amp;gt; #stock.str=&amp;#39;sample_matrix&amp;#39; # what are we trying it on&#10;## &amp;gt; #data(sample_matrix) # data included in package xts&#10;## &amp;gt; #sample_matrix&amp;lt;-as.xts(sample_matrix)&#10;## &amp;gt; &#10;## &amp;gt; startDate=&amp;#39;2006-12-31&amp;#39;&#10;## &#10;## &amp;gt; initEq=1000000&#10;## &#10;## &amp;gt; portfolio.st=&amp;#39;macd&amp;#39;&#10;## &#10;## &amp;gt; account.st=&amp;#39;macd&amp;#39;&#10;## &#10;## &amp;gt; initPortf(portfolio.st,symbols=stock.str)&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; initAcct(account.st,portfolios=portfolio.st)&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; initOrders(portfolio=portfolio.st)&#10;## &#10;## &amp;gt; strat.st&amp;lt;-portfolio.st&#10;## &#10;## &amp;gt; # define the strategy&#10;## &amp;gt; strategy(strat.st, store=TRUE)&#10;## &#10;## &amp;gt; #one indicator&#10;## &amp;gt; add.indicator(strat.st, name = &amp;quot;MACD&amp;quot;, &#10;## + &#9;&#9;&#9; arguments = list(x=quote(Cl(mktdata)),&#10;## + &#9;&#9;&#9; nFast=fastMA, &#10;## + &#9;&#9;&#9; nSlow=slowMA),&#10;## + &#9;&#9;&#9; label=&amp;#39;_&amp;#39; &#10;## + )&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; #two signals&#10;## &amp;gt; add.signal(strat.st,name=&amp;quot;sigThreshold&amp;quot;,&#10;## + &#9;&#9; arguments = list(column=&amp;quot;signal._&amp;quot;,&#10;## + &#9;&#9;&#9;&#9; &#9;&#9;&#9; relationship=&amp;quot;gt&amp;quot;,&#10;## + &#9;&#9;&#9;&#9;&#9;&#9;&#9; threshold=0,&#10;## + &#9;&#9;&#9;&#9;&#9;&#9;&#9; cross=TRUE),&#10;## + &#9;&#9; label=&amp;quot;signal.gt.zero&amp;quot;&#10;## + )&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; add.signal(strat.st,name=&amp;quot;sigThreshold&amp;quot;,&#10;## + &#9;&#9; arguments = list(column=&amp;quot;signal._&amp;quot;,&#10;## + &#9;&#9;&#9;&#9; relationship=&amp;quot;lt&amp;quot;,&#10;## + &#9;&#9;&#9;&#9;&#9;&#9;&#9; threshold=0,&#10;## + &#9;&#9;&#9;&#9;&#9;&#9;&#9; cross=TRUE),&#10;## + &#9; label=&amp;quot;signal.lt.zero&amp;quot;&#10;## + )&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; ####&#10;## &amp;gt; # add rules&#10;## &amp;gt; &#10;## &amp;gt; # entry&#10;## &amp;gt; add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, &#10;## + &#9;&#9; arguments = list(sigcol=&amp;quot;signal.gt.zero&amp;quot;,&#10;## + &#9;&#9;&#9;&#9; sigval=TRUE, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; orderqty=100, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; ordertype=&amp;#39;market&amp;#39;, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; orderside=&amp;#39;long&amp;#39;, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; threshold=NULL),&#10;## + &#9; type=&amp;#39;enter&amp;#39;,&#10;## + &#9;&#9; label=&amp;#39;enter&amp;#39;,&#10;## + &#9;&#9; storefun=FALSE&#10;## + )&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; #alternatives for risk stops:&#10;## &amp;gt; # simple stoplimit order, with threshold multiplier&#10;## &amp;gt; #add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, arguments = list(sigcol=&amp;quot;signal.gt.zero&amp;quot;,sigval=TRUE, orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;stoplimit&amp;#39;, orderside=&amp;#39;long&amp;#39;, threshold=-.05,tmult=TRUE, orderset=&amp;#39;exit2&amp;#39;),type=&amp;#39;chain&amp;#39;, parent=&amp;#39;enter&amp;#39;, label=&amp;#39;risk&amp;#39;,storefun=FALSE)&#10;## &amp;gt; # alternately, use a trailing order, also with a threshold multiplier&#10;## &amp;gt; #add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, arguments = list(sigcol=&amp;quot;signal.gt.zero&amp;quot;,sigval=TRUE, orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;stoptrailing&amp;#39;, orderside=&amp;#39;long&amp;#39;, threshold=-1,tmult=FALSE, orderset=&amp;#39;exit2&amp;#39;),&#9;type=&amp;#39;chain&amp;#39;, parent=&amp;#39;enter&amp;#39;, label=&amp;#39;trailingexit&amp;#39;)&#10;## &amp;gt; &#10;## &amp;gt; # exit&#10;## &amp;gt; add.rule(strat.st,name=&amp;#39;ruleSignal&amp;#39;, &#10;## + &#9;&#9; arguments = list(sigcol=&amp;quot;signal.lt.zero&amp;quot;,&#10;## + &#9;&#9;&#9;&#9; sigval=TRUE, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; orderqty=&amp;#39;all&amp;#39;, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; ordertype=&amp;#39;market&amp;#39;, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; orderside=&amp;#39;long&amp;#39;, &#10;## + &#9;&#9;&#9;&#9;&#9;&#9; threshold=NULL,&#10;## + &#9;&#9;&#9;&#9;&#9;&#9; orderset=&amp;#39;exit2&amp;#39;),&#10;## + type=&amp;#39;exit&amp;#39;,&#10;## + &#9;&#9; label=&amp;#39;exit&amp;#39;&#10;## + )&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; #end rules&#10;## &amp;gt; ####&#10;## &amp;gt; &#10;## &amp;gt; getSymbols(stock.str,from=startDate, to=&amp;#39;2014-06-01&amp;#39;, src=&amp;#39;yahoo&amp;#39;)&#10;## [1] &amp;quot;AAPL&amp;quot;&#10;## &#10;## &amp;gt; start_t&amp;lt;-Sys.time()&#10;## &#10;## &amp;gt; out&amp;lt;-applyStrategy(strat.st , portfolios=portfolio.st,parameters=list(nFast=fastMA, nSlow=slowMA, nSig=signalMA,maType=maType),verbose=TRUE)&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## &#10;## &amp;gt; end_t&amp;lt;-Sys.time()&#10;## &#10;## &amp;gt; print(end_t-start_t)&#10;## Time difference of 0.437279 secs&#10;## &#10;## &amp;gt; start_t&amp;lt;-Sys.time()&#10;## &#10;## &amp;gt; updatePortf(Portfolio=portfolio.st,Dates=paste(&amp;#39;::&amp;#39;,as.Date(Sys.time()),sep=&amp;#39;&amp;#39;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; end_t&amp;lt;-Sys.time()&#10;## &#10;## &amp;gt; print(&amp;quot;trade blotter portfolio update:&amp;quot;)&#10;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&#10;## &#10;## &amp;gt; print(end_t-start_t)&#10;## Time difference of 0.05017185 secs&#10;## &#10;## &amp;gt; chart.Posn(Portfolio=portfolio.st,Symbol=stock.str)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/07/10/macd-parameters/index_files/figure-html/MACDParameter-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &amp;gt; plot(add_MACD(fast=fastMA, slow=slowMA, signal=signalMA,maType=&amp;quot;EMA&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/07/10/macd-parameters/index_files/figure-html/MACDParameter-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &amp;gt; #look at the order book&#10;## &amp;gt; obook&amp;lt;-getOrderBook(&amp;#39;macd&amp;#39;)&#10;## &#10;## &amp;gt; # set tz as it was before the demo&#10;## &amp;gt; Sys.setenv(TZ=oldtz)&#10;## &#10;## &amp;gt; ###############################################################################&#10;## &amp;gt; # R (http://r-project.org/) Quantitative Strategy Model Framework&#10;## &amp;gt; #&#10;## &amp;gt; # Copyright (c) 2009-2012&#10;## &amp;gt; # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich &#10;## &amp;gt; #&#10;## &amp;gt; # This library is distributed under the terms of the GNU Public License (GPL)&#10;## &amp;gt; # for full details see the file COPYING&#10;## &amp;gt; #&#10;## &amp;gt; # $Id$&#10;## &amp;gt; #&#10;## &amp;gt; ##############################################################################&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 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&#10;# 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&#10;# require(doParallel)&#10;# registerDoParallel()&#10;&#10;&#10;# 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&amp;#39;macd&amp;#39;）&#10;strategy.st &amp;lt;- &amp;#39;macd&amp;#39;&#10;&#10;### 设置参数搜索范围&#10;.FastMA = (1:20) # MACD快速EMA周期候选值（1到20日）：反映短期价格动量&#10;.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&#10;.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&#10;&#10;&#10;### 定义参数分布与约束&#10;# 为策略添加快速EMA周期的参数分布&#10;add.distribution(&#10; strategy.st, # 目标策略名称&#10; paramset.label = &amp;#39;MA&amp;#39;, # 参数集标签（用于标识该组参数）&#10; component.type = &amp;#39;indicator&amp;#39;, # 组件类型：指标（此处为MACD的快速EMA）&#10; component.label = &amp;#39;_&amp;#39;, # 指标在策略中的标识（对应MACD指标的默认标签）&#10; variable = list(n = .FastMA), # 待测试的参数：快速EMA周期，取值范围1-20&#10; label = &amp;#39;nFAST&amp;#39; # 参数标签（用于后续约束与结果识别）&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 为策略添加慢速EMA周期的参数分布&#10;add.distribution(&#10; strategy.st,&#10; paramset.label = &amp;#39;MA&amp;#39;,&#10; component.type = &amp;#39;indicator&amp;#39;,&#10; component.label = &amp;#39;_&amp;#39;,&#10; variable = list(n = .SlowMA), # 待测试的参数：慢速EMA周期，取值范围30-80&#10; label = &amp;#39;nSLOW&amp;#39; # 参数标签&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 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）&#10;add.distribution.constraint(&#10; strategy.st,&#10; paramset.label = &amp;#39;MA&amp;#39;,&#10; distribution.label.1 = &amp;#39;nFAST&amp;#39;, # 第一个参数：快速EMA周期&#10; distribution.label.2 = &amp;#39;nSLOW&amp;#39;, # 第二个参数：慢速EMA周期&#10; operator = &amp;#39;&amp;lt;&amp;#39;, # 约束关系：nFAST &amp;lt; nSLOW&#10; label = &amp;#39;MA&amp;#39; # 约束标签&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;### 执行参数优化并分析结果&#10;.audit &amp;lt;- new.env() # 创建环境存储审计信息，用于后续有效性验证&#10;&#10;# 应用参数集测试策略表现&#10;results &amp;lt;- apply.paramset(&#10; strategy.st, # 策略名称&#10; paramset.label = &amp;#39;MA&amp;#39;, # 使用的参数集标签&#10; portfolio.st = portfolio.st, # 组合名称（来自内置MACD演示）&#10; account.st = account.st, # 账户名称（来自内置MACD演示）&#10; nsamples = .nsamples, # 随机抽样的参数组合数量（30组）&#10; audit = .audit, # 存储审计数据的环境&#10; store = TRUE, # 保存结果到策略环境&#10; verbose = TRUE # 输出详细过程信息&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## evaluation # 1:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 441 1 52&#10;## &#10;## [1] &amp;quot;2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-05-27 00:00:00 AAPL -100 @ 12.0503568649292&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-01 00:00:00 AAPL -100 @ 13.854642868042&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 AAPL 100 @ 16.6064281463623&amp;quot;&#10;## [1] &amp;quot;2014-02-11 00:00:00 AAPL -100 @ 19.141429901123&amp;quot;&#10;## [1] &amp;quot;2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b1c696b0&amp;gt;&#10;## got results for task 1&#10;## numValues: 1, numResults: 1, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 2:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 243 3 42&#10;## &#10;## [1] &amp;quot;2008-04-16 00:00:00 AAPL 100 @ 5.48928594589233&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 AAPL -100 @ 5.78999996185303&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407&amp;quot;&#10;## [1] &amp;quot;2010-02-24 00:00:00 AAPL -100 @ 7.16642904281616&amp;quot;&#10;## [1] &amp;quot;2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989&amp;quot;&#10;## [1] &amp;quot;2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-18 00:00:00 AAPL -100 @ 11.85178565979&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 AAPL -100 @ 13.3285713195801&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078&amp;quot;&#10;## [1] &amp;quot;2013-06-07 00:00:00 AAPL 100 @ 15.7789287567139&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 AAPL -100 @ 18.5599994659424&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b1c69790&amp;gt;&#10;## got results for task 2&#10;## numValues: 2, numResults: 2, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 3:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 343 3 47&#10;## &#10;## [1] &amp;quot;2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313&amp;quot;&#10;## [1] &amp;quot;2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-25 00:00:00 AAPL 100 @ 3.80321407318115&amp;quot;&#10;## [1] &amp;quot;2010-08-27 00:00:00 AAPL -100 @ 8.62928581237793&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-20 00:00:00 AAPL -100 @ 12.228928565979&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 AAPL -100 @ 20.6000003814697&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 AAPL 100 @ 16.6064281463623&amp;quot;&#10;## [1] &amp;quot;2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b43aa028&amp;gt;&#10;## got results for task 3&#10;## numValues: 3, numResults: 3, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 4:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 184 4 39&#10;## &#10;## [1] &amp;quot;2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023&amp;quot;&#10;## [1] &amp;quot;2010-02-19 00:00:00 AAPL -100 @ 7.2024998664856&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-06-06 00:00:00 AAPL -100 @ 20.4092864990234&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078&amp;quot;&#10;## [1] &amp;quot;2013-06-05 00:00:00 AAPL 100 @ 15.896785736084&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708&amp;quot;&#10;## [1] &amp;quot;2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498&amp;quot;&#10;## [1] &amp;quot;2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b37266a0&amp;gt;&#10;## got results for task 4&#10;## numValues: 4, numResults: 4, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 5:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 604 4 60&#10;## &#10;## [1] &amp;quot;2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092&amp;quot;&#10;## [1] &amp;quot;2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778&amp;quot;&#10;## [1] &amp;quot;2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-06-07 00:00:00 AAPL -100 @ 11.8585710525513&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936&amp;quot;&#10;## [1] &amp;quot;2014-02-26 00:00:00 AAPL -100 @ 18.47678565979&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053&amp;quot;&#10;## [1] &amp;quot;2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b0218098&amp;gt;&#10;## got results for task 5&#10;## numValues: 5, numResults: 5, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 6:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 525 5 56&#10;## &#10;## [1] &amp;quot;2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479&amp;quot;&#10;## [1] &amp;quot;2008-07-31 00:00:00 AAPL -100 @ 5.67678594589233&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896&amp;quot;&#10;## [1] &amp;quot;2010-08-31 00:00:00 AAPL -100 @ 8.68214321136475&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-02 00:00:00 AAPL -100 @ 13.917857170105&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936&amp;quot;&#10;## [1] &amp;quot;2014-02-13 00:00:00 AAPL -100 @ 19.4439296722412&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 AAPL 100 @ 19.3446426391602&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b3650aa0&amp;gt;&#10;## got results for task 6&#10;## numValues: 6, numResults: 6, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 7:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 765 5 68&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651&amp;quot;&#10;## [1] &amp;quot;2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279&amp;quot;&#10;## [1] &amp;quot;2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 AAPL -100 @ 11.66428565979&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b3648c98&amp;gt;&#10;## got results for task 7&#10;## numValues: 7, numResults: 7, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 8:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 985 5 79&#10;## &#10;## [1] &amp;quot;2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057&amp;quot;&#10;## [1] &amp;quot;2008-08-06 00:00:00 AAPL -100 @ 5.86392879486084&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-02 00:00:00 AAPL 100 @ 4.02535676956177&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 AAPL -100 @ 11.6128568649292&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641&amp;quot;&#10;## [1] &amp;quot;2013-08-14 00:00:00 AAPL 100 @ 17.8035717010498&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b08b4e18&amp;gt;&#10;## got results for task 8&#10;## numValues: 8, numResults: 8, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 9:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 626 6 61&#10;## &#10;## [1] &amp;quot;2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092&amp;quot;&#10;## [1] &amp;quot;2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778&amp;quot;&#10;## [1] &amp;quot;2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-06-08 00:00:00 AAPL -100 @ 11.8657140731812&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406&amp;quot;&#10;## [1] &amp;quot;2013-08-09 00:00:00 AAPL 100 @ 16.2303562164307&amp;quot;&#10;## [1] &amp;quot;2014-02-27 00:00:00 AAPL -100 @ 18.8453578948975&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053&amp;quot;&#10;## [1] &amp;quot;2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4aaac46a0&amp;gt;&#10;## got results for task 9&#10;## numValues: 9, numResults: 9, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 10:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 167 7 38&#10;## &#10;## [1] &amp;quot;2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-02-23 00:00:00 AAPL 100 @ 3.1053569316864&amp;quot;&#10;## [1] &amp;quot;2009-03-02 00:00:00 AAPL -100 @ 3.14071393013&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023&amp;quot;&#10;## [1] &amp;quot;2010-02-18 00:00:00 AAPL -100 @ 7.24749994277954&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-06-05 00:00:00 AAPL -100 @ 20.1010704040527&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502&amp;quot;&#10;## [1] &amp;quot;2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801&amp;quot;&#10;## [1] &amp;quot;2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4aaabc898&amp;gt;&#10;## got results for task 10&#10;## numValues: 10, numResults: 10, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 11:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 927 7 76&#10;## &#10;## [1] &amp;quot;2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-02 00:00:00 AAPL 100 @ 4.02535676956177&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572&amp;quot;&#10;## [1] &amp;quot;2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879&amp;quot;&#10;## [1] &amp;quot;2014-04-25 00:00:00 AAPL 100 @ 20.4264297485352&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4e404a0&amp;gt;&#10;## got results for task 11&#10;## numValues: 11, numResults: 11, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 12:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 488 8 54&#10;## &#10;## [1] &amp;quot;2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-02 00:00:00 AAPL -100 @ 13.917857170105&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936&amp;quot;&#10;## [1] &amp;quot;2014-02-12 00:00:00 AAPL -100 @ 19.1399993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4e38698&amp;gt;&#10;## got results for task 12&#10;## numValues: 12, numResults: 12, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 13:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 868 8 73&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 AAPL -100 @ 11.872857093811&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572&amp;quot;&#10;## [1] &amp;quot;2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b112baa0&amp;gt;&#10;## got results for task 13&#10;## numValues: 13, numResults: 13, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 14:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 489 9 54&#10;## &#10;## [1] &amp;quot;2008-04-22 00:00:00 AAPL 100 @ 5.72142887115479&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 AAPL -100 @ 5.71000003814697&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 AAPL 100 @ 6.05464315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-03-26 00:00:00 AAPL 100 @ 3.92392897605896&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 AAPL -100 @ 8.6607141494751&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-05-31 00:00:00 AAPL -100 @ 12.4224996566772&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-02 00:00:00 AAPL -100 @ 13.917857170105&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 AAPL -100 @ 20.8792858123779&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 AAPL 100 @ 16.4646434783936&amp;quot;&#10;## [1] &amp;quot;2014-02-12 00:00:00 AAPL -100 @ 19.1399993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-02 00:00:00 AAPL 100 @ 19.3767852783203&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b31a2ea0&amp;gt;&#10;## got results for task 14&#10;## numValues: 14, numResults: 14, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 15:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 331 11 46&#10;## &#10;## [1] &amp;quot;2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313&amp;quot;&#10;## [1] &amp;quot;2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407&amp;quot;&#10;## [1] &amp;quot;2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-19 00:00:00 AAPL -100 @ 12.0664291381836&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-11-01 00:00:00 AAPL -100 @ 21.3050003051758&amp;quot;&#10;## [1] &amp;quot;2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498&amp;quot;&#10;## [1] &amp;quot;2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b319b098&amp;gt;&#10;## got results for task 15&#10;## numValues: 15, numResults: 15, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 16:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 771 11 68&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651&amp;quot;&#10;## [1] &amp;quot;2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279&amp;quot;&#10;## [1] &amp;quot;2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 AAPL -100 @ 11.66428565979&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4af6404a0&amp;gt;&#10;## got results for task 16&#10;## numValues: 16, numResults: 16, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 17:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 332 12 46&#10;## &#10;## [1] &amp;quot;2008-04-18 00:00:00 AAPL 100 @ 5.75142908096313&amp;quot;&#10;## [1] &amp;quot;2008-07-29 00:00:00 AAPL -100 @ 5.6100001335144&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407&amp;quot;&#10;## [1] &amp;quot;2010-08-26 00:00:00 AAPL -100 @ 8.58142852783203&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-19 00:00:00 AAPL -100 @ 12.0664291381836&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-26 00:00:00 AAPL -100 @ 11.9642858505249&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-30 00:00:00 AAPL -100 @ 13.6499996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-11-01 00:00:00 AAPL -100 @ 21.3050003051758&amp;quot;&#10;## [1] &amp;quot;2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498&amp;quot;&#10;## [1] &amp;quot;2014-02-10 00:00:00 AAPL -100 @ 18.8924999237061&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b08dbe98&amp;gt;&#10;## got results for task 17&#10;## numValues: 17, numResults: 17, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 18:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 892 12 74&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572&amp;quot;&#10;## [1] &amp;quot;2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4ae7698a0&amp;gt;&#10;## got results for task 18&#10;## numValues: 18, numResults: 18, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 19:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 912 12 75&#10;## &#10;## [1] &amp;quot;2008-04-28 00:00:00 AAPL 100 @ 6.15142917633057&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 AAPL -100 @ 11.6696434020996&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2012-11-09 00:00:00 AAPL -100 @ 19.5378570556641&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 AAPL 100 @ 17.4846439361572&amp;quot;&#10;## [1] &amp;quot;2014-04-24 00:00:00 AAPL -100 @ 20.2775001525879&amp;quot;&#10;## [1] &amp;quot;2014-04-25 00:00:00 AAPL 100 @ 20.4264297485352&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4aaab6898&amp;gt;&#10;## got results for task 19&#10;## numValues: 19, numResults: 19, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 20:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 153 13 37&#10;## &#10;## [1] &amp;quot;2007-04-04 00:00:00 AAPL 100 @ 3.36678600311279&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904&amp;quot;&#10;## [1] &amp;quot;2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988&amp;quot;&#10;## [1] &amp;quot;2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023&amp;quot;&#10;## [1] &amp;quot;2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534&amp;quot;&#10;## [1] &amp;quot;2012-01-03 00:00:00 AAPL 100 @ 14.686785697937&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 AAPL -100 @ 20.0353565216064&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502&amp;quot;&#10;## [1] &amp;quot;2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801&amp;quot;&#10;## [1] &amp;quot;2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4aaab6908&amp;gt;&#10;## got results for task 20&#10;## numValues: 20, numResults: 20, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 21:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 854 14 72&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 AAPL -100 @ 11.872857093811&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4ae77f8a0&amp;gt;&#10;## got results for task 21&#10;## numValues: 21, numResults: 21, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 22:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 235 15 41&#10;## &#10;## [1] &amp;quot;2008-04-16 00:00:00 AAPL 100 @ 5.48928594589233&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 AAPL -100 @ 5.78999996185303&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 AAPL 100 @ 3.80357098579407&amp;quot;&#10;## [1] &amp;quot;2010-02-23 00:00:00 AAPL -100 @ 7.03785705566406&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-08-25 00:00:00 AAPL -100 @ 8.67464256286621&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-18 00:00:00 AAPL -100 @ 11.85178565979&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-25 00:00:00 AAPL -100 @ 12.0278568267822&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 AAPL -100 @ 13.3285713195801&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-10-31 00:00:00 AAPL -100 @ 21.2614288330078&amp;quot;&#10;## [1] &amp;quot;2013-06-06 00:00:00 AAPL 100 @ 15.6592855453491&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-08-06 00:00:00 AAPL 100 @ 16.6160717010498&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 AAPL -100 @ 18.5599994659424&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b175ca98&amp;gt;&#10;## got results for task 22&#10;## numValues: 22, numResults: 22, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 23:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 855 15 72&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 AAPL -100 @ 11.872857093811&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4e6e4a0&amp;gt;&#10;## got results for task 23&#10;## numValues: 23, numResults: 23, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 24:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 76 16 33&#10;## &#10;## [1] &amp;quot;2007-04-02 00:00:00 AAPL 100 @ 3.34464311599731&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904&amp;quot;&#10;## [1] &amp;quot;2008-04-11 00:00:00 AAPL 100 @ 5.25500011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-22 00:00:00 AAPL -100 @ 5.78642892837524&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-02-18 00:00:00 AAPL 100 @ 3.37035703659058&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-16 00:00:00 AAPL -100 @ 7.26428604125977&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-13 00:00:00 AAPL -100 @ 12.0046434402466&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-25 00:00:00 AAPL -100 @ 12.9846429824829&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-25 00:00:00 AAPL -100 @ 20.0817852020264&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-25 00:00:00 AAPL -100 @ 21.7692852020264&amp;quot;&#10;## [1] &amp;quot;2013-05-29 00:00:00 AAPL 100 @ 15.8910713195801&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801&amp;quot;&#10;## [1] &amp;quot;2014-02-05 00:00:00 AAPL -100 @ 18.3067855834961&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4e66698&amp;gt;&#10;## got results for task 24&#10;## numValues: 24, numResults: 24, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 25:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 137 17 36&#10;## &#10;## [1] &amp;quot;2007-04-03 00:00:00 AAPL 100 @ 3.375&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904&amp;quot;&#10;## [1] &amp;quot;2008-04-14 00:00:00 AAPL 100 @ 5.27785682678223&amp;quot;&#10;## [1] &amp;quot;2008-07-23 00:00:00 AAPL -100 @ 5.93785715103149&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 AAPL 100 @ 5.93535709381104&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023&amp;quot;&#10;## [1] &amp;quot;2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-14 00:00:00 AAPL -100 @ 11.872142791748&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534&amp;quot;&#10;## [1] &amp;quot;2012-01-03 00:00:00 AAPL 100 @ 14.686785697937&amp;quot;&#10;## [1] &amp;quot;2012-05-31 00:00:00 AAPL -100 @ 20.6332149505615&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 AAPL 100 @ 20.78928565979&amp;quot;&#10;## [1] &amp;quot;2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502&amp;quot;&#10;## [1] &amp;quot;2013-06-03 00:00:00 AAPL 100 @ 16.0971431732178&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801&amp;quot;&#10;## [1] &amp;quot;2014-02-05 00:00:00 AAPL -100 @ 18.3067855834961&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4e6e5b8&amp;gt;&#10;## got results for task 25&#10;## numValues: 25, numResults: 25, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 26:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 157 17 37&#10;## &#10;## [1] &amp;quot;2007-04-04 00:00:00 AAPL 100 @ 3.36678600311279&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 AAPL -100 @ 4.64321422576904&amp;quot;&#10;## [1] &amp;quot;2008-04-15 00:00:00 AAPL 100 @ 5.29928588867188&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 AAPL -100 @ 5.67964315414429&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 AAPL 100 @ 5.96285676956177&amp;quot;&#10;## [1] &amp;quot;2008-09-08 00:00:00 AAPL -100 @ 5.6399998664856&amp;quot;&#10;## [1] &amp;quot;2009-02-20 00:00:00 AAPL 100 @ 3.25714302062988&amp;quot;&#10;## [1] &amp;quot;2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 AAPL 100 @ 3.84500002861023&amp;quot;&#10;## [1] &amp;quot;2010-02-17 00:00:00 AAPL -100 @ 7.23392915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-08-24 00:00:00 AAPL -100 @ 8.56892871856689&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 AAPL 100 @ 10.1153573989868&amp;quot;&#10;## [1] &amp;quot;2011-04-15 00:00:00 AAPL -100 @ 11.6949996948242&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-15 00:00:00 AAPL 100 @ 13.0328569412231&amp;quot;&#10;## [1] &amp;quot;2011-11-28 00:00:00 AAPL -100 @ 13.4328565597534&amp;quot;&#10;## [1] &amp;quot;2012-01-03 00:00:00 AAPL 100 @ 14.686785697937&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 AAPL -100 @ 20.0353565216064&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-26 00:00:00 AAPL -100 @ 21.5714282989502&amp;quot;&#10;## [1] &amp;quot;2013-06-04 00:00:00 AAPL 100 @ 16.0467853546143&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-05 00:00:00 AAPL 100 @ 16.7660713195801&amp;quot;&#10;## [1] &amp;quot;2014-02-06 00:00:00 AAPL -100 @ 18.3039283752441&amp;quot;&#10;## [1] &amp;quot;2014-04-03 00:00:00 AAPL 100 @ 19.2425003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4adf10aa0&amp;gt;&#10;## got results for task 26&#10;## numValues: 26, numResults: 26, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 27:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 637 17 61&#10;## &#10;## [1] &amp;quot;2008-04-23 00:00:00 AAPL 100 @ 5.81750011444092&amp;quot;&#10;## [1] &amp;quot;2008-08-01 00:00:00 AAPL -100 @ 5.59499979019165&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-27 00:00:00 AAPL 100 @ 3.81607103347778&amp;quot;&#10;## [1] &amp;quot;2010-09-01 00:00:00 AAPL -100 @ 8.94035720825195&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-06-08 00:00:00 AAPL -100 @ 11.8657140731812&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-12-06 00:00:00 AAPL -100 @ 13.9624996185303&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-11-06 00:00:00 AAPL -100 @ 20.8160705566406&amp;quot;&#10;## [1] &amp;quot;2013-08-09 00:00:00 AAPL 100 @ 16.2303562164307&amp;quot;&#10;## [1] &amp;quot;2014-02-27 00:00:00 AAPL -100 @ 18.8453578948975&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053&amp;quot;&#10;## [1] &amp;quot;2014-04-17 00:00:00 AAPL -100 @ 18.7478561401367&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4ade2ae98&amp;gt;&#10;## got results for task 27&#10;## numValues: 27, numResults: 27, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 28:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 797 17 69&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651&amp;quot;&#10;## [1] &amp;quot;2010-09-07 00:00:00 AAPL -100 @ 9.20750045776367&amp;quot;&#10;## [1] &amp;quot;2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 AAPL -100 @ 11.66428565979&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-22 00:00:00 AAPL -100 @ 18.9892864227295&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4c168a0&amp;gt;&#10;## got results for task 28&#10;## numValues: 28, numResults: 28, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 29:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 859 19 72&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 AAPL -100 @ 5.73714303970337&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 AAPL -100 @ 5.45178604125977&amp;quot;&#10;## [1] &amp;quot;2009-04-01 00:00:00 AAPL 100 @ 3.88178610801697&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 AAPL -100 @ 11.872857093811&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 AAPL -100 @ 19.2053565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-23 00:00:00 AAPL -100 @ 18.7410717010498&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4c10a98&amp;gt;&#10;## got results for task 29&#10;## numValues: 29, numResults: 29, stopped: FALSE&#10;## returning status FALSE&#10;## evaluation # 30:&#10;## $param.combo&#10;## nFAST nSLOW&#10;## 780 20 68&#10;## &#10;## [1] &amp;quot;2008-04-25 00:00:00 AAPL 100 @ 6.06178617477417&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 AAPL -100 @ 5.47249984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 AAPL 100 @ 3.75428605079651&amp;quot;&#10;## [1] &amp;quot;2010-09-03 00:00:00 AAPL -100 @ 9.24178600311279&amp;quot;&#10;## [1] &amp;quot;2010-09-13 00:00:00 AAPL 100 @ 9.53714275360107&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 AAPL -100 @ 11.66428565979&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 AAPL 100 @ 13.3500003814697&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 AAPL -100 @ 19.9285717010498&amp;quot;&#10;## [1] &amp;quot;2013-08-12 00:00:00 AAPL 100 @ 16.6914291381836&amp;quot;&#10;## [1] &amp;quot;2014-04-21 00:00:00 AAPL -100 @ 18.9703578948975&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## result of evaluating expression:&#10;## &amp;lt;environment: 0x7fa4b4c10b08&amp;gt;&#10;## got results for task 30&#10;## numValues: 30, numResults: 30, stopped: FALSE&#10;## first call to combine function&#10;## evaluating call object to combine results:&#10;## fun(result.1, result.2, result.3, result.4, result.5, result.6, &#10;## result.7, result.8, result.9, result.10, result.11, result.12, &#10;## result.13, result.14, result.15, result.16, result.17, result.18, &#10;## result.19, result.20, result.21, result.22, result.23, result.24, &#10;## result.25, result.26, result.27, result.28, result.29, result.30)&#10;## returning status FALSE&#10;## numValues: 30, numResults: 30, stopped: TRUE&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取关键统计结果&#10;df &amp;lt;- degrees.of.freedom(&amp;#39;macd&amp;#39;, &amp;#39;macd&amp;#39;) # 计算策略的自由度（评估过拟合风险）&#10;tstats &amp;lt;- results$tradeStats # 交易统计数据（胜率、盈亏比等）&#10;defSR &amp;lt;- SharpeRatio.deflated(&amp;#39;macd&amp;#39;, strategy=&amp;#39;macd&amp;#39;, audit=.audit) # 修正后的夏普比率（考虑过拟合）&#10;hcSR &amp;lt;- SharpeRatio.haircut(&amp;#39;macd&amp;#39;, strategy=&amp;#39;macd&amp;#39;, audit=.audit) # 调整后的夏普比率（降低过拟合影响）&#10;&#10;# 打印结果&#10;print(tstats) # 输出交易统计&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## nFAST nSLOW Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL&#10;## 441 1 52 macd.train.441 AAPL 17 8 1648.500&#10;## 243 3 42 macd.train.243 AAPL 23 11 1518.071&#10;## 343 3 47 macd.train.343 AAPL 19 9 1571.500&#10;## 184 4 39 macd.train.184 AAPL 25 12 1386.500&#10;## 604 4 60 macd.train.604 AAPL 17 8 1618.428&#10;## 525 5 56 macd.train.525 AAPL 17 8 1722.286&#10;## 765 5 68 macd.train.765 AAPL 13 6 1651.179&#10;## 985 5 79 macd.train.985 AAPL 9 4 1789.786&#10;## 626 6 61 macd.train.626 AAPL 17 8 1702.107&#10;## 167 7 38 macd.train.167 AAPL 27 13 1352.178&#10;## 927 7 76 macd.train.927 AAPL 11 5 1799.786&#10;## 488 8 54 macd.train.488 AAPL 17 8 1694.143&#10;## 868 8 73 macd.train.868 AAPL 11 5 1573.536&#10;## 489 9 54 macd.train.489 AAPL 17 8 1694.143&#10;## 331 11 46 macd.train.331 AAPL 19 9 1651.679&#10;## 771 11 68 macd.train.771 AAPL 13 6 1651.179&#10;## 332 12 46 macd.train.332 AAPL 19 9 1651.679&#10;## 892 12 74 macd.train.892 AAPL 11 5 1706.857&#10;## 912 12 75 macd.train.912 AAPL 11 5 1814.143&#10;## 153 13 37 macd.train.153 AAPL 29 14 1405.679&#10;## 854 14 72 macd.train.854 AAPL 11 5 1621.143&#10;## 235 15 41 macd.train.235 AAPL 23 11 1521.571&#10;## 855 15 72 macd.train.855 AAPL 11 5 1621.143&#10;## 76 16 33 macd.train.76 AAPL 29 14 1496.536&#10;## 137 17 36 macd.train.137 AAPL 29 14 1502.500&#10;## 157 17 37 macd.train.157 AAPL 29 14 1405.679&#10;## 637 17 61 macd.train.637 AAPL 17 8 1702.107&#10;## 797 17 69 macd.train.797 AAPL 13 6 1571.036&#10;## 859 19 72 macd.train.859 AAPL 11 5 1621.143&#10;## 780 20 68 macd.train.780 AAPL 13 6 1651.179&#10;## Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits&#10;## 441 187.90627 136.01780 641.0715 -84.07135 1640.286&#10;## 243 124.80194 30.07140 679.7143 -74.39289 1582.286&#10;## 343 158.47222 29.99992 613.5715 -74.39289 1594.214&#10;## 184 103.43749 39.01784 594.5001 -100.96426 1484.178&#10;## 604 184.14727 129.67854 643.6070 -79.03571 1616.607&#10;## 525 197.12948 155.64284 641.0715 -80.85709 1726.107&#10;## 765 250.98809 220.30358 657.8571 -82.35712 1647.214&#10;## 985 327.35715 310.87499 758.7500 -71.07139 1409.250&#10;## 626 194.60712 141.37497 643.6070 -79.03571 1700.286&#10;## 167 92.84063 39.99996 563.6785 -127.89288 1476.785&#10;## 927 316.34286 279.28562 764.4287 -71.07139 1694.214&#10;## 488 193.61158 157.78565 641.0715 -84.07135 1697.857&#10;## 868 286.91425 125.64278 799.1071 -74.96428 1542.000&#10;## 489 193.61158 157.78565 641.0715 -84.07135 1697.857&#10;## 331 167.38096 61.71427 684.0714 -74.39289 1674.393&#10;## 771 250.98809 220.30358 657.8571 -82.35712 1647.214&#10;## 332 167.38096 61.71427 684.0714 -74.39289 1674.393&#10;## 892 313.57854 279.28562 778.7857 -74.96428 1675.321&#10;## 912 319.21427 279.28562 778.7857 -71.07139 1708.571&#10;## 153 90.03060 57.46427 534.8571 -127.89288 1560.143&#10;## 854 296.43568 204.96426 799.1071 -74.96428 1589.607&#10;## 235 125.12012 30.07140 679.7143 -74.39289 1573.821&#10;## 855 296.43568 204.96426 799.1071 -74.96428 1589.607&#10;## 76 96.52040 63.80358 561.7499 -112.32147 1659.786&#10;## 137 96.94642 70.46430 594.6429 -132.92866 1649.250&#10;## 157 90.03060 57.46427 534.8571 -127.89288 1560.143&#10;## 637 194.60712 141.37497 643.6070 -79.03571 1700.286&#10;## 797 238.67855 221.25001 585.5356 -82.35712 1573.357&#10;## 859 296.43568 204.96426 799.1071 -74.96428 1589.607&#10;## 780 250.98809 220.30358 657.8571 -82.35712 1647.214&#10;## Gross.Losses Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive&#10;## 441 -137.03566 261.4606 92.44028 62.50000&#10;## 243 -209.46436 225.5217 67.99736 63.63636&#10;## 343 -167.96427 250.7102 83.57008 55.55556&#10;## 184 -242.92860 196.9424 56.85237 66.66667&#10;## 604 -143.42880 266.6014 94.25784 62.50000&#10;## 525 -149.07141 265.6197 93.91073 62.50000&#10;## 765 -141.28575 304.4241 124.28063 66.66667&#10;## 985 -99.82142 438.2080 219.10400 50.00000&#10;## 626 -143.42880 268.2088 94.82611 62.50000&#10;## 167 -269.85722 185.6172 51.48094 69.23077&#10;## 927 -112.50000 384.6769 172.03275 60.00000&#10;## 488 -148.96426 264.1330 93.38512 62.50000&#10;## 868 -107.42860 396.9982 177.54301 60.00000&#10;## 489 -148.96426 264.1330 93.38512 62.50000&#10;## 331 -167.96427 264.2260 88.07535 55.55556&#10;## 771 -141.28575 304.4241 124.28063 66.66667&#10;## 332 -167.96427 264.2260 88.07535 55.55556&#10;## 892 -107.42860 380.9597 170.37037 60.00000&#10;## 912 -112.50000 388.8884 173.91616 60.00000&#10;## 153 -299.71435 174.5118 46.64025 64.28571&#10;## 854 -107.42860 384.2972 171.86295 60.00000&#10;## 235 -197.50004 223.3315 67.33699 63.63636&#10;## 855 -107.42860 384.2972 171.86295 60.00000&#10;## 76 -308.49998 184.6163 49.34077 57.14286&#10;## 137 -292.00015 186.5365 49.85397 64.28571&#10;## 157 -299.71435 174.5118 46.64025 64.28571&#10;## 637 -143.42880 268.2088 94.82611 62.50000&#10;## 797 -141.28575 285.2111 116.43694 66.66667&#10;## 859 -107.42860 384.2972 171.86295 60.00000&#10;## 780 -141.28575 304.4241 124.28063 66.66667&#10;## Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade&#10;## 441 37.50000 11.969774 328.0572 253.50018 -45.67855&#10;## 243 36.36364 7.553962 226.0408 194.39278 -52.36609&#10;## 343 44.44444 9.491389 318.8428 239.42852 -41.99107&#10;## 184 33.33333 6.109525 185.5223 136.44640 -60.73215&#10;## 604 37.50000 11.271146 323.3214 201.21422 -47.80960&#10;## 525 37.50000 11.579063 345.2214 297.92862 -49.69047&#10;## 765 33.33333 11.658743 411.8036 388.32144 -70.64288&#10;## 985 50.00000 14.117711 704.6250 704.62501 -49.91071&#10;## 626 37.50000 11.854563 340.0572 261.50017 -47.80960&#10;## 167 30.76923 5.472470 164.0873 94.03572 -67.46430&#10;## 927 40.00000 15.059683 564.7381 650.50001 -56.25000&#10;## 488 37.50000 11.397747 339.5714 267.53559 -49.65475&#10;## 868 40.00000 14.353718 513.9999 617.24997 -53.71430&#10;## 489 37.50000 11.397747 339.5714 267.53559 -49.65475&#10;## 331 44.44444 9.968744 334.8786 227.64282 -41.99107&#10;## 771 33.33333 11.658743 411.8036 388.32144 -70.64288&#10;## 332 44.44444 9.968744 334.8786 227.64282 -41.99107&#10;## 892 40.00000 15.594742 558.4404 617.24997 -53.71430&#10;## 912 40.00000 15.187301 569.5238 650.50001 -56.25000&#10;## 153 35.71429 5.205432 173.3492 127.64282 -59.94287&#10;## 854 40.00000 14.796870 529.8690 585.53562 -53.71430&#10;## 235 36.36364 7.968714 224.8316 194.39278 -49.37501&#10;## 855 40.00000 14.796870 529.8690 585.53562 -53.71430&#10;## 76 42.85714 5.380181 207.4732 144.01779 -51.41666&#10;## 137 35.71429 5.648114 183.2500 126.82142 -58.40003&#10;## 157 35.71429 5.205432 173.3492 127.64282 -59.94287&#10;## 637 37.50000 11.854563 340.0572 261.50017 -47.80960&#10;## 797 33.33333 11.135992 393.3393 387.55358 -70.64288&#10;## 859 40.00000 14.796870 529.8690 585.53562 -53.71430&#10;## 780 33.33333 11.658743 411.8036 388.32144 -70.64288&#10;## Med.Losing.Trade Avg.Daily.PL Med.Daily.PL Std.Dev.Daily.PL&#10;## 441 -51.82142 187.90627 136.01780 261.4606&#10;## 243 -51.39289 124.80194 30.07140 225.5217&#10;## 343 -39.71424 158.47222 29.99992 250.7102&#10;## 184 -54.83932 103.43749 39.01784 196.9424&#10;## 604 -42.14306 184.14727 129.67854 266.6014&#10;## 525 -63.75003 197.12948 155.64284 265.6197&#10;## 765 -70.64288 250.98809 220.30358 304.4241&#10;## 985 -49.91071 327.35715 310.87499 438.2080&#10;## 626 -42.14306 194.60712 141.37497 268.2088&#10;## 167 -54.83932 92.84063 39.99996 185.6172&#10;## 927 -56.25000 316.34286 279.28562 384.6769&#10;## 488 -63.75003 193.61158 157.78565 264.1330&#10;## 868 -53.71430 286.91425 125.64278 396.9982&#10;## 489 -63.75003 193.61158 157.78565 264.1330&#10;## 331 -39.71424 167.38096 61.71427 264.2260&#10;## 771 -70.64288 250.98809 220.30358 304.4241&#10;## 332 -39.71424 167.38096 61.71427 264.2260&#10;## 892 -53.71430 313.57854 279.28562 380.9597&#10;## 912 -56.25000 319.21427 279.28562 388.8884&#10;## 153 -55.03569 90.03060 57.46427 174.5118&#10;## 854 -53.71430 296.43568 204.96426 384.2972&#10;## 235 -45.41073 125.12012 30.07140 223.3315&#10;## 855 -53.71430 296.43568 204.96426 384.2972&#10;## 76 -43.71425 96.52040 63.80358 184.6163&#10;## 137 -55.03569 96.94642 70.46430 186.5365&#10;## 157 -55.03569 90.03060 57.46427 174.5118&#10;## 637 -42.14306 194.60712 141.37497 268.2088&#10;## 797 -70.64288 238.67855 221.25001 285.2111&#10;## 859 -53.71430 296.43568 204.96426 384.2972&#10;## 780 -70.64288 250.98809 220.30358 304.4241&#10;## Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw&#10;## 441 92.44028 11.408677 -472.6429 3.487835&#10;## 243 67.99736 8.784827 -502.5715 3.020608&#10;## 343 83.57008 10.034167 -500.5714 3.139412&#10;## 184 56.85237 8.337561 -536.3572 2.585031&#10;## 604 94.25784 10.964859 -464.7860 3.482094&#10;## 525 93.91073 11.781257 -458.4644 3.756640&#10;## 765 124.28063 13.088031 -576.2144 2.865563&#10;## 985 219.10400 11.858829 -726.5001 2.463573&#10;## 626 94.82611 11.518238 -447.5000 3.803591&#10;## 167 51.48094 7.939995 -547.2858 2.470699&#10;## 927 172.03275 13.054558 -694.6074 2.591084&#10;## 488 93.38512 11.636140 -458.4644 3.695255&#10;## 868 177.54301 11.472651 -727.8574 2.161873&#10;## 489 93.38512 11.636140 -458.4644 3.695255&#10;## 331 88.07535 10.056126 -431.0358 3.831883&#10;## 771 124.28063 13.088031 -576.2144 2.865563&#10;## 332 88.07535 10.056126 -431.0358 3.831883&#10;## 892 170.37037 13.066749 -727.8574 2.345043&#10;## 912 173.91616 13.030396 -694.6074 2.611753&#10;## 153 46.64025 8.189654 -547.2858 2.568454&#10;## 854 171.86295 12.245132 -648.5359 2.499696&#10;## 235 67.33699 8.893595 -490.6072 3.101405&#10;## 855 171.86295 12.245132 -648.5359 2.499696&#10;## 76 49.34077 8.299452 -511.9287 2.923328&#10;## 137 49.85397 8.250273 -552.3216 2.720335&#10;## 157 46.64025 8.189654 -547.2858 2.568454&#10;## 637 94.82611 11.518238 -447.5000 3.803591&#10;## 797 116.43694 13.284562 -648.5359 2.422434&#10;## 859 171.86295 12.245132 -648.5359 2.499696&#10;## 780 124.28063 13.088031 -576.2144 2.865563&#10;## Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity&#10;## 441 7.181864 4.891803 1753.393 -72.178602 1648.500&#10;## 243 4.316549 3.782484 1701.357 -9.392786 1518.071&#10;## 343 7.593111 6.028782 1719.536 -53.571391 1571.500&#10;## 184 3.054763 2.488112 1629.179 -5.571365 1386.500&#10;## 604 6.762688 4.774552 1740.000 -109.714246 1618.428&#10;## 525 6.947438 4.673388 1779.536 -87.428617 1722.286&#10;## 765 5.829372 5.496965 1792.679 -141.285753 1651.179&#10;## 985 14.117711 14.117711 1863.143 -103.535748 1789.786&#10;## 626 7.112738 6.205059 1763.393 -109.714246 1702.107&#10;## 167 2.432209 1.714750 1605.786 -2.035666 1352.178&#10;## 927 10.039788 11.564445 1856.143 -116.214323 1799.786&#10;## 488 6.838648 4.196635 1785.000 -84.107208 1694.143&#10;## 868 9.569146 11.491353 1895.893 -111.142921 1573.536&#10;## 489 6.838648 4.196635 1785.000 -84.107208 1694.143&#10;## 331 7.974996 5.732020 1730.179 -53.607082 1651.679&#10;## 771 5.829372 5.496965 1792.679 -141.285753 1651.179&#10;## 332 7.974996 5.732020 1730.179 -53.607082 1651.679&#10;## 892 10.396495 11.491353 1875.572 -111.142921 1706.857&#10;## 912 10.124867 11.564445 1870.500 -116.214323 1814.143&#10;## 153 2.891907 2.319274 1659.286 -14.392900 1405.679&#10;## 854 9.864580 10.900926 1864.179 -111.142921 1621.143&#10;## 235 4.553551 4.280768 1692.893 -9.392786 1521.571&#10;## 855 9.864580 10.900926 1864.179 -111.142921 1621.143&#10;## 76 4.035135 3.294527 1714.500 -12.178612 1496.536&#10;## 137 3.137841 2.304349 1760.857 -15.214300 1502.500&#10;## 157 2.891907 2.319274 1659.286 -14.392900 1405.679&#10;## 637 7.112738 6.205059 1763.393 -109.714246 1702.107&#10;## 797 5.567996 5.486096 1789.250 -141.285753 1571.036&#10;## 859 9.864580 10.900926 1864.179 -111.142921 1621.143&#10;## 780 5.829372 5.496965 1792.679 -141.285753 1651.179&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(df) # 输出自由度&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Degrees of freedom report for strategy: macd &#10;## Total market observations: 1865 &#10;## Degrees of freedom consumed by strategy: 257 &#10;## Total degrees of freedom remaining: 1608 &#10;## % Degrees of Freedom: 86.22 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(defSR) # 输出修正夏普比率&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## obs.Sharpe max.Sharpe deflated.Sharpe p.value nTrials&#10;## 1 1.1 2.169138 1.095209 0.00435539 38&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(hcSR) # 输出调整夏普比率&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Sharpe Ratio Haircut Report: &#10;## &#10;## Frequency = Daily &#10;## Number of Observations = 1866 &#10;## Observed Sharpe Ratio: 1.1 &#10;## Autocorrelation: NaN &#10;## Sharpe Ratio corrected for autocorrelation: 1.1 &#10;## Assumed number of tests: 38 &#10;## Assumed Average Correlation: 0.2 &#10;## &#10;## Bonferroni Adjustment: &#10;## Adjusted P-value = 0.5742251 &#10;## Haircut Sharpe Ratio = 0.2485153 &#10;## Percentage Haircut = 0.774077 &#10;## &#10;## Holm Adjustment: &#10;## Adjusted P-value = 0.483558 &#10;## Haircut Sharpe Ratio = 0.3101128 &#10;## Percentage Haircut = 0.7180793 &#10;## &#10;## BHY Adjustment: &#10;## Adjusted P-value = 0.3133459 &#10;## Haircut Sharpe Ratio = 0.4472566 &#10;## Percentage Haircut = 0.5934031 &#10;## &#10;## Average Adjustment: &#10;## Adjusted P-value = 0.457043 &#10;## Haircut Sharpe Ratio = 0.3292902 &#10;## Percentage Haircut = 0.7006452&lt;/code&gt;&lt;/pre&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略核心思路解析" class="section level1"&gt;&#10;&lt;h1&gt;策略核心思路解析&lt;/h1&gt;&#10;&lt;div id="参数优化的必要性与逻辑" class="section level2"&gt;&#10;&lt;h2&gt;参数优化的必要性与逻辑&lt;/h2&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="macd-指标与参数约束的意义" class="section level2"&gt;&#10;&lt;h2&gt;MACD 指标与参数约束的意义&lt;/h2&gt;&#10;&lt;p&gt;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：&#10;- MACD 线 = 快速 EMA - 慢速 EMA（反映短期与长期趋势的偏离）&#10;- 信号线 = MACD 线的 9 日 EMA（平滑波动，生成交易信号）&lt;/p&gt;&#10;&lt;p&gt;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 = ’&amp;lt;’强制这一约束，确保参数逻辑的合理性。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="效率与有效性的平衡随机抽样与统计验证" class="section level2"&gt;&#10;&lt;h2&gt;效率与有效性的平衡：随机抽样与统计验证&lt;/h2&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;更重要的是，代码引入了过拟合风险评估：&#10;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；&#10;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。&lt;/p&gt;&#10;&lt;p&gt;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”。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="结果解读的核心价值" class="section level2"&gt;&#10;&lt;h2&gt;结果解读的核心价值&lt;/h2&gt;&#10;&lt;p&gt;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”。&#10;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="科学参数优化的意义" class="section level1"&gt;&#10;&lt;h1&gt;科学参数优化的意义&lt;/h1&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>MACD 策略的前进测试（Walk Forward）实现与解析</title><link>https://gewutang.cn/2015/06/10/macdwfa/</link><pubDate>Wed, 10 Jun 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/06/10/macdwfa/</guid><description>&#10;&#10;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;div id="代码实现与注释" class="section level1"&gt;&#10;&lt;h1&gt;代码实现与注释&lt;/h1&gt;&#10;&lt;p&gt;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：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# Walk Forward demo for MACD&#10;###############################################################################&#10;&#10;# 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&#10;require(foreach, quietly=TRUE)&#10;require(iterators)&#10;require(quantstrat)&#10;&#10;# 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）&#10;# 使用source而非demo确保所有变量在当前会话中可见&#10;source(system.file(&amp;#39;demo/macd.R&amp;#39;, package=&amp;#39;quantstrat&amp;#39;), echo = TRUE)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &amp;gt; require(quantstrat)&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;order_book.macd&amp;quot;, pos = .strategy))&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;account.macd&amp;quot;, &amp;quot;portfolio.macd&amp;quot;, &#10;## + pos = .blotter))&#10;## &#10;## &amp;gt; suppressWarnings(rm(&amp;quot;account.st&amp;quot;, &amp;quot;portfolio.st&amp;quot;, &#10;## + &amp;quot;stock.str&amp;quot;, &amp;quot;stratMACD&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;, &amp;quot;start_t&amp;quot;, &#10;## + &amp;quot;end_t&amp;quot;))&#10;## &#10;## &amp;gt; oldtz &amp;lt;- Sys.getenv(&amp;quot;TZ&amp;quot;)&#10;## &#10;## &amp;gt; if (oldtz == &amp;quot;&amp;quot;) {&#10;## + Sys.setenv(TZ = &amp;quot;GMT&amp;quot;)&#10;## + }&#10;## &#10;## &amp;gt; stock.str = &amp;quot;AAPL&amp;quot;&#10;## &#10;## &amp;gt; fastMA = 12&#10;## &#10;## &amp;gt; slowMA = 26&#10;## &#10;## &amp;gt; signalMA = 9&#10;## &#10;## &amp;gt; maType = &amp;quot;EMA&amp;quot;&#10;## &#10;## &amp;gt; currency(&amp;quot;USD&amp;quot;)&#10;## [1] &amp;quot;USD&amp;quot;&#10;## &#10;## &amp;gt; stock(stock.str, currency = &amp;quot;USD&amp;quot;, multiplier = 1)&#10;## [1] &amp;quot;AAPL&amp;quot;&#10;## &#10;## &amp;gt; startDate = &amp;quot;2006-12-31&amp;quot;&#10;## &#10;## &amp;gt; initEq = 1e+06&#10;## &#10;## &amp;gt; portfolio.st = &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; account.st = &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; initPortf(portfolio.st, symbols = stock.str)&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; initAcct(account.st, portfolios = portfolio.st)&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; initOrders(portfolio = portfolio.st)&#10;## &#10;## &amp;gt; strat.st &amp;lt;- portfolio.st&#10;## &#10;## &amp;gt; strategy(strat.st, store = TRUE)&#10;## &#10;## &amp;gt; add.indicator(strat.st, name = &amp;quot;MACD&amp;quot;, arguments = list(x = quote(Cl(mktdata)), &#10;## + nFast = fastMA, nSlow = slowMA), label = &amp;quot;_&amp;quot;)&#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; add.signal(strat.st, name = &amp;quot;sigThreshold&amp;quot;, arguments = list(column = &amp;quot;signal._&amp;quot;, &#10;## + relationship = &amp;quot;gt&amp;quot;, threshold = 0, cross = TRUE), label = .... [TRUNCATED] &#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; add.signal(strat.st, name = &amp;quot;sigThreshold&amp;quot;, arguments = list(column = &amp;quot;signal._&amp;quot;, &#10;## + relationship = &amp;quot;lt&amp;quot;, threshold = 0, cross = TRUE), label = .... [TRUNCATED] &#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; add.rule(strat.st, name = &amp;quot;ruleSignal&amp;quot;, arguments = list(sigcol = &amp;quot;signal.gt.zero&amp;quot;, &#10;## + sigval = TRUE, orderqty = 100, ordertype = &amp;quot;market&amp;quot;, orde .... [TRUNCATED] &#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; add.rule(strat.st, name = &amp;quot;ruleSignal&amp;quot;, arguments = list(sigcol = &amp;quot;signal.lt.zero&amp;quot;, &#10;## + sigval = TRUE, orderqty = &amp;quot;all&amp;quot;, ordertype = &amp;quot;market&amp;quot;, or .... [TRUNCATED] &#10;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; getSymbols(stock.str, from = startDate, to = &amp;quot;2014-06-01&amp;quot;, &#10;## + src = &amp;quot;yahoo&amp;quot;)&#10;## [1] &amp;quot;AAPL&amp;quot;&#10;## &#10;## &amp;gt; start_t &amp;lt;- Sys.time()&#10;## &#10;## &amp;gt; out &amp;lt;- applyStrategy(strat.st, portfolios = portfolio.st, &#10;## + parameters = list(nFast = fastMA, nSlow = slowMA, nSig = signalMA, &#10;## + maTyp .... [TRUNCATED] &#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## &#10;## &amp;gt; end_t &amp;lt;- Sys.time()&#10;## &#10;## &amp;gt; print(end_t - start_t)&#10;## Time difference of 0.4237199 secs&#10;## &#10;## &amp;gt; start_t &amp;lt;- Sys.time()&#10;## &#10;## &amp;gt; updatePortf(Portfolio = portfolio.st, Dates = paste(&amp;quot;::&amp;quot;, &#10;## + as.Date(Sys.time()), sep = &amp;quot;&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&#10;## &#10;## &amp;gt; end_t &amp;lt;- Sys.time()&#10;## &#10;## &amp;gt; print(&amp;quot;trade blotter portfolio update:&amp;quot;)&#10;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&#10;## &#10;## &amp;gt; print(end_t - start_t)&#10;## Time difference of 0.02946806 secs&#10;## &#10;## &amp;gt; chart.Posn(Portfolio = portfolio.st, Symbol = stock.str)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/06/10/macdwfa/index_files/figure-html/WalkForward-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &amp;gt; plot(add_MACD(fast = fastMA, slow = slowMA, signal = signalMA, &#10;## + maType = &amp;quot;EMA&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/06/10/macdwfa/index_files/figure-html/WalkForward-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &amp;gt; obook &amp;lt;- getOrderBook(&amp;quot;macd&amp;quot;)&#10;## &#10;## &amp;gt; Sys.setenv(TZ = oldtz)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 并行计算初始化（可选）：doParallel、doMC等并行包可加速参数搜索&#10;# 此处以doParallel为例，默认使用物理核心数-1的线程&#10;# require(doParallel)&#10;# registerDoParallel()&#10;&#10;&#10;# 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）&#10;strategy.st &amp;lt;- &amp;#39;macd&amp;#39;&#10;&#10;### 设置参数搜索范围&#10;.FastMA = (1:10) # MACD快速EMA周期候选值（1到10）&#10;.SlowMA = (5:25) # MACD慢速EMA周期候选值（5到25）&#10;.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）&#10;&#10;&#10;### 定义参数分布（用于参数优化）&#10;# 为策略添加快速EMA周期的参数分布&#10;add.distribution(&#10; strategy.st, # 策略名称&#10; paramset.label = &amp;#39;MA&amp;#39;, # 参数集标签（用于标识该组参数）&#10; component.type = &amp;#39;indicator&amp;#39;, # 组件类型：指标（此处为MACD的EMA参数）&#10; component.label = &amp;#39;_&amp;#39;, # 指标在策略中的标签（对应MACD指标的默认标识）&#10; variable = list(n = .FastMA), # 变量：快速EMA周期，取值范围为.FastMA&#10; label = &amp;#39;nFAST&amp;#39; # 该参数的标签（用于后续约束和结果识别）&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 为策略添加慢速EMA周期的参数分布&#10;add.distribution(&#10; strategy.st,&#10; paramset.label = &amp;#39;MA&amp;#39;,&#10; component.type = &amp;#39;indicator&amp;#39;,&#10; component.label = &amp;#39;_&amp;#39;,&#10; variable = list(n = .SlowMA), # 变量：慢速EMA周期，取值范围为.SlowMA&#10; label = &amp;#39;nSLOW&amp;#39; # 该参数的标签&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 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）&#10;add.distribution.constraint(&#10; strategy.st,&#10; paramset.label = &amp;#39;MA&amp;#39;,&#10; distribution.label.1 = &amp;#39;nFAST&amp;#39;, # 第一个参数（快速周期）&#10; distribution.label.2 = &amp;#39;nSLOW&amp;#39;, # 第二个参数（慢速周期）&#10; operator = &amp;#39;&amp;lt;&amp;#39;, # 约束关系：快速周期 &amp;lt; 慢速周期&#10; label = &amp;#39;MA&amp;#39; # 约束标签&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;### 初始化前进测试环境&#10;wfportfolio &amp;lt;- &amp;quot;wf.macd&amp;quot; # 前进测试的组合名称&#10;initPortf(wfportfolio, symbols = stock.str) # 初始化组合（stock.str来自MACD演示代码中的标的）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;wf.macd&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio = wfportfolio) # 初始化订单簿&#10;&#10;# 执行前进测试&#10;wf_start &amp;lt;- Sys.time() # 记录开始时间&#10;wfresults &amp;lt;- walk.forward(&#10; strategy.st, # 策略名称&#10; paramset.label = &amp;#39;MA&amp;#39;, # 使用的参数集标签&#10; portfolio.st = wfportfolio, # 组合名称&#10; account.st = account.st, # 账户名称（来自MACD演示代码）&#10; nsamples = .nsamples, # 每次迭代随机抽样的参数组合数量&#10; period = &amp;#39;months&amp;#39;, # 滚动周期：按月划分训练期和测试期&#10; k.training = 36, # 训练期长度：36个月（用于参数优化）&#10; k.testing = 12, # 测试期长度：12个月（用于验证优化后的参数）&#10; verbose = TRUE, # 输出详细过程信息&#10; anchored = TRUE, # 固定起始点：训练期从最开始滚动（而非滑动窗口）&#10; include.insamples = TRUE, # 结果中包含训练期数据&#10; savewf = FALSE # 不保存中间结果&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;=== training MA on 2007-01-03/2009-12-31&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348&amp;quot;&#10;## [1] &amp;quot;2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823&amp;quot;&#10;## [1] &amp;quot;2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735&amp;quot;&#10;## [1] &amp;quot;2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847&amp;quot;&#10;## [1] &amp;quot;2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428&amp;quot;&#10;## [1] &amp;quot;2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219&amp;quot;&#10;## [1] &amp;quot;2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-21 00:00:00 AAPL -100 @ 7.07964277267456&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;=== testing param.combo 90 on 2010-01-04/2010-12-31&amp;quot;&#10;## nFAST nSLOW&#10;## 90 1 16&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;=== training MA on 2007-01-03/2010-12-31&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 AAPL 100 @ 3.21428608894348&amp;quot;&#10;## [1] &amp;quot;2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2007-11-26 00:00:00 AAPL -100 @ 6.16214323043823&amp;quot;&#10;## [1] &amp;quot;2007-11-30 00:00:00 AAPL 100 @ 6.50785684585571&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 AAPL 100 @ 5.00892877578735&amp;quot;&#10;## [1] &amp;quot;2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847&amp;quot;&#10;## [1] &amp;quot;2008-08-18 00:00:00 AAPL 100 @ 6.26392889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-05 00:00:00 AAPL 100 @ 3.4449999332428&amp;quot;&#10;## [1] &amp;quot;2009-03-03 00:00:00 AAPL -100 @ 3.15607094764709&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-11 00:00:00 AAPL -100 @ 6.9524998664856&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 AAPL -100 @ 6.99499988555908&amp;quot;&#10;## [1] &amp;quot;2010-03-03 00:00:00 AAPL 100 @ 7.47607088088989&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 AAPL -100 @ 9.17428588867188&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 AAPL 100 @ 9.42678642272949&amp;quot;&#10;## [1] &amp;quot;2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876&amp;quot;&#10;## [1] &amp;quot;2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613&amp;quot;&#10;## [1] &amp;quot;2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;=== testing param.combo 21 on 2011-01-03/2011-12-30&amp;quot;&#10;## nFAST nSLOW&#10;## 21 6 8&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071&amp;quot;&#10;## [1] &amp;quot;2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178&amp;quot;&#10;## [1] &amp;quot;2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;=== training MA on 2007-01-03/2011-12-30&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-05 00:00:00 AAPL -100 @ 12.103214263916&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 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9.28357124328613&amp;quot;&#10;## [1] &amp;quot;2010-07-29 00:00:00 AAPL 100 @ 9.21821403503418&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299&amp;quot;&#10;## [1] &amp;quot;2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-06 00:00:00 AAPL -100 @ 12.0728569030762&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;=== testing param.combo 17 on 2012-01-03/2012-12-31&amp;quot;&#10;## nFAST nSLOW&#10;## 17 2 8&#10;## [1] &amp;quot;2012-05-08 00:00:00 AAPL -100 @ 20.292142868042&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904&amp;quot;&#10;## [1] &amp;quot;=== training MA on 2007-01-03/2012-12-31&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176&amp;quot;&#10;## [1] &amp;quot;2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-17 00:00:00 AAPL -100 @ 6.85214281082153&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] 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13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-16 00:00:00 AAPL -100 @ 19.502857208252&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] 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&amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176&amp;quot;&#10;## [1] &amp;quot;2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-16 00:00:00 AAPL -100 @ 19.502857208252&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;=== testing param.combo 96 on 2013-01-02/2013-12-31&amp;quot;&#10;## nFAST nSLOW&#10;## 96 7 16&#10;## [1] &amp;quot;2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;=== training MA on 2007-01-03/2013-12-31&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-22 00:00:00 AAPL -100 @ 9.25071430206299&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-05 00:00:00 AAPL -100 @ 12.103214263916&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-17 00:00:00 AAPL -100 @ 18.9328575134277&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071&amp;quot;&#10;## [1] &amp;quot;2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178&amp;quot;&#10;## [1] &amp;quot;2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-08 00:00:00 AAPL -100 @ 20.292142868042&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2013-09-24 00:00:00 AAPL -100 @ 17.4678573608398&amp;quot;&#10;## [1] &amp;quot;2013-09-30 00:00:00 AAPL 100 @ 17.0267868041992&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 AAPL -100 @ 6.23857116699219&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 AAPL -100 @ 7.15571403503418&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-14 00:00:00 AAPL -100 @ 19.9364280700684&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 AAPL 100 @ 20.78928565979&amp;quot;&#10;## [1] &amp;quot;2012-10-16 00:00:00 AAPL -100 @ 23.2067852020264&amp;quot;&#10;## [1] &amp;quot;2013-05-13 00:00:00 AAPL 100 @ 16.2407131195068&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-16 00:00:00 AAPL -100 @ 4.18035697937012&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2007-11-27 00:00:00 AAPL -100 @ 6.24321413040161&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 AAPL 100 @ 6.58178615570068&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 AAPL -100 @ 6.03714323043823&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-25 00:00:00 AAPL -100 @ 6.33535718917847&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-14 00:00:00 AAPL -100 @ 9.0260705947876&amp;quot;&#10;## [1] &amp;quot;2010-08-02 00:00:00 AAPL 100 @ 9.35178565979004&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2011-03-21 00:00:00 AAPL -100 @ 12.1178569793701&amp;quot;&#10;## [1] &amp;quot;2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071&amp;quot;&#10;## [1] &amp;quot;2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178&amp;quot;&#10;## [1] &amp;quot;2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491&amp;quot;&#10;## [1] &amp;quot;2011-10-12 00:00:00 AAPL -100 @ 14.3639287948608&amp;quot;&#10;## [1] &amp;quot;2011-10-13 00:00:00 AAPL 100 @ 14.5867862701416&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-23 00:00:00 AAPL 100 @ 14.4046430587769&amp;quot;&#10;## [1] &amp;quot;2012-05-08 00:00:00 AAPL -100 @ 20.292142868042&amp;quot;&#10;## [1] &amp;quot;2012-06-19 00:00:00 AAPL 100 @ 20.9789295196533&amp;quot;&#10;## [1] &amp;quot;2012-10-11 00:00:00 AAPL -100 @ 22.4321422576904&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-18 00:00:00 AAPL -100 @ 15.4203567504883&amp;quot;&#10;## [1] &amp;quot;2013-07-25 00:00:00 AAPL 100 @ 15.6607141494751&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 AAPL -100 @ 17.5228576660156&amp;quot;&#10;## [1] &amp;quot;2013-10-01 00:00:00 AAPL 100 @ 17.4271430969238&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-28 00:00:00 AAPL -100 @ 4.52928590774536&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 AAPL 100 @ 5.1485710144043&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 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16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] 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20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] 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14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] 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12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-19 00:00:00 AAPL -100 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 AAPL -100 @ 6.2232141494751&amp;quot;&#10;## [1] 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12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] 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7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 AAPL 100 @ 3.26714301109314&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 AAPL -100 @ 4.55607080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 AAPL 100 @ 5.26749992370605&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-22 00:00:00 AAPL 100 @ 6.31392908096313&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 AAPL 100 @ 7.55749988555908&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 AAPL -100 @ 6.98071384429932&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-24 00:00:00 AAPL -100 @ 12.3203573226929&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 AAPL -100 @ 13.3907136917114&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-11 00:00:00 AAPL -100 @ 20.2396430969238&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 AAPL 100 @ 20.78928565979&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2013-05-13 00:00:00 AAPL 100 @ 16.2407131195068&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-16 00:00:00 AAPL -100 @ 19.502857208252&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 AAPL 100 @ 16.5192852020264&amp;quot;&#10;## [1] &amp;quot;=== testing param.combo 14 on 2014-01-02/2014-05-30&amp;quot;&#10;## nFAST nSLOW&#10;## 14 5 7&#10;## [1] &amp;quot;2014-01-15 00:00:00 AAPL -100 @ 19.9057140350342&amp;quot;&#10;## [1] &amp;quot;2014-01-27 00:00:00 AAPL 100 @ 19.6607131958008&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 AAPL 100 @ 19.4639282226562&amp;quot;&#10;## [1] &amp;quot;2014-04-14 00:00:00 AAPL -100 @ 18.6314296722412&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 AAPL 100 @ 21.2175006866455&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-26 00:00:00 AAPL 100 @ 3.42321395874023&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-10 00:00:00 AAPL -100 @ 6.30821418762207&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-27 00:00:00 AAPL -100 @ 9.43142890930176&amp;quot;&#10;## [1] &amp;quot;2010-07-28 00:00:00 AAPL 100 @ 9.31999969482422&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2014-02-03 00:00:00 AAPL -100 @ 17.9117851257324&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 AAPL 100 @ 19.3446426391602&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-15 00:00:00 AAPL 100 @ 3.19892907142639&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 AAPL 100 @ 5.10750007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 AAPL 100 @ 6.19750022888184&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 AAPL -100 @ 7.03499984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-15 00:00:00 AAPL -100 @ 8.98035717010498&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-14 00:00:00 AAPL 100 @ 9.57357120513916&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-02 00:00:00 AAPL 100 @ 12.3671426773071&amp;quot;&#10;## [1] &amp;quot;2011-05-20 00:00:00 AAPL -100 @ 11.9721431732178&amp;quot;&#10;## [1] &amp;quot;2011-07-08 00:00:00 AAPL 100 @ 12.8467855453491&amp;quot;&#10;## [1] 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17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 AAPL 100 @ 19.4639282226562&amp;quot;&#10;## [1] &amp;quot;2014-04-14 00:00:00 AAPL -100 @ 18.6314296722412&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-23 00:00:00 AAPL -100 @ 4.68107080459595&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 AAPL -100 @ 6.07571411132812&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-28 00:00:00 AAPL -100 @ 12.5157136917114&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-16 00:00:00 AAPL -100 @ 19.502857208252&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406&amp;quot;&#10;## [1] &amp;quot;2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 5.56750011444092&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 AAPL -100 @ 6.41249990463257&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 AAPL 100 @ 6.23821401596069&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-12 00:00:00 AAPL 100 @ 3.54535698890686&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 AAPL -100 @ 9.28357124328613&amp;quot;&#10;## [1] &amp;quot;2010-07-30 00:00:00 AAPL 100 @ 9.1875&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 AAPL -100 @ 12.0742864608765&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-18 00:00:00 AAPL -100 @ 18.9421424865723&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-19 00:00:00 AAPL -100 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2013-05-16 00:00:00 AAPL 100 @ 15.5207138061523&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 AAPL 100 @ 19.1692867279053&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-22 00:00:00 AAPL 100 @ 3.3557140827179&amp;quot;&#10;## [1] &amp;quot;2007-08-24 00:00:00 AAPL -100 @ 4.83214282989502&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-04 00:00:00 AAPL 100 @ 5.46714305877686&amp;quot;&#10;## [1] &amp;quot;2008-07-07 00:00:00 AAPL -100 @ 6.25571393966675&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 AAPL 100 @ 6.20142889022827&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 AAPL 100 @ 3.45785689353943&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-09 00:00:00 AAPL -100 @ 7.00678586959839&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 AAPL -100 @ 9.07999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 AAPL -100 @ 8.92428588867188&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-03-29 00:00:00 AAPL -100 @ 12.5342855453491&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-16 00:00:00 AAPL -100 @ 19.502857208252&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406&amp;quot;&#10;## [1] &amp;quot;2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-23 00:00:00 AAPL 100 @ 3.33999991416931&amp;quot;&#10;## [1] &amp;quot;2007-08-27 00:00:00 AAPL -100 @ 4.7232141494751&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-22 00:00:00 AAPL -100 @ 5.55857086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-07 00:00:00 AAPL 100 @ 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&amp;quot;2011-04-05 00:00:00 AAPL -100 @ 12.103214263916&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 AAPL 100 @ 12.3807144165039&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-13 00:00:00 AAPL 100 @ 12.7864294052124&amp;quot;&#10;## [1] &amp;quot;2011-11-22 00:00:00 AAPL -100 @ 13.4467859268188&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 AAPL 100 @ 14.4685707092285&amp;quot;&#10;## [1] &amp;quot;2012-05-17 00:00:00 AAPL -100 @ 18.9328575134277&amp;quot;&#10;## [1] &amp;quot;2012-06-26 00:00:00 AAPL 100 @ 20.4296436309814&amp;quot;&#10;## [1] &amp;quot;2012-10-18 00:00:00 AAPL -100 @ 22.5942859649658&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 AAPL 100 @ 15.3160705566406&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 AAPL 100 @ 16.3099994659424&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 AAPL -100 @ 17.8785705566406&amp;quot;&#10;## [1] &amp;quot;2014-03-28 00:00:00 AAPL 100 @ 19.1735706329346&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 AAPL -100 @ 6.0746431350708&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-05 00:00:00 AAPL -100 @ 3.17285704612732&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 AAPL -100 @ 6.96535682678223&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-29 00:00:00 AAPL 100 @ 15.9925003051758&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-27 00:00:00 AAPL 100 @ 3.40928602218628&amp;quot;&#10;## [1] &amp;quot;2008-01-23 00:00:00 AAPL -100 @ 4.96678590774536&amp;quot;&#10;## [1] &amp;quot;2008-04-08 00:00:00 AAPL 100 @ 5.45857095718384&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 AAPL -100 @ 6.16357088088989&amp;quot;&#10;## [1] &amp;quot;2008-08-28 00:00:00 AAPL 100 @ 6.20499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-13 00:00:00 AAPL 100 @ 3.54142904281616&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-20 00:00:00 AAPL 100 @ 3.62821388244629&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 AAPL -100 @ 6.96857118606567&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 AAPL -100 @ 8.91571426391602&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 AAPL 100 @ 9.83464336395264&amp;quot;&#10;## [1] &amp;quot;2011-04-08 00:00:00 AAPL -100 @ 11.9664287567139&amp;quot;&#10;## [1] &amp;quot;2011-05-09 00:00:00 AAPL 100 @ 12.41428565979&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-14 00:00:00 AAPL 100 @ 12.7775001525879&amp;quot;&#10;## [1] &amp;quot;2011-11-23 00:00:00 AAPL -100 @ 13.106785774231&amp;quot;&#10;## [1] &amp;quot;2011-12-30 00:00:00 AAPL 100 @ 14.4642858505249&amp;quot;&#10;## [1] &amp;quot;2012-05-21 00:00:00 AAPL -100 @ 20.0457134246826&amp;quot;&#10;## [1] &amp;quot;2012-06-27 00:00:00 AAPL 100 @ 20.5178565979004&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 AAPL -100 @ 22.643928527832&amp;quot;&#10;## [1] &amp;quot;2013-05-17 00:00:00 AAPL 100 @ 15.4735708236694&amp;quot;&#10;## [1] &amp;quot;2013-06-24 00:00:00 AAPL -100 @ 14.376428604126&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 AAPL 100 @ 16.5192852020264&amp;quot;&#10;## [1] &amp;quot;2014-02-03 00:00:00 AAPL -100 @ 17.9117851257324&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 AAPL 100 @ 19.3446426391602&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 AAPL 100 @ 3.19964289665222&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 AAPL -100 @ 4.35928583145142&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 AAPL 100 @ 4.88428592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 AAPL -100 @ 5.70142889022827&amp;quot;&#10;## [1] &amp;quot;2008-03-31 00:00:00 AAPL 100 @ 5.125&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 AAPL -100 @ 6.00928592681885&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 AAPL 100 @ 6.28000020980835&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 AAPL -100 @ 5.41714286804199&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 AAPL 100 @ 3.56142902374268&amp;quot;&#10;## [1] &amp;quot;2009-03-04 00:00:00 AAPL -100 @ 3.25607109069824&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-15 00:00:00 AAPL -100 @ 6.93464279174805&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-03 00:00:00 AAPL -100 @ 7.11535692214966&amp;quot;&#10;## [1] &amp;quot;2010-03-04 00:00:00 AAPL 100 @ 7.52535676956177&amp;quot;&#10;## [1] &amp;quot;2010-07-16 00:00:00 AAPL -100 @ 8.92500019073486&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-17 00:00:00 AAPL -100 @ 8.99892902374268&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 AAPL -100 @ 12.1857137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 AAPL 100 @ 12.4357137680054&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-16 00:00:00 AAPL -100 @ 13.7417860031128&amp;quot;&#10;## [1] &amp;quot;2011-12-27 00:00:00 AAPL 100 @ 14.518928527832&amp;quot;&#10;## [1] &amp;quot;2012-05-09 00:00:00 AAPL -100 @ 20.3278560638428&amp;quot;&#10;## [1] &amp;quot;2012-06-20 00:00:00 AAPL 100 @ 20.9192867279053&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 AAPL -100 @ 22.4896430969238&amp;quot;&#10;## [1] &amp;quot;2013-05-09 00:00:00 AAPL 100 @ 16.3132133483887&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 AAPL -100 @ 15.1071434020996&amp;quot;&#10;## [1] &amp;quot;2013-07-26 00:00:00 AAPL 100 @ 15.7496433258057&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 AAPL -100 @ 19.6967868804932&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 AAPL 100 @ 19.5025005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-19 00:00:00 AAPL 100 @ 3.25464296340942&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 AAPL -100 @ 4.36499977111816&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-17 00:00:00 AAPL -100 @ 5.74607086181641&amp;quot;&#10;## [1] &amp;quot;2008-04-01 00:00:00 AAPL 100 @ 5.34035682678223&amp;quot;&#10;## [1] &amp;quot;2008-06-30 00:00:00 AAPL -100 @ 5.98000001907349&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 AAPL 100 @ 6.22464323043823&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 AAPL 100 @ 3.66107106208801&amp;quot;&#10;## [1] &amp;quot;2009-03-06 00:00:00 AAPL -100 @ 3.0464289188385&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 AAPL -100 @ 6.97964286804199&amp;quot;&#10;## [1] &amp;quot;2009-12-29 00:00:00 AAPL 100 @ 7.46785688400269&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 AAPL -100 @ 6.85892915725708&amp;quot;&#10;## [1] &amp;quot;2010-03-05 00:00:00 AAPL 100 @ 7.81964302062988&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 AAPL -100 @ 8.77071380615234&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 AAPL 100 @ 9.35464286804199&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-15 00:00:00 AAPL 100 @ 9.65071392059326&amp;quot;&#10;## [1] &amp;quot;2011-03-23 00:00:00 AAPL -100 @ 12.1139287948608&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 AAPL 100 @ 12.4846429824829&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 AAPL -100 @ 11.9428567886353&amp;quot;&#10;## [1] &amp;quot;2011-07-11 00:00:00 AAPL 100 @ 12.6428565979004&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 AAPL -100 @ 13.478928565979&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-10 00:00:00 AAPL -100 @ 20.3757133483887&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 AAPL 100 @ 20.6310710906982&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 AAPL -100 @ 22.6700000762939&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 AAPL 100 @ 16.1774997711182&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 AAPL -100 @ 14.8871431350708&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 AAPL 100 @ 16.1900005340576&amp;quot;&#10;## [1] &amp;quot;2014-01-29 00:00:00 AAPL -100 @ 17.8839282989502&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 AAPL 100 @ 19.2778568267822&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 AAPL -100 @ 18.498571395874&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2014-01-30 00:00:00 AAPL -100 @ 17.8492851257324&amp;quot;&#10;## [1] &amp;quot;2014-03-27 00:00:00 AAPL 100 @ 19.1949996948242&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 AAPL 100 @ 3.35249996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 AAPL -100 @ 4.73250007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-06 00:00:00 AAPL 100 @ 4.82178592681885&amp;quot;&#10;## [1] &amp;quot;2008-01-18 00:00:00 AAPL -100 @ 5.76285696029663&amp;quot;&#10;## [1] &amp;quot;2008-04-03 00:00:00 AAPL 100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2008-07-02 00:00:00 AAPL -100 @ 6.00642919540405&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 AAPL 100 @ 6.16249990463257&amp;quot;&#10;## [1] &amp;quot;2008-09-10 00:00:00 AAPL -100 @ 5.41464281082153&amp;quot;&#10;## [1] &amp;quot;2009-02-10 00:00:00 AAPL 100 @ 3.49392890930176&amp;quot;&#10;## [1] &amp;quot;2009-03-09 00:00:00 AAPL -100 @ 2.96821403503418&amp;quot;&#10;## [1] &amp;quot;2009-03-19 00:00:00 AAPL 100 @ 3.62928605079651&amp;quot;&#10;## [1] &amp;quot;2010-02-08 00:00:00 AAPL -100 @ 6.93285703659058&amp;quot;&#10;## [1] &amp;quot;2010-03-08 00:00:00 AAPL 100 @ 7.82428598403931&amp;quot;&#10;## [1] &amp;quot;2010-07-20 00:00:00 AAPL -100 @ 8.99607086181641&amp;quot;&#10;## [1] &amp;quot;2010-08-04 00:00:00 AAPL 100 @ 9.39214324951172&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 AAPL -100 @ 9.0382137298584&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 AAPL 100 @ 9.8774995803833&amp;quot;&#10;## [1] &amp;quot;2011-03-25 00:00:00 AAPL -100 @ 12.5550003051758&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 AAPL 100 @ 12.3839292526245&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 AAPL -100 @ 11.8639287948608&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 AAPL 100 @ 12.6339292526245&amp;quot;&#10;## [1] &amp;quot;2011-11-21 00:00:00 AAPL -100 @ 13.1789293289185&amp;quot;&#10;## [1] &amp;quot;2011-12-28 00:00:00 AAPL 100 @ 14.3800001144409&amp;quot;&#10;## [1] &amp;quot;2012-05-15 00:00:00 AAPL -100 @ 19.7560710906982&amp;quot;&#10;## [1] &amp;quot;2012-06-25 00:00:00 AAPL 100 @ 20.3846435546875&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 AAPL -100 @ 23.021785736084&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 AAPL 100 @ 15.8521432876587&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 AAPL -100 @ 14.7678565979004&amp;quot;&#10;## [1] &amp;quot;2013-07-31 00:00:00 AAPL 100 @ 16.1617851257324&amp;quot;&#10;## [1] &amp;quot;2014-01-30 00:00:00 AAPL -100 @ 17.8492851257324&amp;quot;&#10;## [1] &amp;quot;2014-03-27 00:00:00 AAPL 100 @ 19.1949996948242&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 AAPL -100 @ 18.5360717773438&amp;quot;&#10;## [1] &amp;quot;2014-04-29 00:00:00 AAPL 100 @ 21.1546421051025&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;wf_end &amp;lt;- Sys.time() # 记录结束时间&#10;&#10;# 输出前进测试耗时和总迭代次数&#10;cat(&amp;quot;\n Running the walk forward search: \n &amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Running the walk forward search: &#10;## &lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(wf_end - wf_start) # 打印总耗时&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 45.06131 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot; Total trials:&amp;quot;, .strategy$macd$trials, &amp;quot;\n&amp;quot;) # 打印总迭代次数&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Total trials: 98&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取并打印交易统计结果&#10;wfa.stats &amp;lt;- wfresults$tradeStats&#10;print(wfa.stats)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Portfolio Symbol Num.Txns Num.Trades Net.Trading.PL Avg.Trade.PL&#10;## AAPL test.wf.macd AAPL 23 11 1235.214 99.65908&#10;## Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses&#10;## AAPL 89.50005 577.3214 -177.6785 1540.5 -444.2499&#10;## Std.Dev.Trade.PL Std.Err.Trade.PL Percent.Positive Percent.Negative&#10;## AAPL 226.9792 68.4368 54.54545 45.45455&#10;## Profit.Factor Avg.Win.Trade Med.Win.Trade Avg.Losing.Trade&#10;## AAPL 3.467642 256.75 191.0535 -88.84998&#10;## Med.Losing.Trade Avg.Daily.PL Med.Daily.PL Std.Dev.Daily.PL&#10;## AAPL -83.24986 99.65908 89.50005 226.9792&#10;## Std.Err.Daily.PL Ann.Sharpe Max.Drawdown Profit.To.Max.Draw&#10;## AAPL 68.4368 6.969973 -381.3216 3.239298&#10;## Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity End.Equity&#10;## AAPL 2.889702 2.294941 1402.643 0 1235.214&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化前进测试结果&#10;chart.forward(wfresults)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/06/10/macdwfa/index_files/figure-html/WalkForward-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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 &amp;lt; 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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;p&gt;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。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>基于 quantstrat 的配对交易策略实现与解析</title><link>https://gewutang.cn/2015/04/10/pair-trade/</link><pubDate>Fri, 10 Apr 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/04/10/pair-trade/</guid><description>&#10;&#10;&#10;&lt;p&gt;配对交易是一种基于统计套利的量化策略，其核心逻辑是通过识别价格走势高度相关的两只股票，当它们的价格偏离历史正常关系时建立对冲头寸，等待关系回归时获利。&lt;/p&gt;&#10;&lt;p&gt;本文将解析一段基于 R 语言 quantstrat 包的配对交易策略代码，展示其实现思路与核心意义。&lt;/p&gt;&#10;&lt;div id="策略核心逻辑与代码框架" class="section level1"&gt;&#10;&lt;h1&gt;策略核心逻辑与代码框架&lt;/h1&gt;&#10;&lt;p&gt;这段代码以 SPY 和 DIA 两只 ETF 为交易标的，通过构建价格比率的均值回归模型实现配对交易。策略的核心步骤包括：数据同步与准备、策略环境初始化、指标与信号构建、自定义订单规模控制、交易规则设置，以及回测与绩效分析。&lt;/p&gt;&#10;&lt;p&gt;以下是完整代码实现：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# Kindly contributed to quantstrat by Garrett See&#10;# code borrowed heavily from existing quantstrat demos&#10;&#10;# 这是一个简单的配对交易示例，旨在展示如何扩展现有 quantstrat 功能。&#10;# 它使用 addPosLimits 指定头寸水平和限制，并演示如何将自定义订单规模函数传递给 osFUN&#10;&#10;# 注意：先构建价差并将其视为单一工具，比处理股票组合更简单&#10;&#10;## 给定两只股票，计算其名义价值比率。如果比率低于 2 标准差区间，&#10;# 当它回升穿过区间时，买入股票 1 并卖出股票 2。如果比率高于 2 标准差区间，&#10;# 当它回落穿过区间时，卖出股票 1 并买入股票 2。如果比率穿过其移动平均线，则平仓所有头寸。&#10;&#10;# 股票 A 的买入（卖出）数量 = MaxPos / lvls&#10;# 股票 B 的卖出（买入）数量 = MaxPos * 比率 / lvls &#10;&#10;require(quantstrat)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantstrat&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;zoo&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## as.Date, as.Date.numeric&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: foreach&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;suppressWarnings(rm(&amp;quot;order_book.pair1&amp;quot;,pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.pairs&amp;quot;, &amp;quot;portfolio.pair1&amp;quot;, pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;startDate&amp;quot;, &amp;quot;endDate&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;, &amp;quot;SD&amp;quot;, &amp;quot;N&amp;quot;, &#10; &amp;quot;symb1&amp;quot;, &amp;quot;symb2&amp;quot;, &amp;quot;portfolio1.st&amp;quot;, &amp;quot;account.st&amp;quot;, &#10; &amp;quot;pairStrat&amp;quot;, &amp;quot;out1&amp;quot;))&#10;&#10;initDate &amp;lt;- &amp;#39;2013-12-31&amp;#39; &#10;startDate &amp;lt;- &amp;#39;2014-01-01&amp;#39;&#10;endDate &amp;lt;- &amp;#39;2015-05-01&amp;#39;&#10;initEq &amp;lt;- 100000&#10;SD &amp;lt;- 2 # 标准差倍数&#10;N &amp;lt;- 20 # 移动平均线周期&#10;&#10;MaxPos &amp;lt;- 1500 # 股票 A 的最大头寸；&#10;# 股票 B 的最大头寸将是 max * 比率，即对股票 B 没有硬性头寸限制&#10;lvls &amp;lt;- 3 # 分几步建仓；每笔订单数量 = MaxPos/lvls&#10;&#10;symb1 &amp;lt;- &amp;#39;SPY&amp;#39; # 可更改这些标的以尝试其他配对&#10;symb2 &amp;lt;- &amp;#39;DIA&amp;#39; # 如果更改，需确保头寸限制仍然合理&#10;&#10;portfolio1.st &amp;lt;- &amp;#39;pair1&amp;#39;&#10;account.st &amp;lt;- &amp;#39;pairs&amp;#39;&#10;&#10;# 获取历史数据&#10;getSymbols(c(symb1, symb2), from=startDate, to=endDate, adjust=TRUE) &lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;SPY&amp;quot; &amp;quot;DIA&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 以下函数用于确保所有标的的时间戳相同，删除其中一只股票数据缺失的行&#10;alignSymbols &amp;lt;- function(symbols, env=.GlobalEnv) {&#10; # 这是 qmao::alignSymbols() 的简化版本&#10; if (length(symbols) &amp;lt; 2) &#10; stop(&amp;quot;必须提供至少 2 个标的&amp;quot;)&#10; if (any(!is.character(symbols))) &#10; stop(&amp;quot;标的必须是字符向量。&amp;quot;)&#10; ff &amp;lt;- get(symbols[1],env=env)&#10; for (sym in symbols[-1]) {&#10; tmp.sym &amp;lt;- get(sym,env=env)&#10; ff &amp;lt;- merge(ff, tmp.sym, all=FALSE) # 只保留双方都有数据的行&#10; }&#10; for (sym in symbols) {&#10; assign(sym,ff[,grep(sym, colnames(ff))], env=env) # 更新标的数据&#10; }&#10; symbols&#10;}&#10;alignSymbols(c(symb1, symb2)) # 对齐两只股票的时间戳&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;SPY&amp;quot; &amp;quot;DIA&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 定义金融工具&#10;currency(&amp;quot;USD&amp;quot;) # 基础货币为美元&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(symb1, currency=&amp;quot;USD&amp;quot;, multiplier=1) # 定义股票 1 的属性&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;SPY&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;stock(symb2, currency=&amp;quot;USD&amp;quot;, multiplier=1) # 定义股票 2 的属性&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;DIA&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 初始化投资组合、账户和订单&#10;initPortf(name=portfolio1.st, c(symb1,symb2)) # 创建包含两只股票的组合&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;pair1&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(account.st, portfolios=portfolio1.st, initEq=initEq) # 初始化账户，初始资金 10 万美元&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;pairs&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio=portfolio1.st) # 初始化订单簿&#10;&#10;# osFUN 需要知道哪个标的是第一腿、哪个是第二腿，以及 MaxPos 和 lvls 的值。&#10;# 因此，在投资组合中创建一个插槽来存储这些信息。&#10;pair &amp;lt;- c(1, 2, MaxPos, lvls)&#10;names(pair) &amp;lt;- c(symb1, symb2, &amp;quot;MaxPos&amp;quot;, &amp;quot;lvls&amp;quot;)&#10;.blotter[[paste(&amp;#39;portfolio&amp;#39;, portfolio1.st, sep=&amp;#39;.&amp;#39;)]]$pair &amp;lt;- pair # 存储到组合属性中&#10;&#10;# 按标的创建初始头寸限制和水平&#10;# 如果 lvls=3，则允许多空各 3 次建仓。&#10;addPosLimit(portfolio=portfolio1.st, timestamp=startDate, symbol=symb1, &#10; maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)&#10;addPosLimit(portfolio=portfolio1.st, timestamp=startDate, symbol=symb2, &#10; maxpos=MaxPos, longlevels=lvls, minpos=-MaxPos, shortlevels=lvls)&#10;&#10;# 创建策略对象&#10;pairStrat &amp;lt;- strategy(&amp;#39;pairStrat&amp;#39;)&#10;&#10;# 指标函数：计算两只股票的价格比率&#10;calcRatio &amp;lt;- function(x) { &#10; # 返回两只股票的名义收盘价比率&#10; x1 &amp;lt;- get(x[1])&#10; x2 &amp;lt;- get(x[2])&#10; mult1 &amp;lt;- getInstrument(x[1])$multiplier # 合约乘数&#10; mult2 &amp;lt;- getInstrument(x[2])$multiplier&#10; rat &amp;lt;- (mult1 * Cl(x1)) / (mult2 * Cl(x2)) # 收盘价比率&#10; colnames(rat) &amp;lt;- &amp;#39;Ratio&amp;#39;&#10; rat&#10;}&#10;# 用于确定入场/出场的指标：比率及其布林带&#10;Ratio &amp;lt;- calcRatio(c(symb1[1], symb2[1])) &#10;&#10;# 将对冲比率存储在投资组合中，以便订单规模函数使用。&#10;# 在本示例中，对冲比率与 Ratio 指标相同。&#10;.blotter[[paste(&amp;#39;portfolio&amp;#39;,portfolio1.st,sep=&amp;#39;.&amp;#39;)]]$HedgeRatio &amp;lt;- Ratio&#10;# 创建获取最新对冲比率的函数&#10;getHedgeRatio &amp;lt;- function(portfolio, timestamp) {&#10; portf &amp;lt;- getPortfolio(portfolio)&#10; timestamp &amp;lt;- format(timestamp,&amp;quot;%Y-%m-%d %H:%M:%S&amp;quot;) # 格式化时间戳&#10; # 上述行确保在使用日内数据且时间戳为午夜时，不会获取次日的最后一个值&#10; toDate &amp;lt;- paste(&amp;quot;::&amp;quot;, timestamp, sep=&amp;quot;&amp;quot;)&#10; Ratio &amp;lt;- last(portf$HedgeRatio[toDate]) # 获取该时间点的最新比率&#10; as.numeric(Ratio)&#10;}&#10;&#10;# 添加指标：比率的布林带&#10;pairStrat &amp;lt;- add.indicator(strategy=pairStrat, name = &amp;quot;calcRatio&amp;quot;, &#10; arguments=list(x=c(symb1,symb2)))&#10;pairStrat &amp;lt;- add.indicator(strategy=pairStrat, name = &amp;quot;BBands&amp;quot;, &#10; arguments=list(HLC=quote(Ratio), sd=SD, n=N, &#10; maType=&amp;#39;SMA&amp;#39;)) # 基于 20 日 SMA 计算布林带&#10;&#10;# 生成信号：当比率从下方穿过下轨时买入，从上方穿过上轨时卖出，穿过中轨时平仓&#10;pairStrat &amp;lt;- add.signal(strategy=pairStrat, name=&amp;quot;sigCrossover&amp;quot;, &#10; arguments=list(columns=c(&amp;quot;Ratio&amp;quot;,&amp;quot;up&amp;quot;), &#10; relationship=&amp;quot;lt&amp;quot;), # 比率 &amp;lt; 上轨（从上方穿过）&#10; label=&amp;quot;cross.up&amp;quot;)&#10;pairStrat &amp;lt;- add.signal(strategy=pairStrat, name=&amp;quot;sigCrossover&amp;quot;, &#10; arguments=list(columns=c(&amp;quot;Ratio&amp;quot;,&amp;quot;dn&amp;quot;), &#10; relationship=&amp;quot;gt&amp;quot;), # 比率 &amp;gt; 下轨（从下方穿过）&#10; label=&amp;quot;cross.dn&amp;quot;)&#10;pairStrat &amp;lt;- add.signal(strategy=pairStrat, name=&amp;quot;sigCrossover&amp;quot;, &#10; arguments=list(columns=c(&amp;quot;Ratio&amp;quot;,&amp;quot;mavg&amp;quot;), &#10; relationship=&amp;quot;lt&amp;quot;), # 比率 &amp;lt; 中轨（从上方穿过）&#10; label=&amp;quot;cross.mid.fa&amp;quot;)&#10;pairStrat &amp;lt;- add.signal(strategy=pairStrat, name=&amp;quot;sigCrossover&amp;quot;, &#10; arguments=list(columns=c(&amp;quot;Ratio&amp;quot;,&amp;quot;mavg&amp;quot;), &#10; relationship=&amp;quot;gt&amp;quot;), # 比率 &amp;gt; 中轨（从下方穿过）&#10; label=&amp;quot;cross.mid.fb&amp;quot;)&#10;&#10;# 自定义订单规模函数&#10;#######################_ORDER SIZING FUNCTION_##################################&#10;osSpreadMaxPos &amp;lt;- function (data, timestamp, orderqty, ordertype, orderside, &#10; portfolio, symbol, ruletype, ..., orderprice) {&#10; portf &amp;lt;- getPortfolio(portfolio)&#10; # 检查 pair 插槽是否包含该函数所需的内容&#10; if (!any(portf$pair == 1) &amp;amp;&amp;amp; !(any(portf$pair == 2))) &#10; stop(&amp;#39;pair 必须包含值 1 和 2&amp;#39;)&#10; if (!any(names(portf$pair) == &amp;quot;MaxPos&amp;quot;) || !any(names(portf$pair) == &amp;quot;lvls&amp;quot;)) &#10; stop(&amp;#39;pair 必须包含 MaxPos 和 lvls&amp;#39;) &#10; &#10; if (portf$pair[symbol] == 1) legside &amp;lt;- &amp;quot;long&amp;quot; # 第一腿&#10; if (portf$pair[symbol] == 2) legside &amp;lt;- &amp;quot;short&amp;quot; # 第二腿（与第一腿方向相反）&#10; MaxPos &amp;lt;- portf$pair[&amp;quot;MaxPos&amp;quot;]&#10; lvls &amp;lt;- portf$pair[&amp;quot;lvls&amp;quot;]&#10; ratio &amp;lt;- getHedgeRatio(portfolio, timestamp) # 获取当前对冲比率&#10; pos &amp;lt;- getPosQty(portfolio, symbol, timestamp) # 当前头寸&#10; PosLimit &amp;lt;- getPosLimit(portfolio, symbol, timestamp) # 头寸限制&#10; qty &amp;lt;- orderqty&#10; if (legside == &amp;quot;short&amp;quot;) {# 标的是第二腿&#10; ## 注释掉下一行可使每只股票的订单规模相等。&#10; addPosLimit(portfolio=portfolio, timestamp=timestamp, symbol=symbol, &#10; maxpos=round(MaxPos*ratio,0), longlevels=lvls, &#10; minpos=round(-MaxPos*ratio,0), shortlevels=lvls) # 调整第二腿的头寸限制&#10; ## &#10; qty &amp;lt;- -orderqty # 反转股票 B 的订单数量（多空相反）&#10; }&#10; &#10; if (qty &amp;gt; 0) orderside = &amp;#39;long&amp;#39; # 确定订单方向&#10; if (qty &amp;lt; 0) orderside = &amp;#39;short&amp;#39;&#10; &#10; # 调用 osMaxPos 计算符合头寸限制的订单数量&#10; orderqty &amp;lt;- osMaxPos(data=data,timestamp=timestamp, orderqty=qty,&#10; ordertype=ordertype, orderside=orderside,&#10; portfolio=portfolio, symbol=symbol, ruletype=ruletype, &#10; ...)&#10; &#10; # 在规则信号函数中添加订单&#10; if (!is.null(orderqty) &amp;amp; !orderqty == 0 &amp;amp; !is.null(orderprice)) {&#10; addOrder(portfolio=portfolio, symbol=symbol, &#10; timestamp=timestamp, qty=orderqty, price=as.numeric(orderprice), &#10; ordertype=ordertype, side=orderside, replace=FALSE,&#10; status=&amp;quot;open&amp;quot;, ...=...)&#10; }&#10; return(0) # 使 ruleSignal 函数不会尝试下单&#10;}&#10;################################################################################&#10;&#10;# 为多空方向创建入场和出场规则。两个标的将获得相同的买卖信号，&#10;# 但 osMaxPos 会为第二个标的反转这些信号。&#10;# orderqty 大于头寸限制允许的值。osMaxPos 会将订单数量调整为最大允许值的 1/3。&#10;# （1/3 是因为我们在 PosLimit 中使用了 3 个水平）&#10;pairStrat &amp;lt;- add.rule(strategy=pairStrat, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments=list(sigcol=&amp;quot;cross.dn&amp;quot;, sigval=TRUE, &#10; orderqty=1e6, ordertype=&amp;#39;market&amp;#39;, &#10; orderside=NULL, osFUN=&amp;#39;osSpreadMaxPos&amp;#39;), &#10; type=&amp;#39;enter&amp;#39;) # cross.dn 信号触发入场&#10;pairStrat &amp;lt;- add.rule(strategy=pairStrat, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments=list(sigcol=&amp;quot;cross.up&amp;quot;, sigval=TRUE, &#10; orderqty=-1e6, ordertype=&amp;#39;market&amp;#39;, &#10; orderside=NULL, osFUN=&amp;#39;osSpreadMaxPos&amp;#39;), &#10; type=&amp;#39;enter&amp;#39;) # cross.up 信号触发入场&#10;pairStrat &amp;lt;- add.rule(strategy=pairStrat, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments=list(sigcol=&amp;quot;cross.mid.fb&amp;quot;, sigval=TRUE, &#10; orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;market&amp;#39;, &#10; orderside=NULL), &#10; type=&amp;#39;exit&amp;#39;) # cross.mid.fb 信号触发出场&#10;pairStrat &amp;lt;- add.rule(strategy=pairStrat, name=&amp;#39;ruleSignal&amp;#39;, &#10; arguments=list(sigcol=&amp;quot;cross.mid.fa&amp;quot;, sigval=TRUE, &#10; orderqty=&amp;#39;all&amp;#39;, ordertype=&amp;#39;market&amp;#39;, &#10; orderside=NULL), &#10; type=&amp;#39;exit&amp;#39;) # cross.mid.fa 信号触发出场&#10;&#10;&#10;# 执行策略回测&#10;out1&amp;lt;-applyStrategy(strategy=pairStrat, portfolios=portfolio1.st)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-02-04 00:00:00 DIA 500 @ 150.182621296714&amp;quot;&#10;## [1] &amp;quot;2014-03-07 00:00:00 DIA 568 @ 160.616223229789&amp;quot;&#10;## [1] &amp;quot;2014-03-17 00:00:00 DIA 573 @ 158.690860184405&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 DIA -1641 @ 159.963991320726&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 DIA -574 @ 160.796174254035&amp;quot;&#10;## [1] &amp;quot;2014-04-22 00:00:00 DIA 574 @ 161.4743809578&amp;quot;&#10;## [1] &amp;quot;2014-05-22 00:00:00 DIA 571 @ 162.261848260392&amp;quot;&#10;## [1] &amp;quot;2014-06-02 00:00:00 DIA 572 @ 164.246166224292&amp;quot;&#10;## [1] &amp;quot;2014-06-27 00:00:00 DIA 576 @ 165.51814455118&amp;quot;&#10;## [1] &amp;quot;2014-07-02 00:00:00 DIA 27 @ 166.728744615667&amp;quot;&#10;## [1] &amp;quot;2014-07-15 00:00:00 DIA -1746 @ 167.69330191996&amp;quot;&#10;## [1] &amp;quot;2014-07-21 00:00:00 DIA -583 @ 167.676368799237&amp;quot;&#10;## [1] &amp;quot;2014-07-24 00:00:00 DIA 583 @ 167.932553399241&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 DIA -580 @ 169.355777408222&amp;quot;&#10;## [1] &amp;quot;2014-09-24 00:00:00 DIA -584 @ 169.969729387294&amp;quot;&#10;## [1] &amp;quot;2014-10-15 00:00:00 DIA -582 @ 159.57109738308&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 DIA 1746 @ 164.043208292008&amp;quot;&#10;## [1] &amp;quot;2014-10-27 00:00:00 DIA 576 @ 166.101170700567&amp;quot;&#10;## [1] &amp;quot;2014-11-05 00:00:00 DIA -576 @ 172.700494456876&amp;quot;&#10;## [1] &amp;quot;2014-12-03 00:00:00 DIA -586 @ 177.512433609148&amp;quot;&#10;## [1] &amp;quot;2014-12-10 00:00:00 DIA -579 @ 173.872106214788&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 DIA 1165 @ 176.351884195197&amp;quot;&#10;## [1] &amp;quot;2015-01-15 00:00:00 DIA -579 @ 172.030741759151&amp;quot;&#10;## [1] &amp;quot;2015-01-21 00:00:00 DIA 579 @ 174.456324855292&amp;quot;&#10;## [1] &amp;quot;2015-01-29 00:00:00 DIA 578 @ 173.013702717688&amp;quot;&#10;## [1] &amp;quot;2015-02-05 00:00:00 DIA -578 @ 177.640012837652&amp;quot;&#10;## [1] &amp;quot;2015-04-21 00:00:00 DIA 583 @ 179.259994506836&amp;quot;&#10;## [1] &amp;quot;2015-04-28 00:00:00 DIA 583 @ 180.839996337891&amp;quot;&#10;## [1] &amp;quot;2014-02-04 00:00:00 SPY -500 @ 171.264049909226&amp;quot;&#10;## [1] &amp;quot;2014-03-07 00:00:00 SPY -500 @ 183.831285747939&amp;quot;&#10;## [1] &amp;quot;2014-03-17 00:00:00 SPY -500 @ 181.946695046646&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 SPY 1500 @ 182.730103228311&amp;quot;&#10;## [1] &amp;quot;2014-03-31 00:00:00 SPY 500 @ 183.416649931591&amp;quot;&#10;## [1] &amp;quot;2014-04-22 00:00:00 SPY -500 @ 184.279745767482&amp;quot;&#10;## [1] &amp;quot;2014-05-22 00:00:00 SPY -500 @ 185.94707775133&amp;quot;&#10;## [1] &amp;quot;2014-06-02 00:00:00 SPY -500 @ 189.193474635518&amp;quot;&#10;## [1] &amp;quot;2014-06-27 00:00:00 SPY -500 @ 192.977678507185&amp;quot;&#10;## [1] &amp;quot;2014-07-15 00:00:00 SPY 1500 @ 194.367200918673&amp;quot;&#10;## [1] &amp;quot;2014-07-21 00:00:00 SPY 500 @ 194.475604869373&amp;quot;&#10;## [1] &amp;quot;2014-07-24 00:00:00 SPY -500 @ 195.766587803966&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 SPY 500 @ 197.83611230376&amp;quot;&#10;## [1] &amp;quot;2014-09-24 00:00:00 SPY 500 @ 197.582667853886&amp;quot;&#10;## [1] &amp;quot;2014-10-15 00:00:00 SPY 500 @ 184.582760931563&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 SPY -1500 @ 192.147074898032&amp;quot;&#10;## [1] &amp;quot;2014-10-27 00:00:00 SPY -500 @ 194.216362617501&amp;quot;&#10;## [1] &amp;quot;2014-11-05 00:00:00 SPY 500 @ 200.335121161983&amp;quot;&#10;## [1] &amp;quot;2014-12-03 00:00:00 SPY 500 @ 205.830132301385&amp;quot;&#10;## [1] &amp;quot;2014-12-10 00:00:00 SPY 500 @ 201.147003486903&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 SPY -1000 @ 204.731130073504&amp;quot;&#10;## [1] &amp;quot;2015-01-15 00:00:00 SPY 500 @ 198.135576473045&amp;quot;&#10;## [1] &amp;quot;2015-01-21 00:00:00 SPY -500 @ 202.177531751319&amp;quot;&#10;## [1] &amp;quot;2015-01-29 00:00:00 SPY -500 @ 201.092379263502&amp;quot;&#10;## [1] &amp;quot;2015-02-05 00:00:00 SPY 500 @ 205.204015568481&amp;quot;&#10;## [1] &amp;quot;2015-04-21 00:00:00 SPY -500 @ 209.600006103516&amp;quot;&#10;## [1] &amp;quot;2015-04-28 00:00:00 SPY -500 @ 211.440002441406&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 更新组合和账户数据&#10;updatePortf(Portfolio=portfolio1.st,&#10; Dates=paste(&amp;quot;::&amp;quot;, as.Date(Sys.time()), sep=&amp;#39;&amp;#39;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2014-01-02/2015-04-30. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 2014-01-02/2015-04-30. Using all data&#10;## instead.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;pair1&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updateAcct(account.st, Dates=paste(startDate, endDate, sep=&amp;quot;::&amp;quot;)) &lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;pairs&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;updateEndEq(account.st, Dates=paste(startDate, endDate, sep=&amp;quot;::&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;pairs&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;getEndEq(account.st, Sys.time()) # 查看最终权益&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 103576.8&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制持仓图表&#10;# dev.new()&#10;chart.Posn(Portfolio=portfolio1.st, Symbol=symb1) # 股票 1 的持仓图&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/04/10/pair-trade/index_files/figure-html/pairTrade-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# dev.new()&#10;chart.Posn(Portfolio=portfolio1.st, Symbol=symb2) # 股票 2 的持仓图&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/04/10/pair-trade/index_files/figure-html/pairTrade-2.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# dev.new()&#10;chartSeries(Cl(get(symb1))/Cl(get(symb2)), TA=&amp;quot;addBBands(n=N,sd=SD)&amp;quot;) # 比率与布林带图&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/04/10/pair-trade/index_files/figure-html/pairTrade-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绩效分析&#10;ret1 &amp;lt;- PortfReturns(account.st) # 组合收益&#10;ret1$total &amp;lt;- rowSums(ret1) # 总收益&#10;&#10;# 绘制绩效摘要&#10;if(&amp;quot;package:PerformanceAnalytics&amp;quot; %in% search() || &#10; require(&amp;quot;PerformanceAnalytics&amp;quot;,quietly=TRUE)) {&#10; # dev.new()&#10; charts.PerformanceSummary(ret1$total, geometric=FALSE, wealth.index=TRUE) # 收益摘要图&#10;}&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/04/10/pair-trade/index_files/figure-html/pairTrade-4.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="策略实现的核心思路" class="section level1"&gt;&#10;&lt;h1&gt;策略实现的核心思路&lt;/h1&gt;&#10;&lt;p&gt;这段代码的核心是通过量化手段实现配对交易的均值回归逻辑，具体可分为以下几个关键环节：&lt;/p&gt;&#10;&lt;p&gt;首先是数据预处理。配对交易对数据同步性要求极高，因此代码通过alignSymbols函数对齐两只股票的时间戳，删除存在数据缺失的时间点，确保价格比率的计算基于完整的共同数据。这种预处理是后续指标准确性的基础，避免因数据不同步导致的错误信号。&lt;/p&gt;&#10;&lt;p&gt;其次是指标与信号体系。策略的核心指标是两只股票的价格比率（由calcRatio函数计算），并通过布林带（BBands）分析该比率的波动特征。布林带由中轨（20 日移动平均线）和上下轨（中轨 ±2 倍标准差）构成，反映比率的正常波动区间。当比率从下方突破下轨（cross.dn信号）时，认为两只股票的价格偏离过大且即将回归，此时买入第一只股票、卖出第二只；当比率从上方向下突破上轨（cross.up信号）时，则反向操作；当比率回归至中轨时（cross.mid信号），平仓获利。这种基于统计偏离的信号逻辑，是均值回归策略的典型应用。&lt;/p&gt;&#10;&lt;p&gt;再者是头寸管理与订单规模控制。代码通过addPosLimits设置了最大头寸（MaxPos）和建仓层级（lvls），允许分 3 步建仓，避免单次入场风险过高。更关键的是自定义的osSpreadMaxPos函数，它根据两只股票的对冲比率动态调整订单数量，确保多空头寸的风险对冲平衡 —— 第一只股票的头寸为MaxPos/lvls，第二只则为其相反数乘以价格比率，使整体组合对市场系统性风险的暴露最小化。这种精细化的头寸控制，是配对交易实现风险对冲的核心。&lt;/p&gt;&#10;&lt;p&gt;最后是回测与绩效评估。代码通过applyStrategy执行回测，更新组合和账户数据后，利用chart.Posn展示两只股票的持仓变化，通过charts.PerformanceSummary分析策略的收益曲线、最大回撤等关键指标，全面评估策略效果。&#10;策略的意义与价值&lt;/p&gt;&#10;&lt;p&gt;这段代码的意义不仅在于实现了一个可运行的配对交易策略，更展示了如何在 quantstrat 框架下扩展自定义功能：通过addPosLimits灵活设置头寸规则，借助osFUN传递自定义订单规模函数，为复杂策略的实现提供了范例。对于量化研究者而言，它演示了均值回归思想在配对交易中的具体应用 —— 通过价格比率的统计特征捕捉套利机会，同时通过多空对冲控制风险。&lt;/p&gt;&#10;&lt;p&gt;此外，代码也为策略优化提供了方向：例如调整布林带的周期（N）和标准差倍数（SD）以适应不同市场环境，或修改osSpreadMaxPos函数优化头寸调整逻辑。这种模块化的实现方式，使得策略易于维护和扩展，为量化交易的实践提供了有价值的参考。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>基于 RSI 指标的双向交易策略：实现与回测分析</title><link>https://gewutang.cn/2015/03/15/relative-strength-index-rsi-strategy/</link><pubDate>Sun, 15 Mar 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/03/15/relative-strength-index-rsi-strategy/</guid><description>&#10;&#10;&#10;&lt;p&gt;在量化交易领域，相对强弱指数（RSI）作为一种经典的技术指标，常被用于识别市场的超买与超卖状态，为交易决策提供参考。&lt;/p&gt;&#10;&lt;p&gt;本文所解析的 R 语言代码，便围绕 RSI 指标构建了一套完整的双向交易策略，并通过系统化的回测流程，验证其在多个行业 ETF 上的表现。&lt;/p&gt;&#10;&lt;p&gt;该策略的核心设计思路，是利用 RSI 指标的阈值穿越信号触发交易动作。&lt;/p&gt;&#10;&lt;p&gt;首先，代码通过 TTR 包中的 RSI 函数计算价格数据的相对强弱指数，默认采用 2 日周期（相较于常用的 14 日周期，更敏感地捕捉短期市场波动）。在此基础上，策略设定了两个关键阈值：当 RSI 上穿 70 时，判定市场进入超买状态，生成做空信号；当 RSI 下穿 30 时，判定市场进入超卖状态，生成做多信号。为避免信号频繁触发，代码通过 “cross=TRUE” 参数确保，只有当 RSI 真正穿越阈值时才产生有效信号。&lt;/p&gt;&#10;&lt;p&gt;基于上述信号，策略进一步定义了四套交易规则：RSI 上穿 70 时卖出 1000 股（做空入场），RSI 下穿 30 时平掉全部空头仓位（做空离场）；RSI 下穿 30 时买入 1000 股（做多入场），RSI 上穿 70 时平掉全部多头仓位（做多离场）。&lt;/p&gt;&#10;&lt;p&gt;这一设计使得策略既能在市场超买时捕捉下跌机会，也能在超卖时把握反弹可能，实现双向交易的灵活性。&lt;/p&gt;&#10;&lt;p&gt;为确保回测的严谨性，代码构建了完整的回测系统。在环境初始化阶段，通过清理旧策略数据、创建新的策略对象与交易环境，避免残留信息干扰结果。数据准备环节则选取了 9 个 SPDR 行业 ETF 作为交易标的，从雅虎财经获取 1998 年以来的历史价格数据，并完成货币单位与合约属性的设置。&lt;/p&gt;&#10;&lt;p&gt;风险控制方面，策略为每个品种设定了 ±300 股的持仓限制，既允许做空操作，又通过仓位管控降低过度交易的风险。&#10;在策略执行阶段，代码通过 applyStrategy 函数运行回测，记录执行时间以评估效率，并通过 updatePortf 函数实时更新组合数据。&lt;/p&gt;&#10;&lt;p&gt;回测完成后，系统提供了多维度的绩效评估与可视化工具：为每个交易品种生成持仓图表，直观展示交易时机与仓位变化；叠加 RSI 指标曲线，便于观察信号与价格走势的关联；计算各品种收益及组合总收益，并借助 PerformanceAnalytics 包生成综合绩效图表，包括累积收益曲线、回撤分析与月度收益分布等，帮助交易者全面了解策略表现。&lt;/p&gt;&#10;&lt;p&gt;R 代码如下：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;knitr::opts_chunk$set(echo = TRUE, warning = FALSE, cache = TRUE, root.dir = here::here())&#10;&#10;# 加载必要包&#10;library(quantstrat)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;zoo&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## as.Date, as.Date.numeric&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: foreach&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;##############################&#10;### 环境初始化部分&#10;##############################&#10;# 清理旧策略环境（防止残留数据干扰）&#10;suppressWarnings(rm(&amp;quot;order_book.RSI&amp;quot;, pos =.strategy))&#10;suppressWarnings(rm(&amp;quot;account.RSI&amp;quot;, &amp;quot;portfolio.RSI&amp;quot;, pos =.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;, &amp;quot;portfolio.st&amp;quot;, &amp;quot;stock.str&amp;quot;, &amp;quot;stratRSI&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;,&amp;#39;start_t&amp;#39;, &amp;#39;end_t&amp;#39;))&#10;&#10;&#10;##############################&#10;### 策略定义部分&#10;##############################&#10;# 创建策略对象&#10;stratRSI &amp;lt;- strategy(&amp;quot;RSI&amp;quot;)&#10;&#10;# 设置RSI参数&#10;n = 2 # RSI指标的周期参数（默认2日，通常建议14日）&#10;&#10;# 添加指标：计算RSI值&#10;stratRSI &amp;lt;- add.indicator(&#10; strategy = stratRSI, &#10; name = &amp;quot;RSI&amp;quot;, # 使用TTR包的RSI函数&#10; arguments = list(&#10; price = quote(getPrice(mktdata)), # 获取收盘价（Cl(mktdata)的简写）&#10; n = n # RSI计算周期&#10; ), &#10; label = &amp;quot;RSI&amp;quot; # 指标列名&#10;)&#10;&#10;# 添加信号：RSI超买超卖信号&#10;# 信号1：RSI上穿70（超卖信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;, # 阈值型信号函数&#10; arguments = list(&#10; threshold = 70, # 阈值&#10; column = &amp;quot;RSI&amp;quot;, # 作用在RSI指标列&#10; relationship = &amp;quot;gt&amp;quot;, # 大于关系（greater than）&#10; cross = TRUE # 必须穿越阈值（防止持续触发）&#10; ),&#10; label = &amp;quot;RSI.gt.70&amp;quot; # 信号列名&#10;)&#10;&#10;# 信号2：RSI下穿30（超买信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; threshold = 30, # 阈值&#10; column = &amp;quot;RSI&amp;quot;,&#10; relationship = &amp;quot;lt&amp;quot;, # 小于关系（less than）&#10; cross = TRUE&#10; ),&#10; label = &amp;quot;RSI.lt.30&amp;quot; # 信号列名&#10;)&#10;&#10;##############################&#10;### 交易规则定义部分&#10;##############################&#10;# 规则1：做空规则（RSI超卖时进场）&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI, &#10; name = &amp;#39;ruleSignal&amp;#39;, # 基于信号的规则&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.gt.70&amp;quot;, # 触发信号列&#10; sigval = TRUE, # 信号值为TRUE时触发&#10; orderqty = -1000, # 卖空1000股（固定手数）&#10; ordertype =&amp;#39;market&amp;#39;, # 市价单&#10; orderside =&amp;#39;short&amp;#39;, # 做空方向&#10; pricemethod =&amp;#39;market&amp;#39;, # 按市场价格成交&#10; replace = FALSE, # 不替换未成交订单&#10; osFUN = osMaxPos # 使用最大仓位限制函数&#10; ), &#10; type = &amp;#39;enter&amp;#39;, # 入场规则&#10; path.dep = TRUE # 路径依赖（考虑仓位变化）&#10;)&#10;&#10;# 规则2：平仓空头规则（RSI超买时平仓）&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI,&#10; name = &amp;#39;ruleSignal&amp;#39;,&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.lt.30&amp;quot;, &#10; sigval = TRUE,&#10; orderqty = &amp;#39;all&amp;#39;, # 平掉全部仓位&#10; ordertype =&amp;#39;market&amp;#39;,&#10; orderside =&amp;#39;short&amp;#39;, &#10; pricemethod =&amp;#39;market&amp;#39;,&#10; replace = FALSE&#10; ),&#10; type = &amp;#39;exit&amp;#39;, # 离场规则&#10; path.dep = TRUE&#10;)&#10;&#10;# 规则3：做多规则（RSI超买时进场）&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI, &#10; name = &amp;#39;ruleSignal&amp;#39;,&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.lt.30&amp;quot;,&#10; sigval = TRUE,&#10; orderqty = 1000, # 买入1000股&#10; ordertype =&amp;#39;market&amp;#39;,&#10; orderside = &amp;#39;long&amp;#39;, # 做多方向&#10; pricemethod =&amp;#39;market&amp;#39;,&#10; replace = FALSE,&#10; osFUN = osMaxPos&#10; ), &#10; type = &amp;#39;enter&amp;#39;,&#10; path.dep = TRUE&#10;)&#10;&#10;# 规则4：平仓多头规则（RSI超卖时平仓）&#10;stratRSI &amp;lt;- add.rule(&#10; strategy = stratRSI,&#10; name = &amp;#39;ruleSignal&amp;#39;,&#10; arguments = list(&#10; sigcol = &amp;quot;RSI.gt.70&amp;quot;,&#10; sigval = TRUE,&#10; orderqty = &amp;#39;all&amp;#39;, # 平掉全部仓位&#10; ordertype =&amp;#39;market&amp;#39;,&#10; orderside = &amp;#39;long&amp;#39;,&#10; pricemethod =&amp;#39;market&amp;#39;,&#10; replace = FALSE&#10; ),&#10; type = &amp;#39;exit&amp;#39;,&#10; path.dep = TRUE&#10;)&#10;&#10;#add changeable parameters&#10;# add level in/out&#10;&#10;# add trailing entry&#10;&#10;# add trailing exit?&#10;&#10;##############################&#10;### 数据准备与回测初始化&#10;##############################&#10;# 设置货币和交易品种&#10;currency(&amp;quot;USD&amp;quot;) # 基础货币&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;currency(&amp;quot;EUR&amp;quot;) # 其他货币（示例）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;EUR&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;symbols = c(&amp;quot;XLF&amp;quot;, &amp;quot;XLP&amp;quot;, &amp;quot;XLE&amp;quot;, &amp;quot;XLY&amp;quot;, &amp;quot;XLV&amp;quot;, &amp;quot;XLI&amp;quot;, &amp;quot;XLB&amp;quot;, &amp;quot;XLK&amp;quot;, &amp;quot;XLU&amp;quot;) # 9个SPDR行业ETF&#10;&#10;# 初始化金融工具&#10;for(symbol in symbols){&#10; stock(symbol, currency = &amp;quot;USD&amp;quot;, multiplier = 1) # 定义合约属性&#10;}&#10;&#10;# 下载历史数据（雅虎财经源）&#10;getSymbols(&#10; symbols, &#10; src = &amp;#39;yahoo&amp;#39;, &#10; index.class = c(&amp;quot;POSIXt&amp;quot;, &amp;quot;POSIXct&amp;quot;), # 索引类型为时间戳&#10; from = &amp;#39;1998-01-01&amp;#39; # 数据起始日期&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLF&amp;quot; &amp;quot;XLP&amp;quot; &amp;quot;XLE&amp;quot; &amp;quot;XLY&amp;quot; &amp;quot;XLV&amp;quot; &amp;quot;XLI&amp;quot; &amp;quot;XLB&amp;quot; &amp;quot;XLK&amp;quot; &amp;quot;XLU&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取下载的对应股票数据&#10;data_for_apply &amp;lt;- get(symbols[1])&#10;# 测试信号:&#10;applySignals(strategy = stratRSI,&#10; mktdata = applyIndicators(strategy = stratRSI,&#10; mktdata = data_for_apply&#10; )&#10; )&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: object timezone (&amp;#39;UTC&amp;#39;) is different from system timezone (&amp;#39;&amp;#39;)&#10;## NOTE: set &amp;#39;options(xts_check_TZ = FALSE)&amp;#39; to disable this warning&#10;## This note is displayed once per session&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## XLF.Open XLF.High XLF.Low XLF.Close XLF.Volume XLF.Adjusted&#10;## 1998-12-22 19.05209 19.05209 18.84900 18.93785 55887 11.29712&#10;## 1998-12-23 18.86170 19.21710 18.86170 19.21710 78784 11.46370&#10;## 1998-12-24 19.21710 19.34403 19.15364 19.34403 43824 11.53942&#10;## 1998-12-28 19.33134 19.33134 19.03940 19.09017 51948 11.38799&#10;## 1998-12-29 19.11556 19.29326 18.88708 19.29326 100819 11.50914&#10;## 1998-12-30 19.19171 19.31864 19.09017 19.21710 154614 11.46370&#10;## 1998-12-31 19.21710 19.24249 19.03940 19.03940 65366 11.35769&#10;## 1999-01-04 18.81093 19.35672 18.81093 19.03940 250632 11.35769&#10;## 1999-01-05 18.96324 19.24249 18.96324 19.21710 47763 11.46370&#10;## 1999-01-06 19.57250 19.85175 19.44557 19.82636 129871 11.82715&#10;## ... &#10;## 2025-06-27 51.75000 52.23000 51.70000 51.94000 38954100 51.94000&#10;## 2025-06-30 52.18000 52.44000 52.14000 52.37000 42472900 52.37000&#10;## 2025-07-01 52.24000 52.77000 52.21000 52.66000 33844800 52.66000&#10;## 2025-07-02 52.75000 52.76000 52.34000 52.62000 40791100 52.62000&#10;## 2025-07-03 52.75000 53.27000 52.70000 53.19000 25904800 53.19000&#10;## 2025-07-07 53.13000 53.25000 52.42000 52.68000 34049000 52.68000&#10;## 2025-07-08 52.56000 52.60000 52.18000 52.21000 53715000 52.21000&#10;## 2025-07-09 52.48000 52.50000 52.14000 52.40000 36634900 52.40000&#10;## 2025-07-10 52.28000 52.76000 52.28000 52.71000 27992600 52.71000&#10;## 2025-07-11 52.36000 52.41000 52.08000 52.16000 30289100 52.16000&#10;## rsi.RSI RSI.gt.70 RSI.lt.30&#10;## 1998-12-22 NA NA NA&#10;## 1998-12-23 NA NA NA&#10;## 1998-12-24 100.00000 NA NA&#10;## 1998-12-28 44.44463 0 0&#10;## 1998-12-29 70.58839 1 0&#10;## 1998-12-30 52.17383 0 0&#10;## 1998-12-31 23.52933 0 1&#10;## 1999-01-04 23.52933 0 0&#10;## 1999-01-05 76.07362 1 0&#10;## 1999-01-06 95.81094 0 0&#10;## ... &#10;## 2025-06-27 90.88419 0 0&#10;## 2025-06-30 96.57501 0 0&#10;## 2025-07-01 98.14067 0 0&#10;## 2025-07-02 87.15041 0 0&#10;## 2025-07-03 96.93436 0 0&#10;## 2025-07-07 41.02973 0 0&#10;## 2025-07-08 19.88845 0 1&#10;## 2025-07-09 43.44814 0 0&#10;## 2025-07-10 71.14156 1 0&#10;## 2025-07-11 25.98632 0 1&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;##############################&#10;### 回测引擎配置&#10;##############################&#10;startDate = &amp;#39;1997-12-31&amp;#39; # 回测开始日期&#10;initEq = 100000 # 初始资金10万美元&#10;port.st = &amp;#39;RSI&amp;#39; # 组合名称&#10;&#10;# 初始化投资组合&#10;initPortf(port.st, symbols = symbols) # 创建组合对象&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(port.st, portfolios = port.st, initEq = initEq) # 创建账户&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio = port.st) # 初始化订单簿&#10;&#10;# 设置仓位限制（风控规则）&#10;for(symbol in symbols){&#10; addPosLimit(&#10; port.st, &#10; symbol, &#10; startDate, &#10; maxpos = 300, # 单品种最大持仓量&#10; minpos = -300 # 允许做空&#10; )&#10;}&#10;&#10;print(&amp;quot;setup completed&amp;quot;) # 完成初始化提示&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;setup completed&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;##############################&#10;### 执行策略回测&#10;##############################&#10;# 应用策略生成交易信号&#10;# 应用策略生成交易信号&#10;start_t &amp;lt;- Sys.time()&#10;out &amp;lt;- try(applyStrategy(&#10; strategy = stratRSI,&#10; portfolios = port.st,&#10; parameters = list(n = 2) # 传递参数（此处可优化为参数扫描）&#10;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;1998-12-30 00:00:00 XLB -300 @ 21.671875&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLB 300 @ 22.125&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLB 300 @ 22.125&amp;quot;&#10;## [1] &amp;quot;1999-02-02 00:00:00 XLB -300 @ 21.296875&amp;quot;&#10;## [1] &amp;quot;1999-02-02 00:00:00 XLB -300 @ 21.296875&amp;quot;&#10;## [1] &amp;quot;1999-02-10 00:00:00 XLB 300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;1999-02-10 00:00:00 XLB 300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;1999-02-22 00:00:00 XLB -300 @ 21.6875&amp;quot;&#10;## [1] &amp;quot;1999-02-22 00:00:00 XLB -300 @ 21.6875&amp;quot;&#10;## [1] &amp;quot;1999-03-02 00:00:00 XLB 300 @ 21&amp;quot;&#10;## [1] &amp;quot;1999-03-02 00:00:00 XLB 300 @ 21&amp;quot;&#10;## [1] &amp;quot;1999-03-08 00:00:00 XLB -300 @ 21.765625&amp;quot;&#10;## [1] &amp;quot;1999-03-08 00:00:00 XLB -300 @ 21.765625&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLB 300 @ 22.375&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLB 300 @ 22.375&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLB -300 @ 22.328125&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLB -300 @ 22.328125&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLB 300 @ 21.84375&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLB 300 @ 21.84375&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLB -300 @ 22.0625&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLB -300 @ 22.0625&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLB 300 @ 22&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLB 300 @ 22&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLB -300 @ 21.875&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLB -300 @ 21.875&amp;quot;&#10;## [1] &amp;quot;1999-04-23 00:00:00 XLB 300 @ 25.625&amp;quot;&#10;## [1] &amp;quot;1999-04-23 00:00:00 XLB 300 @ 25.625&amp;quot;&#10;## [1] &amp;quot;1999-04-28 00:00:00 XLB -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;1999-04-28 00:00:00 XLB -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLB 300 @ 27.1875&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLB 300 @ 27.1875&amp;quot;&#10;## [1] &amp;quot;1999-06-02 00:00:00 XLB -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;1999-06-02 00:00:00 XLB -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;1999-06-10 00:00:00 XLB 300 @ 26.1875&amp;quot;&#10;## [1] &amp;quot;1999-06-10 00:00:00 XLB 300 @ 26.1875&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLB -300 @ 26.8125&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLB -300 @ 26.8125&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLB 300 @ 26&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLB 300 @ 26&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLB -300 @ 26.015625&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLB -300 @ 26.015625&amp;quot;&#10;## [1] &amp;quot;1999-07-09 00:00:00 XLB 300 @ 26.734375&amp;quot;&#10;## [1] &amp;quot;1999-07-09 00:00:00 XLB 300 @ 26.734375&amp;quot;&#10;## [1] &amp;quot;1999-07-12 00:00:00 XLB -300 @ 26.5625&amp;quot;&#10;## [1] &amp;quot;1999-07-12 00:00:00 XLB -300 @ 26.5625&amp;quot;&#10;## [1] &amp;quot;1999-07-15 00:00:00 XLB 300 @ 26&amp;quot;&#10;## [1] &amp;quot;1999-07-15 00:00:00 XLB 300 @ 26&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLB -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLB -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLB 300 @ 25.703125&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLB 300 @ 25.703125&amp;quot;&#10;## [1] &amp;quot;1999-08-05 00:00:00 XLB -300 @ 26.578125&amp;quot;&#10;## [1] &amp;quot;1999-08-05 00:00:00 XLB -300 @ 26.578125&amp;quot;&#10;## [1] &amp;quot;1999-08-10 00:00:00 XLB 300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;1999-08-10 00:00:00 XLB 300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLB -300 @ 26.734375&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLB -300 @ 26.734375&amp;quot;&#10;## [1] &amp;quot;1999-08-17 00:00:00 XLB 300 @ 26.65625&amp;quot;&#10;## [1] &amp;quot;1999-08-17 00:00:00 XLB 300 @ 26.65625&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLB -300 @ 26.6875&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLB -300 @ 26.6875&amp;quot;&#10;## [1] &amp;quot;1999-08-26 00:00:00 XLB 300 @ 25.640625&amp;quot;&#10;## [1] &amp;quot;1999-08-26 00:00:00 XLB 300 @ 25.640625&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLB -300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLB -300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-09-16 00:00:00 XLB 300 @ 24.125&amp;quot;&#10;## [1] &amp;quot;1999-09-16 00:00:00 XLB 300 @ 24.125&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLB -300 @ 23.8125&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLB -300 @ 23.8125&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLB 300 @ 23.703125&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLB 300 @ 23.703125&amp;quot;&#10;## [1] &amp;quot;1999-10-22 00:00:00 XLB -300 @ 24.0625&amp;quot;&#10;## [1] &amp;quot;1999-10-22 00:00:00 XLB -300 @ 24.0625&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLB 300 @ 23.65625&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLB 300 @ 23.65625&amp;quot;&#10;## [1] &amp;quot;1999-11-01 00:00:00 XLB -300 @ 24.03125&amp;quot;&#10;## [1] &amp;quot;1999-11-01 00:00:00 XLB -300 @ 24.03125&amp;quot;&#10;## [1] &amp;quot;1999-11-09 00:00:00 XLB 300 @ 24.34375&amp;quot;&#10;## [1] &amp;quot;1999-11-09 00:00:00 XLB 300 @ 24.34375&amp;quot;&#10;## [1] &amp;quot;1999-11-16 00:00:00 XLB -300 @ 25.0625&amp;quot;&#10;## [1] &amp;quot;1999-11-16 00:00:00 XLB -300 @ 25.0625&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLB 300 @ 24.421875&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLB 300 @ 24.421875&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLB -300 @ 24.640625&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLB -300 @ 24.640625&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLB 300 @ 24.578125&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLB 300 @ 24.578125&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLB -300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLB -300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLB 300 @ 25&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLB 300 @ 25&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLB -300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLB -300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;2000-01-05 00:00:00 XLB 300 @ 26.78125&amp;quot;&#10;## [1] &amp;quot;2000-01-05 00:00:00 XLB 300 @ 26.78125&amp;quot;&#10;## [1] &amp;quot;2000-01-06 00:00:00 XLB -300 @ 27.46875&amp;quot;&#10;## [1] &amp;quot;2000-01-06 00:00:00 XLB -300 @ 27.46875&amp;quot;&#10;## [1] &amp;quot;2000-01-12 00:00:00 XLB 300 @ 26.640625&amp;quot;&#10;## [1] &amp;quot;2000-01-12 00:00:00 XLB 300 @ 26.640625&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLB -300 @ 23.453125&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLB -300 @ 23.453125&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLB 300 @ 23.421875&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLB 300 @ 23.421875&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLB -300 @ 22.5&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLB -300 @ 22.5&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLB 300 @ 22.453125&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLB 300 @ 22.453125&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLB -300 @ 20.328125&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLB -300 @ 20.328125&amp;quot;&#10;## [1] &amp;quot;2000-03-29 00:00:00 XLB 300 @ 22.453125&amp;quot;&#10;## [1] &amp;quot;2000-03-29 00:00:00 XLB 300 @ 22.453125&amp;quot;&#10;## [1] &amp;quot;2000-03-31 00:00:00 XLB -300 @ 23.046875&amp;quot;&#10;## [1] &amp;quot;2000-03-31 00:00:00 XLB -300 @ 23.046875&amp;quot;&#10;## [1] &amp;quot;2000-04-07 00:00:00 XLB 300 @ 22.875&amp;quot;&#10;## [1] &amp;quot;2000-04-07 00:00:00 XLB 300 @ 22.875&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLB -300 @ 24.625&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLB -300 @ 24.625&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLB 300 @ 22.65625&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLB 300 @ 22.65625&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLB -300 @ 22.5625&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLB -300 @ 22.5625&amp;quot;&#10;## [1] &amp;quot;2000-05-19 00:00:00 XLB 300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2000-05-19 00:00:00 XLB 300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2000-06-05 00:00:00 XLB -300 @ 21.8125&amp;quot;&#10;## [1] &amp;quot;2000-06-05 00:00:00 XLB -300 @ 21.8125&amp;quot;&#10;## [1] &amp;quot;2000-06-08 00:00:00 XLB 300 @ 21.34375&amp;quot;&#10;## [1] &amp;quot;2000-06-08 00:00:00 XLB 300 @ 21.34375&amp;quot;&#10;## [1] &amp;quot;2000-06-28 00:00:00 XLB -300 @ 20.515625&amp;quot;&#10;## [1] &amp;quot;2000-06-28 00:00:00 XLB -300 @ 20.515625&amp;quot;&#10;## [1] &amp;quot;2000-07-03 00:00:00 XLB 300 @ 20.1875&amp;quot;&#10;## [1] &amp;quot;2000-07-03 00:00:00 XLB 300 @ 20.1875&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLB -300 @ 20.890625&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLB -300 @ 20.890625&amp;quot;&#10;## [1] &amp;quot;2000-07-18 00:00:00 XLB 300 @ 20.0625&amp;quot;&#10;## [1] &amp;quot;2000-07-18 00:00:00 XLB 300 @ 20.0625&amp;quot;&#10;## [1] &amp;quot;2000-08-03 00:00:00 XLB -300 @ 20.171875&amp;quot;&#10;## [1] &amp;quot;2000-08-03 00:00:00 XLB -300 @ 20.171875&amp;quot;&#10;## [1] &amp;quot;2000-08-21 00:00:00 XLB 300 @ 20.6875&amp;quot;&#10;## [1] &amp;quot;2000-08-21 00:00:00 XLB 300 @ 20.6875&amp;quot;&#10;## [1] &amp;quot;2000-09-01 00:00:00 XLB -300 @ 20.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-01 00:00:00 XLB -300 @ 20.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-08 00:00:00 XLB 300 @ 19.46875&amp;quot;&#10;## [1] &amp;quot;2000-09-08 00:00:00 XLB 300 @ 19.46875&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLB -300 @ 18.171875&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLB -300 @ 18.171875&amp;quot;&#10;## [1] &amp;quot;2000-10-12 00:00:00 XLB 300 @ 17.875&amp;quot;&#10;## [1] &amp;quot;2000-10-12 00:00:00 XLB 300 @ 17.875&amp;quot;&#10;## [1] &amp;quot;2000-10-25 00:00:00 XLB -300 @ 17.9375&amp;quot;&#10;## [1] &amp;quot;2000-10-25 00:00:00 XLB -300 @ 17.9375&amp;quot;&#10;## [1] &amp;quot;2000-11-13 00:00:00 XLB 300 @ 19.484375&amp;quot;&#10;## [1] &amp;quot;2000-11-13 00:00:00 XLB 300 @ 19.484375&amp;quot;&#10;## [1] &amp;quot;2000-11-16 00:00:00 XLB -300 @ 19.15625&amp;quot;&#10;## [1] &amp;quot;2000-11-16 00:00:00 XLB -300 @ 19.15625&amp;quot;&#10;## [1] &amp;quot;2000-11-17 00:00:00 XLB 300 @ 19.140625&amp;quot;&#10;## [1] &amp;quot;2000-11-17 00:00:00 XLB 300 @ 19.140625&amp;quot;&#10;## [1] &amp;quot;2000-11-27 00:00:00 XLB -300 @ 19&amp;quot;&#10;## [1] &amp;quot;2000-11-27 00:00:00 XLB -300 @ 19&amp;quot;&#10;## [1] &amp;quot;2000-12-08 00:00:00 XLB 300 @ 20.375&amp;quot;&#10;## [1] &amp;quot;2000-12-08 00:00:00 XLB 300 @ 20.375&amp;quot;&#10;## [1] &amp;quot;2000-12-20 00:00:00 XLB -300 @ 19.609375&amp;quot;&#10;## [1] &amp;quot;2000-12-20 00:00:00 XLB -300 @ 19.609375&amp;quot;&#10;## [1] &amp;quot;2000-12-21 00:00:00 XLB 300 @ 20.3125&amp;quot;&#10;## [1] &amp;quot;2000-12-21 00:00:00 XLB 300 @ 20.3125&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLB -300 @ 21.296875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLB -300 @ 21.296875&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLB 300 @ 21.125&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLB 300 @ 21.125&amp;quot;&#10;## [1] &amp;quot;2001-01-05 00:00:00 XLB -300 @ 21.375&amp;quot;&#10;## [1] &amp;quot;2001-01-05 00:00:00 XLB -300 @ 21.375&amp;quot;&#10;## [1] &amp;quot;2001-01-10 00:00:00 XLB 300 @ 20.75&amp;quot;&#10;## [1] &amp;quot;2001-01-10 00:00:00 XLB 300 @ 20.75&amp;quot;&#10;## [1] &amp;quot;2001-01-26 00:00:00 XLB -300 @ 19.953125&amp;quot;&#10;## [1] &amp;quot;2001-01-26 00:00:00 XLB -300 @ 19.953125&amp;quot;&#10;## [1] &amp;quot;2001-02-09 00:00:00 XLB 300 @ 20.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-09 00:00:00 XLB 300 @ 20.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-16 00:00:00 XLB -300 @ 20.6200008392334&amp;quot;&#10;## [1] &amp;quot;2001-02-16 00:00:00 XLB -300 @ 20.6200008392334&amp;quot;&#10;## [1] &amp;quot;2001-02-22 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-22 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLB -300 @ 21.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLB -300 @ 21.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLB 300 @ 21.4400005340576&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLB 300 @ 21.4400005340576&amp;quot;&#10;## [1] &amp;quot;2001-03-28 00:00:00 XLB -300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-28 00:00:00 XLB -300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-02 00:00:00 XLB 300 @ 20.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-04-02 00:00:00 XLB 300 @ 20.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLB -300 @ 20.4699993133545&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLB -300 @ 20.4699993133545&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLB 300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLB 300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLB -300 @ 22.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLB -300 @ 22.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLB 300 @ 23.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLB 300 @ 23.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-06-05 00:00:00 XLB -300 @ 23.6700000762939&amp;quot;&#10;## [1] &amp;quot;2001-06-05 00:00:00 XLB -300 @ 23.6700000762939&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLB 300 @ 22.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLB 300 @ 22.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-06-28 00:00:00 XLB -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2001-06-28 00:00:00 XLB -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2001-07-09 00:00:00 XLB 300 @ 22.0699996948242&amp;quot;&#10;## [1] &amp;quot;2001-07-09 00:00:00 XLB 300 @ 22.0699996948242&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLB -300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLB -300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-07-17 00:00:00 XLB 300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-07-17 00:00:00 XLB 300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-07-19 00:00:00 XLB -300 @ 22.5300006866455&amp;quot;&#10;## [1] &amp;quot;2001-07-19 00:00:00 XLB -300 @ 22.5300006866455&amp;quot;&#10;## [1] &amp;quot;2001-07-24 00:00:00 XLB 300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2001-07-24 00:00:00 XLB 300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2001-08-01 00:00:00 XLB -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-01 00:00:00 XLB -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-06 00:00:00 XLB 300 @ 21.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-08-06 00:00:00 XLB 300 @ 21.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-08-13 00:00:00 XLB -300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-08-13 00:00:00 XLB -300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-08-17 00:00:00 XLB 300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-08-17 00:00:00 XLB 300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-08-22 00:00:00 XLB -300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-08-22 00:00:00 XLB -300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-08-30 00:00:00 XLB 300 @ 21.7199993133545&amp;quot;&#10;## [1] &amp;quot;2001-08-30 00:00:00 XLB 300 @ 21.7199993133545&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLB -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLB -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-09-07 00:00:00 XLB 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-09-07 00:00:00 XLB 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLB -300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLB -300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLB 300 @ 19.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLB 300 @ 19.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLB -300 @ 20.4300003051758&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLB -300 @ 20.4300003051758&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLB 300 @ 20.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLB 300 @ 20.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-11-05 00:00:00 XLB -300 @ 20.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-11-05 00:00:00 XLB -300 @ 20.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-11-13 00:00:00 XLB 300 @ 21.3099994659424&amp;quot;&#10;## [1] &amp;quot;2001-11-13 00:00:00 XLB 300 @ 21.3099994659424&amp;quot;&#10;## [1] &amp;quot;2001-11-14 00:00:00 XLB -300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-11-14 00:00:00 XLB -300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLB 300 @ 22.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLB 300 @ 22.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-12-06 00:00:00 XLB -300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2001-12-06 00:00:00 XLB -300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2001-12-10 00:00:00 XLB 300 @ 21.7900009155273&amp;quot;&#10;## [1] &amp;quot;2001-12-10 00:00:00 XLB 300 @ 21.7900009155273&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLB -300 @ 21.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLB -300 @ 21.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-12-24 00:00:00 XLB 300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2001-12-24 00:00:00 XLB 300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2001-12-31 00:00:00 XLB -300 @ 21.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-12-31 00:00:00 XLB -300 @ 21.4200000762939&amp;quot;&#10;## [1] &amp;quot;2002-01-10 00:00:00 XLB 300 @ 21.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-01-10 00:00:00 XLB 300 @ 21.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-01-24 00:00:00 XLB -300 @ 20.9699993133545&amp;quot;&#10;## [1] &amp;quot;2002-01-24 00:00:00 XLB -300 @ 20.9699993133545&amp;quot;&#10;## [1] &amp;quot;2002-02-06 00:00:00 XLB 300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-06 00:00:00 XLB 300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-11 00:00:00 XLB -300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-02-11 00:00:00 XLB -300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLB 300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLB 300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2002-02-22 00:00:00 XLB -300 @ 22.7999992370605&amp;quot;&#10;## [1] &amp;quot;2002-02-22 00:00:00 XLB -300 @ 22.7999992370605&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLB 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLB 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2002-03-18 00:00:00 XLB -300 @ 23.7999992370605&amp;quot;&#10;## [1] &amp;quot;2002-03-18 00:00:00 XLB -300 @ 23.7999992370605&amp;quot;&#10;## [1] &amp;quot;2002-03-22 00:00:00 XLB 300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-03-22 00:00:00 XLB 300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLB -300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLB -300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2002-04-03 00:00:00 XLB 300 @ 23.1499996185303&amp;quot;&#10;## [1] &amp;quot;2002-04-03 00:00:00 XLB 300 @ 23.1499996185303&amp;quot;&#10;## [1] &amp;quot;2002-04-11 00:00:00 XLB -300 @ 23.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-04-11 00:00:00 XLB -300 @ 23.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-04-16 00:00:00 XLB 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2002-04-16 00:00:00 XLB 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLB -300 @ 23.8199996948242&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLB -300 @ 23.8199996948242&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLB 300 @ 22.7299995422363&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLB 300 @ 22.7299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-03 00:00:00 XLB -300 @ 23.2600002288818&amp;quot;&#10;## [1] &amp;quot;2002-05-03 00:00:00 XLB -300 @ 23.2600002288818&amp;quot;&#10;## [1] &amp;quot;2002-05-22 00:00:00 XLB 300 @ 24.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-05-22 00:00:00 XLB 300 @ 24.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLB -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLB -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLB 300 @ 23.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLB 300 @ 23.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLB -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLB -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-06-24 00:00:00 XLB 300 @ 22.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-06-24 00:00:00 XLB 300 @ 22.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-07-01 00:00:00 XLB -300 @ 23.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-07-01 00:00:00 XLB -300 @ 23.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLB 300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLB 300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLB -300 @ 23&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLB -300 @ 23&amp;quot;&#10;## [1] &amp;quot;2002-07-11 00:00:00 XLB 300 @ 21.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-07-11 00:00:00 XLB 300 @ 21.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-07-25 00:00:00 XLB -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-07-25 00:00:00 XLB -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-08-05 00:00:00 XLB 300 @ 18.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-05 00:00:00 XLB 300 @ 18.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-08 00:00:00 XLB -300 @ 20.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-08-08 00:00:00 XLB -300 @ 20.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLB 300 @ 20.6599998474121&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLB 300 @ 20.6599998474121&amp;quot;&#10;## [1] &amp;quot;2002-08-23 00:00:00 XLB -300 @ 20.5300006866455&amp;quot;&#10;## [1] &amp;quot;2002-08-23 00:00:00 XLB -300 @ 20.5300006866455&amp;quot;&#10;## [1] &amp;quot;2002-08-29 00:00:00 XLB 300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-08-29 00:00:00 XLB 300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLB -300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLB -300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLB 300 @ 19.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLB 300 @ 19.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-10-02 00:00:00 XLB -300 @ 17.9300003051758&amp;quot;&#10;## [1] &amp;quot;2002-10-02 00:00:00 XLB -300 @ 17.9300003051758&amp;quot;&#10;## [1] 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20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-05 00:00:00 XLB 300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLB -300 @ 20.2600002288818&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLB -300 @ 20.2600002288818&amp;quot;&#10;## [1] &amp;quot;2002-12-20 00:00:00 XLB 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-12-20 00:00:00 XLB 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLB -300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLB -300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2003-01-09 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-01-09 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-01-13 00:00:00 XLB -300 @ 20.4799995422363&amp;quot;&#10;## [1] &amp;quot;2003-01-13 00:00:00 XLB -300 @ 20.4799995422363&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLB 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-02-19 00:00:00 XLB -300 @ 18.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-02-19 00:00:00 XLB -300 @ 18.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-02-21 00:00:00 XLB 300 @ 18.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-02-21 00:00:00 XLB 300 @ 18.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-02-24 00:00:00 XLB -300 @ 18.25&amp;quot;&#10;## [1] &amp;quot;2003-02-24 00:00:00 XLB -300 @ 18.25&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLB 300 @ 18.2099990844727&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLB 300 @ 18.2099990844727&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLB -300 @ 18.1200008392334&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLB -300 @ 18.1200008392334&amp;quot;&#10;## [1] &amp;quot;2003-03-27 00:00:00 XLB 300 @ 18.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-03-27 00:00:00 XLB 300 @ 18.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLB -300 @ 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00:00:00 XLB -300 @ 20.5599994659424&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLB 300 @ 19.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLB 300 @ 19.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-05-23 00:00:00 XLB -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-05-23 00:00:00 XLB -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLB 300 @ 21.0200004577637&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLB 300 @ 21.0200004577637&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLB -300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLB -300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLB 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLB 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2003-07-03 00:00:00 XLB -300 @ 20.7900009155273&amp;quot;&#10;## [1] &amp;quot;2003-07-03 00:00:00 XLB -300 @ 20.7900009155273&amp;quot;&#10;## [1] 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23.1599998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-08 00:00:00 XLB 300 @ 23.1599998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-15 00:00:00 XLB -300 @ 22.9699993133545&amp;quot;&#10;## [1] &amp;quot;2003-09-15 00:00:00 XLB -300 @ 22.9699993133545&amp;quot;&#10;## [1] &amp;quot;2003-09-18 00:00:00 XLB 300 @ 22.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-09-18 00:00:00 XLB 300 @ 22.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-10-03 00:00:00 XLB -300 @ 22.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-10-03 00:00:00 XLB -300 @ 22.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLB 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLB 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2003-10-28 00:00:00 XLB -300 @ 23.2299995422363&amp;quot;&#10;## [1] &amp;quot;2003-10-28 00:00:00 XLB -300 @ 23.2299995422363&amp;quot;&#10;## [1] &amp;quot;2003-11-11 00:00:00 XLB 300 @ 23.5900001525879&amp;quot;&#10;## [1] &amp;quot;2003-11-11 00:00:00 XLB 300 @ 23.5900001525879&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLB -300 @ 23.9400005340576&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLB -300 @ 23.9400005340576&amp;quot;&#10;## [1] &amp;quot;2003-11-18 00:00:00 XLB 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2003-11-18 00:00:00 XLB 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLB -300 @ 24.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLB -300 @ 24.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-12-11 00:00:00 XLB 300 @ 25.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-12-11 00:00:00 XLB 300 @ 25.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLB -300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLB -300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2004-01-05 00:00:00 XLB 300 @ 27.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-01-05 00:00:00 XLB 300 @ 27.1000003814697&amp;quot;&#10;## [1] 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24.3299999237061&amp;quot;&#10;## [1] &amp;quot;2004-05-18 00:00:00 XLB 300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2004-05-18 00:00:00 XLB 300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2004-05-24 00:00:00 XLB -300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-05-24 00:00:00 XLB -300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLB 300 @ 25.3600006103516&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLB 300 @ 25.3600006103516&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLB -300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLB -300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLB 300 @ 25.6200008392334&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLB 300 @ 25.6200008392334&amp;quot;&#10;## [1] &amp;quot;2004-06-18 00:00:00 XLB -300 @ 25.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-06-18 00:00:00 XLB -300 @ 25.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLB 300 @ 26.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLB 300 @ 26.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLB -300 @ 26.2299995422363&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLB -300 @ 26.2299995422363&amp;quot;&#10;## [1] &amp;quot;2004-07-20 00:00:00 XLB 300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2004-07-20 00:00:00 XLB 300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2004-07-29 00:00:00 XLB -300 @ 26.2199993133545&amp;quot;&#10;## [1] &amp;quot;2004-07-29 00:00:00 XLB -300 @ 26.2199993133545&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLB 300 @ 25.0900001525879&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLB 300 @ 25.0900001525879&amp;quot;&#10;## [1] &amp;quot;2004-08-11 00:00:00 XLB -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-08-11 00:00:00 XLB -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-08-13 00:00:00 XLB 300 @ 25.1299991607666&amp;quot;&#10;## [1] 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27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-10-26 00:00:00 XLB -300 @ 26.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-10-26 00:00:00 XLB -300 @ 26.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-12-03 00:00:00 XLB 300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-12-03 00:00:00 XLB 300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-12-14 00:00:00 XLB -300 @ 29.3799991607666&amp;quot;&#10;## [1] &amp;quot;2004-12-14 00:00:00 XLB -300 @ 29.3799991607666&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLB 300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLB 300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2004-12-22 00:00:00 XLB -300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-12-22 00:00:00 XLB -300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-12-31 00:00:00 XLB 300 @ 29.7299995422363&amp;quot;&#10;## [1] &amp;quot;2004-12-31 00:00:00 XLB 300 @ 29.7299995422363&amp;quot;&#10;## [1] &amp;quot;2005-01-18 00:00:00 XLB -300 @ 29.0300006866455&amp;quot;&#10;## [1] &amp;quot;2005-01-18 00:00:00 XLB -300 @ 29.0300006866455&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLB 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLB 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2005-01-28 00:00:00 XLB -300 @ 28.4699993133545&amp;quot;&#10;## [1] &amp;quot;2005-01-28 00:00:00 XLB -300 @ 28.4699993133545&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLB 300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLB 300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLB -300 @ 29.8099994659424&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLB -300 @ 29.8099994659424&amp;quot;&#10;## [1] &amp;quot;2005-03-11 00:00:00 XLB 300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-03-11 00:00:00 XLB 300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-04-01 00:00:00 XLB -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2005-04-01 00:00:00 XLB -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2005-04-12 00:00:00 XLB 300 @ 29.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-04-12 00:00:00 XLB 300 @ 29.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-05-02 00:00:00 XLB -300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-05-02 00:00:00 XLB -300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLB 300 @ 28.3199996948242&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLB 300 @ 28.3199996948242&amp;quot;&#10;## [1] &amp;quot;2005-05-19 00:00:00 XLB -300 @ 28.0699996948242&amp;quot;&#10;## [1] &amp;quot;2005-05-19 00:00:00 XLB -300 @ 28.0699996948242&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLB 300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLB 300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2005-05-31 00:00:00 XLB -300 @ 27.8299999237061&amp;quot;&#10;## [1] &amp;quot;2005-05-31 00:00:00 XLB -300 @ 27.8299999237061&amp;quot;&#10;## [1] 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28.2800006866455&amp;quot;&#10;## [1] &amp;quot;2005-09-02 00:00:00 XLB -300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2005-09-02 00:00:00 XLB -300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLB 300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLB 300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-09-29 00:00:00 XLB -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-09-29 00:00:00 XLB -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLB 300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLB 300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2005-10-18 00:00:00 XLB -300 @ 26.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-10-18 00:00:00 XLB -300 @ 26.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-10-19 00:00:00 XLB 300 @ 26.4599990844727&amp;quot;&#10;## [1] &amp;quot;2005-10-19 00:00:00 XLB 300 @ 26.4599990844727&amp;quot;&#10;## [1] &amp;quot;2005-10-24 00:00:00 XLB -300 @ 27.1299991607666&amp;quot;&#10;## [1] &amp;quot;2005-10-24 00:00:00 XLB -300 @ 27.1299991607666&amp;quot;&#10;## [1] &amp;quot;2005-12-12 00:00:00 XLB 300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-12-12 00:00:00 XLB 300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-12-14 00:00:00 XLB -300 @ 30.3099994659424&amp;quot;&#10;## [1] &amp;quot;2005-12-14 00:00:00 XLB -300 @ 30.3099994659424&amp;quot;&#10;## [1] &amp;quot;2005-12-16 00:00:00 XLB 300 @ 29.7999992370605&amp;quot;&#10;## [1] &amp;quot;2005-12-16 00:00:00 XLB 300 @ 29.7999992370605&amp;quot;&#10;## [1] &amp;quot;2005-12-22 00:00:00 XLB -300 @ 30.4300003051758&amp;quot;&#10;## [1] &amp;quot;2005-12-22 00:00:00 XLB -300 @ 30.4300003051758&amp;quot;&#10;## [1] &amp;quot;2006-01-03 00:00:00 XLB 300 @ 30.9200000762939&amp;quot;&#10;## [1] &amp;quot;2006-01-03 00:00:00 XLB 300 @ 30.9200000762939&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLB -300 @ 31.1100006103516&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLB -300 @ 31.1100006103516&amp;quot;&#10;## [1] &amp;quot;2006-01-12 00:00:00 XLB 300 @ 30.5100002288818&amp;quot;&#10;## [1] &amp;quot;2006-01-12 00:00:00 XLB 300 @ 30.5100002288818&amp;quot;&#10;## [1] &amp;quot;2006-01-25 00:00:00 XLB -300 @ 31.0100002288818&amp;quot;&#10;## [1] &amp;quot;2006-01-25 00:00:00 XLB -300 @ 31.0100002288818&amp;quot;&#10;## [1] &amp;quot;2006-02-03 00:00:00 XLB 300 @ 31.0799999237061&amp;quot;&#10;## [1] &amp;quot;2006-02-03 00:00:00 XLB 300 @ 31.0799999237061&amp;quot;&#10;## [1] &amp;quot;2006-02-15 00:00:00 XLB -300 @ 31.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-02-15 00:00:00 XLB -300 @ 31.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLB 300 @ 31.0599994659424&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLB 300 @ 31.0599994659424&amp;quot;&#10;## [1] &amp;quot;2006-03-03 00:00:00 XLB -300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2006-03-03 00:00:00 XLB -300 @ 31.7399997711182&amp;quot;&#10;## [1] 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30.1100006103516&amp;quot;&#10;## [1] &amp;quot;2006-06-22 00:00:00 XLB -300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-06-22 00:00:00 XLB -300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-06-28 00:00:00 XLB 300 @ 30.7199993133545&amp;quot;&#10;## [1] &amp;quot;2006-06-28 00:00:00 XLB 300 @ 30.7199993133545&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLB -300 @ 32.0999984741211&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLB -300 @ 32.0999984741211&amp;quot;&#10;## [1] &amp;quot;2006-07-10 00:00:00 XLB 300 @ 31.8899993896484&amp;quot;&#10;## [1] &amp;quot;2006-07-10 00:00:00 XLB 300 @ 31.8899993896484&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLB -300 @ 30.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLB -300 @ 30.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-24 00:00:00 XLB 300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2006-07-24 00:00:00 XLB 300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLB -300 @ 30.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLB -300 @ 30.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-07-28 00:00:00 XLB 300 @ 30.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-07-28 00:00:00 XLB 300 @ 30.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-08-01 00:00:00 XLB -300 @ 30.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-08-01 00:00:00 XLB -300 @ 30.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLB 300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLB 300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2006-08-16 00:00:00 XLB -300 @ 31.8799991607666&amp;quot;&#10;## [1] &amp;quot;2006-08-16 00:00:00 XLB -300 @ 31.8799991607666&amp;quot;&#10;## [1] &amp;quot;2006-08-25 00:00:00 XLB 300 @ 31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2006-08-25 00:00:00 XLB 300 @ 31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2006-08-30 00:00:00 XLB -300 @ 31.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-08-30 00:00:00 XLB -300 @ 31.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-09-08 00:00:00 XLB 300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2006-09-08 00:00:00 XLB 300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2006-09-19 00:00:00 XLB -300 @ 31.1499996185303&amp;quot;&#10;## [1] &amp;quot;2006-09-19 00:00:00 XLB -300 @ 31.1499996185303&amp;quot;&#10;## [1] &amp;quot;2006-09-25 00:00:00 XLB 300 @ 31.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-09-25 00:00:00 XLB 300 @ 31.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-09-27 00:00:00 XLB -300 @ 31.8299999237061&amp;quot;&#10;## [1] &amp;quot;2006-09-27 00:00:00 XLB -300 @ 31.8299999237061&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLB 300 @ 31.3299999237061&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLB 300 @ 31.3299999237061&amp;quot;&#10;## [1] &amp;quot;2006-10-06 00:00:00 XLB -300 @ 31.9799995422363&amp;quot;&#10;## [1] &amp;quot;2006-10-06 00:00:00 XLB -300 @ 31.9799995422363&amp;quot;&#10;## [1] &amp;quot;2006-11-02 00:00:00 XLB 300 @ 33.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-11-02 00:00:00 XLB 300 @ 33.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLB -300 @ 33.5800018310547&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLB -300 @ 33.5800018310547&amp;quot;&#10;## [1] &amp;quot;2006-11-20 00:00:00 XLB 300 @ 34.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-11-20 00:00:00 XLB 300 @ 34.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-11-21 00:00:00 XLB -300 @ 34.5699996948242&amp;quot;&#10;## [1] &amp;quot;2006-11-21 00:00:00 XLB -300 @ 34.5699996948242&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLB 300 @ 34.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLB 300 @ 34.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-11-30 00:00:00 XLB -300 @ 35&amp;quot;&#10;## [1] &amp;quot;2006-11-30 00:00:00 XLB -300 @ 35&amp;quot;&#10;## [1] &amp;quot;2006-12-13 00:00:00 XLB 300 @ 35.2299995422363&amp;quot;&#10;## [1] &amp;quot;2006-12-13 00:00:00 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41.0099983215332&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLB 300 @ 41.0099983215332&amp;quot;&#10;## [1] &amp;quot;2007-07-02 00:00:00 XLB -300 @ 41.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-02 00:00:00 XLB -300 @ 41.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLB 300 @ 41.4000015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLB 300 @ 41.4000015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLB -300 @ 42.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLB -300 @ 42.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-07-23 00:00:00 XLB 300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2007-07-23 00:00:00 XLB 300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2007-08-09 00:00:00 XLB -300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-08-09 00:00:00 XLB -300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLB 300 @ 38.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLB 300 @ 38.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 XLB -300 @ 37.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 XLB -300 @ 37.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLB 300 @ 38.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLB 300 @ 38.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 XLB -300 @ 39.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 XLB -300 @ 39.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLB 300 @ 38.3800010681152&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLB 300 @ 38.3800010681152&amp;quot;&#10;## [1] &amp;quot;2007-09-13 00:00:00 XLB -300 @ 39.2299995422363&amp;quot;&#10;## [1] &amp;quot;2007-09-13 00:00:00 XLB -300 @ 39.2299995422363&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLB 300 @ 42.2299995422363&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLB 300 @ 42.2299995422363&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLB -300 @ 42.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLB -300 @ 42.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-10-17 00:00:00 XLB 300 @ 42.3199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-17 00:00:00 XLB 300 @ 42.3199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLB -300 @ 43.2799987792969&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLB -300 @ 43.2799987792969&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLB 300 @ 42.7200012207031&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLB 300 @ 42.7200012207031&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLB -300 @ 42&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLB -300 @ 42&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLB 300 @ 42.4000015258789&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLB 300 @ 42.4000015258789&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLB -300 @ 41.2599983215332&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLB -300 @ 41.2599983215332&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLB 300 @ 42.3800010681152&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLB 300 @ 42.3800010681152&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLB -300 @ 42.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLB -300 @ 42.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLB 300 @ 41.9500007629395&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLB 300 @ 41.9500007629395&amp;quot;&#10;## [1] &amp;quot;2008-01-04 00:00:00 XLB -300 @ 40.7799987792969&amp;quot;&#10;## [1] &amp;quot;2008-01-04 00:00:00 XLB -300 @ 40.7799987792969&amp;quot;&#10;## [1] &amp;quot;2008-01-07 00:00:00 XLB 300 @ 40.2200012207031&amp;quot;&#10;## [1] &amp;quot;2008-01-07 00:00:00 XLB 300 @ 40.2200012207031&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 XLB -300 @ 40.189998626709&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 XLB -300 @ 40.189998626709&amp;quot;&#10;## [1] 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44.5&amp;quot;&#10;## [1] &amp;quot;2008-06-23 00:00:00 XLB 300 @ 43.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-06-23 00:00:00 XLB 300 @ 43.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-07-15 00:00:00 XLB -300 @ 39.4700012207031&amp;quot;&#10;## [1] &amp;quot;2008-07-15 00:00:00 XLB -300 @ 39.4700012207031&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLB 300 @ 39.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLB 300 @ 39.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 XLB -300 @ 40.6800003051758&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 XLB -300 @ 40.6800003051758&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 XLB 300 @ 37.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 XLB 300 @ 37.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-08-13 00:00:00 XLB -300 @ 39.6800003051758&amp;quot;&#10;## [1] &amp;quot;2008-08-13 00:00:00 XLB -300 @ 39.6800003051758&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 XLB 300 @ 38.75&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 XLB 300 @ 38.75&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 XLB -300 @ 39.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-08-21 00:00:00 XLB -300 @ 39.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 XLB 300 @ 39.0999984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-26 00:00:00 XLB 300 @ 39.0999984741211&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 XLB -300 @ 39.75&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 XLB -300 @ 39.75&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 XLB 300 @ 38.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 XLB 300 @ 38.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLB -300 @ 36.5&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLB -300 @ 36.5&amp;quot;&#10;## [1] &amp;quot;2008-09-18 00:00:00 XLB 300 @ 36.2000007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-18 00:00:00 XLB 300 @ 36.2000007629395&amp;quot;&#10;## [1] 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00:00:00 XLB -300 @ 22.7399997711182&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLB 300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLB 300 @ 22.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-01-29 00:00:00 XLB -300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2009-01-29 00:00:00 XLB -300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLB 300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLB 300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 XLB -300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2009-02-06 00:00:00 XLB -300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLB 300 @ 21.5599994659424&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLB 300 @ 21.5599994659424&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLB -300 @ 19.7700004577637&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLB -300 @ 19.7700004577637&amp;quot;&#10;## [1] 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26.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-08 00:00:00 XLB 300 @ 26.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLB -300 @ 26.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLB -300 @ 26.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLB 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLB 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLB -300 @ 25.9200000762939&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLB -300 @ 25.9200000762939&amp;quot;&#10;## [1] &amp;quot;2009-05-28 00:00:00 XLB 300 @ 26.3799991607666&amp;quot;&#10;## [1] &amp;quot;2009-05-28 00:00:00 XLB 300 @ 26.3799991607666&amp;quot;&#10;## [1] &amp;quot;2009-06-01 00:00:00 XLB -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2009-06-01 00:00:00 XLB -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLB 300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLB 300 @ 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00:00:00 XLB -300 @ 29.7900009155273&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLB -300 @ 29.7900009155273&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLB 300 @ 29.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLB 300 @ 29.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-08-24 00:00:00 XLB -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-08-24 00:00:00 XLB -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLB 300 @ 28.9300003051758&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLB 300 @ 28.9300003051758&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLB -300 @ 30.4400005340576&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLB -300 @ 30.4400005340576&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLB 300 @ 32.0400009155273&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLB 300 @ 32.0400009155273&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLB -300 @ 30.75&amp;quot;&#10;## [1] 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00:00:00 XLB -300 @ 35.0099983215332&amp;quot;&#10;## [1] &amp;quot;2010-04-23 00:00:00 XLB -300 @ 35.0099983215332&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLB 300 @ 34.2900009155273&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLB 300 @ 34.2900009155273&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLB -300 @ 32.2000007629395&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLB -300 @ 32.2000007629395&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLB 300 @ 31.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLB 300 @ 31.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLB -300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLB -300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLB 300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLB 300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLB -300 @ 30.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLB -300 @ 30.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLB 300 @ 30.4300003051758&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLB 300 @ 30.4300003051758&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLB -300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLB -300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLB 300 @ 29.8600006103516&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLB 300 @ 29.8600006103516&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLB -300 @ 30.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLB -300 @ 30.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLB 300 @ 31.25&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLB 300 @ 31.25&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLB -300 @ 32.2999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLB -300 @ 32.2999992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLB 300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLB 300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLB -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLB -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLB 300 @ 32.939998626709&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLB 300 @ 32.939998626709&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLB -300 @ 33.1699981689453&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLB -300 @ 33.1699981689453&amp;quot;&#10;## [1] &amp;quot;2010-09-30 00:00:00 XLB 300 @ 32.7799987792969&amp;quot;&#10;## [1] &amp;quot;2010-09-30 00:00:00 XLB 300 @ 32.7799987792969&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLB -300 @ 32.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLB -300 @ 32.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-10-05 00:00:00 XLB 300 @ 33.5999984741211&amp;quot;&#10;## [1] 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35.2299995422363&amp;quot;&#10;## [1] &amp;quot;2010-11-22 00:00:00 XLB -300 @ 35.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-11-22 00:00:00 XLB -300 @ 35.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLB 300 @ 35.4700012207031&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLB 300 @ 35.4700012207031&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLB -300 @ 36.7000007629395&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLB -300 @ 36.7000007629395&amp;quot;&#10;## [1] &amp;quot;2010-12-09 00:00:00 XLB 300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-12-09 00:00:00 XLB 300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-12-13 00:00:00 XLB -300 @ 37.4500007629395&amp;quot;&#10;## [1] &amp;quot;2010-12-13 00:00:00 XLB -300 @ 37.4500007629395&amp;quot;&#10;## [1] &amp;quot;2011-01-07 00:00:00 XLB 300 @ 38.310001373291&amp;quot;&#10;## [1] &amp;quot;2011-01-07 00:00:00 XLB 300 @ 38.310001373291&amp;quot;&#10;## [1] &amp;quot;2011-01-12 00:00:00 XLB -300 @ 39.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-01-12 00:00:00 XLB -300 @ 39.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-01-20 00:00:00 XLB 300 @ 37.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-01-20 00:00:00 XLB 300 @ 37.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-01-27 00:00:00 XLB -300 @ 38.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-01-27 00:00:00 XLB -300 @ 38.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLB 300 @ 38.439998626709&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLB 300 @ 38.439998626709&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLB -300 @ 39.4000015258789&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLB -300 @ 39.4000015258789&amp;quot;&#10;## [1] &amp;quot;2011-02-10 00:00:00 XLB 300 @ 39.6300010681152&amp;quot;&#10;## [1] &amp;quot;2011-02-10 00:00:00 XLB 300 @ 39.6300010681152&amp;quot;&#10;## [1] &amp;quot;2011-02-14 00:00:00 XLB -300 @ 40.2799987792969&amp;quot;&#10;## [1] 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38.2900009155273&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLB 300 @ 39.75&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLB 300 @ 39.75&amp;quot;&#10;## [1] &amp;quot;2011-04-20 00:00:00 XLB -300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2011-04-20 00:00:00 XLB -300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 XLB 300 @ 39.5&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 XLB 300 @ 39.5&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLB -300 @ 40.2599983215332&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLB -300 @ 40.2599983215332&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLB 300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLB 300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLB -300 @ 38.9000015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLB -300 @ 38.9000015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 XLB 300 @ 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00:00:00 XLB 300 @ 39.2599983215332&amp;quot;&#10;## [1] &amp;quot;2011-07-22 00:00:00 XLB -300 @ 39.9500007629395&amp;quot;&#10;## [1] &amp;quot;2011-07-22 00:00:00 XLB -300 @ 39.9500007629395&amp;quot;&#10;## [1] &amp;quot;2011-07-27 00:00:00 XLB 300 @ 38.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-07-27 00:00:00 XLB 300 @ 38.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLB -300 @ 34.9900016784668&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLB -300 @ 34.9900016784668&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLB 300 @ 32&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLB 300 @ 32&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLB -300 @ 33.5999984741211&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLB -300 @ 33.5999984741211&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLB 300 @ 33.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLB 300 @ 33.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLB -300 @ 34.2999992370605&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLB -300 @ 34.2999992370605&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLB 300 @ 32.9500007629395&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLB 300 @ 32.9500007629395&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLB -300 @ 34.5900001525879&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLB -300 @ 34.5900001525879&amp;quot;&#10;## [1] &amp;quot;2011-09-21 00:00:00 XLB 300 @ 32.0900001525879&amp;quot;&#10;## [1] &amp;quot;2011-09-21 00:00:00 XLB 300 @ 32.0900001525879&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLB -300 @ 30.4500007629395&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLB -300 @ 30.4500007629395&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLB 300 @ 30.4799995422363&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLB 300 @ 30.4799995422363&amp;quot;&#10;## [1] &amp;quot;2011-10-06 00:00:00 XLB -300 @ 31.6000003814697&amp;quot;&#10;## [1] 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00:00:00 XLB 300 @ 37.3800010681152&amp;quot;&#10;## [1] &amp;quot;2012-03-01 00:00:00 XLB 300 @ 37.3800010681152&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLB -300 @ 36.6399993896484&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLB -300 @ 36.6399993896484&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLB 300 @ 36.9099998474121&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLB 300 @ 36.9099998474121&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLB -300 @ 37.310001373291&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLB -300 @ 37.310001373291&amp;quot;&#10;## [1] &amp;quot;2012-03-29 00:00:00 XLB 300 @ 36.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-03-29 00:00:00 XLB 300 @ 36.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLB -300 @ 37.2099990844727&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLB -300 @ 37.2099990844727&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLB 300 @ 36.4799995422363&amp;quot;&#10;## [1] 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00:00:00 XLB -300 @ 36.2400016784668&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLB 300 @ 35.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLB 300 @ 35.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLB -300 @ 36.9500007629395&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLB -300 @ 36.9500007629395&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLB 300 @ 37.3400001525879&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLB 300 @ 37.3400001525879&amp;quot;&#10;## [1] &amp;quot;2012-10-05 00:00:00 XLB -300 @ 37.2000007629395&amp;quot;&#10;## [1] &amp;quot;2012-10-05 00:00:00 XLB -300 @ 37.2000007629395&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLB 300 @ 36.3800010681152&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLB 300 @ 36.3800010681152&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLB -300 @ 37.8699989318848&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLB -300 @ 37.8699989318848&amp;quot;&#10;## [1] 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37.189998626709&amp;quot;&#10;## [1] &amp;quot;2012-12-24 00:00:00 XLB 300 @ 37.189998626709&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLB -300 @ 38.4799995422363&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLB -300 @ 38.4799995422363&amp;quot;&#10;## [1] &amp;quot;2013-01-17 00:00:00 XLB 300 @ 39.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-01-17 00:00:00 XLB 300 @ 39.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-01-22 00:00:00 XLB -300 @ 39.7200012207031&amp;quot;&#10;## [1] &amp;quot;2013-01-22 00:00:00 XLB -300 @ 39.7200012207031&amp;quot;&#10;## [1] &amp;quot;2013-01-29 00:00:00 XLB 300 @ 39.5999984741211&amp;quot;&#10;## [1] &amp;quot;2013-01-29 00:00:00 XLB 300 @ 39.5999984741211&amp;quot;&#10;## [1] &amp;quot;2013-02-14 00:00:00 XLB -300 @ 39.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-02-14 00:00:00 XLB -300 @ 39.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-02-20 00:00:00 XLB 300 @ 38.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-02-20 00:00:00 XLB 300 @ 38.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLB -300 @ 38.4900016784668&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLB -300 @ 38.4900016784668&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLB 300 @ 39.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLB 300 @ 39.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-04-01 00:00:00 XLB -300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2013-04-01 00:00:00 XLB -300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLB 300 @ 38.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLB 300 @ 38.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-04-10 00:00:00 XLB -300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2013-04-10 00:00:00 XLB -300 @ 39.1500015258789&amp;quot;&#10;## [1] &amp;quot;2013-04-15 00:00:00 XLB 300 @ 37.310001373291&amp;quot;&#10;## [1] &amp;quot;2013-04-15 00:00:00 XLB 300 @ 37.310001373291&amp;quot;&#10;## [1] 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38.939998626709&amp;quot;&#10;## [1] &amp;quot;2013-07-25 00:00:00 XLB 300 @ 40.6399993896484&amp;quot;&#10;## [1] &amp;quot;2013-07-25 00:00:00 XLB 300 @ 40.6399993896484&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 XLB -300 @ 40.6199989318848&amp;quot;&#10;## [1] &amp;quot;2013-07-30 00:00:00 XLB -300 @ 40.6199989318848&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 XLB 300 @ 40.7799987792969&amp;quot;&#10;## [1] &amp;quot;2013-08-01 00:00:00 XLB 300 @ 40.7799987792969&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 XLB -300 @ 41.0099983215332&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 XLB -300 @ 41.0099983215332&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 XLB 300 @ 40.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 XLB 300 @ 40.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-08-09 00:00:00 XLB -300 @ 41.3800010681152&amp;quot;&#10;## [1] &amp;quot;2013-08-09 00:00:00 XLB -300 @ 41.3800010681152&amp;quot;&#10;## [1] &amp;quot;2013-08-16 00:00:00 XLB 300 @ 40.7599983215332&amp;quot;&#10;## [1] &amp;quot;2013-08-16 00:00:00 XLB 300 @ 40.7599983215332&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLB -300 @ 41.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLB -300 @ 41.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-08-28 00:00:00 XLB 300 @ 40.3699989318848&amp;quot;&#10;## [1] &amp;quot;2013-08-28 00:00:00 XLB 300 @ 40.3699989318848&amp;quot;&#10;## [1] &amp;quot;2013-09-04 00:00:00 XLB -300 @ 41.0499992370605&amp;quot;&#10;## [1] &amp;quot;2013-09-04 00:00:00 XLB -300 @ 41.0499992370605&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLB 300 @ 42.2999992370605&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLB 300 @ 42.2999992370605&amp;quot;&#10;## [1] &amp;quot;2013-09-27 00:00:00 XLB -300 @ 42.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-09-27 00:00:00 XLB -300 @ 42.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-09-30 00:00:00 XLB 300 @ 42.0099983215332&amp;quot;&#10;## [1] 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44.189998626709&amp;quot;&#10;## [1] &amp;quot;2013-11-11 00:00:00 XLB -300 @ 44.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-11-11 00:00:00 XLB -300 @ 44.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-11-21 00:00:00 XLB 300 @ 44.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-11-21 00:00:00 XLB 300 @ 44.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-11-25 00:00:00 XLB -300 @ 44.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-11-25 00:00:00 XLB -300 @ 44.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-11-27 00:00:00 XLB 300 @ 44.3800010681152&amp;quot;&#10;## [1] &amp;quot;2013-11-27 00:00:00 XLB 300 @ 44.3800010681152&amp;quot;&#10;## [1] &amp;quot;2013-12-09 00:00:00 XLB -300 @ 44.5&amp;quot;&#10;## [1] &amp;quot;2013-12-09 00:00:00 XLB -300 @ 44.5&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLB 300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLB 300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLB -300 @ 44.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLB -300 @ 44.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLB 300 @ 45.7400016784668&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLB 300 @ 45.7400016784668&amp;quot;&#10;## [1] &amp;quot;2014-01-16 00:00:00 XLB -300 @ 46.0400009155273&amp;quot;&#10;## [1] &amp;quot;2014-01-16 00:00:00 XLB -300 @ 46.0400009155273&amp;quot;&#10;## [1] &amp;quot;2014-01-23 00:00:00 XLB 300 @ 45.0800018310547&amp;quot;&#10;## [1] &amp;quot;2014-01-23 00:00:00 XLB 300 @ 45.0800018310547&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 XLB -300 @ 44.0400009155273&amp;quot;&#10;## [1] &amp;quot;2014-01-31 00:00:00 XLB -300 @ 44.0400009155273&amp;quot;&#10;## [1] &amp;quot;2014-02-04 00:00:00 XLB 300 @ 43.3899993896484&amp;quot;&#10;## [1] &amp;quot;2014-02-04 00:00:00 XLB 300 @ 43.3899993896484&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLB -300 @ 44.7000007629395&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLB -300 @ 44.7000007629395&amp;quot;&#10;## [1] &amp;quot;2014-03-12 00:00:00 XLB 300 @ 47.2400016784668&amp;quot;&#10;## [1] &amp;quot;2014-03-12 00:00:00 XLB 300 @ 47.2400016784668&amp;quot;&#10;## [1] &amp;quot;2014-03-18 00:00:00 XLB -300 @ 47.5499992370605&amp;quot;&#10;## [1] &amp;quot;2014-03-18 00:00:00 XLB -300 @ 47.5499992370605&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 XLB 300 @ 47.2599983215332&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 XLB 300 @ 47.2599983215332&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 XLB -300 @ 47.5400009155273&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 XLB -300 @ 47.5400009155273&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLB 300 @ 46.6500015258789&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLB 300 @ 46.6500015258789&amp;quot;&#10;## [1] &amp;quot;2014-04-10 00:00:00 XLB -300 @ 46.5900001525879&amp;quot;&#10;## [1] &amp;quot;2014-04-10 00:00:00 XLB -300 @ 46.5900001525879&amp;quot;&#10;## [1] 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00:00:00 XLB 300 @ 49.6199989318848&amp;quot;&#10;## [1] &amp;quot;2014-08-13 00:00:00 XLB -300 @ 49.5800018310547&amp;quot;&#10;## [1] &amp;quot;2014-08-13 00:00:00 XLB -300 @ 49.5800018310547&amp;quot;&#10;## [1] &amp;quot;2014-08-25 00:00:00 XLB 300 @ 50.3600006103516&amp;quot;&#10;## [1] &amp;quot;2014-08-25 00:00:00 XLB 300 @ 50.3600006103516&amp;quot;&#10;## [1] &amp;quot;2014-08-27 00:00:00 XLB -300 @ 50.4099998474121&amp;quot;&#10;## [1] &amp;quot;2014-08-27 00:00:00 XLB -300 @ 50.4099998474121&amp;quot;&#10;## [1] &amp;quot;2014-09-03 00:00:00 XLB 300 @ 50.439998626709&amp;quot;&#10;## [1] &amp;quot;2014-09-03 00:00:00 XLB 300 @ 50.439998626709&amp;quot;&#10;## [1] &amp;quot;2014-09-08 00:00:00 XLB -300 @ 50.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-09-08 00:00:00 XLB -300 @ 50.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLB 300 @ 50.0499992370605&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLB 300 @ 50.0499992370605&amp;quot;&#10;## [1] 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00:00:00 XLB -300 @ 87.0599975585938&amp;quot;&#10;## [1] &amp;quot;2025-03-17 00:00:00 XLB -300 @ 87.0599975585938&amp;quot;&#10;## [1] &amp;quot;2025-03-24 00:00:00 XLB 300 @ 86.5400009155273&amp;quot;&#10;## [1] &amp;quot;2025-03-24 00:00:00 XLB 300 @ 86.5400009155273&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLB -300 @ 86.6399993896484&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLB -300 @ 86.6399993896484&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLB 300 @ 85.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLB 300 @ 85.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLB -300 @ 83.0800018310547&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLB -300 @ 83.0800018310547&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLB 300 @ 77.879997253418&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLB 300 @ 77.879997253418&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLB -300 @ 78.1800003051758&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLB -300 @ 78.1800003051758&amp;quot;&#10;## [1] &amp;quot;2025-04-22 00:00:00 XLB 300 @ 81.379997253418&amp;quot;&#10;## [1] &amp;quot;2025-04-22 00:00:00 XLB 300 @ 81.379997253418&amp;quot;&#10;## [1] &amp;quot;2025-04-23 00:00:00 XLB -300 @ 81.4800033569336&amp;quot;&#10;## [1] &amp;quot;2025-04-23 00:00:00 XLB -300 @ 81.4800033569336&amp;quot;&#10;## [1] &amp;quot;2025-05-07 00:00:00 XLB 300 @ 83.2300033569336&amp;quot;&#10;## [1] &amp;quot;2025-05-07 00:00:00 XLB 300 @ 83.2300033569336&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLB -300 @ 84.5599975585938&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLB -300 @ 84.5599975585938&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLB 300 @ 85.870002746582&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLB 300 @ 85.870002746582&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLB -300 @ 86.0100021362305&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLB -300 @ 86.0100021362305&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLB 300 @ 88.120002746582&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLB 300 @ 88.120002746582&amp;quot;&#10;## [1] &amp;quot;2025-06-25 00:00:00 XLB -300 @ 86.8199996948242&amp;quot;&#10;## [1] &amp;quot;2025-06-25 00:00:00 XLB -300 @ 86.8199996948242&amp;quot;&#10;## [1] &amp;quot;1998-12-30 00:00:00 XLE -300 @ 23.375&amp;quot;&#10;## [1] &amp;quot;1999-01-04 00:00:00 XLE 300 @ 23.328125&amp;quot;&#10;## [1] &amp;quot;1999-01-04 00:00:00 XLE 300 @ 23.328125&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLE -300 @ 23.859375&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLE -300 @ 23.859375&amp;quot;&#10;## [1] &amp;quot;1999-01-12 00:00:00 XLE 300 @ 23.15625&amp;quot;&#10;## [1] &amp;quot;1999-01-12 00:00:00 XLE 300 @ 23.15625&amp;quot;&#10;## [1] &amp;quot;1999-02-04 00:00:00 XLE -300 @ 22.25&amp;quot;&#10;## [1] &amp;quot;1999-02-04 00:00:00 XLE -300 @ 22.25&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLE 300 @ 22.15625&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLE 300 @ 22.15625&amp;quot;&#10;## [1] &amp;quot;1999-03-04 00:00:00 XLE -300 @ 22.4375&amp;quot;&#10;## [1] &amp;quot;1999-03-04 00:00:00 XLE -300 @ 22.4375&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLE 300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLE 300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;1999-03-29 00:00:00 XLE -300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;1999-03-29 00:00:00 XLE -300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLE 300 @ 24.5625&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLE 300 @ 24.5625&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLE -300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLE -300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-04-08 00:00:00 XLE 300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-04-08 00:00:00 XLE 300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-04-12 00:00:00 XLE -300 @ 25.5625&amp;quot;&#10;## [1] &amp;quot;1999-04-12 00:00:00 XLE -300 @ 25.5625&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLE 300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLE 300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;1999-04-16 00:00:00 XLE -300 @ 27.140625&amp;quot;&#10;## [1] &amp;quot;1999-04-16 00:00:00 XLE -300 @ 27.140625&amp;quot;&#10;## [1] &amp;quot;1999-04-22 00:00:00 XLE 300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;1999-04-22 00:00:00 XLE 300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;1999-04-29 00:00:00 XLE -300 @ 28.71875&amp;quot;&#10;## [1] &amp;quot;1999-04-29 00:00:00 XLE -300 @ 28.71875&amp;quot;&#10;## [1] &amp;quot;1999-05-11 00:00:00 XLE 300 @ 28.40625&amp;quot;&#10;## [1] &amp;quot;1999-05-11 00:00:00 XLE 300 @ 28.40625&amp;quot;&#10;## [1] &amp;quot;1999-05-21 00:00:00 XLE -300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-05-21 00:00:00 XLE -300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-05-26 00:00:00 XLE 300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-05-26 00:00:00 XLE 300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-05-27 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;1999-05-27 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLE 300 @ 27.90625&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLE 300 @ 27.90625&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLE -300 @ 28.265625&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLE -300 @ 28.265625&amp;quot;&#10;## [1] &amp;quot;1999-07-20 00:00:00 XLE 300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;1999-07-20 00:00:00 XLE 300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLE -300 @ 27.984375&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLE -300 @ 27.984375&amp;quot;&#10;## [1] &amp;quot;1999-08-17 00:00:00 XLE 300 @ 29.765625&amp;quot;&#10;## [1] &amp;quot;1999-08-17 00:00:00 XLE 300 @ 29.765625&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLE -300 @ 30&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLE -300 @ 30&amp;quot;&#10;## [1] &amp;quot;1999-08-26 00:00:00 XLE 300 @ 28.90625&amp;quot;&#10;## [1] &amp;quot;1999-08-26 00:00:00 XLE 300 @ 28.90625&amp;quot;&#10;## [1] &amp;quot;1999-09-08 00:00:00 XLE -300 @ 29.46875&amp;quot;&#10;## [1] &amp;quot;1999-09-08 00:00:00 XLE -300 @ 29.46875&amp;quot;&#10;## [1] &amp;quot;1999-09-14 00:00:00 XLE 300 @ 29.234375&amp;quot;&#10;## [1] &amp;quot;1999-09-14 00:00:00 XLE 300 @ 29.234375&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;1999-10-05 00:00:00 XLE 300 @ 26.4375&amp;quot;&#10;## [1] &amp;quot;1999-10-05 00:00:00 XLE 300 @ 26.4375&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLE -300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLE -300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-10-18 00:00:00 XLE 300 @ 26.375&amp;quot;&#10;## [1] &amp;quot;1999-10-18 00:00:00 XLE 300 @ 26.375&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLE -300 @ 27.125&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLE -300 @ 27.125&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLE 300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLE 300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-11-01 00:00:00 XLE -300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;1999-11-01 00:00:00 XLE -300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;1999-11-03 00:00:00 XLE 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;1999-11-03 00:00:00 XLE 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLE -300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLE -300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLE 300 @ 27.890625&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLE 300 @ 27.890625&amp;quot;&#10;## [1] &amp;quot;1999-12-02 00:00:00 XLE -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;1999-12-02 00:00:00 XLE -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;1999-12-07 00:00:00 XLE 300 @ 26.59375&amp;quot;&#10;## [1] &amp;quot;1999-12-07 00:00:00 XLE 300 @ 26.59375&amp;quot;&#10;## [1] &amp;quot;1999-12-10 00:00:00 XLE -300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;1999-12-10 00:00:00 XLE -300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLE 300 @ 26.46875&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLE 300 @ 26.46875&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLE -300 @ 27.203125&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLE -300 @ 27.203125&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLE 300 @ 26.484375&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLE 300 @ 26.484375&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLE -300 @ 26.90625&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLE -300 @ 26.90625&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLE 300 @ 26.0625&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLE 300 @ 26.0625&amp;quot;&#10;## [1] &amp;quot;2000-01-07 00:00:00 XLE -300 @ 28.078125&amp;quot;&#10;## [1] &amp;quot;2000-01-07 00:00:00 XLE -300 @ 28.078125&amp;quot;&#10;## [1] &amp;quot;2000-01-25 00:00:00 XLE 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-01-25 00:00:00 XLE 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLE -300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLE -300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLE 300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLE 300 @ 26.3125&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLE -300 @ 27.34375&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLE 300 @ 26.28125&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLE 300 @ 26.28125&amp;quot;&#10;## [1] &amp;quot;2000-03-01 00:00:00 XLE -300 @ 26.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-01 00:00:00 XLE -300 @ 26.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLE 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLE 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-03-17 00:00:00 XLE -300 @ 27.78125&amp;quot;&#10;## [1] &amp;quot;2000-03-17 00:00:00 XLE -300 @ 27.78125&amp;quot;&#10;## [1] &amp;quot;2000-03-21 00:00:00 XLE 300 @ 28.21875&amp;quot;&#10;## [1] &amp;quot;2000-03-21 00:00:00 XLE 300 @ 28.21875&amp;quot;&#10;## [1] &amp;quot;2000-03-28 00:00:00 XLE -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-03-28 00:00:00 XLE -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-04-06 00:00:00 XLE 300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;2000-04-06 00:00:00 XLE 300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;2000-04-13 00:00:00 XLE -300 @ 29.125&amp;quot;&#10;## [1] &amp;quot;2000-04-13 00:00:00 XLE -300 @ 29.125&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLE 300 @ 27.8125&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLE 300 @ 27.8125&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLE -300 @ 28.609375&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLE -300 @ 28.609375&amp;quot;&#10;## [1] &amp;quot;2000-05-01 00:00:00 XLE 300 @ 29.34375&amp;quot;&#10;## [1] &amp;quot;2000-05-01 00:00:00 XLE 300 @ 29.34375&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLE -300 @ 29&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLE -300 @ 29&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2000-05-08 00:00:00 XLE -300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-05-08 00:00:00 XLE -300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-05-23 00:00:00 XLE 300 @ 31.421875&amp;quot;&#10;## [1] &amp;quot;2000-05-23 00:00:00 XLE 300 @ 31.421875&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLE -300 @ 32.265625&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLE -300 @ 32.265625&amp;quot;&#10;## [1] &amp;quot;2000-06-05 00:00:00 XLE 300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-06-05 00:00:00 XLE 300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-06-07 00:00:00 XLE -300 @ 31.21875&amp;quot;&#10;## [1] &amp;quot;2000-06-07 00:00:00 XLE -300 @ 31.21875&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLE 300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLE 300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2000-06-22 00:00:00 XLE -300 @ 31.03125&amp;quot;&#10;## [1] &amp;quot;2000-06-22 00:00:00 XLE -300 @ 31.03125&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLE 300 @ 31.421875&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLE 300 @ 31.421875&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLE -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLE -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2000-07-17 00:00:00 XLE 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-07-17 00:00:00 XLE 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-07-28 00:00:00 XLE -300 @ 29.375&amp;quot;&#10;## [1] &amp;quot;2000-07-28 00:00:00 XLE -300 @ 29.375&amp;quot;&#10;## [1] &amp;quot;2000-08-31 00:00:00 XLE 300 @ 32.375&amp;quot;&#10;## [1] &amp;quot;2000-08-31 00:00:00 XLE 300 @ 32.375&amp;quot;&#10;## [1] &amp;quot;2000-09-05 00:00:00 XLE -300 @ 32.703125&amp;quot;&#10;## [1] &amp;quot;2000-09-05 00:00:00 XLE -300 @ 32.703125&amp;quot;&#10;## [1] &amp;quot;2000-09-11 00:00:00 XLE 300 @ 33.921875&amp;quot;&#10;## [1] &amp;quot;2000-09-11 00:00:00 XLE 300 @ 33.921875&amp;quot;&#10;## [1] &amp;quot;2000-09-12 00:00:00 XLE -300 @ 33.875&amp;quot;&#10;## [1] &amp;quot;2000-09-12 00:00:00 XLE -300 @ 33.875&amp;quot;&#10;## [1] &amp;quot;2000-09-15 00:00:00 XLE 300 @ 33.9375&amp;quot;&#10;## [1] &amp;quot;2000-09-15 00:00:00 XLE 300 @ 33.9375&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLE -300 @ 34&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLE -300 @ 34&amp;quot;&#10;## [1] &amp;quot;2000-09-20 00:00:00 XLE 300 @ 32.4375&amp;quot;&#10;## [1] &amp;quot;2000-09-20 00:00:00 XLE 300 @ 32.4375&amp;quot;&#10;## [1] &amp;quot;2000-09-28 00:00:00 XLE -300 @ 32.734375&amp;quot;&#10;## [1] &amp;quot;2000-09-28 00:00:00 XLE -300 @ 32.734375&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLE 300 @ 32.390625&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLE 300 @ 32.390625&amp;quot;&#10;## [1] &amp;quot;2000-10-10 00:00:00 XLE -300 @ 33.484375&amp;quot;&#10;## [1] &amp;quot;2000-10-10 00:00:00 XLE -300 @ 33.484375&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLE 300 @ 32.6875&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLE 300 @ 32.6875&amp;quot;&#10;## [1] &amp;quot;2000-10-23 00:00:00 XLE -300 @ 32.53125&amp;quot;&#10;## [1] &amp;quot;2000-10-23 00:00:00 XLE -300 @ 32.53125&amp;quot;&#10;## [1] &amp;quot;2000-10-25 00:00:00 XLE 300 @ 31.203125&amp;quot;&#10;## [1] &amp;quot;2000-10-25 00:00:00 XLE 300 @ 31.203125&amp;quot;&#10;## [1] &amp;quot;2000-11-01 00:00:00 XLE -300 @ 32.90625&amp;quot;&#10;## [1] &amp;quot;2000-11-01 00:00:00 XLE -300 @ 32.90625&amp;quot;&#10;## [1] &amp;quot;2000-11-14 00:00:00 XLE 300 @ 32&amp;quot;&#10;## [1] &amp;quot;2000-11-14 00:00:00 XLE 300 @ 32&amp;quot;&#10;## [1] &amp;quot;2000-11-16 00:00:00 XLE -300 @ 32.75&amp;quot;&#10;## [1] &amp;quot;2000-11-16 00:00:00 XLE -300 @ 32.75&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLE 300 @ 33.0625&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLE 300 @ 33.0625&amp;quot;&#10;## [1] &amp;quot;2000-11-22 00:00:00 XLE -300 @ 32.53125&amp;quot;&#10;## [1] &amp;quot;2000-11-22 00:00:00 XLE -300 @ 32.53125&amp;quot;&#10;## [1] &amp;quot;2000-11-30 00:00:00 XLE 300 @ 30.203125&amp;quot;&#10;## [1] &amp;quot;2000-11-30 00:00:00 XLE 300 @ 30.203125&amp;quot;&#10;## [1] &amp;quot;2000-12-12 00:00:00 XLE -300 @ 31.4375&amp;quot;&#10;## [1] &amp;quot;2000-12-12 00:00:00 XLE -300 @ 31.4375&amp;quot;&#10;## [1] &amp;quot;2000-12-15 00:00:00 XLE 300 @ 30.796875&amp;quot;&#10;## [1] &amp;quot;2000-12-15 00:00:00 XLE 300 @ 30.796875&amp;quot;&#10;## [1] &amp;quot;2000-12-19 00:00:00 XLE -300 @ 32.296875&amp;quot;&#10;## [1] &amp;quot;2000-12-19 00:00:00 XLE -300 @ 32.296875&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLE 300 @ 31.25&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLE 300 @ 31.25&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLE -300 @ 31.390625&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLE -300 @ 31.390625&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLE 300 @ 32.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLE 300 @ 32.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-03-05 00:00:00 XLE -300 @ 33.0099983215332&amp;quot;&#10;## [1] &amp;quot;2001-03-05 00:00:00 XLE -300 @ 33.0099983215332&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLE 300 @ 32.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLE 300 @ 32.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-28 00:00:00 XLE -300 @ 30.6499996185303&amp;quot;&#10;## [1] &amp;quot;2001-03-28 00:00:00 XLE -300 @ 30.6499996185303&amp;quot;&#10;## [1] &amp;quot;2001-03-29 00:00:00 XLE 300 @ 30&amp;quot;&#10;## [1] &amp;quot;2001-03-29 00:00:00 XLE 300 @ 30&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLE -300 @ 30.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLE -300 @ 30.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-20 00:00:00 XLE 300 @ 32.060001373291&amp;quot;&#10;## [1] &amp;quot;2001-04-20 00:00:00 XLE 300 @ 32.060001373291&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLE -300 @ 32.9700012207031&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLE -300 @ 32.9700012207031&amp;quot;&#10;## [1] &amp;quot;2001-05-03 00:00:00 XLE 300 @ 32.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-05-03 00:00:00 XLE 300 @ 32.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLE -300 @ 33.0900001525879&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLE -300 @ 33.0900001525879&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLE 300 @ 33.2799987792969&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLE 300 @ 33.2799987792969&amp;quot;&#10;## [1] &amp;quot;2001-05-15 00:00:00 XLE -300 @ 33.5800018310547&amp;quot;&#10;## [1] &amp;quot;2001-05-15 00:00:00 XLE -300 @ 33.5800018310547&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLE 300 @ 33.6699981689453&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLE 300 @ 33.6699981689453&amp;quot;&#10;## [1] &amp;quot;2001-06-01 00:00:00 XLE -300 @ 33.4000015258789&amp;quot;&#10;## [1] &amp;quot;2001-06-01 00:00:00 XLE -300 @ 33.4000015258789&amp;quot;&#10;## [1] &amp;quot;2001-06-07 00:00:00 XLE 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2001-06-07 00:00:00 XLE 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2001-06-13 00:00:00 XLE -300 @ 32.9700012207031&amp;quot;&#10;## [1] &amp;quot;2001-06-13 00:00:00 XLE -300 @ 32.9700012207031&amp;quot;&#10;## [1] &amp;quot;2001-06-15 00:00:00 XLE 300 @ 32.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-06-15 00:00:00 XLE 300 @ 32.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLE -300 @ 30.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLE -300 @ 30.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-07-10 00:00:00 XLE 300 @ 30&amp;quot;&#10;## [1] &amp;quot;2001-07-10 00:00:00 XLE 300 @ 30&amp;quot;&#10;## [1] &amp;quot;2001-07-23 00:00:00 XLE -300 @ 29.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-07-23 00:00:00 XLE -300 @ 29.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-07-25 00:00:00 XLE 300 @ 29.5799999237061&amp;quot;&#10;## [1] &amp;quot;2001-07-25 00:00:00 XLE 300 @ 29.5799999237061&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLE -300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLE -300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-08-02 00:00:00 XLE 300 @ 29.8700008392334&amp;quot;&#10;## [1] &amp;quot;2001-08-02 00:00:00 XLE 300 @ 29.8700008392334&amp;quot;&#10;## [1] &amp;quot;2001-08-14 00:00:00 XLE -300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2001-08-14 00:00:00 XLE -300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2001-08-21 00:00:00 XLE 300 @ 29.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-08-21 00:00:00 XLE 300 @ 29.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-08-24 00:00:00 XLE -300 @ 29.6200008392334&amp;quot;&#10;## [1] &amp;quot;2001-08-24 00:00:00 XLE -300 @ 29.6200008392334&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLE 300 @ 29.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLE 300 @ 29.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLE -300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLE -300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-09-07 00:00:00 XLE 300 @ 28.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-09-07 00:00:00 XLE 300 @ 28.7800006866455&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLE -300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLE -300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2001-10-16 00:00:00 XLE 300 @ 28.1200008392334&amp;quot;&#10;## [1] &amp;quot;2001-10-16 00:00:00 XLE 300 @ 28.1200008392334&amp;quot;&#10;## [1] &amp;quot;2001-10-26 00:00:00 XLE -300 @ 28.0100002288818&amp;quot;&#10;## [1] &amp;quot;2001-10-26 00:00:00 XLE -300 @ 28.0100002288818&amp;quot;&#10;## [1] &amp;quot;2001-10-31 00:00:00 XLE 300 @ 26.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-10-31 00:00:00 XLE 300 @ 26.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-11-09 00:00:00 XLE -300 @ 27.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-11-09 00:00:00 XLE -300 @ 27.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-11-15 00:00:00 XLE 300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-11-15 00:00:00 XLE 300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-11-21 00:00:00 XLE -300 @ 25.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-11-21 00:00:00 XLE -300 @ 25.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLE 300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLE 300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLE -300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLE -300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLE 300 @ 25.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLE 300 @ 25.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLE -300 @ 25.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLE -300 @ 25.9500007629395&amp;quot;&#10;## [1] &amp;quot;2002-01-03 00:00:00 XLE 300 @ 26.3400001525879&amp;quot;&#10;## [1] &amp;quot;2002-01-03 00:00:00 XLE 300 @ 26.3400001525879&amp;quot;&#10;## [1] &amp;quot;2002-01-24 00:00:00 XLE -300 @ 25.7700004577637&amp;quot;&#10;## [1] &amp;quot;2002-01-24 00:00:00 XLE -300 @ 25.7700004577637&amp;quot;&#10;## [1] &amp;quot;2002-01-30 00:00:00 XLE 300 @ 25.1499996185303&amp;quot;&#10;## [1] &amp;quot;2002-01-30 00:00:00 XLE 300 @ 25.1499996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-01 00:00:00 XLE -300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2002-02-01 00:00:00 XLE -300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2002-02-05 00:00:00 XLE 300 @ 25.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-02-05 00:00:00 XLE 300 @ 25.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLE -300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLE -300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLE 300 @ 25.4699993133545&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLE 300 @ 25.4699993133545&amp;quot;&#10;## [1] &amp;quot;2002-02-22 00:00:00 XLE -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-02-22 00:00:00 XLE -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-03-25 00:00:00 XLE 300 @ 28.1599998474121&amp;quot;&#10;## [1] &amp;quot;2002-03-25 00:00:00 XLE 300 @ 28.1599998474121&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLE -300 @ 28.8899993896484&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLE -300 @ 28.8899993896484&amp;quot;&#10;## [1] &amp;quot;2002-04-04 00:00:00 XLE 300 @ 28.2900009155273&amp;quot;&#10;## [1] &amp;quot;2002-04-04 00:00:00 XLE 300 @ 28.2900009155273&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLE -300 @ 28.5&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLE -300 @ 28.5&amp;quot;&#10;## [1] &amp;quot;2002-04-25 00:00:00 XLE 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2002-04-25 00:00:00 XLE 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLE -300 @ 28.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLE -300 @ 28.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLE 300 @ 27.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLE 300 @ 27.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-14 00:00:00 XLE -300 @ 28.1399993896484&amp;quot;&#10;## [1] &amp;quot;2002-05-14 00:00:00 XLE -300 @ 28.1399993896484&amp;quot;&#10;## [1] &amp;quot;2002-05-16 00:00:00 XLE 300 @ 27.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-05-16 00:00:00 XLE 300 @ 27.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-05-23 00:00:00 XLE -300 @ 28.2900009155273&amp;quot;&#10;## [1] &amp;quot;2002-05-23 00:00:00 XLE -300 @ 28.2900009155273&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLE 300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLE 300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLE -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLE -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLE 300 @ 25.7199993133545&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLE 300 @ 25.7199993133545&amp;quot;&#10;## [1] &amp;quot;2002-06-28 00:00:00 XLE -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2002-06-28 00:00:00 XLE -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLE 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLE 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLE -300 @ 25.8799991607666&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLE -300 @ 25.8799991607666&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLE 300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLE 300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2002-07-29 00:00:00 XLE -300 @ 22.5300006866455&amp;quot;&#10;## [1] &amp;quot;2002-07-29 00:00:00 XLE -300 @ 22.5300006866455&amp;quot;&#10;## [1] &amp;quot;2002-08-02 00:00:00 XLE 300 @ 21&amp;quot;&#10;## [1] &amp;quot;2002-08-02 00:00:00 XLE 300 @ 21&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLE -300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLE -300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2002-08-21 00:00:00 XLE 300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2002-08-21 00:00:00 XLE 300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2002-08-23 00:00:00 XLE -300 @ 23.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-08-23 00:00:00 XLE -300 @ 23.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-08-29 00:00:00 XLE 300 @ 22.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-08-29 00:00:00 XLE 300 @ 22.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-09-09 00:00:00 XLE -300 @ 22.3199996948242&amp;quot;&#10;## [1] &amp;quot;2002-09-09 00:00:00 XLE -300 @ 22.3199996948242&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLE 300 @ 22.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLE 300 @ 22.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLE -300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLE -300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-10-07 00:00:00 XLE 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-10-07 00:00:00 XLE 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-10-14 00:00:00 XLE -300 @ 21.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-10-14 00:00:00 XLE -300 @ 21.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-10-23 00:00:00 XLE 300 @ 22.4599990844727&amp;quot;&#10;## [1] &amp;quot;2002-10-23 00:00:00 XLE 300 @ 22.4599990844727&amp;quot;&#10;## [1] &amp;quot;2002-11-04 00:00:00 XLE -300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2002-11-04 00:00:00 XLE -300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2002-11-11 00:00:00 XLE 300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-11 00:00:00 XLE 300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-18 00:00:00 XLE -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-11-18 00:00:00 XLE -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLE 300 @ 22.1700000762939&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLE 300 @ 22.1700000762939&amp;quot;&#10;## [1] &amp;quot;2002-12-02 00:00:00 XLE -300 @ 22.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-12-02 00:00:00 XLE -300 @ 22.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-12-10 00:00:00 XLE 300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2002-12-10 00:00:00 XLE 300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2002-12-13 00:00:00 XLE -300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-12-13 00:00:00 XLE -300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLE 300 @ 22.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLE 300 @ 22.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-12-24 00:00:00 XLE -300 @ 22.9300003051758&amp;quot;&#10;## [1] &amp;quot;2002-12-24 00:00:00 XLE -300 @ 22.9300003051758&amp;quot;&#10;## [1] &amp;quot;2002-12-27 00:00:00 XLE 300 @ 22.1800003051758&amp;quot;&#10;## [1] &amp;quot;2002-12-27 00:00:00 XLE 300 @ 22.1800003051758&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLE -300 @ 22.7600002288818&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLE -300 @ 22.7600002288818&amp;quot;&#10;## [1] &amp;quot;2003-01-08 00:00:00 XLE 300 @ 21.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-01-08 00:00:00 XLE 300 @ 21.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLE -300 @ 22.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLE -300 @ 22.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-01-22 00:00:00 XLE 300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-01-22 00:00:00 XLE 300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-01-30 00:00:00 XLE -300 @ 21.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-01-30 00:00:00 XLE -300 @ 21.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-02-10 00:00:00 XLE 300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-02-10 00:00:00 XLE 300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-02-19 00:00:00 XLE -300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-02-19 00:00:00 XLE -300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-03-11 00:00:00 XLE 300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-03-11 00:00:00 XLE 300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-03-18 00:00:00 XLE -300 @ 22.5&amp;quot;&#10;## [1] &amp;quot;2003-03-18 00:00:00 XLE -300 @ 22.5&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLE 300 @ 22.25&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLE 300 @ 22.25&amp;quot;&#10;## [1] &amp;quot;2003-03-28 00:00:00 XLE -300 @ 22.6800003051758&amp;quot;&#10;## [1] &amp;quot;2003-03-28 00:00:00 XLE -300 @ 22.6800003051758&amp;quot;&#10;## [1] &amp;quot;2003-04-04 00:00:00 XLE 300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2003-04-04 00:00:00 XLE 300 @ 22.3899993896484&amp;quot;&#10;## [1] &amp;quot;2003-04-11 00:00:00 XLE -300 @ 22.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-04-11 00:00:00 XLE -300 @ 22.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-04-17 00:00:00 XLE 300 @ 22.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-04-17 00:00:00 XLE 300 @ 22.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-04-21 00:00:00 XLE -300 @ 22.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-04-21 00:00:00 XLE -300 @ 22.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLE 300 @ 22.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLE 300 @ 22.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-05-05 00:00:00 XLE -300 @ 22.7299995422363&amp;quot;&#10;## [1] &amp;quot;2003-05-05 00:00:00 XLE -300 @ 22.7299995422363&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLE 300 @ 23.2600002288818&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLE 300 @ 23.2600002288818&amp;quot;&#10;## [1] &amp;quot;2003-05-22 00:00:00 XLE -300 @ 23.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-05-22 00:00:00 XLE -300 @ 23.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLE 300 @ 24.8799991607666&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLE 300 @ 24.8799991607666&amp;quot;&#10;## [1] &amp;quot;2003-06-11 00:00:00 XLE -300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-06-11 00:00:00 XLE -300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLE 300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLE 300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-07-10 00:00:00 XLE -300 @ 23.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-10 00:00:00 XLE -300 @ 23.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLE 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLE 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-21 00:00:00 XLE -300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-07-21 00:00:00 XLE -300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2003-07-24 00:00:00 XLE 300 @ 23.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-07-24 00:00:00 XLE 300 @ 23.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-08-07 00:00:00 XLE -300 @ 23.7800006866455&amp;quot;&#10;## [1] &amp;quot;2003-08-07 00:00:00 XLE -300 @ 23.7800006866455&amp;quot;&#10;## [1] &amp;quot;2003-08-20 00:00:00 XLE 300 @ 24.2800006866455&amp;quot;&#10;## [1] &amp;quot;2003-08-20 00:00:00 XLE 300 @ 24.2800006866455&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLE -300 @ 24.5100002288818&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLE -300 @ 24.5100002288818&amp;quot;&#10;## [1] &amp;quot;2003-08-25 00:00:00 XLE 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2003-08-25 00:00:00 XLE 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2003-08-28 00:00:00 XLE -300 @ 24.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-08-28 00:00:00 XLE -300 @ 24.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-09-08 00:00:00 XLE 300 @ 25.0400009155273&amp;quot;&#10;## [1] &amp;quot;2003-09-08 00:00:00 XLE 300 @ 25.0400009155273&amp;quot;&#10;## [1] &amp;quot;2003-09-09 00:00:00 XLE -300 @ 24.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-09-09 00:00:00 XLE -300 @ 24.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLE 300 @ 24.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLE 300 @ 24.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-09-25 00:00:00 XLE -300 @ 24.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-09-25 00:00:00 XLE -300 @ 24.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-09-29 00:00:00 XLE 300 @ 24.0499992370605&amp;quot;&#10;## [1] &amp;quot;2003-09-29 00:00:00 XLE 300 @ 24.0499992370605&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLE -300 @ 24.5599994659424&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLE -300 @ 24.5599994659424&amp;quot;&#10;## [1] &amp;quot;2003-10-10 00:00:00 XLE 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-10-10 00:00:00 XLE 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-10-13 00:00:00 XLE -300 @ 25&amp;quot;&#10;## [1] &amp;quot;2003-10-13 00:00:00 XLE -300 @ 25&amp;quot;&#10;## [1] &amp;quot;2003-10-16 00:00:00 XLE 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-10-16 00:00:00 XLE 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-11-10 00:00:00 XLE -300 @ 24.1700000762939&amp;quot;&#10;## [1] &amp;quot;2003-11-10 00:00:00 XLE -300 @ 24.1700000762939&amp;quot;&#10;## [1] &amp;quot;2003-11-18 00:00:00 XLE 300 @ 24.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-11-18 00:00:00 XLE 300 @ 24.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-11-26 00:00:00 XLE -300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2003-11-26 00:00:00 XLE -300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2004-01-16 00:00:00 XLE 300 @ 27.7800006866455&amp;quot;&#10;## [1] &amp;quot;2004-01-16 00:00:00 XLE 300 @ 27.7800006866455&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLE -300 @ 28.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLE -300 @ 28.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLE 300 @ 28.4400005340576&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLE 300 @ 28.4400005340576&amp;quot;&#10;## [1] &amp;quot;2004-02-10 00:00:00 XLE -300 @ 28.6800003051758&amp;quot;&#10;## [1] &amp;quot;2004-02-10 00:00:00 XLE -300 @ 28.6800003051758&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLE 300 @ 29.2199993133545&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLE 300 @ 29.2199993133545&amp;quot;&#10;## [1] &amp;quot;2004-02-24 00:00:00 XLE -300 @ 29.2700004577637&amp;quot;&#10;## [1] &amp;quot;2004-02-24 00:00:00 XLE -300 @ 29.2700004577637&amp;quot;&#10;## [1] &amp;quot;2004-03-11 00:00:00 XLE 300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-03-11 00:00:00 XLE 300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLE -300 @ 30.0200004577637&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLE -300 @ 30.0200004577637&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLE 300 @ 29&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLE 300 @ 29&amp;quot;&#10;## [1] &amp;quot;2004-03-31 00:00:00 XLE -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2004-03-31 00:00:00 XLE -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2004-04-21 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-04-21 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-04-30 00:00:00 XLE 300 @ 29.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-04-30 00:00:00 XLE 300 @ 29.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-05-04 00:00:00 XLE -300 @ 30.5499992370605&amp;quot;&#10;## [1] &amp;quot;2004-05-04 00:00:00 XLE -300 @ 30.5499992370605&amp;quot;&#10;## [1] &amp;quot;2004-05-10 00:00:00 XLE 300 @ 28.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-05-10 00:00:00 XLE 300 @ 28.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-05-17 00:00:00 XLE -300 @ 29.8500003814697&amp;quot;&#10;## [1] &amp;quot;2004-05-17 00:00:00 XLE -300 @ 29.8500003814697&amp;quot;&#10;## [1] &amp;quot;2004-05-19 00:00:00 XLE 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2004-05-19 00:00:00 XLE 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2004-05-25 00:00:00 XLE -300 @ 30.2700004577637&amp;quot;&#10;## [1] &amp;quot;2004-05-25 00:00:00 XLE -300 @ 30.2700004577637&amp;quot;&#10;## [1] &amp;quot;2004-05-28 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-05-28 00:00:00 XLE 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2004-06-02 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-06-02 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLE 300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLE 300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLE -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-06-10 00:00:00 XLE 300 @ 30.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-06-10 00:00:00 XLE 300 @ 30.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-06-14 00:00:00 XLE -300 @ 30.0100002288818&amp;quot;&#10;## [1] &amp;quot;2004-06-14 00:00:00 XLE -300 @ 30.0100002288818&amp;quot;&#10;## [1] &amp;quot;2004-06-29 00:00:00 XLE 300 @ 31.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-06-29 00:00:00 XLE 300 @ 31.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-07-01 00:00:00 XLE -300 @ 31.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-07-01 00:00:00 XLE -300 @ 31.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLE 300 @ 32.0499992370605&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLE 300 @ 32.0499992370605&amp;quot;&#10;## [1] &amp;quot;2004-07-15 00:00:00 XLE -300 @ 32.2599983215332&amp;quot;&#10;## [1] &amp;quot;2004-07-15 00:00:00 XLE -300 @ 32.2599983215332&amp;quot;&#10;## [1] &amp;quot;2004-07-22 00:00:00 XLE 300 @ 31.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-07-22 00:00:00 XLE 300 @ 31.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-07-29 00:00:00 XLE -300 @ 32.3300018310547&amp;quot;&#10;## [1] &amp;quot;2004-07-29 00:00:00 XLE -300 @ 32.3300018310547&amp;quot;&#10;## [1] &amp;quot;2004-08-05 00:00:00 XLE 300 @ 31.5599994659424&amp;quot;&#10;## [1] &amp;quot;2004-08-05 00:00:00 XLE 300 @ 31.5599994659424&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLE -300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLE -300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-18 00:00:00 XLE 300 @ 31&amp;quot;&#10;## [1] &amp;quot;2004-08-18 00:00:00 XLE 300 @ 31&amp;quot;&#10;## [1] &amp;quot;2004-08-23 00:00:00 XLE -300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2004-08-23 00:00:00 XLE -300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2004-08-25 00:00:00 XLE 300 @ 31.1499996185303&amp;quot;&#10;## [1] &amp;quot;2004-08-25 00:00:00 XLE 300 @ 31.1499996185303&amp;quot;&#10;## [1] &amp;quot;2004-08-27 00:00:00 XLE -300 @ 31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-08-27 00:00:00 XLE -300 @ 31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-10-12 00:00:00 XLE 300 @ 35.4700012207031&amp;quot;&#10;## [1] &amp;quot;2004-10-12 00:00:00 XLE 300 @ 35.4700012207031&amp;quot;&#10;## [1] &amp;quot;2004-10-21 00:00:00 XLE -300 @ 35.5499992370605&amp;quot;&#10;## [1] &amp;quot;2004-10-21 00:00:00 XLE -300 @ 35.5499992370605&amp;quot;&#10;## [1] &amp;quot;2004-10-28 00:00:00 XLE 300 @ 34.6599998474121&amp;quot;&#10;## [1] &amp;quot;2004-10-28 00:00:00 XLE 300 @ 34.6599998474121&amp;quot;&#10;## [1] &amp;quot;2004-11-05 00:00:00 XLE -300 @ 35.7299995422363&amp;quot;&#10;## [1] &amp;quot;2004-11-05 00:00:00 XLE -300 @ 35.7299995422363&amp;quot;&#10;## [1] 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36.1199989318848&amp;quot;&#10;## [1] &amp;quot;2004-12-28 00:00:00 XLE 300 @ 36.1199989318848&amp;quot;&#10;## [1] &amp;quot;2005-01-12 00:00:00 XLE -300 @ 35.9000015258789&amp;quot;&#10;## [1] &amp;quot;2005-01-12 00:00:00 XLE -300 @ 35.9000015258789&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLE 300 @ 36.4000015258789&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLE 300 @ 36.4000015258789&amp;quot;&#10;## [1] &amp;quot;2005-01-25 00:00:00 XLE -300 @ 36.8699989318848&amp;quot;&#10;## [1] &amp;quot;2005-01-25 00:00:00 XLE -300 @ 36.8699989318848&amp;quot;&#10;## [1] &amp;quot;2005-03-02 00:00:00 XLE 300 @ 43.6300010681152&amp;quot;&#10;## [1] &amp;quot;2005-03-02 00:00:00 XLE 300 @ 43.6300010681152&amp;quot;&#10;## [1] &amp;quot;2005-03-04 00:00:00 XLE -300 @ 44.9199981689453&amp;quot;&#10;## [1] &amp;quot;2005-03-04 00:00:00 XLE -300 @ 44.9199981689453&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLE 300 @ 42.4500007629395&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLE 300 @ 42.4500007629395&amp;quot;&#10;## [1] &amp;quot;2005-03-18 00:00:00 XLE -300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2005-03-18 00:00:00 XLE -300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2005-03-23 00:00:00 XLE 300 @ 42.060001373291&amp;quot;&#10;## [1] &amp;quot;2005-03-23 00:00:00 XLE 300 @ 42.060001373291&amp;quot;&#10;## [1] &amp;quot;2005-04-01 00:00:00 XLE -300 @ 43.9300003051758&amp;quot;&#10;## [1] &amp;quot;2005-04-01 00:00:00 XLE -300 @ 43.9300003051758&amp;quot;&#10;## [1] &amp;quot;2005-04-11 00:00:00 XLE 300 @ 43.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-04-11 00:00:00 XLE 300 @ 43.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-04-20 00:00:00 XLE -300 @ 40.5499992370605&amp;quot;&#10;## [1] &amp;quot;2005-04-20 00:00:00 XLE -300 @ 40.5499992370605&amp;quot;&#10;## [1] &amp;quot;2005-04-28 00:00:00 XLE 300 @ 40.0299987792969&amp;quot;&#10;## [1] &amp;quot;2005-04-28 00:00:00 XLE 300 @ 40.0299987792969&amp;quot;&#10;## [1] 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46.7999992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-05 00:00:00 XLE -300 @ 46.7999992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-15 00:00:00 XLE 300 @ 45.3699989318848&amp;quot;&#10;## [1] &amp;quot;2005-07-15 00:00:00 XLE 300 @ 45.3699989318848&amp;quot;&#10;## [1] &amp;quot;2005-07-20 00:00:00 XLE -300 @ 46.2000007629395&amp;quot;&#10;## [1] &amp;quot;2005-07-20 00:00:00 XLE -300 @ 46.2000007629395&amp;quot;&#10;## [1] &amp;quot;2005-08-01 00:00:00 XLE 300 @ 48.0999984741211&amp;quot;&#10;## [1] &amp;quot;2005-08-01 00:00:00 XLE 300 @ 48.0999984741211&amp;quot;&#10;## [1] &amp;quot;2005-08-03 00:00:00 XLE -300 @ 48.6599998474121&amp;quot;&#10;## [1] &amp;quot;2005-08-03 00:00:00 XLE -300 @ 48.6599998474121&amp;quot;&#10;## [1] &amp;quot;2005-08-08 00:00:00 XLE 300 @ 49.0900001525879&amp;quot;&#10;## [1] &amp;quot;2005-08-08 00:00:00 XLE 300 @ 49.0900001525879&amp;quot;&#10;## [1] &amp;quot;2005-08-09 00:00:00 XLE -300 @ 48.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-08-09 00:00:00 XLE -300 @ 48.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLE 300 @ 47.4700012207031&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLE 300 @ 47.4700012207031&amp;quot;&#10;## [1] &amp;quot;2005-08-25 00:00:00 XLE -300 @ 48.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-08-25 00:00:00 XLE -300 @ 48.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-08-29 00:00:00 XLE 300 @ 48.3800010681152&amp;quot;&#10;## [1] &amp;quot;2005-08-29 00:00:00 XLE 300 @ 48.3800010681152&amp;quot;&#10;## [1] &amp;quot;2005-08-31 00:00:00 XLE -300 @ 50.6399993896484&amp;quot;&#10;## [1] &amp;quot;2005-08-31 00:00:00 XLE -300 @ 50.6399993896484&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLE 300 @ 51.9199981689453&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLE 300 @ 51.9199981689453&amp;quot;&#10;## [1] &amp;quot;2005-09-19 00:00:00 XLE -300 @ 53.6599998474121&amp;quot;&#10;## [1] &amp;quot;2005-09-19 00:00:00 XLE -300 @ 53.6599998474121&amp;quot;&#10;## [1] 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49.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-11-08 00:00:00 XLE 300 @ 49.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-11-17 00:00:00 XLE -300 @ 49.0200004577637&amp;quot;&#10;## [1] &amp;quot;2005-11-17 00:00:00 XLE -300 @ 49.0200004577637&amp;quot;&#10;## [1] &amp;quot;2005-11-29 00:00:00 XLE 300 @ 49.3600006103516&amp;quot;&#10;## [1] &amp;quot;2005-11-29 00:00:00 XLE 300 @ 49.3600006103516&amp;quot;&#10;## [1] &amp;quot;2005-12-02 00:00:00 XLE -300 @ 51.1699981689453&amp;quot;&#10;## [1] &amp;quot;2005-12-02 00:00:00 XLE -300 @ 51.1699981689453&amp;quot;&#10;## [1] &amp;quot;2005-12-19 00:00:00 XLE 300 @ 50.6500015258789&amp;quot;&#10;## [1] &amp;quot;2005-12-19 00:00:00 XLE 300 @ 50.6500015258789&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLE -300 @ 52.8499984741211&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLE -300 @ 52.8499984741211&amp;quot;&#10;## [1] &amp;quot;2006-01-26 00:00:00 XLE 300 @ 55.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-01-26 00:00:00 XLE 300 @ 55.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-01-30 00:00:00 XLE -300 @ 57.9500007629395&amp;quot;&#10;## [1] &amp;quot;2006-01-30 00:00:00 XLE -300 @ 57.9500007629395&amp;quot;&#10;## [1] &amp;quot;2006-02-02 00:00:00 XLE 300 @ 55.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-02-02 00:00:00 XLE 300 @ 55.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-02-17 00:00:00 XLE -300 @ 53.0099983215332&amp;quot;&#10;## [1] &amp;quot;2006-02-17 00:00:00 XLE -300 @ 53.0099983215332&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLE 300 @ 52.3400001525879&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLE 300 @ 52.3400001525879&amp;quot;&#10;## [1] &amp;quot;2006-03-03 00:00:00 XLE -300 @ 54.1300010681152&amp;quot;&#10;## [1] &amp;quot;2006-03-03 00:00:00 XLE -300 @ 54.1300010681152&amp;quot;&#10;## [1] &amp;quot;2006-03-07 00:00:00 XLE 300 @ 51.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-03-07 00:00:00 XLE 300 @ 51.4799995422363&amp;quot;&#10;## [1] 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00:00:00 XLE -300 @ 53.0999984741211&amp;quot;&#10;## [1] &amp;quot;2006-06-20 00:00:00 XLE 300 @ 50.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-06-20 00:00:00 XLE 300 @ 50.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-06-23 00:00:00 XLE -300 @ 53.3800010681152&amp;quot;&#10;## [1] &amp;quot;2006-06-23 00:00:00 XLE -300 @ 53.3800010681152&amp;quot;&#10;## [1] &amp;quot;2006-07-10 00:00:00 XLE 300 @ 56.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-07-10 00:00:00 XLE 300 @ 56.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-07-12 00:00:00 XLE -300 @ 57.7000007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-12 00:00:00 XLE -300 @ 57.7000007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-14 00:00:00 XLE 300 @ 57.8199996948242&amp;quot;&#10;## [1] &amp;quot;2006-07-14 00:00:00 XLE 300 @ 57.8199996948242&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLE -300 @ 58.25&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLE -300 @ 58.25&amp;quot;&#10;## [1] &amp;quot;2006-08-04 00:00:00 XLE 300 @ 57.8400001525879&amp;quot;&#10;## [1] &amp;quot;2006-08-04 00:00:00 XLE 300 @ 57.8400001525879&amp;quot;&#10;## [1] &amp;quot;2006-08-10 00:00:00 XLE -300 @ 58.1199989318848&amp;quot;&#10;## [1] &amp;quot;2006-08-10 00:00:00 XLE -300 @ 58.1199989318848&amp;quot;&#10;## [1] &amp;quot;2006-08-15 00:00:00 XLE 300 @ 57.2400016784668&amp;quot;&#10;## [1] &amp;quot;2006-08-15 00:00:00 XLE 300 @ 57.2400016784668&amp;quot;&#10;## [1] &amp;quot;2006-08-21 00:00:00 XLE -300 @ 57.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-08-21 00:00:00 XLE -300 @ 57.8600006103516&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLE 300 @ 57.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLE 300 @ 57.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-08-28 00:00:00 XLE -300 @ 57.3800010681152&amp;quot;&#10;## [1] &amp;quot;2006-08-28 00:00:00 XLE -300 @ 57.3800010681152&amp;quot;&#10;## [1] &amp;quot;2006-08-30 00:00:00 XLE 300 @ 56.060001373291&amp;quot;&#10;## [1] &amp;quot;2006-08-30 00:00:00 XLE 300 @ 56.060001373291&amp;quot;&#10;## [1] &amp;quot;2006-09-06 00:00:00 XLE -300 @ 55.2999992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-06 00:00:00 XLE -300 @ 55.2999992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-07 00:00:00 XLE 300 @ 55.3499984741211&amp;quot;&#10;## [1] &amp;quot;2006-09-07 00:00:00 XLE 300 @ 55.3499984741211&amp;quot;&#10;## [1] &amp;quot;2006-09-19 00:00:00 XLE -300 @ 52.2999992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-19 00:00:00 XLE -300 @ 52.2999992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-21 00:00:00 XLE 300 @ 51.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-21 00:00:00 XLE 300 @ 51.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-09-27 00:00:00 XLE -300 @ 53.4000015258789&amp;quot;&#10;## [1] &amp;quot;2006-09-27 00:00:00 XLE -300 @ 53.4000015258789&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLE 300 @ 51.6500015258789&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLE 300 @ 51.6500015258789&amp;quot;&#10;## [1] &amp;quot;2006-10-06 00:00:00 XLE -300 @ 52.689998626709&amp;quot;&#10;## [1] &amp;quot;2006-10-06 00:00:00 XLE -300 @ 52.689998626709&amp;quot;&#10;## [1] &amp;quot;2006-10-10 00:00:00 XLE 300 @ 52.8699989318848&amp;quot;&#10;## [1] &amp;quot;2006-10-10 00:00:00 XLE 300 @ 52.8699989318848&amp;quot;&#10;## [1] &amp;quot;2006-10-11 00:00:00 XLE -300 @ 52.0299987792969&amp;quot;&#10;## [1] &amp;quot;2006-10-11 00:00:00 XLE -300 @ 52.0299987792969&amp;quot;&#10;## [1] &amp;quot;2006-10-31 00:00:00 XLE 300 @ 55.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-10-31 00:00:00 XLE 300 @ 55.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-11-06 00:00:00 XLE -300 @ 57.0099983215332&amp;quot;&#10;## [1] &amp;quot;2006-11-06 00:00:00 XLE -300 @ 57.0099983215332&amp;quot;&#10;## [1] &amp;quot;2006-11-17 00:00:00 XLE 300 @ 57.0999984741211&amp;quot;&#10;## [1] &amp;quot;2006-11-17 00:00:00 XLE 300 @ 57.0999984741211&amp;quot;&#10;## [1] &amp;quot;2006-11-22 00:00:00 XLE -300 @ 57.6599998474121&amp;quot;&#10;## [1] &amp;quot;2006-11-22 00:00:00 XLE -300 @ 57.6599998474121&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLE 300 @ 58.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLE 300 @ 58.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-11-29 00:00:00 XLE -300 @ 60.0499992370605&amp;quot;&#10;## [1] &amp;quot;2006-11-29 00:00:00 XLE -300 @ 60.0499992370605&amp;quot;&#10;## [1] &amp;quot;2006-12-08 00:00:00 XLE 300 @ 60.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-12-08 00:00:00 XLE 300 @ 60.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-12-14 00:00:00 XLE -300 @ 61.75&amp;quot;&#10;## [1] &amp;quot;2006-12-14 00:00:00 XLE -300 @ 61.75&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLE 300 @ 60.2599983215332&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLE 300 @ 60.2599983215332&amp;quot;&#10;## [1] &amp;quot;2006-12-28 00:00:00 XLE -300 @ 59.2200012207031&amp;quot;&#10;## [1] &amp;quot;2006-12-28 00:00:00 XLE -300 @ 59.2200012207031&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLE 300 @ 56.5800018310547&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLE 300 @ 56.5800018310547&amp;quot;&#10;## [1] &amp;quot;2007-01-16 00:00:00 XLE -300 @ 54.8699989318848&amp;quot;&#10;## [1] &amp;quot;2007-01-16 00:00:00 XLE -300 @ 54.8699989318848&amp;quot;&#10;## [1] &amp;quot;2007-01-30 00:00:00 XLE 300 @ 57.7200012207031&amp;quot;&#10;## [1] &amp;quot;2007-01-30 00:00:00 XLE 300 @ 57.7200012207031&amp;quot;&#10;## [1] &amp;quot;2007-01-31 00:00:00 XLE -300 @ 58.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-01-31 00:00:00 XLE -300 @ 58.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-02-08 00:00:00 XLE 300 @ 58.6300010681152&amp;quot;&#10;## [1] &amp;quot;2007-02-08 00:00:00 XLE 300 @ 58.6300010681152&amp;quot;&#10;## [1] &amp;quot;2007-02-09 00:00:00 XLE -300 @ 58.3899993896484&amp;quot;&#10;## [1] &amp;quot;2007-02-09 00:00:00 XLE -300 @ 58.3899993896484&amp;quot;&#10;## [1] &amp;quot;2007-02-13 00:00:00 XLE 300 @ 58.4199981689453&amp;quot;&#10;## [1] &amp;quot;2007-02-13 00:00:00 XLE 300 @ 58.4199981689453&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLE -300 @ 58.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLE -300 @ 58.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-02-28 00:00:00 XLE 300 @ 56.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-02-28 00:00:00 XLE 300 @ 56.9000015258789&amp;quot;&#10;## [1] &amp;quot;2007-03-08 00:00:00 XLE -300 @ 57.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-03-08 00:00:00 XLE -300 @ 57.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLE 300 @ 57.2000007629395&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLE 300 @ 57.2000007629395&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 XLE -300 @ 58.7400016784668&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 XLE -300 @ 58.7400016784668&amp;quot;&#10;## [1] &amp;quot;2007-04-02 00:00:00 XLE 300 @ 60.8699989318848&amp;quot;&#10;## [1] &amp;quot;2007-04-02 00:00:00 XLE 300 @ 60.8699989318848&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLE -300 @ 61.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLE -300 @ 61.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-04-19 00:00:00 XLE 300 @ 61.9599990844727&amp;quot;&#10;## [1] &amp;quot;2007-04-19 00:00:00 XLE 300 @ 61.9599990844727&amp;quot;&#10;## [1] &amp;quot;2007-04-24 00:00:00 XLE -300 @ 62.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-04-24 00:00:00 XLE -300 @ 62.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLE 300 @ 63.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLE 300 @ 63.6500015258789&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLE -300 @ 64.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLE -300 @ 64.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLE 300 @ 65.2099990844727&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLE 300 @ 65.2099990844727&amp;quot;&#10;## [1] &amp;quot;2007-05-14 00:00:00 XLE -300 @ 65.2300033569336&amp;quot;&#10;## [1] &amp;quot;2007-05-14 00:00:00 XLE -300 @ 65.2300033569336&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLE 300 @ 67.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLE 300 @ 67.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-05-31 00:00:00 XLE -300 @ 68.3000030517578&amp;quot;&#10;## [1] &amp;quot;2007-05-31 00:00:00 XLE -300 @ 68.3000030517578&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLE 300 @ 67.6399993896484&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLE 300 @ 67.6399993896484&amp;quot;&#10;## [1] &amp;quot;2007-06-14 00:00:00 XLE -300 @ 70.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-06-14 00:00:00 XLE -300 @ 70.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLE 300 @ 70.4499969482422&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLE 300 @ 70.4499969482422&amp;quot;&#10;## [1] &amp;quot;2007-07-03 00:00:00 XLE -300 @ 70.75&amp;quot;&#10;## [1] &amp;quot;2007-07-03 00:00:00 XLE -300 @ 70.75&amp;quot;&#10;## [1] &amp;quot;2007-07-18 00:00:00 XLE 300 @ 73.6800003051758&amp;quot;&#10;## [1] &amp;quot;2007-07-18 00:00:00 XLE 300 @ 73.6800003051758&amp;quot;&#10;## [1] &amp;quot;2007-07-19 00:00:00 XLE -300 @ 74.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-07-19 00:00:00 XLE -300 @ 74.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-07-25 00:00:00 XLE 300 @ 73.3000030517578&amp;quot;&#10;## [1] &amp;quot;2007-07-25 00:00:00 XLE 300 @ 73.3000030517578&amp;quot;&#10;## [1] &amp;quot;2007-08-08 00:00:00 XLE -300 @ 69.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-08 00:00:00 XLE -300 @ 69.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-15 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2007-08-15 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 XLE -300 @ 67.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-20 00:00:00 XLE -300 @ 67.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLE 300 @ 68.9599990844727&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLE 300 @ 68.9599990844727&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 XLE -300 @ 71.0999984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-04 00:00:00 XLE -300 @ 71.0999984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-11 00:00:00 XLE 300 @ 71.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-11 00:00:00 XLE 300 @ 71.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-12 00:00:00 XLE -300 @ 71.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-12 00:00:00 XLE -300 @ 71.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-09-26 00:00:00 XLE 300 @ 74.5299987792969&amp;quot;&#10;## [1] &amp;quot;2007-09-26 00:00:00 XLE 300 @ 74.5299987792969&amp;quot;&#10;## [1] &amp;quot;2007-09-28 00:00:00 XLE -300 @ 74.8000030517578&amp;quot;&#10;## [1] &amp;quot;2007-09-28 00:00:00 XLE -300 @ 74.8000030517578&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLE 300 @ 74.75&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLE 300 @ 74.75&amp;quot;&#10;## [1] &amp;quot;2007-10-10 00:00:00 XLE -300 @ 76.8300018310547&amp;quot;&#10;## [1] &amp;quot;2007-10-10 00:00:00 XLE -300 @ 76.8300018310547&amp;quot;&#10;## [1] &amp;quot;2007-10-22 00:00:00 XLE 300 @ 73.5500030517578&amp;quot;&#10;## [1] &amp;quot;2007-10-22 00:00:00 XLE 300 @ 73.5500030517578&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLE -300 @ 76.9499969482422&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLE -300 @ 76.9499969482422&amp;quot;&#10;## [1] &amp;quot;2007-10-31 00:00:00 XLE 300 @ 76.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-10-31 00:00:00 XLE 300 @ 76.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLE -300 @ 74.5500030517578&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLE -300 @ 74.5500030517578&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLE 300 @ 75.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLE 300 @ 75.8499984741211&amp;quot;&#10;## [1] &amp;quot;2007-11-21 00:00:00 XLE -300 @ 72.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-11-21 00:00:00 XLE -300 @ 72.1500015258789&amp;quot;&#10;## [1] &amp;quot;2007-11-27 00:00:00 XLE 300 @ 70.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-11-27 00:00:00 XLE 300 @ 70.6999969482422&amp;quot;&#10;## [1] &amp;quot;2007-11-30 00:00:00 XLE -300 @ 73.4700012207031&amp;quot;&#10;## [1] &amp;quot;2007-11-30 00:00:00 XLE -300 @ 73.4700012207031&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLE 300 @ 77.5&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLE 300 @ 77.5&amp;quot;&#10;## [1] &amp;quot;2007-12-13 00:00:00 XLE -300 @ 77.6900024414062&amp;quot;&#10;## [1] &amp;quot;2007-12-13 00:00:00 XLE -300 @ 77.6900024414062&amp;quot;&#10;## [1] &amp;quot;2007-12-18 00:00:00 XLE 300 @ 75.8000030517578&amp;quot;&#10;## [1] &amp;quot;2007-12-18 00:00:00 XLE 300 @ 75.8000030517578&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLE -300 @ 79.3000030517578&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLE -300 @ 79.3000030517578&amp;quot;&#10;## [1] &amp;quot;2008-01-07 00:00:00 XLE 300 @ 77.1999969482422&amp;quot;&#10;## [1] &amp;quot;2008-01-07 00:00:00 XLE 300 @ 77.1999969482422&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 XLE -300 @ 73.9100036621094&amp;quot;&#10;## [1] &amp;quot;2008-01-15 00:00:00 XLE -300 @ 73.9100036621094&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 XLE 300 @ 71.4499969482422&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 XLE 300 @ 71.4499969482422&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2008-01-25 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLE 300 @ 67.5100021362305&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLE 300 @ 67.5100021362305&amp;quot;&#10;## [1] &amp;quot;2008-02-11 00:00:00 XLE -300 @ 71.6500015258789&amp;quot;&#10;## [1] &amp;quot;2008-02-11 00:00:00 XLE -300 @ 71.6500015258789&amp;quot;&#10;## [1] &amp;quot;2008-03-03 00:00:00 XLE 300 @ 77&amp;quot;&#10;## [1] &amp;quot;2008-03-03 00:00:00 XLE 300 @ 77&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLE -300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLE -300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-03-18 00:00:00 XLE 300 @ 75.3000030517578&amp;quot;&#10;## [1] &amp;quot;2008-03-18 00:00:00 XLE 300 @ 75.3000030517578&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 XLE -300 @ 73.5999984741211&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 XLE -300 @ 73.5999984741211&amp;quot;&#10;## [1] &amp;quot;2008-04-14 00:00:00 XLE 300 @ 79.2799987792969&amp;quot;&#10;## [1] &amp;quot;2008-04-14 00:00:00 XLE 300 @ 79.2799987792969&amp;quot;&#10;## [1] &amp;quot;2008-04-15 00:00:00 XLE -300 @ 79.6999969482422&amp;quot;&#10;## [1] &amp;quot;2008-04-15 00:00:00 XLE -300 @ 79.6999969482422&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLE 300 @ 82.879997253418&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLE 300 @ 82.879997253418&amp;quot;&#10;## [1] &amp;quot;2008-05-06 00:00:00 XLE -300 @ 84.8399963378906&amp;quot;&#10;## [1] &amp;quot;2008-05-06 00:00:00 XLE -300 @ 84.8399963378906&amp;quot;&#10;## [1] &amp;quot;2008-05-23 00:00:00 XLE 300 @ 86.2600021362305&amp;quot;&#10;## [1] &amp;quot;2008-05-23 00:00:00 XLE 300 @ 86.2600021362305&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLE -300 @ 86.0199966430664&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLE -300 @ 86.0199966430664&amp;quot;&#10;## [1] &amp;quot;2008-06-13 00:00:00 XLE 300 @ 86.5999984741211&amp;quot;&#10;## [1] &amp;quot;2008-06-13 00:00:00 XLE 300 @ 86.5999984741211&amp;quot;&#10;## [1] &amp;quot;2008-06-18 00:00:00 XLE -300 @ 88.6900024414062&amp;quot;&#10;## [1] &amp;quot;2008-06-18 00:00:00 XLE -300 @ 88.6900024414062&amp;quot;&#10;## [1] &amp;quot;2008-06-20 00:00:00 XLE 300 @ 85.75&amp;quot;&#10;## [1] &amp;quot;2008-06-20 00:00:00 XLE 300 @ 85.75&amp;quot;&#10;## [1] &amp;quot;2008-06-24 00:00:00 XLE -300 @ 87.4499969482422&amp;quot;&#10;## [1] &amp;quot;2008-06-24 00:00:00 XLE -300 @ 87.4499969482422&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 XLE 300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 XLE 300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 XLE -300 @ 88.8499984741211&amp;quot;&#10;## [1] &amp;quot;2008-07-01 00:00:00 XLE -300 @ 88.8499984741211&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 XLE 300 @ 84.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-07-03 00:00:00 XLE 300 @ 84.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-07-22 00:00:00 XLE -300 @ 76.5699996948242&amp;quot;&#10;## [1] &amp;quot;2008-07-22 00:00:00 XLE -300 @ 76.5699996948242&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 XLE 300 @ 73.6100006103516&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 XLE 300 @ 73.6100006103516&amp;quot;&#10;## [1] &amp;quot;2008-07-31 00:00:00 XLE -300 @ 74.4000015258789&amp;quot;&#10;## [1] &amp;quot;2008-07-31 00:00:00 XLE -300 @ 74.4000015258789&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 XLE 300 @ 71.4199981689453&amp;quot;&#10;## [1] &amp;quot;2008-08-05 00:00:00 XLE 300 @ 71.4199981689453&amp;quot;&#10;## [1] &amp;quot;2008-08-14 00:00:00 XLE -300 @ 72.1500015258789&amp;quot;&#10;## [1] &amp;quot;2008-08-14 00:00:00 XLE -300 @ 72.1500015258789&amp;quot;&#10;## [1] &amp;quot;2008-08-18 00:00:00 XLE 300 @ 69.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-08-18 00:00:00 XLE 300 @ 69.9000015258789&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 XLE -300 @ 74.5&amp;quot;&#10;## [1] &amp;quot;2008-08-20 00:00:00 XLE -300 @ 74.5&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 XLE 300 @ 70.2799987792969&amp;quot;&#10;## [1] &amp;quot;2008-09-03 00:00:00 XLE 300 @ 70.2799987792969&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLE -300 @ 63.6500015258789&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLE -300 @ 63.6500015258789&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLE 300 @ 66.3399963378906&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLE 300 @ 66.3399963378906&amp;quot;&#10;## [1] &amp;quot;2008-09-22 00:00:00 XLE -300 @ 70&amp;quot;&#10;## [1] &amp;quot;2008-09-22 00:00:00 XLE -300 @ 70&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLE 300 @ 63.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLE 300 @ 63.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-15 00:00:00 XLE -300 @ 43.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-15 00:00:00 XLE -300 @ 43.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLE 300 @ 44.9500007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLE 300 @ 44.9500007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLE -300 @ 48.9599990844727&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLE -300 @ 48.9599990844727&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLE 300 @ 46.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLE 300 @ 46.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLE -300 @ 48.1300010681152&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLE -300 @ 48.1300010681152&amp;quot;&#10;## [1] &amp;quot;2008-11-07 00:00:00 XLE 300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2008-11-07 00:00:00 XLE 300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLE -300 @ 48.3899993896484&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLE -300 @ 48.3899993896484&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLE 300 @ 46.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLE 300 @ 46.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-12-09 00:00:00 XLE -300 @ 46.5800018310547&amp;quot;&#10;## [1] &amp;quot;2008-12-09 00:00:00 XLE -300 @ 46.5800018310547&amp;quot;&#10;## [1] &amp;quot;2008-12-19 00:00:00 XLE 300 @ 46&amp;quot;&#10;## [1] &amp;quot;2008-12-19 00:00:00 XLE 300 @ 46&amp;quot;&#10;## [1] &amp;quot;2008-12-30 00:00:00 XLE -300 @ 47.2700004577637&amp;quot;&#10;## [1] &amp;quot;2008-12-30 00:00:00 XLE -300 @ 47.2700004577637&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLE 300 @ 46.7200012207031&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLE 300 @ 46.7200012207031&amp;quot;&#10;## [1] &amp;quot;2009-01-27 00:00:00 XLE -300 @ 48.0099983215332&amp;quot;&#10;## [1] &amp;quot;2009-01-27 00:00:00 XLE -300 @ 48.0099983215332&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLE 300 @ 46.1699981689453&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLE 300 @ 46.1699981689453&amp;quot;&#10;## [1] &amp;quot;2009-02-05 00:00:00 XLE -300 @ 48.5699996948242&amp;quot;&#10;## [1] &amp;quot;2009-02-05 00:00:00 XLE -300 @ 48.5699996948242&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLE 300 @ 46.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLE 300 @ 46.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLE -300 @ 40.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLE -300 @ 40.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-03-30 00:00:00 XLE 300 @ 42.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-03-30 00:00:00 XLE 300 @ 42.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLE -300 @ 46.0200004577637&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLE -300 @ 46.0200004577637&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLE 300 @ 44.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLE 300 @ 44.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLE -300 @ 45.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLE -300 @ 45.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLE 300 @ 44.4199981689453&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLE 300 @ 44.4199981689453&amp;quot;&#10;## [1] &amp;quot;2009-04-27 00:00:00 XLE -300 @ 45.2000007629395&amp;quot;&#10;## [1] &amp;quot;2009-04-27 00:00:00 XLE -300 @ 45.2000007629395&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLE 300 @ 49.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLE 300 @ 49.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-05-20 00:00:00 XLE -300 @ 50.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-05-20 00:00:00 XLE -300 @ 50.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLE 300 @ 48.6100006103516&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLE 300 @ 48.6100006103516&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLE -300 @ 49.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLE -300 @ 49.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-06-04 00:00:00 XLE 300 @ 52.5400009155273&amp;quot;&#10;## [1] &amp;quot;2009-06-04 00:00:00 XLE 300 @ 52.5400009155273&amp;quot;&#10;## [1] &amp;quot;2009-06-11 00:00:00 XLE -300 @ 54.0299987792969&amp;quot;&#10;## [1] &amp;quot;2009-06-11 00:00:00 XLE -300 @ 54.0299987792969&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLE 300 @ 50.9799995422363&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLE 300 @ 50.9799995422363&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLE -300 @ 47.8899993896484&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLE -300 @ 47.8899993896484&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLE 300 @ 45.689998626709&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLE 300 @ 45.689998626709&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLE -300 @ 45.9599990844727&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLE -300 @ 45.9599990844727&amp;quot;&#10;## [1] &amp;quot;2009-07-30 00:00:00 XLE 300 @ 50.1300010681152&amp;quot;&#10;## [1] &amp;quot;2009-07-30 00:00:00 XLE 300 @ 50.1300010681152&amp;quot;&#10;## [1] &amp;quot;2009-08-04 00:00:00 XLE -300 @ 51.8300018310547&amp;quot;&#10;## [1] &amp;quot;2009-08-04 00:00:00 XLE -300 @ 51.8300018310547&amp;quot;&#10;## [1] &amp;quot;2009-08-07 00:00:00 XLE 300 @ 50.8300018310547&amp;quot;&#10;## [1] &amp;quot;2009-08-07 00:00:00 XLE 300 @ 50.8300018310547&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLE -300 @ 50.7099990844727&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLE -300 @ 50.7099990844727&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLE 300 @ 49.560001373291&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLE 300 @ 49.560001373291&amp;quot;&#10;## [1] &amp;quot;2009-08-20 00:00:00 XLE -300 @ 50.9099998474121&amp;quot;&#10;## [1] &amp;quot;2009-08-20 00:00:00 XLE -300 @ 50.9099998474121&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLE 300 @ 50.2799987792969&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLE 300 @ 50.2799987792969&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLE -300 @ 52.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLE -300 @ 52.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLE 300 @ 55.5699996948242&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLE 300 @ 55.5699996948242&amp;quot;&#10;## [1] &amp;quot;2009-09-23 00:00:00 XLE -300 @ 54.4099998474121&amp;quot;&#10;## [1] &amp;quot;2009-09-23 00:00:00 XLE -300 @ 54.4099998474121&amp;quot;&#10;## [1] &amp;quot;2009-09-24 00:00:00 XLE 300 @ 53.6300010681152&amp;quot;&#10;## [1] &amp;quot;2009-09-24 00:00:00 XLE 300 @ 53.6300010681152&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLE -300 @ 54.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLE -300 @ 54.7999992370605&amp;quot;&#10;## [1] &amp;quot;2009-10-26 00:00:00 XLE 300 @ 57.3400001525879&amp;quot;&#10;## [1] &amp;quot;2009-10-26 00:00:00 XLE 300 @ 57.3400001525879&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLE -300 @ 57.0800018310547&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLE -300 @ 57.0800018310547&amp;quot;&#10;## [1] &amp;quot;2009-11-13 00:00:00 XLE 300 @ 57.2700004577637&amp;quot;&#10;## [1] &amp;quot;2009-11-13 00:00:00 XLE 300 @ 57.2700004577637&amp;quot;&#10;## [1] &amp;quot;2009-11-17 00:00:00 XLE -300 @ 58.6699981689453&amp;quot;&#10;## [1] &amp;quot;2009-11-17 00:00:00 XLE -300 @ 58.6699981689453&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLE 300 @ 56.5999984741211&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLE 300 @ 56.5999984741211&amp;quot;&#10;## [1] &amp;quot;2009-11-27 00:00:00 XLE -300 @ 57.0200004577637&amp;quot;&#10;## [1] &amp;quot;2009-11-27 00:00:00 XLE -300 @ 57.0200004577637&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLE 300 @ 56.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLE 300 @ 56.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLE -300 @ 56.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLE -300 @ 56.0999984741211&amp;quot;&#10;## [1] &amp;quot;2009-12-31 00:00:00 XLE 300 @ 57.0099983215332&amp;quot;&#10;## [1] &amp;quot;2009-12-31 00:00:00 XLE 300 @ 57.0099983215332&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLE -300 @ 59.2900009155273&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLE -300 @ 59.2900009155273&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLE 300 @ 59.5699996948242&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLE 300 @ 59.5699996948242&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLE -300 @ 57.0400009155273&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLE -300 @ 57.0400009155273&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLE 300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLE 300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2010-02-12 00:00:00 XLE -300 @ 55.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-02-12 00:00:00 XLE -300 @ 55.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-02-23 00:00:00 XLE 300 @ 55.6300010681152&amp;quot;&#10;## [1] &amp;quot;2010-02-23 00:00:00 XLE 300 @ 55.6300010681152&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLE -300 @ 57.1300010681152&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLE -300 @ 57.1300010681152&amp;quot;&#10;## [1] &amp;quot;2010-03-16 00:00:00 XLE 300 @ 58.4199981689453&amp;quot;&#10;## [1] &amp;quot;2010-03-16 00:00:00 XLE 300 @ 58.4199981689453&amp;quot;&#10;## [1] &amp;quot;2010-03-18 00:00:00 XLE -300 @ 58.1800003051758&amp;quot;&#10;## [1] &amp;quot;2010-03-18 00:00:00 XLE -300 @ 58.1800003051758&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLE 300 @ 57.1300010681152&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLE 300 @ 57.1300010681152&amp;quot;&#10;## [1] &amp;quot;2010-03-30 00:00:00 XLE -300 @ 57.2599983215332&amp;quot;&#10;## [1] &amp;quot;2010-03-30 00:00:00 XLE -300 @ 57.2599983215332&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLE 300 @ 59.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLE 300 @ 59.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-04-21 00:00:00 XLE -300 @ 60.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-04-21 00:00:00 XLE -300 @ 60.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLE 300 @ 60.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLE 300 @ 60.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-05-13 00:00:00 XLE -300 @ 57.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-05-13 00:00:00 XLE -300 @ 57.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLE 300 @ 55.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLE 300 @ 55.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLE -300 @ 53.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLE -300 @ 53.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLE 300 @ 52.7200012207031&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLE 300 @ 52.7200012207031&amp;quot;&#10;## [1] &amp;quot;2010-06-04 00:00:00 XLE -300 @ 51.5499992370605&amp;quot;&#10;## [1] &amp;quot;2010-06-04 00:00:00 XLE -300 @ 51.5499992370605&amp;quot;&#10;## [1] &amp;quot;2010-06-08 00:00:00 XLE 300 @ 51.9500007629395&amp;quot;&#10;## [1] &amp;quot;2010-06-08 00:00:00 XLE 300 @ 51.9500007629395&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLE -300 @ 54.3199996948242&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLE -300 @ 54.3199996948242&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLE 300 @ 53.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLE 300 @ 53.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLE -300 @ 52.3499984741211&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLE -300 @ 52.3499984741211&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLE 300 @ 52.060001373291&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLE 300 @ 52.060001373291&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLE -300 @ 52.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLE -300 @ 52.3800010681152&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLE 300 @ 53.7599983215332&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLE 300 @ 53.7599983215332&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLE -300 @ 53.7099990844727&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLE -300 @ 53.7099990844727&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLE 300 @ 52.189998626709&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLE 300 @ 52.189998626709&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLE -300 @ 51.3400001525879&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLE -300 @ 51.3400001525879&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 XLE 300 @ 53.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-09-17 00:00:00 XLE 300 @ 53.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLE -300 @ 54.8400001525879&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLE -300 @ 54.8400001525879&amp;quot;&#10;## [1] &amp;quot;2010-09-24 00:00:00 XLE 300 @ 55.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-09-24 00:00:00 XLE 300 @ 55.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLE -300 @ 55.060001373291&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLE -300 @ 55.060001373291&amp;quot;&#10;## [1] &amp;quot;2010-10-20 00:00:00 XLE 300 @ 58.939998626709&amp;quot;&#10;## [1] &amp;quot;2010-10-20 00:00:00 XLE 300 @ 58.939998626709&amp;quot;&#10;## [1] &amp;quot;2010-10-25 00:00:00 XLE -300 @ 59.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-10-25 00:00:00 XLE -300 @ 59.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-10-29 00:00:00 XLE 300 @ 59.2400016784668&amp;quot;&#10;## [1] &amp;quot;2010-10-29 00:00:00 XLE 300 @ 59.2400016784668&amp;quot;&#10;## [1] &amp;quot;2010-11-03 00:00:00 XLE -300 @ 60.0900001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-03 00:00:00 XLE -300 @ 60.0900001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-16 00:00:00 XLE 300 @ 61.4500007629395&amp;quot;&#10;## [1] &amp;quot;2010-11-16 00:00:00 XLE 300 @ 61.4500007629395&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLE -300 @ 63.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLE -300 @ 63.5900001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLE 300 @ 63.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLE 300 @ 63.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLE -300 @ 65.5299987792969&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLE -300 @ 65.5299987792969&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLE 300 @ 66.1600036621094&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLE 300 @ 66.1600036621094&amp;quot;&#10;## [1] &amp;quot;2010-12-21 00:00:00 XLE -300 @ 66.9899978637695&amp;quot;&#10;## [1] &amp;quot;2010-12-21 00:00:00 XLE -300 @ 66.9899978637695&amp;quot;&#10;## [1] &amp;quot;2011-01-07 00:00:00 XLE 300 @ 68.2799987792969&amp;quot;&#10;## [1] &amp;quot;2011-01-07 00:00:00 XLE 300 @ 68.2799987792969&amp;quot;&#10;## [1] &amp;quot;2011-01-12 00:00:00 XLE -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2011-01-12 00:00:00 XLE -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2011-01-21 00:00:00 XLE 300 @ 70.0999984741211&amp;quot;&#10;## [1] &amp;quot;2011-01-21 00:00:00 XLE 300 @ 70.0999984741211&amp;quot;&#10;## [1] &amp;quot;2011-01-27 00:00:00 XLE -300 @ 71.4199981689453&amp;quot;&#10;## [1] &amp;quot;2011-01-27 00:00:00 XLE -300 @ 71.4199981689453&amp;quot;&#10;## [1] &amp;quot;2011-02-10 00:00:00 XLE 300 @ 74.120002746582&amp;quot;&#10;## [1] &amp;quot;2011-02-10 00:00:00 XLE 300 @ 74.120002746582&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLE -300 @ 74.9499969482422&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLE -300 @ 74.9499969482422&amp;quot;&#10;## [1] &amp;quot;2011-03-09 00:00:00 XLE 300 @ 76.620002746582&amp;quot;&#10;## [1] &amp;quot;2011-03-09 00:00:00 XLE 300 @ 76.620002746582&amp;quot;&#10;## [1] &amp;quot;2011-03-18 00:00:00 XLE -300 @ 75.3899993896484&amp;quot;&#10;## [1] &amp;quot;2011-03-18 00:00:00 XLE -300 @ 75.3899993896484&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 XLE 300 @ 79.4400024414062&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 XLE 300 @ 79.4400024414062&amp;quot;&#10;## [1] &amp;quot;2011-04-18 00:00:00 XLE -300 @ 76.0400009155273&amp;quot;&#10;## [1] &amp;quot;2011-04-18 00:00:00 XLE -300 @ 76.0400009155273&amp;quot;&#10;## [1] &amp;quot;2011-04-19 00:00:00 XLE 300 @ 76.8099975585938&amp;quot;&#10;## [1] &amp;quot;2011-04-19 00:00:00 XLE 300 @ 76.8099975585938&amp;quot;&#10;## [1] &amp;quot;2011-04-21 00:00:00 XLE -300 @ 78.9800033569336&amp;quot;&#10;## [1] &amp;quot;2011-04-21 00:00:00 XLE -300 @ 78.9800033569336&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 XLE 300 @ 76.0500030517578&amp;quot;&#10;## [1] &amp;quot;2011-05-04 00:00:00 XLE 300 @ 76.0500030517578&amp;quot;&#10;## [1] &amp;quot;2011-05-11 00:00:00 XLE -300 @ 74.2600021362305&amp;quot;&#10;## [1] &amp;quot;2011-05-11 00:00:00 XLE -300 @ 74.2600021362305&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLE 300 @ 74.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLE 300 @ 74.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLE -300 @ 74.7200012207031&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLE -300 @ 74.7200012207031&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 XLE 300 @ 74.5100021362305&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 XLE 300 @ 74.5100021362305&amp;quot;&#10;## [1] &amp;quot;2011-05-26 00:00:00 XLE -300 @ 76.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-05-26 00:00:00 XLE -300 @ 76.1500015258789&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLE 300 @ 75.2399978637695&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLE 300 @ 75.2399978637695&amp;quot;&#10;## [1] &amp;quot;2011-06-10 00:00:00 XLE -300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2011-06-10 00:00:00 XLE -300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 XLE 300 @ 72.1699981689453&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 XLE 300 @ 72.1699981689453&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLE -300 @ 73.0999984741211&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLE -300 @ 73.0999984741211&amp;quot;&#10;## [1] &amp;quot;2011-06-24 00:00:00 XLE 300 @ 70.9300003051758&amp;quot;&#10;## [1] &amp;quot;2011-06-24 00:00:00 XLE 300 @ 70.9300003051758&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLE -300 @ 74.25&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLE -300 @ 74.25&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLE 300 @ 74.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLE 300 @ 74.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 XLE -300 @ 76.5999984741211&amp;quot;&#10;## [1] &amp;quot;2011-07-18 00:00:00 XLE -300 @ 76.5999984741211&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLE 300 @ 77.2200012207031&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLE 300 @ 77.2200012207031&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLE -300 @ 69.2200012207031&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLE -300 @ 69.2200012207031&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLE 300 @ 63.2400016784668&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLE 300 @ 63.2400016784668&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLE -300 @ 65.9499969482422&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLE -300 @ 65.9499969482422&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLE -300 @ 67.1100006103516&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLE -300 @ 67.1100006103516&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLE 300 @ 65.1999969482422&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLE 300 @ 65.1999969482422&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLE -300 @ 67.5&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLE -300 @ 67.5&amp;quot;&#10;## [1] &amp;quot;2011-09-20 00:00:00 XLE 300 @ 65.620002746582&amp;quot;&#10;## [1] &amp;quot;2011-09-20 00:00:00 XLE 300 @ 65.620002746582&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLE -300 @ 59.7099990844727&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLE -300 @ 59.7099990844727&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLE 300 @ 60.2799987792969&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLE 300 @ 60.2799987792969&amp;quot;&#10;## [1] &amp;quot;2011-10-06 00:00:00 XLE -300 @ 61.6599998474121&amp;quot;&#10;## [1] &amp;quot;2011-10-06 00:00:00 XLE -300 @ 61.6599998474121&amp;quot;&#10;## [1] &amp;quot;2011-11-01 00:00:00 XLE 300 @ 67.4599990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-01 00:00:00 XLE 300 @ 67.4599990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLE -300 @ 71.2600021362305&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLE -300 @ 71.2600021362305&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLE 300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLE 300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLE -300 @ 71.3099975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLE -300 @ 71.3099975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 XLE 300 @ 68.5599975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 XLE 300 @ 68.5599975585938&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLE -300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLE -300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLE 300 @ 70.1900024414062&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLE 300 @ 70.1900024414062&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLE -300 @ 68.4000015258789&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLE -300 @ 68.4000015258789&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 XLE 300 @ 69.1600036621094&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 XLE 300 @ 69.1600036621094&amp;quot;&#10;## [1] &amp;quot;2012-01-04 00:00:00 XLE -300 @ 71.1999969482422&amp;quot;&#10;## [1] &amp;quot;2012-01-04 00:00:00 XLE -300 @ 71.1999969482422&amp;quot;&#10;## [1] &amp;quot;2012-01-12 00:00:00 XLE 300 @ 69.7900009155273&amp;quot;&#10;## [1] &amp;quot;2012-01-12 00:00:00 XLE 300 @ 69.7900009155273&amp;quot;&#10;## [1] &amp;quot;2012-01-19 00:00:00 XLE -300 @ 71.370002746582&amp;quot;&#10;## [1] &amp;quot;2012-01-19 00:00:00 XLE -300 @ 71.370002746582&amp;quot;&#10;## [1] &amp;quot;2012-01-30 00:00:00 XLE 300 @ 71.1399993896484&amp;quot;&#10;## [1] &amp;quot;2012-01-30 00:00:00 XLE 300 @ 71.1399993896484&amp;quot;&#10;## [1] &amp;quot;2012-02-03 00:00:00 XLE -300 @ 72.7699966430664&amp;quot;&#10;## [1] &amp;quot;2012-02-03 00:00:00 XLE -300 @ 72.7699966430664&amp;quot;&#10;## [1] &amp;quot;2012-02-13 00:00:00 XLE 300 @ 73.620002746582&amp;quot;&#10;## [1] &amp;quot;2012-02-13 00:00:00 XLE 300 @ 73.620002746582&amp;quot;&#10;## [1] &amp;quot;2012-02-17 00:00:00 XLE -300 @ 74.870002746582&amp;quot;&#10;## [1] &amp;quot;2012-02-17 00:00:00 XLE -300 @ 74.870002746582&amp;quot;&#10;## [1] &amp;quot;2012-03-01 00:00:00 XLE 300 @ 75.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-03-01 00:00:00 XLE 300 @ 75.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-03-14 00:00:00 XLE -300 @ 73.9499969482422&amp;quot;&#10;## [1] &amp;quot;2012-03-14 00:00:00 XLE -300 @ 73.9499969482422&amp;quot;&#10;## [1] &amp;quot;2012-03-21 00:00:00 XLE 300 @ 73.129997253418&amp;quot;&#10;## [1] &amp;quot;2012-03-21 00:00:00 XLE 300 @ 73.129997253418&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLE -300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLE -300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLE 300 @ 70.5&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLE 300 @ 70.5&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2012-04-17 00:00:00 XLE 300 @ 69.3499984741211&amp;quot;&#10;## [1] &amp;quot;2012-04-17 00:00:00 XLE 300 @ 69.3499984741211&amp;quot;&#10;## [1] &amp;quot;2012-04-25 00:00:00 XLE -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2012-04-25 00:00:00 XLE -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLE 300 @ 68.3000030517578&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLE 300 @ 68.3000030517578&amp;quot;&#10;## [1] &amp;quot;2012-05-22 00:00:00 XLE -300 @ 65.25&amp;quot;&#10;## [1] &amp;quot;2012-05-22 00:00:00 XLE -300 @ 65.25&amp;quot;&#10;## [1] &amp;quot;2012-05-29 00:00:00 XLE 300 @ 66.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-05-29 00:00:00 XLE 300 @ 66.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-05-30 00:00:00 XLE -300 @ 64.1900024414062&amp;quot;&#10;## [1] &amp;quot;2012-05-30 00:00:00 XLE -300 @ 64.1900024414062&amp;quot;&#10;## [1] &amp;quot;2012-05-31 00:00:00 XLE 300 @ 63.6300010681152&amp;quot;&#10;## [1] &amp;quot;2012-05-31 00:00:00 XLE 300 @ 63.6300010681152&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLE -300 @ 64.4899978637695&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLE -300 @ 64.4899978637695&amp;quot;&#10;## [1] &amp;quot;2012-06-12 00:00:00 XLE 300 @ 64.5199966430664&amp;quot;&#10;## [1] &amp;quot;2012-06-12 00:00:00 XLE 300 @ 64.5199966430664&amp;quot;&#10;## [1] &amp;quot;2012-06-15 00:00:00 XLE -300 @ 65.620002746582&amp;quot;&#10;## [1] &amp;quot;2012-06-15 00:00:00 XLE -300 @ 65.620002746582&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLE 300 @ 63.439998626709&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLE 300 @ 63.439998626709&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLE -300 @ 64.4300003051758&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLE -300 @ 64.4300003051758&amp;quot;&#10;## [1] &amp;quot;2012-07-10 00:00:00 XLE 300 @ 64.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-07-10 00:00:00 XLE 300 @ 64.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-07-16 00:00:00 XLE -300 @ 66.9899978637695&amp;quot;&#10;## [1] &amp;quot;2012-07-16 00:00:00 XLE -300 @ 66.9899978637695&amp;quot;&#10;## [1] &amp;quot;2012-07-25 00:00:00 XLE 300 @ 67.0899963378906&amp;quot;&#10;## [1] &amp;quot;2012-07-25 00:00:00 XLE 300 @ 67.0899963378906&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLE -300 @ 70.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLE -300 @ 70.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLE 300 @ 70.4400024414062&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLE 300 @ 70.4400024414062&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLE -300 @ 70.629997253418&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLE -300 @ 70.629997253418&amp;quot;&#10;## [1] &amp;quot;2012-08-22 00:00:00 XLE 300 @ 72.3600006103516&amp;quot;&#10;## [1] &amp;quot;2012-08-22 00:00:00 XLE 300 @ 72.3600006103516&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLE -300 @ 73.4499969482422&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLE -300 @ 73.4499969482422&amp;quot;&#10;## [1] &amp;quot;2012-09-20 00:00:00 XLE 300 @ 74.9300003051758&amp;quot;&#10;## [1] &amp;quot;2012-09-20 00:00:00 XLE 300 @ 74.9300003051758&amp;quot;&#10;## [1] &amp;quot;2012-10-03 00:00:00 XLE -300 @ 73.0199966430664&amp;quot;&#10;## [1] &amp;quot;2012-10-03 00:00:00 XLE -300 @ 73.0199966430664&amp;quot;&#10;## [1] &amp;quot;2012-10-04 00:00:00 XLE 300 @ 73.75&amp;quot;&#10;## [1] &amp;quot;2012-10-04 00:00:00 XLE 300 @ 73.75&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLE -300 @ 72.4199981689453&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLE -300 @ 72.4199981689453&amp;quot;&#10;## [1] &amp;quot;2012-10-11 00:00:00 XLE 300 @ 72.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-10-11 00:00:00 XLE 300 @ 72.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLE -300 @ 75.0199966430664&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLE -300 @ 75.0199966430664&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLE 300 @ 73.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLE 300 @ 73.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLE -300 @ 71.0599975585938&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLE -300 @ 71.0599975585938&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 XLE 300 @ 71.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-05 00:00:00 XLE 300 @ 71.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 XLE -300 @ 70.8499984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 XLE -300 @ 70.8499984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLE 300 @ 69.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLE 300 @ 69.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLE -300 @ 70.2300033569336&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLE -300 @ 70.2300033569336&amp;quot;&#10;## [1] &amp;quot;2012-11-28 00:00:00 XLE 300 @ 70.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-11-28 00:00:00 XLE 300 @ 70.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-11-30 00:00:00 XLE -300 @ 71.0599975585938&amp;quot;&#10;## [1] &amp;quot;2012-11-30 00:00:00 XLE -300 @ 71.0599975585938&amp;quot;&#10;## [1] &amp;quot;2012-12-04 00:00:00 XLE 300 @ 70.4100036621094&amp;quot;&#10;## [1] &amp;quot;2012-12-04 00:00:00 XLE 300 @ 70.4100036621094&amp;quot;&#10;## [1] &amp;quot;2012-12-07 00:00:00 XLE -300 @ 71.5599975585938&amp;quot;&#10;## [1] &amp;quot;2012-12-07 00:00:00 XLE -300 @ 71.5599975585938&amp;quot;&#10;## [1] &amp;quot;2012-12-14 00:00:00 XLE 300 @ 71.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-12-14 00:00:00 XLE 300 @ 71.2200012207031&amp;quot;&#10;## [1] &amp;quot;2012-12-18 00:00:00 XLE -300 @ 73.1900024414062&amp;quot;&#10;## [1] &amp;quot;2012-12-18 00:00:00 XLE -300 @ 73.1900024414062&amp;quot;&#10;## [1] &amp;quot;2012-12-24 00:00:00 XLE 300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2012-12-24 00:00:00 XLE 300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2013-01-03 00:00:00 XLE -300 @ 72.9800033569336&amp;quot;&#10;## [1] &amp;quot;2013-01-03 00:00:00 XLE -300 @ 72.9800033569336&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLE 300 @ 77.1600036621094&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLE 300 @ 77.1600036621094&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLE -300 @ 77.6900024414062&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLE -300 @ 77.6900024414062&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLE 300 @ 78.0899963378906&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLE 300 @ 78.0899963378906&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLE -300 @ 79.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLE -300 @ 79.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-04-03 00:00:00 XLE 300 @ 77.2300033569336&amp;quot;&#10;## [1] &amp;quot;2013-04-03 00:00:00 XLE 300 @ 77.2300033569336&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLE -300 @ 78.4800033569336&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLE -300 @ 78.4800033569336&amp;quot;&#10;## [1] &amp;quot;2013-04-15 00:00:00 XLE 300 @ 74.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-04-15 00:00:00 XLE 300 @ 74.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-04-23 00:00:00 XLE -300 @ 76.2300033569336&amp;quot;&#10;## [1] &amp;quot;2013-04-23 00:00:00 XLE -300 @ 76.2300033569336&amp;quot;&#10;## [1] &amp;quot;2013-05-02 00:00:00 XLE 300 @ 78.0599975585938&amp;quot;&#10;## [1] &amp;quot;2013-05-02 00:00:00 XLE 300 @ 78.0599975585938&amp;quot;&#10;## [1] &amp;quot;2013-05-06 00:00:00 XLE -300 @ 80.0100021362305&amp;quot;&#10;## [1] &amp;quot;2013-05-06 00:00:00 XLE -300 @ 80.0100021362305&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 XLE 300 @ 81.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-05-14 00:00:00 XLE 300 @ 81.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 XLE -300 @ 81.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 XLE -300 @ 81.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-05-28 00:00:00 XLE 300 @ 82.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-05-28 00:00:00 XLE 300 @ 82.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-05-29 00:00:00 XLE -300 @ 82.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-05-29 00:00:00 XLE -300 @ 82.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-06-03 00:00:00 XLE 300 @ 81.2799987792969&amp;quot;&#10;## [1] &amp;quot;2013-06-03 00:00:00 XLE 300 @ 81.2799987792969&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLE -300 @ 81.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLE -300 @ 81.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLE 300 @ 79.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLE 300 @ 79.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-06-14 00:00:00 XLE -300 @ 79.9100036621094&amp;quot;&#10;## [1] &amp;quot;2013-06-14 00:00:00 XLE -300 @ 79.9100036621094&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLE 300 @ 78.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLE 300 @ 78.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-06-28 00:00:00 XLE -300 @ 78.3000030517578&amp;quot;&#10;## [1] &amp;quot;2013-06-28 00:00:00 XLE -300 @ 78.3000030517578&amp;quot;&#10;## [1] &amp;quot;2013-07-17 00:00:00 XLE 300 @ 81.6999969482422&amp;quot;&#10;## [1] &amp;quot;2013-07-17 00:00:00 XLE 300 @ 81.6999969482422&amp;quot;&#10;## [1] &amp;quot;2013-07-19 00:00:00 XLE -300 @ 83.7200012207031&amp;quot;&#10;## [1] &amp;quot;2013-07-19 00:00:00 XLE -300 @ 83.7200012207031&amp;quot;&#10;## [1] &amp;quot;2013-07-25 00:00:00 XLE 300 @ 83.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-07-25 00:00:00 XLE 300 @ 83.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 XLE -300 @ 83.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-08-02 00:00:00 XLE -300 @ 83.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 XLE 300 @ 82.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-08-07 00:00:00 XLE 300 @ 82.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLE -300 @ 81.7600021362305&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLE -300 @ 81.7600021362305&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLE 300 @ 83.629997253418&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLE 300 @ 83.629997253418&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLE -300 @ 84.2900009155273&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLE -300 @ 84.2900009155273&amp;quot;&#10;## [1] &amp;quot;2013-10-24 00:00:00 XLE 300 @ 86.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-10-24 00:00:00 XLE 300 @ 86.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-10-29 00:00:00 XLE -300 @ 87.2799987792969&amp;quot;&#10;## [1] &amp;quot;2013-10-29 00:00:00 XLE -300 @ 87.2799987792969&amp;quot;&#10;## [1] &amp;quot;2013-11-01 00:00:00 XLE 300 @ 86.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-11-01 00:00:00 XLE 300 @ 86.0800018310547&amp;quot;&#10;## [1] &amp;quot;2013-11-05 00:00:00 XLE -300 @ 86.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-11-05 00:00:00 XLE -300 @ 86.3600006103516&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLE 300 @ 86.5500030517578&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLE 300 @ 86.5500030517578&amp;quot;&#10;## [1] &amp;quot;2013-11-15 00:00:00 XLE -300 @ 87.6600036621094&amp;quot;&#10;## [1] &amp;quot;2013-11-15 00:00:00 XLE -300 @ 87.6600036621094&amp;quot;&#10;## [1] &amp;quot;2013-11-27 00:00:00 XLE 300 @ 86.620002746582&amp;quot;&#10;## [1] &amp;quot;2013-11-27 00:00:00 XLE 300 @ 86.620002746582&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLE -300 @ 85.379997253418&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLE -300 @ 85.379997253418&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLE 300 @ 86.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLE 300 @ 86.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-01-08 00:00:00 XLE -300 @ 87.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-01-08 00:00:00 XLE -300 @ 87.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-01-10 00:00:00 XLE 300 @ 86.9000015258789&amp;quot;&#10;## [1] &amp;quot;2014-01-10 00:00:00 XLE 300 @ 86.9000015258789&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 XLE -300 @ 87.120002746582&amp;quot;&#10;## [1] &amp;quot;2014-01-22 00:00:00 XLE -300 @ 87.120002746582&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 XLE 300 @ 84.3300018310547&amp;quot;&#10;## [1] &amp;quot;2014-01-24 00:00:00 XLE 300 @ 84.3300018310547&amp;quot;&#10;## [1] &amp;quot;2014-02-10 00:00:00 XLE -300 @ 83.629997253418&amp;quot;&#10;## [1] &amp;quot;2014-02-10 00:00:00 XLE -300 @ 83.629997253418&amp;quot;&#10;## [1] &amp;quot;2014-03-12 00:00:00 XLE 300 @ 87.1699981689453&amp;quot;&#10;## [1] &amp;quot;2014-03-12 00:00:00 XLE 300 @ 87.1699981689453&amp;quot;&#10;## [1] &amp;quot;2014-03-19 00:00:00 XLE -300 @ 86.9100036621094&amp;quot;&#10;## [1] &amp;quot;2014-03-19 00:00:00 XLE -300 @ 86.9100036621094&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 XLE 300 @ 87.6600036621094&amp;quot;&#10;## [1] &amp;quot;2014-03-25 00:00:00 XLE 300 @ 87.6600036621094&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 XLE -300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 XLE -300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2014-04-08 00:00:00 XLE 300 @ 89.5400009155273&amp;quot;&#10;## [1] &amp;quot;2014-04-08 00:00:00 XLE 300 @ 89.5400009155273&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 XLE -300 @ 90.8600006103516&amp;quot;&#10;## [1] &amp;quot;2014-04-15 00:00:00 XLE -300 @ 90.8600006103516&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 XLE 300 @ 93.3899993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-28 00:00:00 XLE 300 @ 93.3899993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-30 00:00:00 XLE -300 @ 93.7399978637695&amp;quot;&#10;## [1] &amp;quot;2014-04-30 00:00:00 XLE -300 @ 93.7399978637695&amp;quot;&#10;## [1] &amp;quot;2014-05-09 00:00:00 XLE 300 @ 93.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-05-09 00:00:00 XLE 300 @ 93.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-05-14 00:00:00 XLE -300 @ 94.7200012207031&amp;quot;&#10;## [1] &amp;quot;2014-05-14 00:00:00 XLE -300 @ 94.7200012207031&amp;quot;&#10;## [1] &amp;quot;2014-05-16 00:00:00 XLE 300 @ 93.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-05-16 00:00:00 XLE 300 @ 93.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-05-22 00:00:00 XLE -300 @ 94.3399963378906&amp;quot;&#10;## [1] &amp;quot;2014-05-22 00:00:00 XLE -300 @ 94.3399963378906&amp;quot;&#10;## [1] &amp;quot;2014-06-25 00:00:00 XLE 300 @ 99.9100036621094&amp;quot;&#10;## [1] &amp;quot;2014-06-25 00:00:00 XLE 300 @ 99.9100036621094&amp;quot;&#10;## [1] &amp;quot;2014-07-02 00:00:00 XLE -300 @ 100.01000213623&amp;quot;&#10;## [1] &amp;quot;2014-07-02 00:00:00 XLE -300 @ 100.01000213623&amp;quot;&#10;## [1] &amp;quot;2014-07-08 00:00:00 XLE 300 @ 99.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-07-08 00:00:00 XLE 300 @ 99.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-07-10 00:00:00 XLE -300 @ 99.1600036621094&amp;quot;&#10;## [1] &amp;quot;2014-07-10 00:00:00 XLE -300 @ 99.1600036621094&amp;quot;&#10;## [1] &amp;quot;2014-07-11 00:00:00 XLE 300 @ 98.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-07-11 00:00:00 XLE 300 @ 98.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-07-17 00:00:00 XLE -300 @ 98.6999969482422&amp;quot;&#10;## [1] &amp;quot;2014-07-17 00:00:00 XLE -300 @ 98.6999969482422&amp;quot;&#10;## [1] &amp;quot;2014-07-28 00:00:00 XLE 300 @ 99.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-07-28 00:00:00 XLE 300 @ 99.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-08-11 00:00:00 XLE -300 @ 96.6100006103516&amp;quot;&#10;## [1] &amp;quot;2014-08-11 00:00:00 XLE -300 @ 96.6100006103516&amp;quot;&#10;## [1] &amp;quot;2014-08-15 00:00:00 XLE 300 @ 96.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-15 00:00:00 XLE 300 @ 96.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-19 00:00:00 XLE -300 @ 97.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-19 00:00:00 XLE -300 @ 97.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-25 00:00:00 XLE 300 @ 97.870002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-25 00:00:00 XLE 300 @ 97.870002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-26 00:00:00 XLE -300 @ 98.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-08-26 00:00:00 XLE -300 @ 98.370002746582&amp;quot;&#10;## [1] &amp;quot;2014-09-03 00:00:00 XLE 300 @ 97.75&amp;quot;&#10;## [1] &amp;quot;2014-09-03 00:00:00 XLE 300 @ 97.75&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 XLE -300 @ 94.8399963378906&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 XLE -300 @ 94.8399963378906&amp;quot;&#10;## [1] &amp;quot;2014-09-22 00:00:00 XLE 300 @ 92.4100036621094&amp;quot;&#10;## [1] &amp;quot;2014-09-22 00:00:00 XLE 300 @ 92.4100036621094&amp;quot;&#10;## [1] &amp;quot;2014-10-20 00:00:00 XLE -300 @ 83.4199981689453&amp;quot;&#10;## [1] &amp;quot;2014-10-20 00:00:00 XLE -300 @ 83.4199981689453&amp;quot;&#10;## [1] &amp;quot;2014-10-28 00:00:00 XLE 300 @ 85.7099990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-28 00:00:00 XLE 300 @ 85.7099990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-30 00:00:00 XLE -300 @ 85.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-10-30 00:00:00 XLE -300 @ 85.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-11-05 00:00:00 XLE 300 @ 85.75&amp;quot;&#10;## [1] &amp;quot;2014-11-05 00:00:00 XLE 300 @ 85.75&amp;quot;&#10;## [1] &amp;quot;2014-11-07 00:00:00 XLE -300 @ 87.7900009155273&amp;quot;&#10;## [1] &amp;quot;2014-11-07 00:00:00 XLE -300 @ 87.7900009155273&amp;quot;&#10;## [1] &amp;quot;2014-11-13 00:00:00 XLE 300 @ 85.3399963378906&amp;quot;&#10;## [1] &amp;quot;2014-11-13 00:00:00 XLE 300 @ 85.3399963378906&amp;quot;&#10;## [1] &amp;quot;2014-11-20 00:00:00 XLE -300 @ 87.3600006103516&amp;quot;&#10;## [1] &amp;quot;2014-11-20 00:00:00 XLE -300 @ 87.3600006103516&amp;quot;&#10;## [1] &amp;quot;2014-11-26 00:00:00 XLE 300 @ 85.3000030517578&amp;quot;&#10;## [1] &amp;quot;2014-11-26 00:00:00 XLE 300 @ 85.3000030517578&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 XLE -300 @ 78.5599975585938&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 XLE -300 @ 78.5599975585938&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLE 300 @ 79.1600036621094&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLE 300 @ 79.1600036621094&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLE -300 @ 76.3600006103516&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLE -300 @ 76.3600006103516&amp;quot;&#10;## [1] &amp;quot;2015-01-13 00:00:00 XLE 300 @ 73.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-01-13 00:00:00 XLE 300 @ 73.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-01-20 00:00:00 XLE -300 @ 75.3199996948242&amp;quot;&#10;## [1] &amp;quot;2015-01-20 00:00:00 XLE -300 @ 75.3199996948242&amp;quot;&#10;## [1] &amp;quot;2015-01-29 00:00:00 XLE 300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2015-01-29 00:00:00 XLE 300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2015-02-03 00:00:00 XLE -300 @ 79.9899978637695&amp;quot;&#10;## [1] &amp;quot;2015-02-03 00:00:00 XLE -300 @ 79.9899978637695&amp;quot;&#10;## [1] &amp;quot;2015-02-12 00:00:00 XLE 300 @ 80.3399963378906&amp;quot;&#10;## [1] &amp;quot;2015-02-12 00:00:00 XLE 300 @ 80.3399963378906&amp;quot;&#10;## [1] &amp;quot;2015-02-13 00:00:00 XLE -300 @ 82.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-13 00:00:00 XLE -300 @ 82.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-20 00:00:00 XLE 300 @ 80.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-20 00:00:00 XLE 300 @ 80.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-26 00:00:00 XLE -300 @ 79.370002746582&amp;quot;&#10;## [1] &amp;quot;2015-02-26 00:00:00 XLE -300 @ 79.370002746582&amp;quot;&#10;## [1] &amp;quot;2015-02-27 00:00:00 XLE 300 @ 79.0199966430664&amp;quot;&#10;## [1] &amp;quot;2015-02-27 00:00:00 XLE 300 @ 79.0199966430664&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLE -300 @ 75.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLE -300 @ 75.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-03-25 00:00:00 XLE 300 @ 77.120002746582&amp;quot;&#10;## [1] &amp;quot;2015-03-25 00:00:00 XLE 300 @ 77.120002746582&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLE -300 @ 77.0299987792969&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLE -300 @ 77.0299987792969&amp;quot;&#10;## [1] &amp;quot;2015-03-30 00:00:00 XLE 300 @ 78.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-03-30 00:00:00 XLE 300 @ 78.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLE -300 @ 77.5800018310547&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLE -300 @ 77.5800018310547&amp;quot;&#10;## [1] &amp;quot;2015-04-22 00:00:00 XLE 300 @ 81.8899993896484&amp;quot;&#10;## [1] &amp;quot;2015-04-22 00:00:00 XLE 300 @ 81.8899993896484&amp;quot;&#10;## [1] &amp;quot;2015-04-24 00:00:00 XLE -300 @ 81.9800033569336&amp;quot;&#10;## [1] &amp;quot;2015-04-24 00:00:00 XLE -300 @ 81.9800033569336&amp;quot;&#10;## [1] &amp;quot;2015-05-06 00:00:00 XLE 300 @ 81.3199996948242&amp;quot;&#10;## [1] &amp;quot;2015-05-06 00:00:00 XLE 300 @ 81.3199996948242&amp;quot;&#10;## [1] &amp;quot;2015-05-19 00:00:00 XLE -300 @ 79.5899963378906&amp;quot;&#10;## [1] &amp;quot;2015-05-19 00:00:00 XLE -300 @ 79.5899963378906&amp;quot;&#10;## [1] &amp;quot;2015-05-20 00:00:00 XLE 300 @ 79.7399978637695&amp;quot;&#10;## [1] &amp;quot;2015-05-20 00:00:00 XLE 300 @ 79.7399978637695&amp;quot;&#10;## [1] &amp;quot;2015-05-22 00:00:00 XLE -300 @ 80.1999969482422&amp;quot;&#10;## [1] &amp;quot;2015-05-22 00:00:00 XLE -300 @ 80.1999969482422&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLE 300 @ 78.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLE 300 @ 78.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-06-03 00:00:00 XLE -300 @ 78.1900024414062&amp;quot;&#10;## [1] &amp;quot;2015-06-03 00:00:00 XLE -300 @ 78.1900024414062&amp;quot;&#10;## [1] &amp;quot;2015-06-04 00:00:00 XLE 300 @ 77.129997253418&amp;quot;&#10;## [1] &amp;quot;2015-06-04 00:00:00 XLE 300 @ 77.129997253418&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLE -300 @ 77.8199996948242&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLE -300 @ 77.8199996948242&amp;quot;&#10;## [1] &amp;quot;2015-06-15 00:00:00 XLE 300 @ 76.7699966430664&amp;quot;&#10;## [1] &amp;quot;2015-06-15 00:00:00 XLE 300 @ 76.7699966430664&amp;quot;&#10;## [1] &amp;quot;2015-07-14 00:00:00 XLE -300 @ 74.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-07-14 00:00:00 XLE -300 @ 74.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-07-16 00:00:00 XLE 300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2015-07-16 00:00:00 XLE 300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2015-07-30 00:00:00 XLE -300 @ 70.9300003051758&amp;quot;&#10;## [1] &amp;quot;2015-07-30 00:00:00 XLE -300 @ 70.9300003051758&amp;quot;&#10;## [1] &amp;quot;2015-08-03 00:00:00 XLE 300 @ 67.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-08-03 00:00:00 XLE 300 @ 67.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-08-11 00:00:00 XLE -300 @ 69.3000030517578&amp;quot;&#10;## [1] &amp;quot;2015-08-11 00:00:00 XLE -300 @ 69.3000030517578&amp;quot;&#10;## [1] &amp;quot;2015-08-20 00:00:00 XLE 300 @ 65.8000030517578&amp;quot;&#10;## [1] &amp;quot;2015-08-20 00:00:00 XLE 300 @ 65.8000030517578&amp;quot;&#10;## [1] &amp;quot;2015-08-28 00:00:00 XLE -300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2015-08-28 00:00:00 XLE -300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2015-09-08 00:00:00 XLE 300 @ 64.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-09-08 00:00:00 XLE 300 @ 64.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-09-17 00:00:00 XLE -300 @ 65.2799987792969&amp;quot;&#10;## [1] &amp;quot;2015-09-17 00:00:00 XLE -300 @ 65.2799987792969&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLE 300 @ 63.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLE 300 @ 63.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-10-02 00:00:00 XLE -300 @ 63.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-10-02 00:00:00 XLE -300 @ 63.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-10-14 00:00:00 XLE 300 @ 67.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-10-14 00:00:00 XLE 300 @ 67.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-10-16 00:00:00 XLE -300 @ 69.2300033569336&amp;quot;&#10;## [1] &amp;quot;2015-10-16 00:00:00 XLE -300 @ 69.2300033569336&amp;quot;&#10;## [1] &amp;quot;2015-10-20 00:00:00 XLE 300 @ 68.0500030517578&amp;quot;&#10;## [1] &amp;quot;2015-10-20 00:00:00 XLE 300 @ 68.0500030517578&amp;quot;&#10;## [1] &amp;quot;2015-10-30 00:00:00 XLE -300 @ 68.0299987792969&amp;quot;&#10;## [1] &amp;quot;2015-10-30 00:00:00 XLE -300 @ 68.0299987792969&amp;quot;&#10;## [1] &amp;quot;2015-11-09 00:00:00 XLE 300 @ 69.1100006103516&amp;quot;&#10;## [1] &amp;quot;2015-11-09 00:00:00 XLE 300 @ 69.1100006103516&amp;quot;&#10;## [1] &amp;quot;2015-11-17 00:00:00 XLE -300 @ 67.4300003051758&amp;quot;&#10;## [1] &amp;quot;2015-11-17 00:00:00 XLE -300 @ 67.4300003051758&amp;quot;&#10;## [1] &amp;quot;2015-11-23 00:00:00 XLE 300 @ 67.379997253418&amp;quot;&#10;## [1] &amp;quot;2015-11-23 00:00:00 XLE 300 @ 67.379997253418&amp;quot;&#10;## [1] &amp;quot;2015-11-25 00:00:00 XLE -300 @ 68.2600021362305&amp;quot;&#10;## [1] &amp;quot;2015-11-25 00:00:00 XLE -300 @ 68.2600021362305&amp;quot;&#10;## [1] &amp;quot;2015-12-03 00:00:00 XLE 300 @ 65.1100006103516&amp;quot;&#10;## [1] &amp;quot;2015-12-03 00:00:00 XLE 300 @ 65.1100006103516&amp;quot;&#10;## [1] &amp;quot;2015-12-16 00:00:00 XLE -300 @ 61.9000015258789&amp;quot;&#10;## [1] &amp;quot;2015-12-16 00:00:00 XLE -300 @ 61.9000015258789&amp;quot;&#10;## [1] &amp;quot;2015-12-18 00:00:00 XLE 300 @ 58.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-12-18 00:00:00 XLE 300 @ 58.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-12-24 00:00:00 XLE -300 @ 61.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-24 00:00:00 XLE -300 @ 61.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-31 00:00:00 XLE 300 @ 60.3199996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-31 00:00:00 XLE 300 @ 60.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-01-15 00:00:00 XLE -300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2016-01-15 00:00:00 XLE -300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2016-01-20 00:00:00 XLE 300 @ 51.7700004577637&amp;quot;&#10;## [1] &amp;quot;2016-01-20 00:00:00 XLE 300 @ 51.7700004577637&amp;quot;&#10;## [1] &amp;quot;2016-01-25 00:00:00 XLE -300 @ 53.1399993896484&amp;quot;&#10;## [1] &amp;quot;2016-01-25 00:00:00 XLE -300 @ 53.1399993896484&amp;quot;&#10;## [1] &amp;quot;2016-02-03 00:00:00 XLE 300 @ 57.2999992370605&amp;quot;&#10;## [1] &amp;quot;2016-02-03 00:00:00 XLE 300 @ 57.2999992370605&amp;quot;&#10;## [1] &amp;quot;2016-02-16 00:00:00 XLE -300 @ 55.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-02-16 00:00:00 XLE -300 @ 55.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-02-24 00:00:00 XLE 300 @ 56.8400001525879&amp;quot;&#10;## [1] &amp;quot;2016-02-24 00:00:00 XLE 300 @ 56.8400001525879&amp;quot;&#10;## [1] &amp;quot;2016-03-02 00:00:00 XLE -300 @ 59.4799995422363&amp;quot;&#10;## [1] &amp;quot;2016-03-02 00:00:00 XLE -300 @ 59.4799995422363&amp;quot;&#10;## [1] &amp;quot;2016-03-09 00:00:00 XLE 300 @ 60.7400016784668&amp;quot;&#10;## [1] &amp;quot;2016-03-09 00:00:00 XLE 300 @ 60.7400016784668&amp;quot;&#10;## [1] &amp;quot;2016-03-14 00:00:00 XLE -300 @ 61.9500007629395&amp;quot;&#10;## [1] &amp;quot;2016-03-14 00:00:00 XLE -300 @ 61.9500007629395&amp;quot;&#10;## [1] &amp;quot;2016-03-23 00:00:00 XLE 300 @ 61.5400009155273&amp;quot;&#10;## [1] &amp;quot;2016-03-23 00:00:00 XLE 300 @ 61.5400009155273&amp;quot;&#10;## [1] &amp;quot;2016-04-07 00:00:00 XLE -300 @ 61.1399993896484&amp;quot;&#10;## [1] &amp;quot;2016-04-07 00:00:00 XLE -300 @ 61.1399993896484&amp;quot;&#10;## [1] &amp;quot;2016-05-04 00:00:00 XLE 300 @ 64.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-05-04 00:00:00 XLE 300 @ 64.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-05-12 00:00:00 XLE -300 @ 65.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-05-12 00:00:00 XLE -300 @ 65.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLE 300 @ 66.0899963378906&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLE 300 @ 66.0899963378906&amp;quot;&#10;## [1] &amp;quot;2016-05-17 00:00:00 XLE -300 @ 66.4000015258789&amp;quot;&#10;## [1] &amp;quot;2016-05-17 00:00:00 XLE -300 @ 66.4000015258789&amp;quot;&#10;## [1] &amp;quot;2016-06-03 00:00:00 XLE 300 @ 66.5400009155273&amp;quot;&#10;## [1] &amp;quot;2016-06-03 00:00:00 XLE 300 @ 66.5400009155273&amp;quot;&#10;## [1] &amp;quot;2016-06-07 00:00:00 XLE -300 @ 69.5500030517578&amp;quot;&#10;## [1] &amp;quot;2016-06-07 00:00:00 XLE -300 @ 69.5500030517578&amp;quot;&#10;## [1] &amp;quot;2016-06-13 00:00:00 XLE 300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2016-06-13 00:00:00 XLE 300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2016-06-21 00:00:00 XLE -300 @ 68.2699966430664&amp;quot;&#10;## [1] &amp;quot;2016-06-21 00:00:00 XLE -300 @ 68.2699966430664&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLE 300 @ 64.6399993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLE 300 @ 64.6399993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLE -300 @ 68.2399978637695&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLE -300 @ 68.2399978637695&amp;quot;&#10;## [1] &amp;quot;2016-07-06 00:00:00 XLE 300 @ 67.5100021362305&amp;quot;&#10;## [1] &amp;quot;2016-07-06 00:00:00 XLE 300 @ 67.5100021362305&amp;quot;&#10;## [1] &amp;quot;2016-07-12 00:00:00 XLE -300 @ 69.5199966430664&amp;quot;&#10;## [1] &amp;quot;2016-07-12 00:00:00 XLE -300 @ 69.5199966430664&amp;quot;&#10;## [1] &amp;quot;2016-07-20 00:00:00 XLE 300 @ 68.7900009155273&amp;quot;&#10;## [1] &amp;quot;2016-07-20 00:00:00 XLE 300 @ 68.7900009155273&amp;quot;&#10;## [1] &amp;quot;2016-08-01 00:00:00 XLE -300 @ 65.1600036621094&amp;quot;&#10;## [1] &amp;quot;2016-08-01 00:00:00 XLE -300 @ 65.1600036621094&amp;quot;&#10;## [1] &amp;quot;2016-08-02 00:00:00 XLE 300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2016-08-02 00:00:00 XLE 300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2016-08-04 00:00:00 XLE -300 @ 66.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-08-04 00:00:00 XLE -300 @ 66.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-08-11 00:00:00 XLE 300 @ 68.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-08-11 00:00:00 XLE 300 @ 68.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-08-12 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2016-08-12 00:00:00 XLE -300 @ 68.6999969482422&amp;quot;&#10;## [1] &amp;quot;2016-08-23 00:00:00 XLE 300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2016-08-23 00:00:00 XLE 300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2016-09-07 00:00:00 XLE -300 @ 70.5199966430664&amp;quot;&#10;## [1] &amp;quot;2016-09-07 00:00:00 XLE -300 @ 70.5199966430664&amp;quot;&#10;## [1] &amp;quot;2016-09-14 00:00:00 XLE 300 @ 67.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-09-14 00:00:00 XLE 300 @ 67.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-09-22 00:00:00 XLE -300 @ 68.5500030517578&amp;quot;&#10;## [1] &amp;quot;2016-09-22 00:00:00 XLE -300 @ 68.5500030517578&amp;quot;&#10;## [1] &amp;quot;2016-09-27 00:00:00 XLE 300 @ 66.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-09-27 00:00:00 XLE 300 @ 66.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-09-29 00:00:00 XLE -300 @ 69.6600036621094&amp;quot;&#10;## [1] &amp;quot;2016-09-29 00:00:00 XLE -300 @ 69.6600036621094&amp;quot;&#10;## [1] &amp;quot;2016-10-13 00:00:00 XLE 300 @ 70.2099990844727&amp;quot;&#10;## [1] &amp;quot;2016-10-13 00:00:00 XLE 300 @ 70.2099990844727&amp;quot;&#10;## [1] &amp;quot;2016-10-20 00:00:00 XLE -300 @ 70.6500015258789&amp;quot;&#10;## [1] &amp;quot;2016-10-20 00:00:00 XLE -300 @ 70.6500015258789&amp;quot;&#10;## [1] &amp;quot;2016-10-25 00:00:00 XLE 300 @ 69.6600036621094&amp;quot;&#10;## [1] &amp;quot;2016-10-25 00:00:00 XLE 300 @ 69.6600036621094&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLE -300 @ 69.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLE -300 @ 69.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-14 00:00:00 XLE 300 @ 69.8499984741211&amp;quot;&#10;## [1] &amp;quot;2016-11-14 00:00:00 XLE 300 @ 69.8499984741211&amp;quot;&#10;## [1] &amp;quot;2016-11-16 00:00:00 XLE -300 @ 71.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-16 00:00:00 XLE -300 @ 71.3199996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-29 00:00:00 XLE 300 @ 70.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-11-29 00:00:00 XLE 300 @ 70.8300018310547&amp;quot;&#10;## [1] &amp;quot;2016-12-01 00:00:00 XLE -300 @ 74.6100006103516&amp;quot;&#10;## [1] &amp;quot;2016-12-01 00:00:00 XLE -300 @ 74.6100006103516&amp;quot;&#10;## [1] &amp;quot;2016-12-15 00:00:00 XLE 300 @ 76.4400024414062&amp;quot;&#10;## [1] &amp;quot;2016-12-15 00:00:00 XLE 300 @ 76.4400024414062&amp;quot;&#10;## [1] &amp;quot;2016-12-23 00:00:00 XLE -300 @ 76.3499984741211&amp;quot;&#10;## [1] &amp;quot;2016-12-23 00:00:00 XLE -300 @ 76.3499984741211&amp;quot;&#10;## [1] &amp;quot;2016-12-29 00:00:00 XLE 300 @ 75.5400009155273&amp;quot;&#10;## [1] &amp;quot;2016-12-29 00:00:00 XLE 300 @ 75.5400009155273&amp;quot;&#10;## [1] &amp;quot;2017-01-04 00:00:00 XLE -300 @ 76.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-01-04 00:00:00 XLE -300 @ 76.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-01-10 00:00:00 XLE 300 @ 74.1100006103516&amp;quot;&#10;## [1] &amp;quot;2017-01-10 00:00:00 XLE 300 @ 74.1100006103516&amp;quot;&#10;## [1] &amp;quot;2017-01-26 00:00:00 XLE -300 @ 75.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-01-26 00:00:00 XLE -300 @ 75.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-01-30 00:00:00 XLE 300 @ 72.870002746582&amp;quot;&#10;## [1] &amp;quot;2017-01-30 00:00:00 XLE 300 @ 72.870002746582&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLE -300 @ 72.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLE -300 @ 72.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-02-08 00:00:00 XLE 300 @ 71.9199981689453&amp;quot;&#10;## [1] &amp;quot;2017-02-08 00:00:00 XLE 300 @ 71.9199981689453&amp;quot;&#10;## [1] &amp;quot;2017-02-10 00:00:00 XLE -300 @ 73.2799987792969&amp;quot;&#10;## [1] &amp;quot;2017-02-10 00:00:00 XLE -300 @ 73.2799987792969&amp;quot;&#10;## [1] &amp;quot;2017-02-17 00:00:00 XLE 300 @ 71.9700012207031&amp;quot;&#10;## [1] &amp;quot;2017-02-17 00:00:00 XLE 300 @ 71.9700012207031&amp;quot;&#10;## [1] &amp;quot;2017-03-02 00:00:00 XLE -300 @ 72.120002746582&amp;quot;&#10;## [1] &amp;quot;2017-03-02 00:00:00 XLE -300 @ 72.120002746582&amp;quot;&#10;## [1] &amp;quot;2017-03-08 00:00:00 XLE 300 @ 69.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-03-08 00:00:00 XLE 300 @ 69.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-03-16 00:00:00 XLE -300 @ 70.2699966430664&amp;quot;&#10;## [1] &amp;quot;2017-03-16 00:00:00 XLE -300 @ 70.2699966430664&amp;quot;&#10;## [1] &amp;quot;2017-03-21 00:00:00 XLE 300 @ 69.2099990844727&amp;quot;&#10;## [1] &amp;quot;2017-03-21 00:00:00 XLE 300 @ 69.2099990844727&amp;quot;&#10;## [1] &amp;quot;2017-03-29 00:00:00 XLE -300 @ 70.1600036621094&amp;quot;&#10;## [1] &amp;quot;2017-03-29 00:00:00 XLE -300 @ 70.1600036621094&amp;quot;&#10;## [1] &amp;quot;2017-04-17 00:00:00 XLE 300 @ 69.4599990844727&amp;quot;&#10;## [1] &amp;quot;2017-04-17 00:00:00 XLE 300 @ 69.4599990844727&amp;quot;&#10;## [1] &amp;quot;2017-04-26 00:00:00 XLE -300 @ 68.5400009155273&amp;quot;&#10;## [1] &amp;quot;2017-04-26 00:00:00 XLE -300 @ 68.5400009155273&amp;quot;&#10;## [1] &amp;quot;2017-04-28 00:00:00 XLE 300 @ 67.8399963378906&amp;quot;&#10;## [1] &amp;quot;2017-04-28 00:00:00 XLE 300 @ 67.8399963378906&amp;quot;&#10;## [1] &amp;quot;2017-05-09 00:00:00 XLE -300 @ 67.2300033569336&amp;quot;&#10;## [1] &amp;quot;2017-05-09 00:00:00 XLE -300 @ 67.2300033569336&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLE 300 @ 67.25&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLE 300 @ 67.25&amp;quot;&#10;## [1] &amp;quot;2017-05-22 00:00:00 XLE -300 @ 67.9300003051758&amp;quot;&#10;## [1] &amp;quot;2017-05-22 00:00:00 XLE -300 @ 67.9300003051758&amp;quot;&#10;## [1] &amp;quot;2017-05-26 00:00:00 XLE 300 @ 66.6100006103516&amp;quot;&#10;## [1] &amp;quot;2017-05-26 00:00:00 XLE 300 @ 66.6100006103516&amp;quot;&#10;## [1] &amp;quot;2017-06-07 00:00:00 XLE -300 @ 65.0500030517578&amp;quot;&#10;## [1] &amp;quot;2017-06-07 00:00:00 XLE -300 @ 65.0500030517578&amp;quot;&#10;## [1] &amp;quot;2017-06-08 00:00:00 XLE 300 @ 64.8600006103516&amp;quot;&#10;## [1] &amp;quot;2017-06-08 00:00:00 XLE 300 @ 64.8600006103516&amp;quot;&#10;## [1] &amp;quot;2017-06-12 00:00:00 XLE -300 @ 66.8899993896484&amp;quot;&#10;## [1] &amp;quot;2017-06-12 00:00:00 XLE -300 @ 66.8899993896484&amp;quot;&#10;## [1] &amp;quot;2017-06-16 00:00:00 XLE 300 @ 66.3000030517578&amp;quot;&#10;## [1] &amp;quot;2017-06-16 00:00:00 XLE 300 @ 66.3000030517578&amp;quot;&#10;## [1] &amp;quot;2017-06-29 00:00:00 XLE -300 @ 64.629997253418&amp;quot;&#10;## [1] &amp;quot;2017-06-29 00:00:00 XLE -300 @ 64.629997253418&amp;quot;&#10;## [1] &amp;quot;2017-07-07 00:00:00 XLE 300 @ 64.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-07-07 00:00:00 XLE 300 @ 64.0100021362305&amp;quot;&#10;## [1] &amp;quot;2017-07-12 00:00:00 XLE -300 @ 64.75&amp;quot;&#10;## [1] &amp;quot;2017-07-12 00:00:00 XLE -300 @ 64.75&amp;quot;&#10;## [1] &amp;quot;2017-07-24 00:00:00 XLE 300 @ 64.9899978637695&amp;quot;&#10;## [1] &amp;quot;2017-07-24 00:00:00 XLE 300 @ 64.9899978637695&amp;quot;&#10;## [1] &amp;quot;2017-07-26 00:00:00 XLE -300 @ 65.879997253418&amp;quot;&#10;## [1] &amp;quot;2017-07-26 00:00:00 XLE -300 @ 65.879997253418&amp;quot;&#10;## [1] &amp;quot;2017-08-03 00:00:00 XLE 300 @ 65.4300003051758&amp;quot;&#10;## [1] &amp;quot;2017-08-03 00:00:00 XLE 300 @ 65.4300003051758&amp;quot;&#10;## [1] &amp;quot;2017-08-24 00:00:00 XLE -300 @ 62.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-08-24 00:00:00 XLE -300 @ 62.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-10-05 00:00:00 XLE 300 @ 68.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-10-05 00:00:00 XLE 300 @ 68.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-10-06 00:00:00 XLE -300 @ 68.0699996948242&amp;quot;&#10;## [1] &amp;quot;2017-10-06 00:00:00 XLE -300 @ 68.0699996948242&amp;quot;&#10;## [1] &amp;quot;2017-10-09 00:00:00 XLE 300 @ 68.2099990844727&amp;quot;&#10;## [1] &amp;quot;2017-10-09 00:00:00 XLE 300 @ 68.2099990844727&amp;quot;&#10;## [1] &amp;quot;2017-10-12 00:00:00 XLE -300 @ 68.1800003051758&amp;quot;&#10;## [1] &amp;quot;2017-10-12 00:00:00 XLE -300 @ 68.1800003051758&amp;quot;&#10;## [1] &amp;quot;2017-10-13 00:00:00 XLE 300 @ 68.1399993896484&amp;quot;&#10;## [1] &amp;quot;2017-10-13 00:00:00 XLE 300 @ 68.1399993896484&amp;quot;&#10;## [1] &amp;quot;2017-10-18 00:00:00 XLE -300 @ 67.8499984741211&amp;quot;&#10;## [1] &amp;quot;2017-10-18 00:00:00 XLE -300 @ 67.8499984741211&amp;quot;&#10;## [1] &amp;quot;2017-10-19 00:00:00 XLE 300 @ 67.6399993896484&amp;quot;&#10;## [1] &amp;quot;2017-10-19 00:00:00 XLE 300 @ 67.6399993896484&amp;quot;&#10;## [1] &amp;quot;2017-10-31 00:00:00 XLE -300 @ 67.9100036621094&amp;quot;&#10;## [1] &amp;quot;2017-10-31 00:00:00 XLE -300 @ 67.9100036621094&amp;quot;&#10;## [1] &amp;quot;2017-11-14 00:00:00 XLE 300 @ 68.1399993896484&amp;quot;&#10;## [1] &amp;quot;2017-11-14 00:00:00 XLE 300 @ 68.1399993896484&amp;quot;&#10;## [1] &amp;quot;2017-11-24 00:00:00 XLE -300 @ 67.879997253418&amp;quot;&#10;## [1] &amp;quot;2017-11-24 00:00:00 XLE -300 @ 67.879997253418&amp;quot;&#10;## [1] &amp;quot;2017-11-28 00:00:00 XLE 300 @ 67.7099990844727&amp;quot;&#10;## [1] &amp;quot;2017-11-28 00:00:00 XLE 300 @ 67.7099990844727&amp;quot;&#10;## [1] &amp;quot;2017-11-30 00:00:00 XLE -300 @ 69.0999984741211&amp;quot;&#10;## [1] &amp;quot;2017-11-30 00:00:00 XLE -300 @ 69.0999984741211&amp;quot;&#10;## [1] &amp;quot;2017-12-07 00:00:00 XLE 300 @ 68.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-12-07 00:00:00 XLE 300 @ 68.6500015258789&amp;quot;&#10;## [1] &amp;quot;2017-12-11 00:00:00 XLE -300 @ 69.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-12-11 00:00:00 XLE -300 @ 69.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-12-15 00:00:00 XLE 300 @ 68.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-12-15 00:00:00 XLE 300 @ 68.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-12-21 00:00:00 XLE -300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2017-12-21 00:00:00 XLE -300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2018-01-26 00:00:00 XLE 300 @ 77.5100021362305&amp;quot;&#10;## [1] &amp;quot;2018-01-26 00:00:00 XLE 300 @ 77.5100021362305&amp;quot;&#10;## [1] &amp;quot;2018-02-15 00:00:00 XLE -300 @ 68.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-02-15 00:00:00 XLE -300 @ 68.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-02-21 00:00:00 XLE 300 @ 66.6100006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-21 00:00:00 XLE 300 @ 66.6100006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-26 00:00:00 XLE -300 @ 69.2099990844727&amp;quot;&#10;## [1] &amp;quot;2018-02-26 00:00:00 XLE -300 @ 69.2099990844727&amp;quot;&#10;## [1] &amp;quot;2018-03-01 00:00:00 XLE 300 @ 66.6399993896484&amp;quot;&#10;## [1] &amp;quot;2018-03-01 00:00:00 XLE 300 @ 66.6399993896484&amp;quot;&#10;## [1] &amp;quot;2018-03-06 00:00:00 XLE -300 @ 67.6999969482422&amp;quot;&#10;## [1] &amp;quot;2018-03-06 00:00:00 XLE -300 @ 67.6999969482422&amp;quot;&#10;## [1] &amp;quot;2018-03-08 00:00:00 XLE 300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2018-03-08 00:00:00 XLE 300 @ 67.1699981689453&amp;quot;&#10;## [1] &amp;quot;2018-03-12 00:00:00 XLE -300 @ 68.4300003051758&amp;quot;&#10;## [1] &amp;quot;2018-03-12 00:00:00 XLE -300 @ 68.4300003051758&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLE 300 @ 67.1900024414062&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLE 300 @ 67.1900024414062&amp;quot;&#10;## [1] &amp;quot;2018-03-22 00:00:00 XLE -300 @ 67.1800003051758&amp;quot;&#10;## [1] &amp;quot;2018-03-22 00:00:00 XLE -300 @ 67.1800003051758&amp;quot;&#10;## [1] &amp;quot;2018-03-29 00:00:00 XLE 300 @ 67.4100036621094&amp;quot;&#10;## [1] &amp;quot;2018-03-29 00:00:00 XLE 300 @ 67.4100036621094&amp;quot;&#10;## [1] &amp;quot;2018-04-06 00:00:00 XLE -300 @ 67.3499984741211&amp;quot;&#10;## [1] &amp;quot;2018-04-06 00:00:00 XLE -300 @ 67.3499984741211&amp;quot;&#10;## [1] &amp;quot;2018-04-25 00:00:00 XLE 300 @ 73.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-04-25 00:00:00 XLE 300 @ 73.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-04-27 00:00:00 XLE -300 @ 73.8199996948242&amp;quot;&#10;## [1] &amp;quot;2018-04-27 00:00:00 XLE -300 @ 73.8199996948242&amp;quot;&#10;## [1] &amp;quot;2018-05-02 00:00:00 XLE 300 @ 73.6600036621094&amp;quot;&#10;## [1] &amp;quot;2018-05-02 00:00:00 XLE 300 @ 73.6600036621094&amp;quot;&#10;## [1] &amp;quot;2018-05-07 00:00:00 XLE -300 @ 73.9499969482422&amp;quot;&#10;## [1] &amp;quot;2018-05-07 00:00:00 XLE -300 @ 73.9499969482422&amp;quot;&#10;## [1] &amp;quot;2018-05-25 00:00:00 XLE 300 @ 74.5800018310547&amp;quot;&#10;## [1] &amp;quot;2018-05-25 00:00:00 XLE 300 @ 74.5800018310547&amp;quot;&#10;## [1] &amp;quot;2018-05-31 00:00:00 XLE -300 @ 76.0199966430664&amp;quot;&#10;## [1] &amp;quot;2018-05-31 00:00:00 XLE -300 @ 76.0199966430664&amp;quot;&#10;## [1] &amp;quot;2018-06-06 00:00:00 XLE 300 @ 75.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-06-06 00:00:00 XLE 300 @ 75.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-06-08 00:00:00 XLE -300 @ 76.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-06-08 00:00:00 XLE -300 @ 76.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLE 300 @ 76.3099975585938&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLE 300 @ 76.3099975585938&amp;quot;&#10;## [1] &amp;quot;2018-06-28 00:00:00 XLE -300 @ 75.4700012207031&amp;quot;&#10;## [1] &amp;quot;2018-06-28 00:00:00 XLE -300 @ 75.4700012207031&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLE 300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLE 300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-09 00:00:00 XLE -300 @ 76.8000030517578&amp;quot;&#10;## [1] &amp;quot;2018-07-09 00:00:00 XLE -300 @ 76.8000030517578&amp;quot;&#10;## [1] &amp;quot;2018-07-12 00:00:00 XLE 300 @ 75.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-07-12 00:00:00 XLE 300 @ 75.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-07-25 00:00:00 XLE -300 @ 76.129997253418&amp;quot;&#10;## [1] &amp;quot;2018-07-25 00:00:00 XLE -300 @ 76.129997253418&amp;quot;&#10;## [1] &amp;quot;2018-08-02 00:00:00 XLE 300 @ 75.629997253418&amp;quot;&#10;## [1] &amp;quot;2018-08-02 00:00:00 XLE 300 @ 75.629997253418&amp;quot;&#10;## [1] &amp;quot;2018-08-08 00:00:00 XLE -300 @ 75.5299987792969&amp;quot;&#10;## [1] &amp;quot;2018-08-08 00:00:00 XLE -300 @ 75.5299987792969&amp;quot;&#10;## [1] &amp;quot;2018-08-10 00:00:00 XLE 300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-10 00:00:00 XLE 300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-22 00:00:00 XLE -300 @ 74.3499984741211&amp;quot;&#10;## [1] &amp;quot;2018-08-22 00:00:00 XLE -300 @ 74.3499984741211&amp;quot;&#10;## [1] &amp;quot;2018-09-04 00:00:00 XLE 300 @ 74.2799987792969&amp;quot;&#10;## [1] &amp;quot;2018-09-04 00:00:00 XLE 300 @ 74.2799987792969&amp;quot;&#10;## [1] &amp;quot;2018-09-12 00:00:00 XLE -300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2018-09-12 00:00:00 XLE -300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2018-10-01 00:00:00 XLE 300 @ 76.7900009155273&amp;quot;&#10;## [1] &amp;quot;2018-10-01 00:00:00 XLE 300 @ 76.7900009155273&amp;quot;&#10;## [1] &amp;quot;2018-10-02 00:00:00 XLE -300 @ 76.870002746582&amp;quot;&#10;## [1] &amp;quot;2018-10-02 00:00:00 XLE -300 @ 76.870002746582&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLE 300 @ 72.8000030517578&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLE 300 @ 72.8000030517578&amp;quot;&#10;## [1] &amp;quot;2018-11-01 00:00:00 XLE -300 @ 67.7300033569336&amp;quot;&#10;## [1] &amp;quot;2018-11-01 00:00:00 XLE -300 @ 67.7300033569336&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLE 300 @ 65.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLE 300 @ 65.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-11-19 00:00:00 XLE -300 @ 67.1600036621094&amp;quot;&#10;## [1] &amp;quot;2018-11-19 00:00:00 XLE -300 @ 67.1600036621094&amp;quot;&#10;## [1] &amp;quot;2018-11-21 00:00:00 XLE 300 @ 65.9800033569336&amp;quot;&#10;## [1] &amp;quot;2018-11-21 00:00:00 XLE 300 @ 65.9800033569336&amp;quot;&#10;## [1] &amp;quot;2018-11-29 00:00:00 XLE -300 @ 66.2300033569336&amp;quot;&#10;## [1] &amp;quot;2018-11-29 00:00:00 XLE -300 @ 66.2300033569336&amp;quot;&#10;## [1] &amp;quot;2018-12-07 00:00:00 XLE 300 @ 64.0699996948242&amp;quot;&#10;## [1] &amp;quot;2018-12-07 00:00:00 XLE 300 @ 64.0699996948242&amp;quot;&#10;## [1] &amp;quot;2019-01-03 00:00:00 XLE -300 @ 57.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-01-03 00:00:00 XLE -300 @ 57.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-01-24 00:00:00 XLE 300 @ 62.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-01-24 00:00:00 XLE 300 @ 62.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-01-28 00:00:00 XLE -300 @ 62.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-01-28 00:00:00 XLE -300 @ 62.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-02-08 00:00:00 XLE 300 @ 62.939998626709&amp;quot;&#10;## [1] &amp;quot;2019-02-08 00:00:00 XLE 300 @ 62.939998626709&amp;quot;&#10;## [1] &amp;quot;2019-02-13 00:00:00 XLE -300 @ 64.8399963378906&amp;quot;&#10;## [1] &amp;quot;2019-02-13 00:00:00 XLE -300 @ 64.8399963378906&amp;quot;&#10;## [1] &amp;quot;2019-02-22 00:00:00 XLE 300 @ 65.7600021362305&amp;quot;&#10;## [1] &amp;quot;2019-02-22 00:00:00 XLE 300 @ 65.7600021362305&amp;quot;&#10;## [1] &amp;quot;2019-03-04 00:00:00 XLE -300 @ 66.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-03-04 00:00:00 XLE -300 @ 66.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-03-07 00:00:00 XLE 300 @ 65.120002746582&amp;quot;&#10;## [1] &amp;quot;2019-03-07 00:00:00 XLE 300 @ 65.120002746582&amp;quot;&#10;## [1] &amp;quot;2019-03-14 00:00:00 XLE -300 @ 66.0500030517578&amp;quot;&#10;## [1] &amp;quot;2019-03-14 00:00:00 XLE -300 @ 66.0500030517578&amp;quot;&#10;## [1] &amp;quot;2019-03-25 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2019-03-25 00:00:00 XLE 300 @ 65.5&amp;quot;&#10;## [1] &amp;quot;2019-04-02 00:00:00 XLE -300 @ 66.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-04-02 00:00:00 XLE -300 @ 66.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-04-04 00:00:00 XLE 300 @ 66.4400024414062&amp;quot;&#10;## [1] &amp;quot;2019-04-04 00:00:00 XLE 300 @ 66.4400024414062&amp;quot;&#10;## [1] &amp;quot;2019-04-08 00:00:00 XLE -300 @ 67.9100036621094&amp;quot;&#10;## [1] &amp;quot;2019-04-08 00:00:00 XLE -300 @ 67.9100036621094&amp;quot;&#10;## [1] &amp;quot;2019-04-16 00:00:00 XLE 300 @ 67.5999984741211&amp;quot;&#10;## [1] &amp;quot;2019-04-16 00:00:00 XLE 300 @ 67.5999984741211&amp;quot;&#10;## [1] &amp;quot;2019-04-23 00:00:00 XLE -300 @ 68.5&amp;quot;&#10;## [1] &amp;quot;2019-04-23 00:00:00 XLE -300 @ 68.5&amp;quot;&#10;## [1] &amp;quot;2019-04-25 00:00:00 XLE 300 @ 67.0899963378906&amp;quot;&#10;## [1] &amp;quot;2019-04-25 00:00:00 XLE 300 @ 67.0899963378906&amp;quot;&#10;## [1] &amp;quot;2019-05-13 00:00:00 XLE -300 @ 62.9500007629395&amp;quot;&#10;## [1] &amp;quot;2019-05-13 00:00:00 XLE -300 @ 62.9500007629395&amp;quot;&#10;## [1] &amp;quot;2019-05-14 00:00:00 XLE 300 @ 63.7200012207031&amp;quot;&#10;## [1] &amp;quot;2019-05-14 00:00:00 XLE 300 @ 63.7200012207031&amp;quot;&#10;## [1] &amp;quot;2019-05-16 00:00:00 XLE -300 @ 64.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-05-16 00:00:00 XLE -300 @ 64.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-05-23 00:00:00 XLE 300 @ 61.3899993896484&amp;quot;&#10;## [1] &amp;quot;2019-05-23 00:00:00 XLE 300 @ 61.3899993896484&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLE -300 @ 59.8800010681152&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLE -300 @ 59.8800010681152&amp;quot;&#10;## [1] &amp;quot;2019-06-13 00:00:00 XLE 300 @ 61.4099998474121&amp;quot;&#10;## [1] &amp;quot;2019-06-13 00:00:00 XLE 300 @ 61.4099998474121&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLE -300 @ 62.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLE -300 @ 62.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-06-26 00:00:00 XLE 300 @ 63.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-06-26 00:00:00 XLE 300 @ 63.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-06-27 00:00:00 XLE -300 @ 62.9799995422363&amp;quot;&#10;## [1] &amp;quot;2019-06-27 00:00:00 XLE -300 @ 62.9799995422363&amp;quot;&#10;## [1] &amp;quot;2019-07-03 00:00:00 XLE 300 @ 63&amp;quot;&#10;## [1] &amp;quot;2019-07-03 00:00:00 XLE 300 @ 63&amp;quot;&#10;## [1] &amp;quot;2019-07-10 00:00:00 XLE -300 @ 64.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-07-10 00:00:00 XLE -300 @ 64.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-07-17 00:00:00 XLE 300 @ 62.4599990844727&amp;quot;&#10;## [1] &amp;quot;2019-07-17 00:00:00 XLE 300 @ 62.4599990844727&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLE -300 @ 63.2200012207031&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLE -300 @ 63.2200012207031&amp;quot;&#10;## [1] &amp;quot;2019-07-26 00:00:00 XLE 300 @ 62.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-07-26 00:00:00 XLE 300 @ 62.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-07-31 00:00:00 XLE -300 @ 62.7000007629395&amp;quot;&#10;## [1] &amp;quot;2019-07-31 00:00:00 XLE -300 @ 62.7000007629395&amp;quot;&#10;## [1] &amp;quot;2019-08-02 00:00:00 XLE 300 @ 60.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-08-02 00:00:00 XLE 300 @ 60.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLE -300 @ 59.0999984741211&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLE -300 @ 59.0999984741211&amp;quot;&#10;## [1] &amp;quot;2019-08-13 00:00:00 XLE 300 @ 58.939998626709&amp;quot;&#10;## [1] &amp;quot;2019-08-13 00:00:00 XLE 300 @ 58.939998626709&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLE -300 @ 57.7900009155273&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLE -300 @ 57.7900009155273&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLE 300 @ 56.2000007629395&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLE 300 @ 56.2000007629395&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLE -300 @ 57.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLE -300 @ 57.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 XLE 300 @ 61.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 XLE 300 @ 61.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLE -300 @ 57.8899993896484&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLE -300 @ 57.8899993896484&amp;quot;&#10;## [1] &amp;quot;2019-10-17 00:00:00 XLE 300 @ 57.3300018310547&amp;quot;&#10;## [1] &amp;quot;2019-10-17 00:00:00 XLE 300 @ 57.3300018310547&amp;quot;&#10;## [1] &amp;quot;2019-10-22 00:00:00 XLE -300 @ 58.7999992370605&amp;quot;&#10;## [1] &amp;quot;2019-10-22 00:00:00 XLE -300 @ 58.7999992370605&amp;quot;&#10;## [1] &amp;quot;2019-10-31 00:00:00 XLE 300 @ 57.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-10-31 00:00:00 XLE 300 @ 57.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-11-04 00:00:00 XLE -300 @ 61.2099990844727&amp;quot;&#10;## [1] &amp;quot;2019-11-04 00:00:00 XLE -300 @ 61.2099990844727&amp;quot;&#10;## [1] &amp;quot;2019-11-13 00:00:00 XLE 300 @ 59.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-11-13 00:00:00 XLE 300 @ 59.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLE -300 @ 59.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLE -300 @ 59.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-11-27 00:00:00 XLE 300 @ 59.4900016784668&amp;quot;&#10;## [1] &amp;quot;2019-11-27 00:00:00 XLE 300 @ 59.4900016784668&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLE -300 @ 59.6500015258789&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLE -300 @ 59.6500015258789&amp;quot;&#10;## [1] &amp;quot;2019-12-30 00:00:00 XLE 300 @ 59.7000007629395&amp;quot;&#10;## [1] &amp;quot;2019-12-30 00:00:00 XLE 300 @ 59.7000007629395&amp;quot;&#10;## [1] &amp;quot;2020-01-07 00:00:00 XLE -300 @ 60.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-01-07 00:00:00 XLE -300 @ 60.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-01-09 00:00:00 XLE 300 @ 60.1500015258789&amp;quot;&#10;## [1] &amp;quot;2020-01-09 00:00:00 XLE 300 @ 60.1500015258789&amp;quot;&#10;## [1] &amp;quot;2020-02-06 00:00:00 XLE -300 @ 54.3600006103516&amp;quot;&#10;## [1] &amp;quot;2020-02-06 00:00:00 XLE -300 @ 54.3600006103516&amp;quot;&#10;## [1] &amp;quot;2020-02-11 00:00:00 XLE 300 @ 54.310001373291&amp;quot;&#10;## [1] &amp;quot;2020-02-11 00:00:00 XLE 300 @ 54.310001373291&amp;quot;&#10;## [1] &amp;quot;2020-02-13 00:00:00 XLE -300 @ 54.8699989318848&amp;quot;&#10;## [1] &amp;quot;2020-02-13 00:00:00 XLE -300 @ 54.8699989318848&amp;quot;&#10;## [1] &amp;quot;2020-02-19 00:00:00 XLE 300 @ 54.8499984741211&amp;quot;&#10;## [1] &amp;quot;2020-02-19 00:00:00 XLE 300 @ 54.8499984741211&amp;quot;&#10;## [1] &amp;quot;2020-02-20 00:00:00 XLE -300 @ 54.7900009155273&amp;quot;&#10;## [1] &amp;quot;2020-02-20 00:00:00 XLE -300 @ 54.7900009155273&amp;quot;&#10;## [1] &amp;quot;2020-02-24 00:00:00 XLE 300 @ 51.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-02-24 00:00:00 XLE 300 @ 51.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLE -300 @ 28.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLE -300 @ 28.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLE 300 @ 30.1499996185303&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLE 300 @ 30.1499996185303&amp;quot;&#10;## [1] &amp;quot;2020-04-03 00:00:00 XLE -300 @ 29.8299999237061&amp;quot;&#10;## [1] &amp;quot;2020-04-03 00:00:00 XLE -300 @ 29.8299999237061&amp;quot;&#10;## [1] &amp;quot;2020-04-16 00:00:00 XLE 300 @ 30.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-04-16 00:00:00 XLE 300 @ 30.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-04-20 00:00:00 XLE -300 @ 32.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-20 00:00:00 XLE -300 @ 32.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLE 300 @ 37.0900001525879&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLE 300 @ 37.0900001525879&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLE -300 @ 38.0999984741211&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLE -300 @ 38.0999984741211&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLE 300 @ 36.1300010681152&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLE 300 @ 36.1300010681152&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLE -300 @ 37.8400001525879&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLE -300 @ 37.8400001525879&amp;quot;&#10;## [1] &amp;quot;2020-06-01 00:00:00 XLE 300 @ 39.439998626709&amp;quot;&#10;## [1] &amp;quot;2020-06-01 00:00:00 XLE 300 @ 39.439998626709&amp;quot;&#10;## [1] &amp;quot;2020-06-03 00:00:00 XLE -300 @ 41.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-06-03 00:00:00 XLE -300 @ 41.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-06-11 00:00:00 XLE 300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2020-06-11 00:00:00 XLE 300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLE -300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLE -300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-07-08 00:00:00 XLE 300 @ 36.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-07-08 00:00:00 XLE 300 @ 36.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-07-15 00:00:00 XLE -300 @ 37.3800010681152&amp;quot;&#10;## [1] &amp;quot;2020-07-15 00:00:00 XLE -300 @ 37.3800010681152&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLE 300 @ 38.2599983215332&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLE 300 @ 38.2599983215332&amp;quot;&#10;## [1] &amp;quot;2020-07-22 00:00:00 XLE -300 @ 37.7900009155273&amp;quot;&#10;## [1] &amp;quot;2020-07-22 00:00:00 XLE -300 @ 37.7900009155273&amp;quot;&#10;## [1] &amp;quot;2020-07-29 00:00:00 XLE 300 @ 37.6800003051758&amp;quot;&#10;## [1] &amp;quot;2020-07-29 00:00:00 XLE 300 @ 37.6800003051758&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLE -300 @ 37.4300003051758&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLE -300 @ 37.4300003051758&amp;quot;&#10;## [1] &amp;quot;2020-08-19 00:00:00 XLE 300 @ 37.060001373291&amp;quot;&#10;## [1] &amp;quot;2020-08-19 00:00:00 XLE 300 @ 37.060001373291&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLE -300 @ 36.5&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLE -300 @ 36.5&amp;quot;&#10;## [1] &amp;quot;2020-08-27 00:00:00 XLE 300 @ 35.7999992370605&amp;quot;&#10;## [1] &amp;quot;2020-08-27 00:00:00 XLE 300 @ 35.7999992370605&amp;quot;&#10;## [1] &amp;quot;2020-08-31 00:00:00 XLE -300 @ 35.6500015258789&amp;quot;&#10;## [1] &amp;quot;2020-08-31 00:00:00 XLE -300 @ 35.6500015258789&amp;quot;&#10;## [1] &amp;quot;2020-09-01 00:00:00 XLE 300 @ 35.4099998474121&amp;quot;&#10;## [1] &amp;quot;2020-09-01 00:00:00 XLE 300 @ 35.4099998474121&amp;quot;&#10;## [1] &amp;quot;2020-09-17 00:00:00 XLE -300 @ 33.9900016784668&amp;quot;&#10;## [1] &amp;quot;2020-09-17 00:00:00 XLE -300 @ 33.9900016784668&amp;quot;&#10;## [1] &amp;quot;2020-09-22 00:00:00 XLE 300 @ 31.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-09-22 00:00:00 XLE 300 @ 31.6399993896484&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLE -300 @ 30.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLE -300 @ 30.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-09-30 00:00:00 XLE 300 @ 29.9500007629395&amp;quot;&#10;## [1] &amp;quot;2020-09-30 00:00:00 XLE 300 @ 29.9500007629395&amp;quot;&#10;## [1] &amp;quot;2020-10-06 00:00:00 XLE -300 @ 29.7399997711182&amp;quot;&#10;## [1] &amp;quot;2020-10-06 00:00:00 XLE -300 @ 29.7399997711182&amp;quot;&#10;## [1] &amp;quot;2020-10-14 00:00:00 XLE 300 @ 30.5200004577637&amp;quot;&#10;## [1] &amp;quot;2020-10-14 00:00:00 XLE 300 @ 30.5200004577637&amp;quot;&#10;## [1] &amp;quot;2020-10-16 00:00:00 XLE -300 @ 30.1900005340576&amp;quot;&#10;## [1] &amp;quot;2020-10-16 00:00:00 XLE -300 @ 30.1900005340576&amp;quot;&#10;## [1] &amp;quot;2020-10-19 00:00:00 XLE 300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2020-10-19 00:00:00 XLE 300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2020-10-23 00:00:00 XLE -300 @ 30.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-10-23 00:00:00 XLE -300 @ 30.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-10-27 00:00:00 XLE 300 @ 28.9200000762939&amp;quot;&#10;## [1] &amp;quot;2020-10-27 00:00:00 XLE 300 @ 28.9200000762939&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLE -300 @ 29.5300006866455&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLE -300 @ 29.5300006866455&amp;quot;&#10;## [1] &amp;quot;2020-11-09 00:00:00 XLE 300 @ 33.060001373291&amp;quot;&#10;## [1] &amp;quot;2020-11-09 00:00:00 XLE 300 @ 33.060001373291&amp;quot;&#10;## [1] &amp;quot;2020-11-10 00:00:00 XLE -300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2020-11-10 00:00:00 XLE -300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2020-12-01 00:00:00 XLE 300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-12-01 00:00:00 XLE 300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-12-04 00:00:00 XLE -300 @ 40.6300010681152&amp;quot;&#10;## [1] &amp;quot;2020-12-04 00:00:00 XLE -300 @ 40.6300010681152&amp;quot;&#10;## [1] &amp;quot;2020-12-15 00:00:00 XLE 300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2020-12-15 00:00:00 XLE 300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2020-12-31 00:00:00 XLE -300 @ 37.9000015258789&amp;quot;&#10;## [1] &amp;quot;2020-12-31 00:00:00 XLE -300 @ 37.9000015258789&amp;quot;&#10;## [1] &amp;quot;2021-01-22 00:00:00 XLE 300 @ 42.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-01-22 00:00:00 XLE 300 @ 42.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-02-04 00:00:00 XLE -300 @ 42.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-02-04 00:00:00 XLE -300 @ 42.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-03-01 00:00:00 XLE 300 @ 49.4000015258789&amp;quot;&#10;## [1] &amp;quot;2021-03-01 00:00:00 XLE 300 @ 49.4000015258789&amp;quot;&#10;## [1] &amp;quot;2021-03-04 00:00:00 XLE -300 @ 51.0400009155273&amp;quot;&#10;## [1] &amp;quot;2021-03-04 00:00:00 XLE -300 @ 51.0400009155273&amp;quot;&#10;## [1] &amp;quot;2021-03-16 00:00:00 XLE 300 @ 51.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-03-16 00:00:00 XLE 300 @ 51.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-03-29 00:00:00 XLE -300 @ 49.8300018310547&amp;quot;&#10;## [1] &amp;quot;2021-03-29 00:00:00 XLE -300 @ 49.8300018310547&amp;quot;&#10;## [1] &amp;quot;2021-04-01 00:00:00 XLE 300 @ 50.310001373291&amp;quot;&#10;## [1] &amp;quot;2021-04-01 00:00:00 XLE 300 @ 50.310001373291&amp;quot;&#10;## [1] &amp;quot;2021-04-05 00:00:00 XLE -300 @ 49.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-04-05 00:00:00 XLE -300 @ 49.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-04-07 00:00:00 XLE 300 @ 49.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-04-07 00:00:00 XLE 300 @ 49.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-04-15 00:00:00 XLE -300 @ 48.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-04-15 00:00:00 XLE -300 @ 48.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLE 300 @ 47.6699981689453&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLE 300 @ 47.6699981689453&amp;quot;&#10;## [1] &amp;quot;2021-04-27 00:00:00 XLE -300 @ 48.439998626709&amp;quot;&#10;## [1] &amp;quot;2021-04-27 00:00:00 XLE -300 @ 48.439998626709&amp;quot;&#10;## [1] &amp;quot;2021-05-12 00:00:00 XLE 300 @ 52.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-05-12 00:00:00 XLE 300 @ 52.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLE -300 @ 54.7299995422363&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLE -300 @ 54.7299995422363&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLE 300 @ 52.0499992370605&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLE 300 @ 52.0499992370605&amp;quot;&#10;## [1] &amp;quot;2021-05-25 00:00:00 XLE -300 @ 51.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-05-25 00:00:00 XLE -300 @ 51.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-05-26 00:00:00 XLE 300 @ 52.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-05-26 00:00:00 XLE 300 @ 52.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-06-02 00:00:00 XLE -300 @ 55.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-06-02 00:00:00 XLE -300 @ 55.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-06-14 00:00:00 XLE 300 @ 55.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-14 00:00:00 XLE 300 @ 55.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-16 00:00:00 XLE -300 @ 55.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-16 00:00:00 XLE -300 @ 55.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-18 00:00:00 XLE 300 @ 52.3899993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-18 00:00:00 XLE 300 @ 52.3899993896484&amp;quot;&#10;## [1] &amp;quot;2021-06-25 00:00:00 XLE -300 @ 55.3400001525879&amp;quot;&#10;## [1] &amp;quot;2021-06-25 00:00:00 XLE -300 @ 55.3400001525879&amp;quot;&#10;## [1] &amp;quot;2021-06-29 00:00:00 XLE 300 @ 53.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-06-29 00:00:00 XLE 300 @ 53.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-07-02 00:00:00 XLE -300 @ 54.689998626709&amp;quot;&#10;## [1] &amp;quot;2021-07-02 00:00:00 XLE -300 @ 54.689998626709&amp;quot;&#10;## [1] &amp;quot;2021-07-07 00:00:00 XLE 300 @ 52.0499992370605&amp;quot;&#10;## [1] &amp;quot;2021-07-07 00:00:00 XLE 300 @ 52.0499992370605&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLE -300 @ 48.7000007629395&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLE -300 @ 48.7000007629395&amp;quot;&#10;## [1] &amp;quot;2021-08-03 00:00:00 XLE 300 @ 49.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-08-03 00:00:00 XLE 300 @ 49.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-08-04 00:00:00 XLE -300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-08-04 00:00:00 XLE -300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-08-05 00:00:00 XLE 300 @ 49.060001373291&amp;quot;&#10;## [1] &amp;quot;2021-08-05 00:00:00 XLE 300 @ 49.060001373291&amp;quot;&#10;## [1] &amp;quot;2021-08-11 00:00:00 XLE -300 @ 50.060001373291&amp;quot;&#10;## [1] &amp;quot;2021-08-11 00:00:00 XLE -300 @ 50.060001373291&amp;quot;&#10;## [1] &amp;quot;2021-08-16 00:00:00 XLE 300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-08-16 00:00:00 XLE 300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-08-24 00:00:00 XLE -300 @ 48.4000015258789&amp;quot;&#10;## [1] &amp;quot;2021-08-24 00:00:00 XLE -300 @ 48.4000015258789&amp;quot;&#10;## [1] &amp;quot;2021-09-02 00:00:00 XLE 300 @ 48.9000015258789&amp;quot;&#10;## [1] &amp;quot;2021-09-02 00:00:00 XLE 300 @ 48.9000015258789&amp;quot;&#10;## [1] &amp;quot;2021-09-03 00:00:00 XLE -300 @ 48.6199989318848&amp;quot;&#10;## [1] &amp;quot;2021-09-03 00:00:00 XLE -300 @ 48.6199989318848&amp;quot;&#10;## [1] &amp;quot;2021-09-09 00:00:00 XLE 300 @ 47.810001373291&amp;quot;&#10;## [1] &amp;quot;2021-09-09 00:00:00 XLE 300 @ 47.810001373291&amp;quot;&#10;## [1] &amp;quot;2021-09-14 00:00:00 XLE -300 @ 48.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-09-14 00:00:00 XLE -300 @ 48.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-09-21 00:00:00 XLE 300 @ 47.3499984741211&amp;quot;&#10;## [1] &amp;quot;2021-09-21 00:00:00 XLE 300 @ 47.3499984741211&amp;quot;&#10;## [1] &amp;quot;2021-09-23 00:00:00 XLE -300 @ 50.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-09-23 00:00:00 XLE -300 @ 50.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-10-22 00:00:00 XLE 300 @ 57.9500007629395&amp;quot;&#10;## [1] &amp;quot;2021-10-22 00:00:00 XLE 300 @ 57.9500007629395&amp;quot;&#10;## [1] &amp;quot;2021-10-26 00:00:00 XLE -300 @ 59.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-10-26 00:00:00 XLE -300 @ 59.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-10-28 00:00:00 XLE 300 @ 57.8499984741211&amp;quot;&#10;## [1] &amp;quot;2021-10-28 00:00:00 XLE 300 @ 57.8499984741211&amp;quot;&#10;## [1] &amp;quot;2021-11-02 00:00:00 XLE -300 @ 57.9099998474121&amp;quot;&#10;## [1] &amp;quot;2021-11-02 00:00:00 XLE -300 @ 57.9099998474121&amp;quot;&#10;## [1] &amp;quot;2021-11-04 00:00:00 XLE 300 @ 57.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-11-04 00:00:00 XLE 300 @ 57.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-11-08 00:00:00 XLE -300 @ 58.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-11-08 00:00:00 XLE -300 @ 58.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-11-11 00:00:00 XLE 300 @ 57.689998626709&amp;quot;&#10;## [1] &amp;quot;2021-11-11 00:00:00 XLE 300 @ 57.689998626709&amp;quot;&#10;## [1] &amp;quot;2021-11-17 00:00:00 XLE -300 @ 57.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-11-17 00:00:00 XLE -300 @ 57.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-11-18 00:00:00 XLE 300 @ 56.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-11-18 00:00:00 XLE 300 @ 56.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-11-24 00:00:00 XLE -300 @ 57.9099998474121&amp;quot;&#10;## [1] &amp;quot;2021-11-24 00:00:00 XLE -300 @ 57.9099998474121&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLE 300 @ 55.9000015258789&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLE 300 @ 55.9000015258789&amp;quot;&#10;## [1] &amp;quot;2021-12-07 00:00:00 XLE -300 @ 57.2700004577637&amp;quot;&#10;## [1] &amp;quot;2021-12-07 00:00:00 XLE -300 @ 57.2700004577637&amp;quot;&#10;## [1] &amp;quot;2021-12-14 00:00:00 XLE 300 @ 55.4199981689453&amp;quot;&#10;## [1] &amp;quot;2021-12-14 00:00:00 XLE 300 @ 55.4199981689453&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLE -300 @ 56.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLE -300 @ 56.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-12-31 00:00:00 XLE 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2021-12-31 00:00:00 XLE 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLE -300 @ 59.2000007629395&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLE -300 @ 59.2000007629395&amp;quot;&#10;## [1] &amp;quot;2022-01-21 00:00:00 XLE 300 @ 62.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-01-21 00:00:00 XLE 300 @ 62.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-01-26 00:00:00 XLE -300 @ 65.1999969482422&amp;quot;&#10;## [1] &amp;quot;2022-01-26 00:00:00 XLE -300 @ 65.1999969482422&amp;quot;&#10;## [1] &amp;quot;2022-02-16 00:00:00 XLE 300 @ 68.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-02-16 00:00:00 XLE 300 @ 68.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLE -300 @ 70.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLE -300 @ 70.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-03-15 00:00:00 XLE 300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2022-03-15 00:00:00 XLE 300 @ 71.8199996948242&amp;quot;&#10;## [1] &amp;quot;2022-03-22 00:00:00 XLE -300 @ 75.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-03-22 00:00:00 XLE -300 @ 75.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-04-06 00:00:00 XLE 300 @ 76.4000015258789&amp;quot;&#10;## [1] &amp;quot;2022-04-06 00:00:00 XLE 300 @ 76.4000015258789&amp;quot;&#10;## [1] &amp;quot;2022-04-08 00:00:00 XLE -300 @ 79.5299987792969&amp;quot;&#10;## [1] &amp;quot;2022-04-08 00:00:00 XLE -300 @ 79.5299987792969&amp;quot;&#10;## [1] &amp;quot;2022-04-22 00:00:00 XLE 300 @ 76.1999969482422&amp;quot;&#10;## [1] &amp;quot;2022-04-22 00:00:00 XLE 300 @ 76.1999969482422&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLE -300 @ 75.1500015258789&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLE -300 @ 75.1500015258789&amp;quot;&#10;## [1] &amp;quot;2022-05-10 00:00:00 XLE 300 @ 76.75&amp;quot;&#10;## [1] &amp;quot;2022-05-10 00:00:00 XLE 300 @ 76.75&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLE -300 @ 82.9100036621094&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLE -300 @ 82.9100036621094&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLE 300 @ 88.7099990844727&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLE 300 @ 88.7099990844727&amp;quot;&#10;## [1] &amp;quot;2022-06-29 00:00:00 XLE -300 @ 73.0500030517578&amp;quot;&#10;## [1] &amp;quot;2022-06-29 00:00:00 XLE -300 @ 73.0500030517578&amp;quot;&#10;## [1] &amp;quot;2022-07-01 00:00:00 XLE 300 @ 72.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-07-01 00:00:00 XLE 300 @ 72.5800018310547&amp;quot;&#10;## [1] &amp;quot;2022-07-19 00:00:00 XLE -300 @ 72.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-07-19 00:00:00 XLE -300 @ 72.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-08-04 00:00:00 XLE 300 @ 71.6600036621094&amp;quot;&#10;## [1] &amp;quot;2022-08-04 00:00:00 XLE 300 @ 71.6600036621094&amp;quot;&#10;## [1] &amp;quot;2022-08-10 00:00:00 XLE -300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2022-08-10 00:00:00 XLE -300 @ 75.2900009155273&amp;quot;&#10;## [1] &amp;quot;2022-08-31 00:00:00 XLE 300 @ 80.5&amp;quot;&#10;## [1] &amp;quot;2022-08-31 00:00:00 XLE 300 @ 80.5&amp;quot;&#10;## [1] &amp;quot;2022-09-12 00:00:00 XLE -300 @ 82.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-09-12 00:00:00 XLE -300 @ 82.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-09-19 00:00:00 XLE 300 @ 77.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-09-19 00:00:00 XLE 300 @ 77.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLE -300 @ 72.5999984741211&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLE -300 @ 72.5999984741211&amp;quot;&#10;## [1] &amp;quot;2022-10-12 00:00:00 XLE 300 @ 80.120002746582&amp;quot;&#10;## [1] &amp;quot;2022-10-12 00:00:00 XLE 300 @ 80.120002746582&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLE -300 @ 80.2799987792969&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLE -300 @ 80.2799987792969&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLE 300 @ 90.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLE 300 @ 90.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-11-07 00:00:00 XLE -300 @ 92.9899978637695&amp;quot;&#10;## [1] &amp;quot;2022-11-07 00:00:00 XLE -300 @ 92.9899978637695&amp;quot;&#10;## [1] &amp;quot;2022-11-10 00:00:00 XLE 300 @ 90.5&amp;quot;&#10;## [1] &amp;quot;2022-11-10 00:00:00 XLE 300 @ 90.5&amp;quot;&#10;## [1] &amp;quot;2022-11-14 00:00:00 XLE -300 @ 93.0999984741211&amp;quot;&#10;## [1] &amp;quot;2022-11-14 00:00:00 XLE -300 @ 93.0999984741211&amp;quot;&#10;## [1] &amp;quot;2022-11-21 00:00:00 XLE 300 @ 90.3899993896484&amp;quot;&#10;## [1] &amp;quot;2022-11-21 00:00:00 XLE 300 @ 90.3899993896484&amp;quot;&#10;## [1] &amp;quot;2022-11-23 00:00:00 XLE -300 @ 92.2099990844727&amp;quot;&#10;## [1] &amp;quot;2022-11-23 00:00:00 XLE -300 @ 92.2099990844727&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLE 300 @ 90.6999969482422&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLE 300 @ 90.6999969482422&amp;quot;&#10;## [1] &amp;quot;2022-12-14 00:00:00 XLE -300 @ 85.9300003051758&amp;quot;&#10;## [1] &amp;quot;2022-12-14 00:00:00 XLE -300 @ 85.9300003051758&amp;quot;&#10;## [1] &amp;quot;2022-12-19 00:00:00 XLE 300 @ 83.4899978637695&amp;quot;&#10;## [1] &amp;quot;2022-12-19 00:00:00 XLE 300 @ 83.4899978637695&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLE -300 @ 84.370002746582&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLE -300 @ 84.370002746582&amp;quot;&#10;## [1] &amp;quot;2023-01-04 00:00:00 XLE 300 @ 84.3899993896484&amp;quot;&#10;## [1] &amp;quot;2023-01-04 00:00:00 XLE 300 @ 84.3899993896484&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLE -300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLE -300 @ 87.25&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLE 300 @ 89.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLE 300 @ 89.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-01-23 00:00:00 XLE -300 @ 90.5999984741211&amp;quot;&#10;## [1] &amp;quot;2023-01-23 00:00:00 XLE -300 @ 90.5999984741211&amp;quot;&#10;## [1] &amp;quot;2023-01-31 00:00:00 XLE 300 @ 89.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-01-31 00:00:00 XLE 300 @ 89.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-02-08 00:00:00 XLE -300 @ 87.5599975585938&amp;quot;&#10;## [1] &amp;quot;2023-02-08 00:00:00 XLE -300 @ 87.5599975585938&amp;quot;&#10;## [1] &amp;quot;2023-02-16 00:00:00 XLE 300 @ 87.6100006103516&amp;quot;&#10;## [1] &amp;quot;2023-02-16 00:00:00 XLE 300 @ 87.6100006103516&amp;quot;&#10;## [1] &amp;quot;2023-03-02 00:00:00 XLE -300 @ 86.0899963378906&amp;quot;&#10;## [1] &amp;quot;2023-03-02 00:00:00 XLE -300 @ 86.0899963378906&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLE 300 @ 84.9000015258789&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLE 300 @ 84.9000015258789&amp;quot;&#10;## [1] &amp;quot;2023-03-22 00:00:00 XLE -300 @ 78.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-03-22 00:00:00 XLE -300 @ 78.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-03-24 00:00:00 XLE 300 @ 77.8899993896484&amp;quot;&#10;## [1] &amp;quot;2023-03-24 00:00:00 XLE 300 @ 77.8899993896484&amp;quot;&#10;## [1] &amp;quot;2023-03-28 00:00:00 XLE -300 @ 80.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-03-28 00:00:00 XLE -300 @ 80.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-04-18 00:00:00 XLE 300 @ 86.5400009155273&amp;quot;&#10;## [1] &amp;quot;2023-04-18 00:00:00 XLE 300 @ 86.5400009155273&amp;quot;&#10;## [1] &amp;quot;2023-04-25 00:00:00 XLE -300 @ 84.6600036621094&amp;quot;&#10;## [1] &amp;quot;2023-04-25 00:00:00 XLE -300 @ 84.6600036621094&amp;quot;&#10;## [1] &amp;quot;2023-04-26 00:00:00 XLE 300 @ 83.5299987792969&amp;quot;&#10;## [1] &amp;quot;2023-04-26 00:00:00 XLE 300 @ 83.5299987792969&amp;quot;&#10;## [1] &amp;quot;2023-05-01 00:00:00 XLE -300 @ 84.1699981689453&amp;quot;&#10;## [1] &amp;quot;2023-05-01 00:00:00 XLE -300 @ 84.1699981689453&amp;quot;&#10;## [1] &amp;quot;2023-05-03 00:00:00 XLE 300 @ 78.9899978637695&amp;quot;&#10;## [1] &amp;quot;2023-05-03 00:00:00 XLE 300 @ 78.9899978637695&amp;quot;&#10;## [1] &amp;quot;2023-05-19 00:00:00 XLE -300 @ 79.6399993896484&amp;quot;&#10;## [1] &amp;quot;2023-05-19 00:00:00 XLE -300 @ 79.6399993896484&amp;quot;&#10;## [1] &amp;quot;2023-05-26 00:00:00 XLE 300 @ 78.7699966430664&amp;quot;&#10;## [1] &amp;quot;2023-05-26 00:00:00 XLE 300 @ 78.7699966430664&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLE -300 @ 79.370002746582&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLE -300 @ 79.370002746582&amp;quot;&#10;## [1] &amp;quot;2023-06-13 00:00:00 XLE 300 @ 80.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-06-13 00:00:00 XLE 300 @ 80.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-06-28 00:00:00 XLE -300 @ 79.7300033569336&amp;quot;&#10;## [1] &amp;quot;2023-06-28 00:00:00 XLE -300 @ 79.7300033569336&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLE 300 @ 80.7900009155273&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLE 300 @ 80.7900009155273&amp;quot;&#10;## [1] &amp;quot;2023-07-11 00:00:00 XLE -300 @ 83.2099990844727&amp;quot;&#10;## [1] &amp;quot;2023-07-11 00:00:00 XLE -300 @ 83.2099990844727&amp;quot;&#10;## [1] &amp;quot;2023-07-17 00:00:00 XLE 300 @ 81.2900009155273&amp;quot;&#10;## [1] &amp;quot;2023-07-17 00:00:00 XLE 300 @ 81.2900009155273&amp;quot;&#10;## [1] &amp;quot;2023-07-20 00:00:00 XLE -300 @ 83.5599975585938&amp;quot;&#10;## [1] &amp;quot;2023-07-20 00:00:00 XLE -300 @ 83.5599975585938&amp;quot;&#10;## [1] &amp;quot;2023-08-03 00:00:00 XLE 300 @ 86.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-08-03 00:00:00 XLE 300 @ 86.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLE -300 @ 87.4499969482422&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLE -300 @ 87.4499969482422&amp;quot;&#10;## [1] &amp;quot;2023-08-16 00:00:00 XLE 300 @ 86.9000015258789&amp;quot;&#10;## [1] &amp;quot;2023-08-16 00:00:00 XLE 300 @ 86.9000015258789&amp;quot;&#10;## [1] &amp;quot;2023-08-21 00:00:00 XLE -300 @ 88.25&amp;quot;&#10;## [1] &amp;quot;2023-08-21 00:00:00 XLE -300 @ 88.25&amp;quot;&#10;## [1] &amp;quot;2023-08-23 00:00:00 XLE 300 @ 87.3499984741211&amp;quot;&#10;## [1] &amp;quot;2023-08-23 00:00:00 XLE 300 @ 87.3499984741211&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLE -300 @ 88.4199981689453&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLE -300 @ 88.4199981689453&amp;quot;&#10;## [1] &amp;quot;2023-09-20 00:00:00 XLE 300 @ 90.4000015258789&amp;quot;&#10;## [1] &amp;quot;2023-09-20 00:00:00 XLE 300 @ 90.4000015258789&amp;quot;&#10;## [1] &amp;quot;2023-09-26 00:00:00 XLE -300 @ 89.9100036621094&amp;quot;&#10;## [1] &amp;quot;2023-09-26 00:00:00 XLE -300 @ 89.9100036621094&amp;quot;&#10;## [1] &amp;quot;2023-10-02 00:00:00 XLE 300 @ 88.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-10-02 00:00:00 XLE 300 @ 88.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-10-10 00:00:00 XLE -300 @ 88.6999969482422&amp;quot;&#10;## [1] &amp;quot;2023-10-10 00:00:00 XLE -300 @ 88.6999969482422&amp;quot;&#10;## [1] &amp;quot;2023-10-23 00:00:00 XLE 300 @ 88.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-10-23 00:00:00 XLE 300 @ 88.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-11-03 00:00:00 XLE -300 @ 86.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-11-03 00:00:00 XLE -300 @ 86.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-11-08 00:00:00 XLE 300 @ 82.75&amp;quot;&#10;## [1] &amp;quot;2023-11-08 00:00:00 XLE 300 @ 82.75&amp;quot;&#10;## [1] &amp;quot;2023-11-14 00:00:00 XLE -300 @ 84.7600021362305&amp;quot;&#10;## [1] &amp;quot;2023-11-14 00:00:00 XLE -300 @ 84.7600021362305&amp;quot;&#10;## [1] &amp;quot;2023-11-17 00:00:00 XLE 300 @ 84.6900024414062&amp;quot;&#10;## [1] &amp;quot;2023-11-17 00:00:00 XLE 300 @ 84.6900024414062&amp;quot;&#10;## [1] &amp;quot;2023-11-21 00:00:00 XLE -300 @ 84.620002746582&amp;quot;&#10;## [1] &amp;quot;2023-11-21 00:00:00 XLE -300 @ 84.620002746582&amp;quot;&#10;## [1] &amp;quot;2023-11-30 00:00:00 XLE 300 @ 84.5800018310547&amp;quot;&#10;## [1] &amp;quot;2023-11-30 00:00:00 XLE 300 @ 84.5800018310547&amp;quot;&#10;## [1] &amp;quot;2023-12-04 00:00:00 XLE -300 @ 84.629997253418&amp;quot;&#10;## [1] &amp;quot;2023-12-04 00:00:00 XLE -300 @ 84.629997253418&amp;quot;&#10;## [1] &amp;quot;2023-12-06 00:00:00 XLE 300 @ 81.9100036621094&amp;quot;&#10;## [1] &amp;quot;2023-12-06 00:00:00 XLE 300 @ 81.9100036621094&amp;quot;&#10;## [1] &amp;quot;2023-12-15 00:00:00 XLE -300 @ 84.3000030517578&amp;quot;&#10;## [1] &amp;quot;2023-12-15 00:00:00 XLE -300 @ 84.3000030517578&amp;quot;&#10;## [1] &amp;quot;2023-12-29 00:00:00 XLE 300 @ 83.8399963378906&amp;quot;&#10;## [1] &amp;quot;2023-12-29 00:00:00 XLE 300 @ 83.8399963378906&amp;quot;&#10;## [1] &amp;quot;2024-01-04 00:00:00 XLE -300 @ 84.6100006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-04 00:00:00 XLE -300 @ 84.6100006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLE 300 @ 82.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLE 300 @ 82.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-24 00:00:00 XLE -300 @ 81.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-01-24 00:00:00 XLE -300 @ 81.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-02-01 00:00:00 XLE 300 @ 83.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-02-01 00:00:00 XLE 300 @ 83.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-02-08 00:00:00 XLE -300 @ 84.6100006103516&amp;quot;&#10;## [1] &amp;quot;2024-02-08 00:00:00 XLE -300 @ 84.6100006103516&amp;quot;&#10;## [1] &amp;quot;2024-02-12 00:00:00 XLE 300 @ 84.2300033569336&amp;quot;&#10;## [1] &amp;quot;2024-02-12 00:00:00 XLE 300 @ 84.2300033569336&amp;quot;&#10;## [1] &amp;quot;2024-02-16 00:00:00 XLE -300 @ 85.5699996948242&amp;quot;&#10;## [1] &amp;quot;2024-02-16 00:00:00 XLE -300 @ 85.5699996948242&amp;quot;&#10;## [1] &amp;quot;2024-02-29 00:00:00 XLE 300 @ 86.1399993896484&amp;quot;&#10;## [1] &amp;quot;2024-02-29 00:00:00 XLE 300 @ 86.1399993896484&amp;quot;&#10;## [1] &amp;quot;2024-03-04 00:00:00 XLE -300 @ 86.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-03-04 00:00:00 XLE -300 @ 86.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-04-15 00:00:00 XLE 300 @ 95.2300033569336&amp;quot;&#10;## [1] &amp;quot;2024-04-15 00:00:00 XLE 300 @ 95.2300033569336&amp;quot;&#10;## [1] &amp;quot;2024-04-22 00:00:00 XLE -300 @ 95.5899963378906&amp;quot;&#10;## [1] &amp;quot;2024-04-22 00:00:00 XLE -300 @ 95.5899963378906&amp;quot;&#10;## [1] &amp;quot;2024-04-29 00:00:00 XLE 300 @ 96.3899993896484&amp;quot;&#10;## [1] &amp;quot;2024-04-29 00:00:00 XLE 300 @ 96.3899993896484&amp;quot;&#10;## [1] &amp;quot;2024-05-07 00:00:00 XLE -300 @ 93.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-05-07 00:00:00 XLE -300 @ 93.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-05-23 00:00:00 XLE 300 @ 91.2399978637695&amp;quot;&#10;## [1] &amp;quot;2024-05-23 00:00:00 XLE 300 @ 91.2399978637695&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLE -300 @ 90.7600021362305&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLE -300 @ 90.7600021362305&amp;quot;&#10;## [1] &amp;quot;2024-06-05 00:00:00 XLE 300 @ 89.879997253418&amp;quot;&#10;## [1] &amp;quot;2024-06-05 00:00:00 XLE 300 @ 89.879997253418&amp;quot;&#10;## [1] &amp;quot;2024-06-11 00:00:00 XLE -300 @ 90.4899978637695&amp;quot;&#10;## [1] &amp;quot;2024-06-11 00:00:00 XLE -300 @ 90.4899978637695&amp;quot;&#10;## [1] &amp;quot;2024-06-13 00:00:00 XLE 300 @ 88.6999969482422&amp;quot;&#10;## [1] &amp;quot;2024-06-13 00:00:00 XLE 300 @ 88.6999969482422&amp;quot;&#10;## [1] &amp;quot;2024-06-21 00:00:00 XLE -300 @ 89.75&amp;quot;&#10;## [1] &amp;quot;2024-06-21 00:00:00 XLE -300 @ 89.75&amp;quot;&#10;## [1] &amp;quot;2024-07-08 00:00:00 XLE 300 @ 89.5500030517578&amp;quot;&#10;## [1] &amp;quot;2024-07-08 00:00:00 XLE 300 @ 89.5500030517578&amp;quot;&#10;## [1] &amp;quot;2024-07-12 00:00:00 XLE -300 @ 90.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-07-12 00:00:00 XLE -300 @ 90.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-07-23 00:00:00 XLE 300 @ 90.3300018310547&amp;quot;&#10;## [1] &amp;quot;2024-07-23 00:00:00 XLE 300 @ 90.3300018310547&amp;quot;&#10;## [1] &amp;quot;2024-07-26 00:00:00 XLE -300 @ 92.1900024414062&amp;quot;&#10;## [1] &amp;quot;2024-07-26 00:00:00 XLE -300 @ 92.1900024414062&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLE 300 @ 88.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLE 300 @ 88.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLE -300 @ 89.4100036621094&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLE -300 @ 89.4100036621094&amp;quot;&#10;## [1] &amp;quot;2024-08-21 00:00:00 XLE 300 @ 88.8300018310547&amp;quot;&#10;## [1] &amp;quot;2024-08-21 00:00:00 XLE 300 @ 88.8300018310547&amp;quot;&#10;## [1] &amp;quot;2024-08-26 00:00:00 XLE -300 @ 91.1999969482422&amp;quot;&#10;## [1] &amp;quot;2024-08-26 00:00:00 XLE -300 @ 91.1999969482422&amp;quot;&#10;## [1] &amp;quot;2024-08-29 00:00:00 XLE 300 @ 90.9400024414062&amp;quot;&#10;## [1] &amp;quot;2024-08-29 00:00:00 XLE 300 @ 90.9400024414062&amp;quot;&#10;## [1] &amp;quot;2024-08-30 00:00:00 XLE -300 @ 91.2799987792969&amp;quot;&#10;## [1] &amp;quot;2024-08-30 00:00:00 XLE -300 @ 91.2799987792969&amp;quot;&#10;## [1] &amp;quot;2024-09-04 00:00:00 XLE 300 @ 87.7799987792969&amp;quot;&#10;## [1] &amp;quot;2024-09-04 00:00:00 XLE 300 @ 87.7799987792969&amp;quot;&#10;## [1] &amp;quot;2024-09-17 00:00:00 XLE -300 @ 87.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-09-17 00:00:00 XLE -300 @ 87.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-09-26 00:00:00 XLE 300 @ 85.4499969482422&amp;quot;&#10;## [1] &amp;quot;2024-09-26 00:00:00 XLE 300 @ 85.4499969482422&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLE -300 @ 90.7200012207031&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLE -300 @ 90.7200012207031&amp;quot;&#10;## [1] &amp;quot;2024-10-09 00:00:00 XLE 300 @ 91.620002746582&amp;quot;&#10;## [1] &amp;quot;2024-10-09 00:00:00 XLE 300 @ 91.620002746582&amp;quot;&#10;## [1] &amp;quot;2024-10-14 00:00:00 XLE -300 @ 92.7699966430664&amp;quot;&#10;## [1] &amp;quot;2024-10-14 00:00:00 XLE -300 @ 92.7699966430664&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLE 300 @ 90.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLE 300 @ 90.2099990844727&amp;quot;&#10;## [1] &amp;quot;2024-11-05 00:00:00 XLE -300 @ 90.1699981689453&amp;quot;&#10;## [1] &amp;quot;2024-11-05 00:00:00 XLE -300 @ 90.1699981689453&amp;quot;&#10;## [1] &amp;quot;2024-11-26 00:00:00 XLE 300 @ 95.2200012207031&amp;quot;&#10;## [1] &amp;quot;2024-11-26 00:00:00 XLE 300 @ 95.2200012207031&amp;quot;&#10;## [1] &amp;quot;2025-01-02 00:00:00 XLE -300 @ 86.6600036621094&amp;quot;&#10;## [1] &amp;quot;2025-01-02 00:00:00 XLE -300 @ 86.6600036621094&amp;quot;&#10;## [1] &amp;quot;2025-01-23 00:00:00 XLE 300 @ 92.1999969482422&amp;quot;&#10;## [1] &amp;quot;2025-01-23 00:00:00 XLE 300 @ 92.1999969482422&amp;quot;&#10;## [1] &amp;quot;2025-02-05 00:00:00 XLE -300 @ 90.2300033569336&amp;quot;&#10;## [1] &amp;quot;2025-02-05 00:00:00 XLE -300 @ 90.2300033569336&amp;quot;&#10;## [1] &amp;quot;2025-02-07 00:00:00 XLE 300 @ 88.5599975585938&amp;quot;&#10;## [1] &amp;quot;2025-02-07 00:00:00 XLE 300 @ 88.5599975585938&amp;quot;&#10;## [1] &amp;quot;2025-02-11 00:00:00 XLE -300 @ 91.2399978637695&amp;quot;&#10;## [1] &amp;quot;2025-02-11 00:00:00 XLE -300 @ 91.2399978637695&amp;quot;&#10;## [1] &amp;quot;2025-02-13 00:00:00 XLE 300 @ 89.7099990844727&amp;quot;&#10;## [1] &amp;quot;2025-02-13 00:00:00 XLE 300 @ 89.7099990844727&amp;quot;&#10;## [1] &amp;quot;2025-02-19 00:00:00 XLE -300 @ 92.0199966430664&amp;quot;&#10;## [1] &amp;quot;2025-02-19 00:00:00 XLE -300 @ 92.0199966430664&amp;quot;&#10;## [1] &amp;quot;2025-02-24 00:00:00 XLE 300 @ 90.9499969482422&amp;quot;&#10;## [1] &amp;quot;2025-02-24 00:00:00 XLE 300 @ 90.9499969482422&amp;quot;&#10;## [1] &amp;quot;2025-03-03 00:00:00 XLE -300 @ 87.8199996948242&amp;quot;&#10;## [1] &amp;quot;2025-03-03 00:00:00 XLE -300 @ 87.8199996948242&amp;quot;&#10;## [1] &amp;quot;2025-03-04 00:00:00 XLE 300 @ 86.9700012207031&amp;quot;&#10;## [1] &amp;quot;2025-03-04 00:00:00 XLE 300 @ 86.9700012207031&amp;quot;&#10;## [1] &amp;quot;2025-03-10 00:00:00 XLE -300 @ 88.0800018310547&amp;quot;&#10;## [1] &amp;quot;2025-03-10 00:00:00 XLE -300 @ 88.0800018310547&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLE 300 @ 93.4499969482422&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLE 300 @ 93.4499969482422&amp;quot;&#10;## [1] &amp;quot;2025-04-01 00:00:00 XLE -300 @ 94&amp;quot;&#10;## [1] &amp;quot;2025-04-01 00:00:00 XLE -300 @ 94&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLE 300 @ 78.7600021362305&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLE 300 @ 78.7600021362305&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLE -300 @ 76.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLE -300 @ 76.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-05-01 00:00:00 XLE 300 @ 80.8000030517578&amp;quot;&#10;## [1] &amp;quot;2025-05-01 00:00:00 XLE 300 @ 80.8000030517578&amp;quot;&#10;## [1] &amp;quot;2025-05-05 00:00:00 XLE -300 @ 80.5&amp;quot;&#10;## [1] &amp;quot;2025-05-05 00:00:00 XLE -300 @ 80.5&amp;quot;&#10;## [1] &amp;quot;2025-05-06 00:00:00 XLE 300 @ 80.5199966430664&amp;quot;&#10;## [1] &amp;quot;2025-05-06 00:00:00 XLE 300 @ 80.5199966430664&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLE -300 @ 82.4300003051758&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLE -300 @ 82.4300003051758&amp;quot;&#10;## [1] &amp;quot;2025-05-20 00:00:00 XLE 300 @ 83.5899963378906&amp;quot;&#10;## [1] &amp;quot;2025-05-20 00:00:00 XLE 300 @ 83.5899963378906&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLE -300 @ 81.6500015258789&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLE -300 @ 81.6500015258789&amp;quot;&#10;## [1] &amp;quot;2025-05-29 00:00:00 XLE 300 @ 82.2600021362305&amp;quot;&#10;## [1] &amp;quot;2025-05-29 00:00:00 XLE 300 @ 82.2600021362305&amp;quot;&#10;## [1] &amp;quot;2025-06-03 00:00:00 XLE -300 @ 83.5800018310547&amp;quot;&#10;## [1] &amp;quot;2025-06-03 00:00:00 XLE -300 @ 83.5800018310547&amp;quot;&#10;## [1] &amp;quot;2025-06-06 00:00:00 XLE 300 @ 83.4100036621094&amp;quot;&#10;## [1] &amp;quot;2025-06-06 00:00:00 XLE 300 @ 83.4100036621094&amp;quot;&#10;## [1] &amp;quot;2025-06-09 00:00:00 XLE -300 @ 83.5699996948242&amp;quot;&#10;## [1] &amp;quot;2025-06-09 00:00:00 XLE -300 @ 83.5699996948242&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLE 300 @ 84.9100036621094&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLE 300 @ 84.9100036621094&amp;quot;&#10;## [1] &amp;quot;2025-07-03 00:00:00 XLE -300 @ 87.0299987792969&amp;quot;&#10;## [1] &amp;quot;2025-07-03 00:00:00 XLE -300 @ 87.0299987792969&amp;quot;&#10;## [1] &amp;quot;1998-12-30 00:00:00 XLF -300 @ 19.2171001434326&amp;quot;&#10;## [1] &amp;quot;1999-01-04 00:00:00 XLF 300 @ 19.0393981933594&amp;quot;&#10;## [1] &amp;quot;1999-01-04 00:00:00 XLF 300 @ 19.0393981933594&amp;quot;&#10;## [1] &amp;quot;1999-01-06 00:00:00 XLF -300 @ 19.8263607025146&amp;quot;&#10;## [1] &amp;quot;1999-01-06 00:00:00 XLF -300 @ 19.8263607025146&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLF 300 @ 19.140941619873&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLF 300 @ 19.140941619873&amp;quot;&#10;## [1] &amp;quot;1999-02-01 00:00:00 XLF -300 @ 19.0393981933594&amp;quot;&#10;## [1] &amp;quot;1999-02-01 00:00:00 XLF -300 @ 19.0393981933594&amp;quot;&#10;## [1] &amp;quot;1999-02-03 00:00:00 XLF 300 @ 18.9759330749512&amp;quot;&#10;## [1] &amp;quot;1999-02-03 00:00:00 XLF 300 @ 18.9759330749512&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLF -300 @ 18.6839962005615&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLF -300 @ 18.6839962005615&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLF 300 @ 19.6740455627441&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLF 300 @ 19.6740455627441&amp;quot;&#10;## [1] &amp;quot;1999-03-02 00:00:00 XLF -300 @ 19.8009757995605&amp;quot;&#10;## [1] &amp;quot;1999-03-02 00:00:00 XLF -300 @ 19.8009757995605&amp;quot;&#10;## [1] &amp;quot;1999-03-17 00:00:00 XLF 300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;1999-03-17 00:00:00 XLF 300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLF -300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLF -300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLF 300 @ 20.0040626525879&amp;quot;&#10;## [1] &amp;quot;1999-03-24 00:00:00 XLF 300 @ 20.0040626525879&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLF -300 @ 20.4990863800049&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLF -300 @ 20.4990863800049&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLF 300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLF 300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLF -300 @ 20.5625514984131&amp;quot;&#10;## [1] &amp;quot;1999-04-06 00:00:00 XLF -300 @ 20.5625514984131&amp;quot;&#10;## [1] &amp;quot;1999-04-16 00:00:00 XLF 300 @ 21.222583770752&amp;quot;&#10;## [1] &amp;quot;1999-04-16 00:00:00 XLF 300 @ 21.222583770752&amp;quot;&#10;## [1] &amp;quot;1999-04-21 00:00:00 XLF -300 @ 21.831844329834&amp;quot;&#10;## [1] &amp;quot;1999-04-21 00:00:00 XLF -300 @ 21.831844329834&amp;quot;&#10;## [1] &amp;quot;1999-04-27 00:00:00 XLF 300 @ 22.0349311828613&amp;quot;&#10;## [1] &amp;quot;1999-04-27 00:00:00 XLF 300 @ 22.0349311828613&amp;quot;&#10;## [1] &amp;quot;1999-04-28 00:00:00 XLF -300 @ 21.9080028533936&amp;quot;&#10;## [1] &amp;quot;1999-04-28 00:00:00 XLF -300 @ 21.9080028533936&amp;quot;&#10;## [1] &amp;quot;1999-05-03 00:00:00 XLF 300 @ 21.9333877563477&amp;quot;&#10;## [1] &amp;quot;1999-05-03 00:00:00 XLF 300 @ 21.9333877563477&amp;quot;&#10;## [1] &amp;quot;1999-05-12 00:00:00 XLF -300 @ 21.9080028533936&amp;quot;&#10;## [1] &amp;quot;1999-05-12 00:00:00 XLF -300 @ 21.9080028533936&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLF 300 @ 21.0194969177246&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLF 300 @ 21.0194969177246&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLF -300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLF -300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;1999-06-11 00:00:00 XLF 300 @ 19.9279041290283&amp;quot;&#10;## [1] &amp;quot;1999-06-11 00:00:00 XLF 300 @ 19.9279041290283&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLF -300 @ 20.8417949676514&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLF -300 @ 20.8417949676514&amp;quot;&#10;## [1] &amp;quot;1999-06-24 00:00:00 XLF 300 @ 20.1817626953125&amp;quot;&#10;## [1] &amp;quot;1999-06-24 00:00:00 XLF 300 @ 20.1817626953125&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLF -300 @ 20.7656383514404&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLF -300 @ 20.7656383514404&amp;quot;&#10;## [1] &amp;quot;1999-07-13 00:00:00 XLF 300 @ 21.0702686309814&amp;quot;&#10;## [1] &amp;quot;1999-07-13 00:00:00 XLF 300 @ 21.0702686309814&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLF -300 @ 21.4256706237793&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLF -300 @ 21.4256706237793&amp;quot;&#10;## [1] &amp;quot;1999-07-21 00:00:00 XLF 300 @ 20.7656383514404&amp;quot;&#10;## [1] &amp;quot;1999-07-21 00:00:00 XLF 300 @ 20.7656383514404&amp;quot;&#10;## [1] &amp;quot;1999-07-28 00:00:00 XLF -300 @ 20.6640949249268&amp;quot;&#10;## [1] &amp;quot;1999-07-28 00:00:00 XLF -300 @ 20.6640949249268&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLF 300 @ 19.9025173187256&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLF 300 @ 19.9025173187256&amp;quot;&#10;## [1] &amp;quot;1999-08-16 00:00:00 XLF -300 @ 19.5725021362305&amp;quot;&#10;## [1] &amp;quot;1999-08-16 00:00:00 XLF -300 @ 19.5725021362305&amp;quot;&#10;## [1] &amp;quot;1999-08-27 00:00:00 XLF 300 @ 19.6994304656982&amp;quot;&#10;## [1] &amp;quot;1999-08-27 00:00:00 XLF 300 @ 19.6994304656982&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLF -300 @ 19.1663284301758&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLF -300 @ 19.1663284301758&amp;quot;&#10;## [1] &amp;quot;1999-09-10 00:00:00 XLF 300 @ 18.9505481719971&amp;quot;&#10;## [1] &amp;quot;1999-09-10 00:00:00 XLF 300 @ 18.9505481719971&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLF -300 @ 18.3920593261719&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLF -300 @ 18.3920593261719&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLF 300 @ 18.0874290466309&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLF 300 @ 18.0874290466309&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLF -300 @ 17.6685619354248&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLF -300 @ 17.6685619354248&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLF 300 @ 17.7827987670898&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLF 300 @ 17.7827987670898&amp;quot;&#10;## [1] &amp;quot;1999-10-20 00:00:00 XLF -300 @ 18.1889724731445&amp;quot;&#10;## [1] &amp;quot;1999-10-20 00:00:00 XLF -300 @ 18.1889724731445&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLF 300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLF 300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLF -300 @ 21.0575752258301&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLF -300 @ 21.0575752258301&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLF 300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLF 300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLF -300 @ 19.7121238708496&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLF -300 @ 19.7121238708496&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLF 300 @ 19.2044067382812&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLF 300 @ 19.2044067382812&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLF -300 @ 19.5978889465332&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLF -300 @ 19.5978889465332&amp;quot;&#10;## [1] &amp;quot;1999-12-15 00:00:00 XLF 300 @ 19.0774784088135&amp;quot;&#10;## [1] &amp;quot;1999-12-15 00:00:00 XLF 300 @ 19.0774784088135&amp;quot;&#10;## [1] &amp;quot;1999-12-22 00:00:00 XLF -300 @ 18.9378547668457&amp;quot;&#10;## [1] &amp;quot;1999-12-22 00:00:00 XLF -300 @ 18.9378547668457&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLF 300 @ 17.7701053619385&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLF 300 @ 17.7701053619385&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLF -300 @ 18.3793659210205&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLF -300 @ 18.3793659210205&amp;quot;&#10;## [1] &amp;quot;2000-01-12 00:00:00 XLF 300 @ 18.4301376342773&amp;quot;&#10;## [1] &amp;quot;2000-01-12 00:00:00 XLF 300 @ 18.4301376342773&amp;quot;&#10;## [1] &amp;quot;2000-01-14 00:00:00 XLF -300 @ 19.4328804016113&amp;quot;&#10;## [1] &amp;quot;2000-01-14 00:00:00 XLF -300 @ 19.4328804016113&amp;quot;&#10;## [1] &amp;quot;2000-01-21 00:00:00 XLF 300 @ 18.1508941650391&amp;quot;&#10;## [1] &amp;quot;2000-01-21 00:00:00 XLF 300 @ 18.1508941650391&amp;quot;&#10;## [1] &amp;quot;2000-01-27 00:00:00 XLF -300 @ 18.8870830535889&amp;quot;&#10;## [1] &amp;quot;2000-01-27 00:00:00 XLF -300 @ 18.8870830535889&amp;quot;&#10;## [1] &amp;quot;2000-01-31 00:00:00 XLF 300 @ 18.7347679138184&amp;quot;&#10;## [1] &amp;quot;2000-01-31 00:00:00 XLF 300 @ 18.7347679138184&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLF -300 @ 18.6459178924561&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLF -300 @ 18.6459178924561&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLF 300 @ 18.341287612915&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLF 300 @ 18.341287612915&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLF -300 @ 16.729284286499&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLF -300 @ 16.729284286499&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLF 300 @ 16.1454105377197&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLF 300 @ 16.1454105377197&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLF -300 @ 16.3865756988525&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLF -300 @ 16.3865756988525&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLF 300 @ 20.0548324584961&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLF 300 @ 20.0548324584961&amp;quot;&#10;## [1] &amp;quot;2000-04-11 00:00:00 XLF -300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;2000-04-11 00:00:00 XLF -300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;2000-04-14 00:00:00 XLF 300 @ 18.2524375915527&amp;quot;&#10;## [1] &amp;quot;2000-04-14 00:00:00 XLF 300 @ 18.2524375915527&amp;quot;&#10;## [1] &amp;quot;2000-04-25 00:00:00 XLF -300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;2000-04-25 00:00:00 XLF -300 @ 20.3086929321289&amp;quot;&#10;## [1] &amp;quot;2000-04-28 00:00:00 XLF 300 @ 19.9025173187256&amp;quot;&#10;## [1] &amp;quot;2000-04-28 00:00:00 XLF 300 @ 19.9025173187256&amp;quot;&#10;## [1] &amp;quot;2000-05-09 00:00:00 XLF -300 @ 19.0774784088135&amp;quot;&#10;## [1] &amp;quot;2000-05-09 00:00:00 XLF -300 @ 19.0774784088135&amp;quot;&#10;## [1] &amp;quot;2000-05-11 00:00:00 XLF 300 @ 19.1282482147217&amp;quot;&#10;## [1] &amp;quot;2000-05-11 00:00:00 XLF 300 @ 19.1282482147217&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLF -300 @ 20.2071495056152&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLF -300 @ 20.2071495056152&amp;quot;&#10;## [1] &amp;quot;2000-05-26 00:00:00 XLF 300 @ 19.6994304656982&amp;quot;&#10;## [1] &amp;quot;2000-05-26 00:00:00 XLF 300 @ 19.6994304656982&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLF -300 @ 20.3467712402344&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLF -300 @ 20.3467712402344&amp;quot;&#10;## [1] &amp;quot;2000-06-12 00:00:00 XLF 300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;2000-06-12 00:00:00 XLF 300 @ 20.6894798278809&amp;quot;&#10;## [1] &amp;quot;2000-06-15 00:00:00 XLF -300 @ 20.524471282959&amp;quot;&#10;## [1] &amp;quot;2000-06-15 00:00:00 XLF -300 @ 20.524471282959&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLF 300 @ 19.4963436126709&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLF 300 @ 19.4963436126709&amp;quot;&#10;## [1] &amp;quot;2000-06-27 00:00:00 XLF -300 @ 19.9405975341797&amp;quot;&#10;## [1] &amp;quot;2000-06-27 00:00:00 XLF -300 @ 19.9405975341797&amp;quot;&#10;## [1] &amp;quot;2000-07-03 00:00:00 XLF 300 @ 19.64866065979&amp;quot;&#10;## [1] &amp;quot;2000-07-03 00:00:00 XLF 300 @ 19.64866065979&amp;quot;&#10;## [1] &amp;quot;2000-07-06 00:00:00 XLF -300 @ 20.0167541503906&amp;quot;&#10;## [1] &amp;quot;2000-07-06 00:00:00 XLF -300 @ 20.0167541503906&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLF 300 @ 21.0321884155273&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLF 300 @ 21.0321884155273&amp;quot;&#10;## [1] &amp;quot;2000-07-21 00:00:00 XLF -300 @ 20.9687252044678&amp;quot;&#10;## [1] &amp;quot;2000-07-21 00:00:00 XLF -300 @ 20.9687252044678&amp;quot;&#10;## [1] &amp;quot;2000-07-31 00:00:00 XLF 300 @ 20.9941101074219&amp;quot;&#10;## [1] &amp;quot;2000-07-31 00:00:00 XLF 300 @ 20.9941101074219&amp;quot;&#10;## [1] &amp;quot;2000-08-02 00:00:00 XLF -300 @ 21.1083469390869&amp;quot;&#10;## [1] &amp;quot;2000-08-02 00:00:00 XLF -300 @ 21.1083469390869&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLF 300 @ 22.631498336792&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLF 300 @ 22.631498336792&amp;quot;&#10;## [1] &amp;quot;2000-08-14 00:00:00 XLF -300 @ 22.9234352111816&amp;quot;&#10;## [1] &amp;quot;2000-08-14 00:00:00 XLF -300 @ 22.9234352111816&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLF 300 @ 22.5299549102783&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLF 300 @ 22.5299549102783&amp;quot;&#10;## [1] &amp;quot;2000-08-23 00:00:00 XLF -300 @ 22.4918766021729&amp;quot;&#10;## [1] &amp;quot;2000-08-23 00:00:00 XLF -300 @ 22.4918766021729&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLF 300 @ 22.5680332183838&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLF 300 @ 22.5680332183838&amp;quot;&#10;## [1] &amp;quot;2000-09-01 00:00:00 XLF -300 @ 22.745735168457&amp;quot;&#10;## [1] &amp;quot;2000-09-01 00:00:00 XLF -300 @ 22.745735168457&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLF 300 @ 22.4918766021729&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLF 300 @ 22.4918766021729&amp;quot;&#10;## [1] &amp;quot;2000-09-26 00:00:00 XLF -300 @ 23.0376739501953&amp;quot;&#10;## [1] &amp;quot;2000-09-26 00:00:00 XLF -300 @ 23.0376739501953&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLF 300 @ 23.7865562438965&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLF 300 @ 23.7865562438965&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLF -300 @ 22.0603160858154&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLF -300 @ 22.0603160858154&amp;quot;&#10;## [1] &amp;quot;2000-10-27 00:00:00 XLF 300 @ 22.3522548675537&amp;quot;&#10;## [1] &amp;quot;2000-10-27 00:00:00 XLF 300 @ 22.3522548675537&amp;quot;&#10;## [1] &amp;quot;2000-10-31 00:00:00 XLF -300 @ 23.3549957275391&amp;quot;&#10;## [1] &amp;quot;2000-10-31 00:00:00 XLF -300 @ 23.3549957275391&amp;quot;&#10;## [1] &amp;quot;2000-11-09 00:00:00 XLF 300 @ 23.2915306091309&amp;quot;&#10;## [1] &amp;quot;2000-11-09 00:00:00 XLF 300 @ 23.2915306091309&amp;quot;&#10;## [1] &amp;quot;2000-11-29 00:00:00 XLF -300 @ 22.2634048461914&amp;quot;&#10;## [1] &amp;quot;2000-11-29 00:00:00 XLF -300 @ 22.2634048461914&amp;quot;&#10;## [1] &amp;quot;2000-12-15 00:00:00 XLF 300 @ 22.5299549102783&amp;quot;&#10;## [1] &amp;quot;2000-12-15 00:00:00 XLF 300 @ 22.5299549102783&amp;quot;&#10;## [1] &amp;quot;2000-12-19 00:00:00 XLF -300 @ 22.936128616333&amp;quot;&#10;## [1] &amp;quot;2000-12-19 00:00:00 XLF -300 @ 22.936128616333&amp;quot;&#10;## [1] &amp;quot;2000-12-21 00:00:00 XLF 300 @ 23.2534523010254&amp;quot;&#10;## [1] &amp;quot;2000-12-21 00:00:00 XLF 300 @ 23.2534523010254&amp;quot;&#10;## [1] &amp;quot;2000-12-22 00:00:00 XLF -300 @ 23.4438457489014&amp;quot;&#10;## [1] &amp;quot;2000-12-22 00:00:00 XLF -300 @ 23.4438457489014&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLF 300 @ 24.548131942749&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLF 300 @ 24.548131942749&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLF -300 @ 24.1165714263916&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLF -300 @ 24.1165714263916&amp;quot;&#10;## [1] &amp;quot;2001-01-08 00:00:00 XLF 300 @ 23.3676891326904&amp;quot;&#10;## [1] &amp;quot;2001-01-08 00:00:00 XLF 300 @ 23.3676891326904&amp;quot;&#10;## [1] &amp;quot;2001-01-23 00:00:00 XLF -300 @ 23.5326976776123&amp;quot;&#10;## [1] &amp;quot;2001-01-23 00:00:00 XLF -300 @ 23.5326976776123&amp;quot;&#10;## [1] &amp;quot;2001-02-07 00:00:00 XLF 300 @ 23.6393184661865&amp;quot;&#10;## [1] &amp;quot;2001-02-07 00:00:00 XLF 300 @ 23.6393184661865&amp;quot;&#10;## [1] &amp;quot;2001-02-13 00:00:00 XLF -300 @ 23.8667755126953&amp;quot;&#10;## [1] &amp;quot;2001-02-13 00:00:00 XLF -300 @ 23.8667755126953&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLF 300 @ 23.590576171875&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLF 300 @ 23.590576171875&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLF -300 @ 22.8350925445557&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLF -300 @ 22.8350925445557&amp;quot;&#10;## [1] &amp;quot;2001-03-06 00:00:00 XLF 300 @ 22.3070678710938&amp;quot;&#10;## [1] &amp;quot;2001-03-06 00:00:00 XLF 300 @ 22.3070678710938&amp;quot;&#10;## [1] &amp;quot;2001-03-08 00:00:00 XLF -300 @ 22.8675861358643&amp;quot;&#10;## [1] &amp;quot;2001-03-08 00:00:00 XLF -300 @ 22.8675861358643&amp;quot;&#10;## [1] &amp;quot;2001-03-12 00:00:00 XLF 300 @ 21.2428913116455&amp;quot;&#10;## [1] &amp;quot;2001-03-12 00:00:00 XLF 300 @ 21.2428913116455&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLF -300 @ 21.3484973907471&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLF -300 @ 21.3484973907471&amp;quot;&#10;## [1] &amp;quot;2001-04-04 00:00:00 XLF 300 @ 20.4142971038818&amp;quot;&#10;## [1] &amp;quot;2001-04-04 00:00:00 XLF 300 @ 20.4142971038818&amp;quot;&#10;## [1] &amp;quot;2001-04-11 00:00:00 XLF -300 @ 21.4622268676758&amp;quot;&#10;## [1] &amp;quot;2001-04-11 00:00:00 XLF -300 @ 21.4622268676758&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLF 300 @ 21.9008941650391&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLF 300 @ 21.9008941650391&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLF -300 @ 22.7051181793213&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLF -300 @ 22.7051181793213&amp;quot;&#10;## [1] &amp;quot;2001-05-09 00:00:00 XLF 300 @ 22.5832653045654&amp;quot;&#10;## [1] &amp;quot;2001-05-09 00:00:00 XLF 300 @ 22.5832653045654&amp;quot;&#10;## [1] &amp;quot;2001-05-16 00:00:00 XLF -300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2001-05-16 00:00:00 XLF -300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2001-05-29 00:00:00 XLF 300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2001-05-29 00:00:00 XLF 300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2001-06-05 00:00:00 XLF -300 @ 23.5743293762207&amp;quot;&#10;## [1] &amp;quot;2001-06-05 00:00:00 XLF -300 @ 23.5743293762207&amp;quot;&#10;## [1] &amp;quot;2001-06-08 00:00:00 XLF 300 @ 23.1031684875488&amp;quot;&#10;## [1] &amp;quot;2001-06-08 00:00:00 XLF 300 @ 23.1031684875488&amp;quot;&#10;## [1] &amp;quot;2001-06-20 00:00:00 XLF -300 @ 22.7863521575928&amp;quot;&#10;## [1] &amp;quot;2001-06-20 00:00:00 XLF -300 @ 22.7863521575928&amp;quot;&#10;## [1] &amp;quot;2001-06-27 00:00:00 XLF 300 @ 22.9244518280029&amp;quot;&#10;## [1] &amp;quot;2001-06-27 00:00:00 XLF 300 @ 22.9244518280029&amp;quot;&#10;## [1] &amp;quot;2001-06-29 00:00:00 XLF -300 @ 23.0706748962402&amp;quot;&#10;## [1] &amp;quot;2001-06-29 00:00:00 XLF -300 @ 23.0706748962402&amp;quot;&#10;## [1] &amp;quot;2001-07-09 00:00:00 XLF 300 @ 22.7944755554199&amp;quot;&#10;## [1] &amp;quot;2001-07-09 00:00:00 XLF 300 @ 22.7944755554199&amp;quot;&#10;## [1] &amp;quot;2001-07-16 00:00:00 XLF -300 @ 22.5345249176025&amp;quot;&#10;## [1] &amp;quot;2001-07-16 00:00:00 XLF -300 @ 22.5345249176025&amp;quot;&#10;## [1] &amp;quot;2001-07-23 00:00:00 XLF 300 @ 22.4857845306396&amp;quot;&#10;## [1] &amp;quot;2001-07-23 00:00:00 XLF 300 @ 22.4857845306396&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLF -300 @ 22.6726245880127&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLF -300 @ 22.6726245880127&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLF 300 @ 22.9244518280029&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLF 300 @ 22.9244518280029&amp;quot;&#10;## [1] &amp;quot;2001-09-26 00:00:00 XLF -300 @ 19.2038993835449&amp;quot;&#10;## [1] &amp;quot;2001-09-26 00:00:00 XLF -300 @ 19.2038993835449&amp;quot;&#10;## [1] &amp;quot;2001-10-08 00:00:00 XLF 300 @ 19.4232330322266&amp;quot;&#10;## [1] &amp;quot;2001-10-08 00:00:00 XLF 300 @ 19.4232330322266&amp;quot;&#10;## [1] &amp;quot;2001-10-12 00:00:00 XLF -300 @ 19.8943958282471&amp;quot;&#10;## [1] &amp;quot;2001-10-12 00:00:00 XLF -300 @ 19.8943958282471&amp;quot;&#10;## [1] &amp;quot;2001-10-22 00:00:00 XLF 300 @ 20.2355804443359&amp;quot;&#10;## [1] &amp;quot;2001-10-22 00:00:00 XLF 300 @ 20.2355804443359&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLF -300 @ 20.2843227386475&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLF -300 @ 20.2843227386475&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLF 300 @ 19.94313621521&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLF 300 @ 19.94313621521&amp;quot;&#10;## [1] &amp;quot;2001-11-05 00:00:00 XLF -300 @ 20.6336307525635&amp;quot;&#10;## [1] &amp;quot;2001-11-05 00:00:00 XLF -300 @ 20.6336307525635&amp;quot;&#10;## [1] &amp;quot;2001-11-13 00:00:00 XLF 300 @ 21.3566207885742&amp;quot;&#10;## [1] &amp;quot;2001-11-13 00:00:00 XLF 300 @ 21.3566207885742&amp;quot;&#10;## [1] &amp;quot;2001-11-14 00:00:00 XLF -300 @ 21.3160037994385&amp;quot;&#10;## [1] &amp;quot;2001-11-14 00:00:00 XLF -300 @ 21.3160037994385&amp;quot;&#10;## [1] &amp;quot;2001-11-19 00:00:00 XLF 300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2001-11-19 00:00:00 XLF 300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2001-11-20 00:00:00 XLF -300 @ 21.3891143798828&amp;quot;&#10;## [1] &amp;quot;2001-11-20 00:00:00 XLF -300 @ 21.3891143798828&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLF 300 @ 21.267261505127&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLF 300 @ 21.267261505127&amp;quot;&#10;## [1] &amp;quot;2001-12-06 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2001-12-06 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLF 300 @ 21.2428913116455&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLF 300 @ 21.2428913116455&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2002-01-09 00:00:00 XLF 300 @ 21.527214050293&amp;quot;&#10;## [1] &amp;quot;2002-01-09 00:00:00 XLF 300 @ 21.527214050293&amp;quot;&#10;## [1] &amp;quot;2002-01-16 00:00:00 XLF -300 @ 21.3566207885742&amp;quot;&#10;## [1] &amp;quot;2002-01-16 00:00:00 XLF -300 @ 21.3566207885742&amp;quot;&#10;## [1] &amp;quot;2002-01-29 00:00:00 XLF 300 @ 20.5117797851562&amp;quot;&#10;## [1] &amp;quot;2002-01-29 00:00:00 XLF 300 @ 20.5117797851562&amp;quot;&#10;## [1] &amp;quot;2002-02-11 00:00:00 XLF -300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;2002-02-11 00:00:00 XLF -300 @ 20.7148666381836&amp;quot;&#10;## [1] &amp;quot;2002-02-19 00:00:00 XLF 300 @ 19.9675064086914&amp;quot;&#10;## [1] &amp;quot;2002-02-19 00:00:00 XLF 300 @ 19.9675064086914&amp;quot;&#10;## [1] &amp;quot;2002-02-26 00:00:00 XLF -300 @ 20.479284286499&amp;quot;&#10;## [1] &amp;quot;2002-02-26 00:00:00 XLF -300 @ 20.479284286499&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLF 300 @ 22.0308685302734&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLF 300 @ 22.0308685302734&amp;quot;&#10;## [1] &amp;quot;2002-03-18 00:00:00 XLF -300 @ 22.3720550537109&amp;quot;&#10;## [1] &amp;quot;2002-03-18 00:00:00 XLF -300 @ 22.3720550537109&amp;quot;&#10;## [1] &amp;quot;2002-03-21 00:00:00 XLF 300 @ 22.0227451324463&amp;quot;&#10;## [1] &amp;quot;2002-03-21 00:00:00 XLF 300 @ 22.0227451324463&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLF -300 @ 22.0552406311035&amp;quot;&#10;## [1] &amp;quot;2002-03-28 00:00:00 XLF -300 @ 22.0552406311035&amp;quot;&#10;## [1] &amp;quot;2002-04-04 00:00:00 XLF 300 @ 21.9658813476562&amp;quot;&#10;## [1] &amp;quot;2002-04-04 00:00:00 XLF 300 @ 21.9658813476562&amp;quot;&#10;## [1] &amp;quot;2002-04-08 00:00:00 XLF -300 @ 22.136474609375&amp;quot;&#10;## [1] &amp;quot;2002-04-08 00:00:00 XLF -300 @ 22.136474609375&amp;quot;&#10;## [1] &amp;quot;2002-04-12 00:00:00 XLF 300 @ 22.079610824585&amp;quot;&#10;## [1] &amp;quot;2002-04-12 00:00:00 XLF 300 @ 22.079610824585&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLF -300 @ 22.2989444732666&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLF -300 @ 22.2989444732666&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLF 300 @ 21.8521537780762&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLF 300 @ 21.8521537780762&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLF -300 @ 21.8521537780762&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLF -300 @ 21.8521537780762&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLF 300 @ 21.1454105377197&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLF 300 @ 21.1454105377197&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLF -300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLF -300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2002-05-13 00:00:00 XLF 300 @ 21.6165714263916&amp;quot;&#10;## [1] &amp;quot;2002-05-13 00:00:00 XLF 300 @ 21.6165714263916&amp;quot;&#10;## [1] &amp;quot;2002-05-15 00:00:00 XLF -300 @ 21.8440284729004&amp;quot;&#10;## [1] &amp;quot;2002-05-15 00:00:00 XLF -300 @ 21.8440284729004&amp;quot;&#10;## [1] &amp;quot;2002-05-21 00:00:00 XLF 300 @ 21.6165714263916&amp;quot;&#10;## [1] &amp;quot;2002-05-21 00:00:00 XLF 300 @ 21.6165714263916&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLF -300 @ 21.7465476989746&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLF -300 @ 21.7465476989746&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLF 300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2002-05-29 00:00:00 XLF 300 @ 21.5109672546387&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLF -300 @ 21.2022743225098&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLF -300 @ 21.2022743225098&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLF 300 @ 20.2599506378174&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLF 300 @ 20.2599506378174&amp;quot;&#10;## [1] &amp;quot;2002-07-01 00:00:00 XLF -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2002-07-01 00:00:00 XLF -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLF 300 @ 19.5044689178467&amp;quot;&#10;## [1] &amp;quot;2002-07-03 00:00:00 XLF 300 @ 19.5044689178467&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLF -300 @ 20.1462230682373&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLF -300 @ 20.1462230682373&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLF 300 @ 18.9926891326904&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLF 300 @ 18.9926891326904&amp;quot;&#10;## [1] &amp;quot;2002-07-29 00:00:00 XLF -300 @ 18.3996753692627&amp;quot;&#10;## [1] &amp;quot;2002-07-29 00:00:00 XLF -300 @ 18.3996753692627&amp;quot;&#10;## [1] &amp;quot;2002-08-05 00:00:00 XLF 300 @ 17.0999183654785&amp;quot;&#10;## [1] &amp;quot;2002-08-05 00:00:00 XLF 300 @ 17.0999183654785&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLF -300 @ 18.9845657348633&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLF -300 @ 18.9845657348633&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLF 300 @ 19.0576763153076&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLF 300 @ 19.0576763153076&amp;quot;&#10;## [1] &amp;quot;2002-08-15 00:00:00 XLF -300 @ 19.2932586669922&amp;quot;&#10;## [1] &amp;quot;2002-08-15 00:00:00 XLF -300 @ 19.2932586669922&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLF 300 @ 19.5125904083252&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLF 300 @ 19.5125904083252&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLF -300 @ 18.6596260070801&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLF -300 @ 18.6596260070801&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLF 300 @ 18.1722183227539&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLF 300 @ 18.1722183227539&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLF -300 @ 16.7749805450439&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLF -300 @ 16.7749805450439&amp;quot;&#10;## [1] &amp;quot;2002-10-04 00:00:00 XLF 300 @ 15.6864337921143&amp;quot;&#10;## [1] &amp;quot;2002-10-04 00:00:00 XLF 300 @ 15.6864337921143&amp;quot;&#10;## [1] &amp;quot;2002-10-14 00:00:00 XLF -300 @ 16.8643379211426&amp;quot;&#10;## [1] &amp;quot;2002-10-14 00:00:00 XLF -300 @ 16.8643379211426&amp;quot;&#10;## [1] &amp;quot;2002-10-25 00:00:00 XLF 300 @ 18.5215263366699&amp;quot;&#10;## [1] &amp;quot;2002-10-25 00:00:00 XLF 300 @ 18.5215263366699&amp;quot;&#10;## [1] &amp;quot;2002-10-28 00:00:00 XLF -300 @ 18.472785949707&amp;quot;&#10;## [1] &amp;quot;2002-10-28 00:00:00 XLF -300 @ 18.472785949707&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLF 300 @ 18.0666122436523&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLF 300 @ 18.0666122436523&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLF -300 @ 18.6839962005615&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLF -300 @ 18.6839962005615&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLF 300 @ 19.1714057922363&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLF 300 @ 19.1714057922363&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLF -300 @ 18.6271324157715&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLF -300 @ 18.6271324157715&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLF 300 @ 18.1153526306152&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLF 300 @ 18.1153526306152&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLF -300 @ 18.5052795410156&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLF -300 @ 18.5052795410156&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLF 300 @ 18.8220958709717&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLF 300 @ 18.8220958709717&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLF -300 @ 17.2136478424072&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLF -300 @ 17.2136478424072&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLF 300 @ 16.9699420928955&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLF 300 @ 16.9699420928955&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLF -300 @ 16.9130783081055&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLF -300 @ 16.9130783081055&amp;quot;&#10;## [1] &amp;quot;2003-03-05 00:00:00 XLF 300 @ 16.9049549102783&amp;quot;&#10;## [1] &amp;quot;2003-03-05 00:00:00 XLF 300 @ 16.9049549102783&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLF -300 @ 16.7181148529053&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLF -300 @ 16.7181148529053&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLF 300 @ 17.4735984802246&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLF 300 @ 17.4735984802246&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLF -300 @ 17.6848087310791&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLF -300 @ 17.6848087310791&amp;quot;&#10;## [1] &amp;quot;2003-04-10 00:00:00 XLF 300 @ 17.8229084014893&amp;quot;&#10;## [1] &amp;quot;2003-04-10 00:00:00 XLF 300 @ 17.8229084014893&amp;quot;&#10;## [1] &amp;quot;2003-04-15 00:00:00 XLF -300 @ 18.4809093475342&amp;quot;&#10;## [1] &amp;quot;2003-04-15 00:00:00 XLF -300 @ 18.4809093475342&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLF 300 @ 18.9195785522461&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLF 300 @ 18.9195785522461&amp;quot;&#10;## [1] &amp;quot;2003-05-01 00:00:00 XLF -300 @ 18.9764423370361&amp;quot;&#10;## [1] &amp;quot;2003-05-01 00:00:00 XLF -300 @ 18.9764423370361&amp;quot;&#10;## [1] &amp;quot;2003-05-09 00:00:00 XLF 300 @ 19.1226654052734&amp;quot;&#10;## [1] &amp;quot;2003-05-09 00:00:00 XLF 300 @ 19.1226654052734&amp;quot;&#10;## [1] &amp;quot;2003-05-13 00:00:00 XLF -300 @ 19.2851333618164&amp;quot;&#10;## [1] &amp;quot;2003-05-13 00:00:00 XLF -300 @ 19.2851333618164&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLF 300 @ 19.0089359283447&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLF 300 @ 19.0089359283447&amp;quot;&#10;## [1] &amp;quot;2003-05-27 00:00:00 XLF -300 @ 19.5288372039795&amp;quot;&#10;## [1] &amp;quot;2003-05-27 00:00:00 XLF -300 @ 19.5288372039795&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLF 300 @ 20.3899269104004&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLF 300 @ 20.3899269104004&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLF -300 @ 20.6580028533936&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLF -300 @ 20.6580028533936&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLF 300 @ 20.3493099212646&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLF 300 @ 20.3493099212646&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLF -300 @ 20.4305438995361&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLF -300 @ 20.4305438995361&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLF 300 @ 20.7717304229736&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLF 300 @ 20.7717304229736&amp;quot;&#10;## [1] &amp;quot;2003-07-15 00:00:00 XLF -300 @ 21.0479297637939&amp;quot;&#10;## [1] &amp;quot;2003-07-15 00:00:00 XLF -300 @ 21.0479297637939&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLF 300 @ 20.8448429107666&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLF 300 @ 20.8448429107666&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLF -300 @ 21.0560512542725&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLF -300 @ 21.0560512542725&amp;quot;&#10;## [1] &amp;quot;2003-08-01 00:00:00 XLF 300 @ 20.4061737060547&amp;quot;&#10;## [1] &amp;quot;2003-08-01 00:00:00 XLF 300 @ 20.4061737060547&amp;quot;&#10;## [1] &amp;quot;2003-08-11 00:00:00 XLF -300 @ 20.5280265808105&amp;quot;&#10;## [1] &amp;quot;2003-08-11 00:00:00 XLF -300 @ 20.5280265808105&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLF 300 @ 20.7473602294922&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLF 300 @ 20.7473602294922&amp;quot;&#10;## [1] &amp;quot;2003-09-02 00:00:00 XLF -300 @ 20.9342002868652&amp;quot;&#10;## [1] &amp;quot;2003-09-02 00:00:00 XLF -300 @ 20.9342002868652&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLF 300 @ 20.6336307525635&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLF 300 @ 20.6336307525635&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLF -300 @ 20.9423236846924&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLF -300 @ 20.9423236846924&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLF 300 @ 21.1372871398926&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLF 300 @ 21.1372871398926&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLF -300 @ 21.2022743225098&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLF -300 @ 21.2022743225098&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLF 300 @ 21.8684005737305&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLF 300 @ 21.8684005737305&amp;quot;&#10;## [1] &amp;quot;2003-10-29 00:00:00 XLF -300 @ 21.9821281433105&amp;quot;&#10;## [1] &amp;quot;2003-10-29 00:00:00 XLF -300 @ 21.9821281433105&amp;quot;&#10;## [1] &amp;quot;2003-11-10 00:00:00 XLF 300 @ 22.0389938354492&amp;quot;&#10;## [1] &amp;quot;2003-11-10 00:00:00 XLF 300 @ 22.0389938354492&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLF -300 @ 22.063362121582&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLF -300 @ 22.063362121582&amp;quot;&#10;## [1] &amp;quot;2003-11-17 00:00:00 XLF 300 @ 21.7221775054932&amp;quot;&#10;## [1] &amp;quot;2003-11-17 00:00:00 XLF 300 @ 21.7221775054932&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLF -300 @ 21.8927707672119&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLF -300 @ 21.8927707672119&amp;quot;&#10;## [1] &amp;quot;2003-12-08 00:00:00 XLF 300 @ 22.2177085876465&amp;quot;&#10;## [1] &amp;quot;2003-12-08 00:00:00 XLF 300 @ 22.2177085876465&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLF -300 @ 22.1608448028564&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLF -300 @ 22.1608448028564&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLF 300 @ 23.5824527740479&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLF 300 @ 23.5824527740479&amp;quot;&#10;## [1] &amp;quot;2004-02-03 00:00:00 XLF -300 @ 23.7611694335938&amp;quot;&#10;## [1] &amp;quot;2004-02-03 00:00:00 XLF -300 @ 23.7611694335938&amp;quot;&#10;## [1] &amp;quot;2004-02-05 00:00:00 XLF 300 @ 23.5580825805664&amp;quot;&#10;## [1] &amp;quot;2004-02-05 00:00:00 XLF 300 @ 23.5580825805664&amp;quot;&#10;## [1] &amp;quot;2004-02-09 00:00:00 XLF -300 @ 23.8586521148682&amp;quot;&#10;## [1] &amp;quot;2004-02-09 00:00:00 XLF -300 @ 23.8586521148682&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLF 300 @ 24.1835918426514&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLF 300 @ 24.1835918426514&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLF -300 @ 24.27294921875&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLF -300 @ 24.27294921875&amp;quot;&#10;## [1] &amp;quot;2004-03-10 00:00:00 XLF 300 @ 24.0617370605469&amp;quot;&#10;## [1] &amp;quot;2004-03-10 00:00:00 XLF 300 @ 24.0617370605469&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLF -300 @ 24.1754665374756&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLF -300 @ 24.1754665374756&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLF 300 @ 23.4930953979492&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLF 300 @ 23.4930953979492&amp;quot;&#10;## [1] &amp;quot;2004-03-30 00:00:00 XLF -300 @ 23.9967517852783&amp;quot;&#10;## [1] &amp;quot;2004-03-30 00:00:00 XLF -300 @ 23.9967517852783&amp;quot;&#10;## [1] &amp;quot;2004-04-08 00:00:00 XLF 300 @ 23.9886264801025&amp;quot;&#10;## [1] &amp;quot;2004-04-08 00:00:00 XLF 300 @ 23.9886264801025&amp;quot;&#10;## [1] &amp;quot;2004-04-13 00:00:00 XLF -300 @ 23.6230716705322&amp;quot;&#10;## [1] &amp;quot;2004-04-13 00:00:00 XLF -300 @ 23.6230716705322&amp;quot;&#10;## [1] &amp;quot;2004-04-14 00:00:00 XLF 300 @ 23.3387489318848&amp;quot;&#10;## [1] &amp;quot;2004-04-14 00:00:00 XLF 300 @ 23.3387489318848&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLF -300 @ 23.2493915557861&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLF -300 @ 23.2493915557861&amp;quot;&#10;## [1] &amp;quot;2004-04-29 00:00:00 XLF 300 @ 22.85133934021&amp;quot;&#10;## [1] &amp;quot;2004-04-29 00:00:00 XLF 300 @ 22.85133934021&amp;quot;&#10;## [1] &amp;quot;2004-05-04 00:00:00 XLF -300 @ 23.0706748962402&amp;quot;&#10;## [1] &amp;quot;2004-05-04 00:00:00 XLF -300 @ 23.0706748962402&amp;quot;&#10;## [1] &amp;quot;2004-05-07 00:00:00 XLF 300 @ 22.3070678710938&amp;quot;&#10;## [1] &amp;quot;2004-05-07 00:00:00 XLF 300 @ 22.3070678710938&amp;quot;&#10;## [1] &amp;quot;2004-05-13 00:00:00 XLF -300 @ 22.5264015197754&amp;quot;&#10;## [1] &amp;quot;2004-05-13 00:00:00 XLF -300 @ 22.5264015197754&amp;quot;&#10;## [1] &amp;quot;2004-05-18 00:00:00 XLF 300 @ 22.4289207458496&amp;quot;&#10;## [1] &amp;quot;2004-05-18 00:00:00 XLF 300 @ 22.4289207458496&amp;quot;&#10;## [1] &amp;quot;2004-05-21 00:00:00 XLF -300 @ 22.6644992828369&amp;quot;&#10;## [1] &amp;quot;2004-05-21 00:00:00 XLF -300 @ 22.6644992828369&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLF 300 @ 23.2656383514404&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLF 300 @ 23.2656383514404&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLF -300 @ 23.5662059783936&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLF -300 @ 23.5662059783936&amp;quot;&#10;## [1] &amp;quot;2004-06-10 00:00:00 XLF 300 @ 23.4362316131592&amp;quot;&#10;## [1] &amp;quot;2004-06-10 00:00:00 XLF 300 @ 23.4362316131592&amp;quot;&#10;## [1] &amp;quot;2004-06-24 00:00:00 XLF -300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2004-06-24 00:00:00 XLF -300 @ 23.3143787384033&amp;quot;&#10;## [1] &amp;quot;2004-06-30 00:00:00 XLF 300 @ 23.2168960571289&amp;quot;&#10;## [1] &amp;quot;2004-06-30 00:00:00 XLF 300 @ 23.2168960571289&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLF -300 @ 22.7619819641113&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLF -300 @ 22.7619819641113&amp;quot;&#10;## [1] &amp;quot;2004-07-15 00:00:00 XLF 300 @ 22.5507717132568&amp;quot;&#10;## [1] &amp;quot;2004-07-15 00:00:00 XLF 300 @ 22.5507717132568&amp;quot;&#10;## [1] &amp;quot;2004-07-21 00:00:00 XLF -300 @ 22.4776592254639&amp;quot;&#10;## [1] &amp;quot;2004-07-21 00:00:00 XLF -300 @ 22.4776592254639&amp;quot;&#10;## [1] &amp;quot;2004-07-22 00:00:00 XLF 300 @ 22.5020313262939&amp;quot;&#10;## [1] &amp;quot;2004-07-22 00:00:00 XLF 300 @ 22.5020313262939&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLF -300 @ 22.6563777923584&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLF -300 @ 22.6563777923584&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLF 300 @ 22.2095851898193&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLF 300 @ 22.2095851898193&amp;quot;&#10;## [1] &amp;quot;2004-08-11 00:00:00 XLF -300 @ 22.558895111084&amp;quot;&#10;## [1] &amp;quot;2004-08-11 00:00:00 XLF -300 @ 22.558895111084&amp;quot;&#10;## [1] &amp;quot;2004-08-13 00:00:00 XLF 300 @ 22.3476848602295&amp;quot;&#10;## [1] &amp;quot;2004-08-13 00:00:00 XLF 300 @ 22.3476848602295&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLF -300 @ 22.8188457489014&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLF -300 @ 22.8188457489014&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLF 300 @ 23.4606018066406&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLF 300 @ 23.4606018066406&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLF -300 @ 23.6230716705322&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLF -300 @ 23.6230716705322&amp;quot;&#10;## [1] &amp;quot;2004-09-16 00:00:00 XLF 300 @ 23.8180332183838&amp;quot;&#10;## [1] &amp;quot;2004-09-16 00:00:00 XLF 300 @ 23.8180332183838&amp;quot;&#10;## [1] &amp;quot;2004-09-17 00:00:00 XLF -300 @ 23.7449226379395&amp;quot;&#10;## [1] &amp;quot;2004-09-17 00:00:00 XLF -300 @ 23.7449226379395&amp;quot;&#10;## [1] &amp;quot;2004-09-21 00:00:00 XLF 300 @ 23.6961822509766&amp;quot;&#10;## [1] &amp;quot;2004-09-21 00:00:00 XLF 300 @ 23.6961822509766&amp;quot;&#10;## [1] &amp;quot;2004-09-30 00:00:00 XLF -300 @ 23.1194152832031&amp;quot;&#10;## [1] &amp;quot;2004-09-30 00:00:00 XLF -300 @ 23.1194152832031&amp;quot;&#10;## [1] &amp;quot;2004-10-14 00:00:00 XLF 300 @ 22.7619819641113&amp;quot;&#10;## [1] &amp;quot;2004-10-14 00:00:00 XLF 300 @ 22.7619819641113&amp;quot;&#10;## [1] &amp;quot;2004-10-27 00:00:00 XLF -300 @ 23.0869216918945&amp;quot;&#10;## [1] &amp;quot;2004-10-27 00:00:00 XLF -300 @ 23.0869216918945&amp;quot;&#10;## [1] &amp;quot;2004-11-22 00:00:00 XLF 300 @ 23.9317626953125&amp;quot;&#10;## [1] &amp;quot;2004-11-22 00:00:00 XLF 300 @ 23.9317626953125&amp;quot;&#10;## [1] &amp;quot;2004-11-26 00:00:00 XLF -300 @ 24.1023559570312&amp;quot;&#10;## [1] &amp;quot;2004-11-26 00:00:00 XLF -300 @ 24.1023559570312&amp;quot;&#10;## [1] &amp;quot;2004-11-30 00:00:00 XLF 300 @ 23.9642562866211&amp;quot;&#10;## [1] &amp;quot;2004-11-30 00:00:00 XLF 300 @ 23.9642562866211&amp;quot;&#10;## [1] &amp;quot;2004-12-02 00:00:00 XLF -300 @ 24.3948001861572&amp;quot;&#10;## [1] &amp;quot;2004-12-02 00:00:00 XLF -300 @ 24.3948001861572&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLF 300 @ 24.2323303222656&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLF 300 @ 24.2323303222656&amp;quot;&#10;## [1] &amp;quot;2004-12-10 00:00:00 XLF -300 @ 24.4029235839844&amp;quot;&#10;## [1] &amp;quot;2004-12-10 00:00:00 XLF -300 @ 24.4029235839844&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLF 300 @ 24.3379364013672&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLF 300 @ 24.3379364013672&amp;quot;&#10;## [1] &amp;quot;2004-12-22 00:00:00 XLF -300 @ 24.7928504943848&amp;quot;&#10;## [1] &amp;quot;2004-12-22 00:00:00 XLF -300 @ 24.7928504943848&amp;quot;&#10;## [1] &amp;quot;2005-01-04 00:00:00 XLF 300 @ 24.4760360717773&amp;quot;&#10;## [1] &amp;quot;2005-01-04 00:00:00 XLF 300 @ 24.4760360717773&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLF -300 @ 24.2973194122314&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLF -300 @ 24.2973194122314&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLF 300 @ 23.9967517852783&amp;quot;&#10;## [1] &amp;quot;2005-01-21 00:00:00 XLF 300 @ 23.9967517852783&amp;quot;&#10;## [1] &amp;quot;2005-01-27 00:00:00 XLF -300 @ 24.0129985809326&amp;quot;&#10;## [1] &amp;quot;2005-01-27 00:00:00 XLF -300 @ 24.0129985809326&amp;quot;&#10;## [1] &amp;quot;2005-01-31 00:00:00 XLF 300 @ 24.2648258209229&amp;quot;&#10;## [1] &amp;quot;2005-01-31 00:00:00 XLF 300 @ 24.2648258209229&amp;quot;&#10;## [1] &amp;quot;2005-02-01 00:00:00 XLF -300 @ 24.5247764587402&amp;quot;&#10;## [1] &amp;quot;2005-02-01 00:00:00 XLF -300 @ 24.5247764587402&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLF 300 @ 24.6385059356689&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLF 300 @ 24.6385059356689&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLF -300 @ 24.7928504943848&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLF -300 @ 24.7928504943848&amp;quot;&#10;## [1] &amp;quot;2005-02-17 00:00:00 XLF 300 @ 24.459789276123&amp;quot;&#10;## [1] &amp;quot;2005-02-17 00:00:00 XLF 300 @ 24.459789276123&amp;quot;&#10;## [1] &amp;quot;2005-02-28 00:00:00 XLF -300 @ 24.1023559570312&amp;quot;&#10;## [1] &amp;quot;2005-02-28 00:00:00 XLF -300 @ 24.1023559570312&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLF 300 @ 24.32981300354&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLF 300 @ 24.32981300354&amp;quot;&#10;## [1] &amp;quot;2005-03-31 00:00:00 XLF -300 @ 23.0625514984131&amp;quot;&#10;## [1] &amp;quot;2005-03-31 00:00:00 XLF -300 @ 23.0625514984131&amp;quot;&#10;## [1] &amp;quot;2005-04-04 00:00:00 XLF 300 @ 22.9082050323486&amp;quot;&#10;## [1] &amp;quot;2005-04-04 00:00:00 XLF 300 @ 22.9082050323486&amp;quot;&#10;## [1] &amp;quot;2005-04-07 00:00:00 XLF -300 @ 23.2168960571289&amp;quot;&#10;## [1] &amp;quot;2005-04-07 00:00:00 XLF -300 @ 23.2168960571289&amp;quot;&#10;## [1] &amp;quot;2005-04-15 00:00:00 XLF 300 @ 22.5264015197754&amp;quot;&#10;## [1] &amp;quot;2005-04-15 00:00:00 XLF 300 @ 22.5264015197754&amp;quot;&#10;## [1] &amp;quot;2005-04-26 00:00:00 XLF -300 @ 22.688871383667&amp;quot;&#10;## [1] &amp;quot;2005-04-26 00:00:00 XLF -300 @ 22.688871383667&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLF 300 @ 23.3549957275391&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLF 300 @ 23.3549957275391&amp;quot;&#10;## [1] &amp;quot;2005-05-17 00:00:00 XLF -300 @ 23.4849720001221&amp;quot;&#10;## [1] &amp;quot;2005-05-17 00:00:00 XLF -300 @ 23.4849720001221&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLF 300 @ 23.7855396270752&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLF 300 @ 23.7855396270752&amp;quot;&#10;## [1] &amp;quot;2005-05-27 00:00:00 XLF -300 @ 23.8261585235596&amp;quot;&#10;## [1] &amp;quot;2005-05-27 00:00:00 XLF -300 @ 23.8261585235596&amp;quot;&#10;## [1] &amp;quot;2005-06-06 00:00:00 XLF 300 @ 23.8424053192139&amp;quot;&#10;## [1] &amp;quot;2005-06-06 00:00:00 XLF 300 @ 23.8424053192139&amp;quot;&#10;## [1] &amp;quot;2005-06-10 00:00:00 XLF -300 @ 23.8424053192139&amp;quot;&#10;## [1] &amp;quot;2005-06-10 00:00:00 XLF -300 @ 23.8424053192139&amp;quot;&#10;## [1] &amp;quot;2005-06-24 00:00:00 XLF 300 @ 23.8099117279053&amp;quot;&#10;## [1] &amp;quot;2005-06-24 00:00:00 XLF 300 @ 23.8099117279053&amp;quot;&#10;## [1] &amp;quot;2005-06-29 00:00:00 XLF -300 @ 24.0942325592041&amp;quot;&#10;## [1] &amp;quot;2005-06-29 00:00:00 XLF -300 @ 24.0942325592041&amp;quot;&#10;## [1] &amp;quot;2005-07-19 00:00:00 XLF 300 @ 24.4029235839844&amp;quot;&#10;## [1] &amp;quot;2005-07-19 00:00:00 XLF 300 @ 24.4029235839844&amp;quot;&#10;## [1] &amp;quot;2005-07-29 00:00:00 XLF -300 @ 24.3135662078857&amp;quot;&#10;## [1] &amp;quot;2005-07-29 00:00:00 XLF -300 @ 24.3135662078857&amp;quot;&#10;## [1] &amp;quot;2005-08-01 00:00:00 XLF 300 @ 24.3135662078857&amp;quot;&#10;## [1] &amp;quot;2005-08-01 00:00:00 XLF 300 @ 24.3135662078857&amp;quot;&#10;## [1] &amp;quot;2005-08-03 00:00:00 XLF -300 @ 24.5247764587402&amp;quot;&#10;## [1] &amp;quot;2005-08-03 00:00:00 XLF -300 @ 24.5247764587402&amp;quot;&#10;## [1] &amp;quot;2005-08-05 00:00:00 XLF 300 @ 24.0779857635498&amp;quot;&#10;## [1] &amp;quot;2005-08-05 00:00:00 XLF 300 @ 24.0779857635498&amp;quot;&#10;## [1] &amp;quot;2005-08-12 00:00:00 XLF -300 @ 24.1348495483398&amp;quot;&#10;## [1] &amp;quot;2005-08-12 00:00:00 XLF -300 @ 24.1348495483398&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLF 300 @ 24.142972946167&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLF 300 @ 24.142972946167&amp;quot;&#10;## [1] &amp;quot;2005-08-23 00:00:00 XLF -300 @ 24.0779857635498&amp;quot;&#10;## [1] &amp;quot;2005-08-23 00:00:00 XLF -300 @ 24.0779857635498&amp;quot;&#10;## [1] &amp;quot;2005-08-24 00:00:00 XLF 300 @ 23.8017864227295&amp;quot;&#10;## [1] &amp;quot;2005-08-24 00:00:00 XLF 300 @ 23.8017864227295&amp;quot;&#10;## [1] &amp;quot;2005-09-02 00:00:00 XLF -300 @ 23.9561328887939&amp;quot;&#10;## [1] &amp;quot;2005-09-02 00:00:00 XLF -300 @ 23.9561328887939&amp;quot;&#10;## [1] &amp;quot;2005-09-15 00:00:00 XLF 300 @ 24.1267261505127&amp;quot;&#10;## [1] &amp;quot;2005-09-15 00:00:00 XLF 300 @ 24.1267261505127&amp;quot;&#10;## [1] &amp;quot;2005-09-19 00:00:00 XLF -300 @ 24.1104793548584&amp;quot;&#10;## [1] &amp;quot;2005-09-19 00:00:00 XLF -300 @ 24.1104793548584&amp;quot;&#10;## [1] &amp;quot;2005-09-21 00:00:00 XLF 300 @ 23.5824527740479&amp;quot;&#10;## [1] &amp;quot;2005-09-21 00:00:00 XLF 300 @ 23.5824527740479&amp;quot;&#10;## [1] &amp;quot;2005-09-30 00:00:00 XLF -300 @ 23.9805030822754&amp;quot;&#10;## [1] &amp;quot;2005-09-30 00:00:00 XLF -300 @ 23.9805030822754&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLF 300 @ 23.5255889892578&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLF 300 @ 23.5255889892578&amp;quot;&#10;## [1] &amp;quot;2005-10-17 00:00:00 XLF -300 @ 23.6393184661865&amp;quot;&#10;## [1] &amp;quot;2005-10-17 00:00:00 XLF -300 @ 23.6393184661865&amp;quot;&#10;## [1] &amp;quot;2005-11-16 00:00:00 XLF 300 @ 25.3208770751953&amp;quot;&#10;## [1] &amp;quot;2005-11-16 00:00:00 XLF 300 @ 25.3208770751953&amp;quot;&#10;## [1] &amp;quot;2005-11-18 00:00:00 XLF -300 @ 25.7514228820801&amp;quot;&#10;## [1] &amp;quot;2005-11-18 00:00:00 XLF -300 @ 25.7514228820801&amp;quot;&#10;## [1] &amp;quot;2005-12-01 00:00:00 XLF 300 @ 26.0276203155518&amp;quot;&#10;## [1] &amp;quot;2005-12-01 00:00:00 XLF 300 @ 26.0276203155518&amp;quot;&#10;## [1] &amp;quot;2005-12-12 00:00:00 XLF -300 @ 25.8001613616943&amp;quot;&#10;## [1] &amp;quot;2005-12-12 00:00:00 XLF -300 @ 25.8001613616943&amp;quot;&#10;## [1] &amp;quot;2005-12-19 00:00:00 XLF 300 @ 25.7514228820801&amp;quot;&#10;## [1] &amp;quot;2005-12-19 00:00:00 XLF 300 @ 25.7514228820801&amp;quot;&#10;## [1] &amp;quot;2005-12-23 00:00:00 XLF -300 @ 26.149471282959&amp;quot;&#10;## [1] &amp;quot;2005-12-23 00:00:00 XLF -300 @ 26.149471282959&amp;quot;&#10;## [1] &amp;quot;2005-12-28 00:00:00 XLF 300 @ 25.8895206451416&amp;quot;&#10;## [1] &amp;quot;2005-12-28 00:00:00 XLF 300 @ 25.8895206451416&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLF -300 @ 26.1332244873047&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLF -300 @ 26.1332244873047&amp;quot;&#10;## [1] &amp;quot;2006-01-18 00:00:00 XLF 300 @ 26.0682373046875&amp;quot;&#10;## [1] &amp;quot;2006-01-18 00:00:00 XLF 300 @ 26.0682373046875&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLF -300 @ 26.1332244873047&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLF -300 @ 26.1332244873047&amp;quot;&#10;## [1] &amp;quot;2006-02-02 00:00:00 XLF 300 @ 25.7595443725586&amp;quot;&#10;## [1] &amp;quot;2006-02-02 00:00:00 XLF 300 @ 25.7595443725586&amp;quot;&#10;## [1] &amp;quot;2006-02-10 00:00:00 XLF -300 @ 25.9301376342773&amp;quot;&#10;## [1] &amp;quot;2006-02-10 00:00:00 XLF -300 @ 25.9301376342773&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLF 300 @ 26.6450042724609&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLF 300 @ 26.6450042724609&amp;quot;&#10;## [1] &amp;quot;2006-03-13 00:00:00 XLF -300 @ 26.5231513977051&amp;quot;&#10;## [1] &amp;quot;2006-03-13 00:00:00 XLF -300 @ 26.5231513977051&amp;quot;&#10;## [1] &amp;quot;2006-03-22 00:00:00 XLF 300 @ 26.8480911254883&amp;quot;&#10;## [1] &amp;quot;2006-03-22 00:00:00 XLF 300 @ 26.8480911254883&amp;quot;&#10;## [1] &amp;quot;2006-04-05 00:00:00 XLF -300 @ 26.8155975341797&amp;quot;&#10;## [1] &amp;quot;2006-04-05 00:00:00 XLF -300 @ 26.8155975341797&amp;quot;&#10;## [1] &amp;quot;2006-04-10 00:00:00 XLF 300 @ 26.5150279998779&amp;quot;&#10;## [1] &amp;quot;2006-04-10 00:00:00 XLF 300 @ 26.5150279998779&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLF -300 @ 26.8805847167969&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLF -300 @ 26.8805847167969&amp;quot;&#10;## [1] &amp;quot;2006-04-26 00:00:00 XLF 300 @ 26.9049549102783&amp;quot;&#10;## [1] &amp;quot;2006-04-26 00:00:00 XLF 300 @ 26.9049549102783&amp;quot;&#10;## [1] &amp;quot;2006-04-28 00:00:00 XLF -300 @ 27.5873260498047&amp;quot;&#10;## [1] &amp;quot;2006-04-28 00:00:00 XLF -300 @ 27.5873260498047&amp;quot;&#10;## [1] &amp;quot;2006-05-12 00:00:00 XLF 300 @ 26.9699420928955&amp;quot;&#10;## [1] &amp;quot;2006-05-12 00:00:00 XLF 300 @ 26.9699420928955&amp;quot;&#10;## [1] &amp;quot;2006-05-26 00:00:00 XLF -300 @ 26.7587337493896&amp;quot;&#10;## [1] &amp;quot;2006-05-26 00:00:00 XLF -300 @ 26.7587337493896&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLF 300 @ 26.5475215911865&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLF 300 @ 26.5475215911865&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLF -300 @ 27.0105609893799&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLF -300 @ 27.0105609893799&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLF 300 @ 26.5069046020508&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLF 300 @ 26.5069046020508&amp;quot;&#10;## [1] &amp;quot;2006-06-22 00:00:00 XLF -300 @ 25.857027053833&amp;quot;&#10;## [1] &amp;quot;2006-06-22 00:00:00 XLF -300 @ 25.857027053833&amp;quot;&#10;## [1] &amp;quot;2006-06-26 00:00:00 XLF 300 @ 25.913890838623&amp;quot;&#10;## [1] &amp;quot;2006-06-26 00:00:00 XLF 300 @ 25.913890838623&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLF -300 @ 26.2713241577148&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLF -300 @ 26.2713241577148&amp;quot;&#10;## [1] &amp;quot;2006-07-13 00:00:00 XLF 300 @ 25.7920398712158&amp;quot;&#10;## [1] &amp;quot;2006-07-13 00:00:00 XLF 300 @ 25.7920398712158&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLF -300 @ 26.3688068389893&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLF -300 @ 26.3688068389893&amp;quot;&#10;## [1] &amp;quot;2006-07-28 00:00:00 XLF 300 @ 26.9130783081055&amp;quot;&#10;## [1] &amp;quot;2006-07-28 00:00:00 XLF 300 @ 26.9130783081055&amp;quot;&#10;## [1] &amp;quot;2006-07-31 00:00:00 XLF -300 @ 26.8724613189697&amp;quot;&#10;## [1] &amp;quot;2006-07-31 00:00:00 XLF -300 @ 26.8724613189697&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLF 300 @ 26.4419174194336&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLF 300 @ 26.4419174194336&amp;quot;&#10;## [1] &amp;quot;2006-08-16 00:00:00 XLF -300 @ 27.1161651611328&amp;quot;&#10;## [1] &amp;quot;2006-08-16 00:00:00 XLF -300 @ 27.1161651611328&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLF 300 @ 27.1405353546143&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLF 300 @ 27.1405353546143&amp;quot;&#10;## [1] &amp;quot;2006-08-29 00:00:00 XLF -300 @ 27.0755481719971&amp;quot;&#10;## [1] &amp;quot;2006-08-29 00:00:00 XLF -300 @ 27.0755481719971&amp;quot;&#10;## [1] &amp;quot;2006-09-08 00:00:00 XLF 300 @ 27.1811542510986&amp;quot;&#10;## [1] &amp;quot;2006-09-08 00:00:00 XLF 300 @ 27.1811542510986&amp;quot;&#10;## [1] &amp;quot;2006-09-13 00:00:00 XLF -300 @ 27.7497978210449&amp;quot;&#10;## [1] &amp;quot;2006-09-13 00:00:00 XLF -300 @ 27.7497978210449&amp;quot;&#10;## [1] &amp;quot;2006-10-03 00:00:00 XLF 300 @ 28.3346862792969&amp;quot;&#10;## [1] &amp;quot;2006-10-03 00:00:00 XLF 300 @ 28.3346862792969&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLF -300 @ 28.6758728027344&amp;quot;&#10;## [1] &amp;quot;2006-10-04 00:00:00 XLF -300 @ 28.6758728027344&amp;quot;&#10;## [1] &amp;quot;2006-10-12 00:00:00 XLF 300 @ 28.7246131896973&amp;quot;&#10;## [1] &amp;quot;2006-10-12 00:00:00 XLF 300 @ 28.7246131896973&amp;quot;&#10;## [1] &amp;quot;2006-10-13 00:00:00 XLF -300 @ 28.8302192687988&amp;quot;&#10;## [1] &amp;quot;2006-10-13 00:00:00 XLF -300 @ 28.8302192687988&amp;quot;&#10;## [1] &amp;quot;2006-10-20 00:00:00 XLF 300 @ 28.5377731323242&amp;quot;&#10;## [1] &amp;quot;2006-10-20 00:00:00 XLF 300 @ 28.5377731323242&amp;quot;&#10;## [1] &amp;quot;2006-10-24 00:00:00 XLF -300 @ 28.7164916992188&amp;quot;&#10;## [1] &amp;quot;2006-10-24 00:00:00 XLF -300 @ 28.7164916992188&amp;quot;&#10;## [1] &amp;quot;2006-11-01 00:00:00 XLF 300 @ 28.60276222229&amp;quot;&#10;## [1] &amp;quot;2006-11-01 00:00:00 XLF 300 @ 28.60276222229&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLF -300 @ 28.9195785522461&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLF -300 @ 28.9195785522461&amp;quot;&#10;## [1] &amp;quot;2006-11-27 00:00:00 XLF 300 @ 28.8139724731445&amp;quot;&#10;## [1] &amp;quot;2006-11-27 00:00:00 XLF 300 @ 28.8139724731445&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLF -300 @ 29.3582458496094&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLF -300 @ 29.3582458496094&amp;quot;&#10;## [1] &amp;quot;2006-12-26 00:00:00 XLF 300 @ 29.94313621521&amp;quot;&#10;## [1] &amp;quot;2006-12-26 00:00:00 XLF 300 @ 29.94313621521&amp;quot;&#10;## [1] &amp;quot;2006-12-27 00:00:00 XLF -300 @ 30.1543464660645&amp;quot;&#10;## [1] &amp;quot;2006-12-27 00:00:00 XLF -300 @ 30.1543464660645&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLF 300 @ 29.9918766021729&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLF 300 @ 29.9918766021729&amp;quot;&#10;## [1] &amp;quot;2007-01-12 00:00:00 XLF -300 @ 30.05686378479&amp;quot;&#10;## [1] &amp;quot;2007-01-12 00:00:00 XLF -300 @ 30.05686378479&amp;quot;&#10;## [1] &amp;quot;2007-01-19 00:00:00 XLF 300 @ 30.0243701934814&amp;quot;&#10;## [1] &amp;quot;2007-01-19 00:00:00 XLF 300 @ 30.0243701934814&amp;quot;&#10;## [1] &amp;quot;2007-01-25 00:00:00 XLF -300 @ 29.8537769317627&amp;quot;&#10;## [1] &amp;quot;2007-01-25 00:00:00 XLF -300 @ 29.8537769317627&amp;quot;&#10;## [1] &amp;quot;2007-01-26 00:00:00 XLF 300 @ 29.9106426239014&amp;quot;&#10;## [1] &amp;quot;2007-01-26 00:00:00 XLF 300 @ 29.9106426239014&amp;quot;&#10;## [1] &amp;quot;2007-02-01 00:00:00 XLF -300 @ 30.3168163299561&amp;quot;&#10;## [1] &amp;quot;2007-02-01 00:00:00 XLF -300 @ 30.3168163299561&amp;quot;&#10;## [1] &amp;quot;2007-02-12 00:00:00 XLF 300 @ 30.1218528747559&amp;quot;&#10;## [1] &amp;quot;2007-02-12 00:00:00 XLF 300 @ 30.1218528747559&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLF -300 @ 30.6823711395264&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLF -300 @ 30.6823711395264&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLF 300 @ 30.3005695343018&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLF 300 @ 30.3005695343018&amp;quot;&#10;## [1] &amp;quot;2007-03-09 00:00:00 XLF -300 @ 29.1389102935791&amp;quot;&#10;## [1] &amp;quot;2007-03-09 00:00:00 XLF -300 @ 29.1389102935791&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLF 300 @ 28.3346862792969&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLF 300 @ 28.3346862792969&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 XLF -300 @ 29.5532093048096&amp;quot;&#10;## [1] &amp;quot;2007-03-21 00:00:00 XLF -300 @ 29.5532093048096&amp;quot;&#10;## [1] &amp;quot;2007-03-28 00:00:00 XLF 300 @ 28.7164916992188&amp;quot;&#10;## [1] &amp;quot;2007-03-28 00:00:00 XLF 300 @ 28.7164916992188&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLF -300 @ 29.0333061218262&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLF -300 @ 29.0333061218262&amp;quot;&#10;## [1] &amp;quot;2007-04-12 00:00:00 XLF 300 @ 28.8789596557617&amp;quot;&#10;## [1] &amp;quot;2007-04-12 00:00:00 XLF 300 @ 28.8789596557617&amp;quot;&#10;## [1] &amp;quot;2007-04-17 00:00:00 XLF -300 @ 29.6994304656982&amp;quot;&#10;## [1] &amp;quot;2007-04-17 00:00:00 XLF -300 @ 29.6994304656982&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLF 300 @ 30.1218528747559&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLF 300 @ 30.1218528747559&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLF -300 @ 30.5361480712891&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLF -300 @ 30.5361480712891&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLF 300 @ 30.6661243438721&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLF 300 @ 30.6661243438721&amp;quot;&#10;## [1] &amp;quot;2007-05-17 00:00:00 XLF -300 @ 30.6417541503906&amp;quot;&#10;## [1] &amp;quot;2007-05-17 00:00:00 XLF -300 @ 30.6417541503906&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLF 300 @ 30.5361480712891&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLF 300 @ 30.5361480712891&amp;quot;&#10;## [1] &amp;quot;2007-05-31 00:00:00 XLF -300 @ 30.7879772186279&amp;quot;&#10;## [1] &amp;quot;2007-05-31 00:00:00 XLF -300 @ 30.7879772186279&amp;quot;&#10;## [1] &amp;quot;2007-06-06 00:00:00 XLF 300 @ 30.3980503082275&amp;quot;&#10;## [1] &amp;quot;2007-06-06 00:00:00 XLF 300 @ 30.3980503082275&amp;quot;&#10;## [1] &amp;quot;2007-06-14 00:00:00 XLF -300 @ 30.479284286499&amp;quot;&#10;## [1] &amp;quot;2007-06-14 00:00:00 XLF -300 @ 30.479284286499&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLF 300 @ 30.05686378479&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLF 300 @ 30.05686378479&amp;quot;&#10;## [1] &amp;quot;2007-07-03 00:00:00 XLF -300 @ 29.9025173187256&amp;quot;&#10;## [1] &amp;quot;2007-07-03 00:00:00 XLF -300 @ 29.9025173187256&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLF 300 @ 29.1470355987549&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLF 300 @ 29.1470355987549&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLF -300 @ 29.7969131469727&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLF -300 @ 29.7969131469727&amp;quot;&#10;## [1] &amp;quot;2007-07-19 00:00:00 XLF 300 @ 29.3095035552979&amp;quot;&#10;## [1] &amp;quot;2007-07-19 00:00:00 XLF 300 @ 29.3095035552979&amp;quot;&#10;## [1] &amp;quot;2007-08-08 00:00:00 XLF -300 @ 28.2290821075439&amp;quot;&#10;## [1] &amp;quot;2007-08-08 00:00:00 XLF -300 @ 28.2290821075439&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLF 300 @ 26.8480911254883&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLF 300 @ 26.8480911254883&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 XLF -300 @ 28.0259952545166&amp;quot;&#10;## [1] &amp;quot;2007-08-17 00:00:00 XLF -300 @ 28.0259952545166&amp;quot;&#10;## [1] &amp;quot;2007-08-28 00:00:00 XLF 300 @ 26.9049549102783&amp;quot;&#10;## [1] &amp;quot;2007-08-28 00:00:00 XLF 300 @ 26.9049549102783&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 XLF -300 @ 27.2948818206787&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 XLF -300 @ 27.2948818206787&amp;quot;&#10;## [1] &amp;quot;2007-09-07 00:00:00 XLF 300 @ 26.8155975341797&amp;quot;&#10;## [1] &amp;quot;2007-09-07 00:00:00 XLF 300 @ 26.8155975341797&amp;quot;&#10;## [1] &amp;quot;2007-09-13 00:00:00 XLF -300 @ 27.5060920715332&amp;quot;&#10;## [1] &amp;quot;2007-09-13 00:00:00 XLF -300 @ 27.5060920715332&amp;quot;&#10;## [1] &amp;quot;2007-09-25 00:00:00 XLF 300 @ 27.6604385375977&amp;quot;&#10;## [1] &amp;quot;2007-09-25 00:00:00 XLF 300 @ 27.6604385375977&amp;quot;&#10;## [1] &amp;quot;2007-09-28 00:00:00 XLF -300 @ 27.8797721862793&amp;quot;&#10;## [1] &amp;quot;2007-09-28 00:00:00 XLF -300 @ 27.8797721862793&amp;quot;&#10;## [1] &amp;quot;2007-10-12 00:00:00 XLF 300 @ 28.8708362579346&amp;quot;&#10;## [1] &amp;quot;2007-10-12 00:00:00 XLF 300 @ 28.8708362579346&amp;quot;&#10;## [1] &amp;quot;2007-10-29 00:00:00 XLF -300 @ 27.4573516845703&amp;quot;&#10;## [1] &amp;quot;2007-10-29 00:00:00 XLF -300 @ 27.4573516845703&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLF 300 @ 25.8651504516602&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLF 300 @ 25.8651504516602&amp;quot;&#10;## [1] &amp;quot;2007-11-14 00:00:00 XLF -300 @ 25.6295680999756&amp;quot;&#10;## [1] &amp;quot;2007-11-14 00:00:00 XLF -300 @ 25.6295680999756&amp;quot;&#10;## [1] &amp;quot;2007-11-16 00:00:00 XLF 300 @ 24.7847270965576&amp;quot;&#10;## [1] &amp;quot;2007-11-16 00:00:00 XLF 300 @ 24.7847270965576&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLF -300 @ 24.5735168457031&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLF -300 @ 24.5735168457031&amp;quot;&#10;## [1] &amp;quot;2007-12-05 00:00:00 XLF 300 @ 24.882209777832&amp;quot;&#10;## [1] &amp;quot;2007-12-05 00:00:00 XLF 300 @ 24.882209777832&amp;quot;&#10;## [1] &amp;quot;2007-12-07 00:00:00 XLF -300 @ 25.3452472686768&amp;quot;&#10;## [1] &amp;quot;2007-12-07 00:00:00 XLF -300 @ 25.3452472686768&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLF 300 @ 24.3866767883301&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLF 300 @ 24.3866767883301&amp;quot;&#10;## [1] &amp;quot;2007-12-26 00:00:00 XLF -300 @ 24.0536155700684&amp;quot;&#10;## [1] &amp;quot;2007-12-26 00:00:00 XLF -300 @ 24.0536155700684&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLF 300 @ 23.5093421936035&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLF 300 @ 23.5093421936035&amp;quot;&#10;## [1] &amp;quot;2008-01-14 00:00:00 XLF -300 @ 22.6482524871826&amp;quot;&#10;## [1] &amp;quot;2008-01-14 00:00:00 XLF -300 @ 22.6482524871826&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 XLF 300 @ 22.079610824585&amp;quot;&#10;## [1] &amp;quot;2008-01-16 00:00:00 XLF 300 @ 22.079610824585&amp;quot;&#10;## [1] &amp;quot;2008-01-24 00:00:00 XLF -300 @ 22.6726245880127&amp;quot;&#10;## [1] &amp;quot;2008-01-24 00:00:00 XLF -300 @ 22.6726245880127&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLF 300 @ 22.2014617919922&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLF 300 @ 22.2014617919922&amp;quot;&#10;## [1] &amp;quot;2008-02-21 00:00:00 XLF -300 @ 21.6246948242188&amp;quot;&#10;## [1] &amp;quot;2008-02-21 00:00:00 XLF -300 @ 21.6246948242188&amp;quot;&#10;## [1] &amp;quot;2008-02-22 00:00:00 XLF 300 @ 22.0958576202393&amp;quot;&#10;## [1] &amp;quot;2008-02-22 00:00:00 XLF 300 @ 22.0958576202393&amp;quot;&#10;## [1] &amp;quot;2008-02-25 00:00:00 XLF -300 @ 22.0958576202393&amp;quot;&#10;## [1] &amp;quot;2008-02-25 00:00:00 XLF -300 @ 22.0958576202393&amp;quot;&#10;## [1] &amp;quot;2008-02-29 00:00:00 XLF 300 @ 20.9829406738281&amp;quot;&#10;## [1] &amp;quot;2008-02-29 00:00:00 XLF 300 @ 20.9829406738281&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLF -300 @ 20.1137294769287&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLF -300 @ 20.1137294769287&amp;quot;&#10;## [1] &amp;quot;2008-03-17 00:00:00 XLF 300 @ 19.0495529174805&amp;quot;&#10;## [1] &amp;quot;2008-03-17 00:00:00 XLF 300 @ 19.0495529174805&amp;quot;&#10;## [1] &amp;quot;2008-03-19 00:00:00 XLF -300 @ 20.1056041717529&amp;quot;&#10;## [1] &amp;quot;2008-03-19 00:00:00 XLF -300 @ 20.1056041717529&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 XLF 300 @ 20.4874095916748&amp;quot;&#10;## [1] &amp;quot;2008-03-27 00:00:00 XLF 300 @ 20.4874095916748&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 XLF -300 @ 21.6084480285645&amp;quot;&#10;## [1] &amp;quot;2008-04-09 00:00:00 XLF 300 @ 20.9423236846924&amp;quot;&#10;## [1] &amp;quot;2008-04-09 00:00:00 XLF 300 @ 20.9423236846924&amp;quot;&#10;## [1] &amp;quot;2008-04-17 00:00:00 XLF -300 @ 21.0398044586182&amp;quot;&#10;## [1] &amp;quot;2008-04-17 00:00:00 XLF -300 @ 21.0398044586182&amp;quot;&#10;## [1] &amp;quot;2008-04-23 00:00:00 XLF 300 @ 20.739236831665&amp;quot;&#10;## [1] &amp;quot;2008-04-23 00:00:00 XLF 300 @ 20.739236831665&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLF -300 @ 21.8927707672119&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLF -300 @ 21.8927707672119&amp;quot;&#10;## [1] &amp;quot;2008-05-08 00:00:00 XLF 300 @ 21.1129169464111&amp;quot;&#10;## [1] &amp;quot;2008-05-08 00:00:00 XLF 300 @ 21.1129169464111&amp;quot;&#10;## [1] &amp;quot;2008-05-16 00:00:00 XLF -300 @ 21.4378547668457&amp;quot;&#10;## [1] &amp;quot;2008-05-16 00:00:00 XLF -300 @ 21.4378547668457&amp;quot;&#10;## [1] &amp;quot;2008-05-20 00:00:00 XLF 300 @ 20.739236831665&amp;quot;&#10;## [1] &amp;quot;2008-05-20 00:00:00 XLF 300 @ 20.739236831665&amp;quot;&#10;## [1] &amp;quot;2008-05-30 00:00:00 XLF -300 @ 20.1137294769287&amp;quot;&#10;## [1] &amp;quot;2008-05-30 00:00:00 XLF -300 @ 20.1137294769287&amp;quot;&#10;## [1] &amp;quot;2008-06-03 00:00:00 XLF 300 @ 19.7481727600098&amp;quot;&#10;## [1] &amp;quot;2008-06-03 00:00:00 XLF 300 @ 19.7481727600098&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLF -300 @ 18.9520702362061&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLF -300 @ 18.9520702362061&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLF 300 @ 18.6921195983887&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLF 300 @ 18.6921195983887&amp;quot;&#10;## [1] &amp;quot;2008-06-16 00:00:00 XLF -300 @ 19.1714057922363&amp;quot;&#10;## [1] &amp;quot;2008-06-16 00:00:00 XLF -300 @ 19.1714057922363&amp;quot;&#10;## [1] &amp;quot;2008-06-18 00:00:00 XLF 300 @ 18.3021926879883&amp;quot;&#10;## [1] &amp;quot;2008-06-18 00:00:00 XLF 300 @ 18.3021926879883&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 XLF -300 @ 15.72705078125&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 XLF -300 @ 15.72705078125&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 XLF 300 @ 15.1746549606323&amp;quot;&#10;## [1] &amp;quot;2008-07-11 00:00:00 XLF 300 @ 15.1746549606323&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLF -300 @ 16.4581642150879&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLF -300 @ 16.4581642150879&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLF 300 @ 16.9536952972412&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLF 300 @ 16.9536952972412&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 XLF -300 @ 17.733549118042&amp;quot;&#10;## [1] &amp;quot;2008-07-30 00:00:00 XLF -300 @ 17.733549118042&amp;quot;&#10;## [1] &amp;quot;2008-08-08 00:00:00 XLF 300 @ 17.8229084014893&amp;quot;&#10;## [1] &amp;quot;2008-08-08 00:00:00 XLF 300 @ 17.8229084014893&amp;quot;&#10;## [1] &amp;quot;2008-08-12 00:00:00 XLF -300 @ 17.2055244445801&amp;quot;&#10;## [1] &amp;quot;2008-08-12 00:00:00 XLF -300 @ 17.2055244445801&amp;quot;&#10;## [1] &amp;quot;2008-08-13 00:00:00 XLF 300 @ 16.7099914550781&amp;quot;&#10;## [1] &amp;quot;2008-08-13 00:00:00 XLF 300 @ 16.7099914550781&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 XLF -300 @ 16.2550773620605&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 XLF -300 @ 16.2550773620605&amp;quot;&#10;## [1] &amp;quot;2008-09-05 00:00:00 XLF 300 @ 17.6604385375977&amp;quot;&#10;## [1] &amp;quot;2008-09-05 00:00:00 XLF 300 @ 17.6604385375977&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 XLF -300 @ 17.2461414337158&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 XLF -300 @ 17.2461414337158&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 XLF 300 @ 17.4248580932617&amp;quot;&#10;## [1] &amp;quot;2008-09-11 00:00:00 XLF 300 @ 17.4248580932617&amp;quot;&#10;## [1] &amp;quot;2008-09-22 00:00:00 XLF -300 @ 16.6937446594238&amp;quot;&#10;## [1] &amp;quot;2008-09-22 00:00:00 XLF -300 @ 16.6937446594238&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLF 300 @ 16.1575946807861&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLF 300 @ 16.1575946807861&amp;quot;&#10;## [1] &amp;quot;2008-10-14 00:00:00 XLF -300 @ 14.0779848098755&amp;quot;&#10;## [1] &amp;quot;2008-10-14 00:00:00 XLF -300 @ 14.0779848098755&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLF 300 @ 11.7709178924561&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLF 300 @ 11.7709178924561&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2008-11-06 00:00:00 XLF 300 @ 11.3403739929199&amp;quot;&#10;## [1] &amp;quot;2008-11-06 00:00:00 XLF 300 @ 11.3403739929199&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLF -300 @ 9.58570289611816&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLF -300 @ 9.58570289611816&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLF 300 @ 9.26888656616211&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLF 300 @ 9.26888656616211&amp;quot;&#10;## [1] &amp;quot;2008-12-08 00:00:00 XLF -300 @ 11.1047925949097&amp;quot;&#10;## [1] &amp;quot;2008-12-08 00:00:00 XLF -300 @ 11.1047925949097&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLF 300 @ 9.8537769317627&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLF 300 @ 9.8537769317627&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLF -300 @ 10.4061737060547&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLF -300 @ 10.4061737060547&amp;quot;&#10;## [1] &amp;quot;2008-12-22 00:00:00 XLF 300 @ 9.58570289611816&amp;quot;&#10;## [1] &amp;quot;2008-12-22 00:00:00 XLF 300 @ 9.58570289611816&amp;quot;&#10;## [1] &amp;quot;2008-12-31 00:00:00 XLF -300 @ 10.1705932617188&amp;quot;&#10;## [1] &amp;quot;2008-12-31 00:00:00 XLF -300 @ 10.1705932617188&amp;quot;&#10;## [1] &amp;quot;2009-01-08 00:00:00 XLF 300 @ 9.69943141937256&amp;quot;&#10;## [1] &amp;quot;2009-01-08 00:00:00 XLF 300 @ 9.69943141937256&amp;quot;&#10;## [1] &amp;quot;2009-01-29 00:00:00 XLF -300 @ 7.71730279922485&amp;quot;&#10;## [1] &amp;quot;2009-01-29 00:00:00 XLF -300 @ 7.71730279922485&amp;quot;&#10;## [1] &amp;quot;2009-02-04 00:00:00 XLF 300 @ 7.28675889968872&amp;quot;&#10;## [1] &amp;quot;2009-02-04 00:00:00 XLF 300 @ 7.28675889968872&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 XLF -300 @ 8.0422420501709&amp;quot;&#10;## [1] &amp;quot;2009-02-09 00:00:00 XLF -300 @ 8.0422420501709&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLF 300 @ 7.57108020782471&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLF 300 @ 7.57108020782471&amp;quot;&#10;## [1] &amp;quot;2009-02-25 00:00:00 XLF -300 @ 6.49878120422363&amp;quot;&#10;## [1] &amp;quot;2009-02-25 00:00:00 XLF -300 @ 6.49878120422363&amp;quot;&#10;## [1] &amp;quot;2009-03-02 00:00:00 XLF 300 @ 5.78391599655151&amp;quot;&#10;## [1] &amp;quot;2009-03-02 00:00:00 XLF 300 @ 5.78391599655151&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLF -300 @ 5.99512577056885&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLF -300 @ 5.99512577056885&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 XLF 300 @ 7.70105600357056&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 XLF 300 @ 7.70105600357056&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 XLF -300 @ 7.32737588882446&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 XLF -300 @ 7.32737588882446&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLF 300 @ 7.15678310394287&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLF 300 @ 7.15678310394287&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLF -300 @ 7.87164878845215&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLF -300 @ 7.87164878845215&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLF 300 @ 7.47359895706177&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLF 300 @ 7.47359895706177&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLF -300 @ 9.00081157684326&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLF -300 @ 9.00081157684326&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLF 300 @ 8.61088466644287&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLF 300 @ 8.61088466644287&amp;quot;&#10;## [1] &amp;quot;2009-04-27 00:00:00 XLF -300 @ 8.74086093902588&amp;quot;&#10;## [1] &amp;quot;2009-04-27 00:00:00 XLF -300 @ 8.74086093902588&amp;quot;&#10;## [1] &amp;quot;2009-04-29 00:00:00 XLF 300 @ 8.83834266662598&amp;quot;&#10;## [1] &amp;quot;2009-04-29 00:00:00 XLF 300 @ 8.83834266662598&amp;quot;&#10;## [1] &amp;quot;2009-05-05 00:00:00 XLF -300 @ 9.39073944091797&amp;quot;&#10;## [1] &amp;quot;2009-05-05 00:00:00 XLF -300 @ 9.39073944091797&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLF 300 @ 9.5613317489624&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLF 300 @ 9.5613317489624&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLF -300 @ 9.78066635131836&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLF -300 @ 9.78066635131836&amp;quot;&#10;## [1] &amp;quot;2009-05-26 00:00:00 XLF 300 @ 9.78066635131836&amp;quot;&#10;## [1] &amp;quot;2009-05-26 00:00:00 XLF 300 @ 9.78066635131836&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLF -300 @ 9.48822116851807&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLF -300 @ 9.48822116851807&amp;quot;&#10;## [1] &amp;quot;2009-06-04 00:00:00 XLF 300 @ 10.0974817276001&amp;quot;&#10;## [1] &amp;quot;2009-06-04 00:00:00 XLF 300 @ 10.0974817276001&amp;quot;&#10;## [1] &amp;quot;2009-06-05 00:00:00 XLF -300 @ 10.0081233978271&amp;quot;&#10;## [1] &amp;quot;2009-06-05 00:00:00 XLF -300 @ 10.0081233978271&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLF 300 @ 9.71567821502686&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLF 300 @ 9.71567821502686&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLF -300 @ 9.68318367004395&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLF -300 @ 9.68318367004395&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLF 300 @ 9.32575130462646&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLF 300 @ 9.32575130462646&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLF -300 @ 9.55320930480957&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLF -300 @ 9.55320930480957&amp;quot;&#10;## [1] &amp;quot;2009-08-12 00:00:00 XLF 300 @ 11.4053611755371&amp;quot;&#10;## [1] &amp;quot;2009-08-12 00:00:00 XLF 300 @ 11.4053611755371&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLF -300 @ 11.5678310394287&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLF -300 @ 11.5678310394287&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLF 300 @ 11.3078804016113&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLF 300 @ 11.3078804016113&amp;quot;&#10;## [1] &amp;quot;2009-08-21 00:00:00 XLF -300 @ 11.8196592330933&amp;quot;&#10;## [1] &amp;quot;2009-08-21 00:00:00 XLF -300 @ 11.8196592330933&amp;quot;&#10;## [1] &amp;quot;2009-09-02 00:00:00 XLF 300 @ 11.2022752761841&amp;quot;&#10;## [1] &amp;quot;2009-09-02 00:00:00 XLF 300 @ 11.2022752761841&amp;quot;&#10;## [1] &amp;quot;2009-09-09 00:00:00 XLF -300 @ 11.7790412902832&amp;quot;&#10;## [1] &amp;quot;2009-09-09 00:00:00 XLF -300 @ 11.7790412902832&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLF 300 @ 12.4614133834839&amp;quot;&#10;## [1] &amp;quot;2009-09-22 00:00:00 XLF 300 @ 12.4614133834839&amp;quot;&#10;## [1] &amp;quot;2009-09-23 00:00:00 XLF -300 @ 12.2095861434937&amp;quot;&#10;## [1] &amp;quot;2009-09-23 00:00:00 XLF -300 @ 12.2095861434937&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLF 300 @ 11.8521528244019&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLF 300 @ 11.8521528244019&amp;quot;&#10;## [1] &amp;quot;2009-09-29 00:00:00 XLF -300 @ 12.1933393478394&amp;quot;&#10;## [1] &amp;quot;2009-09-29 00:00:00 XLF -300 @ 12.1933393478394&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLF 300 @ 11.6084480285645&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLF 300 @ 11.6084480285645&amp;quot;&#10;## [1] &amp;quot;2009-10-06 00:00:00 XLF -300 @ 12.1283512115479&amp;quot;&#10;## [1] &amp;quot;2009-10-06 00:00:00 XLF -300 @ 12.1283512115479&amp;quot;&#10;## [1] &amp;quot;2009-10-19 00:00:00 XLF 300 @ 12.4207963943481&amp;quot;&#10;## [1] &amp;quot;2009-10-19 00:00:00 XLF 300 @ 12.4207963943481&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLF 300 @ 11.860276222229&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLF 300 @ 11.860276222229&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLF -300 @ 11.7546710968018&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLF -300 @ 11.7546710968018&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 XLF 300 @ 11.640941619873&amp;quot;&#10;## [1] &amp;quot;2009-12-16 00:00:00 XLF 300 @ 11.640941619873&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 XLF -300 @ 11.7465476989746&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 XLF -300 @ 11.7465476989746&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLF 300 @ 11.9333868026733&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLF 300 @ 11.9333868026733&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLF -300 @ 12.1527214050293&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLF -300 @ 12.1527214050293&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLF 300 @ 12.3314380645752&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLF 300 @ 12.3314380645752&amp;quot;&#10;## [1] &amp;quot;2010-01-15 00:00:00 XLF -300 @ 12.1364736557007&amp;quot;&#10;## [1] &amp;quot;2010-01-15 00:00:00 XLF -300 @ 12.1364736557007&amp;quot;&#10;## [1] &amp;quot;2010-01-19 00:00:00 XLF 300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2010-01-19 00:00:00 XLF 300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLF -300 @ 11.8277816772461&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLF -300 @ 11.8277816772461&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLF 300 @ 11.3241271972656&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLF 300 @ 11.3241271972656&amp;quot;&#10;## [1] &amp;quot;2010-02-16 00:00:00 XLF -300 @ 11.5678310394287&amp;quot;&#10;## [1] &amp;quot;2010-02-16 00:00:00 XLF -300 @ 11.5678310394287&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLF 300 @ 12.8107233047485&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLF 300 @ 12.8107233047485&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLF -300 @ 12.9244518280029&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLF -300 @ 12.9244518280029&amp;quot;&#10;## [1] &amp;quot;2010-03-31 00:00:00 XLF 300 @ 12.9569463729858&amp;quot;&#10;## [1] &amp;quot;2010-03-31 00:00:00 XLF 300 @ 12.9569463729858&amp;quot;&#10;## [1] &amp;quot;2010-04-05 00:00:00 XLF -300 @ 13.1925258636475&amp;quot;&#10;## [1] &amp;quot;2010-04-05 00:00:00 XLF -300 @ 13.1925258636475&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLF 300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLF 300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2010-04-26 00:00:00 XLF -300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2010-04-26 00:00:00 XLF -300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2010-04-27 00:00:00 XLF 300 @ 12.9650688171387&amp;quot;&#10;## [1] &amp;quot;2010-04-27 00:00:00 XLF 300 @ 12.9650688171387&amp;quot;&#10;## [1] &amp;quot;2010-04-30 00:00:00 XLF -300 @ 13.1275386810303&amp;quot;&#10;## [1] &amp;quot;2010-04-30 00:00:00 XLF -300 @ 13.1275386810303&amp;quot;&#10;## [1] &amp;quot;2010-05-05 00:00:00 XLF 300 @ 12.9406986236572&amp;quot;&#10;## [1] &amp;quot;2010-05-05 00:00:00 XLF 300 @ 12.9406986236572&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLF -300 @ 12.8919582366943&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLF -300 @ 12.8919582366943&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLF 300 @ 12.4776601791382&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLF 300 @ 12.4776601791382&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLF -300 @ 11.9252643585205&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLF -300 @ 11.9252643585205&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLF 300 @ 12.0389928817749&amp;quot;&#10;## [1] &amp;quot;2010-06-02 00:00:00 XLF 300 @ 12.0389928817749&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLF -300 @ 11.7871646881104&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLF -300 @ 11.7871646881104&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLF 300 @ 11.7871646881104&amp;quot;&#10;## [1] &amp;quot;2010-06-23 00:00:00 XLF 300 @ 11.7871646881104&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLF -300 @ 11.6246948242188&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLF 300 @ 11.4703493118286&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLF 300 @ 11.4703493118286&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 XLF -300 @ 11.8277816772461&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 XLF -300 @ 11.8277816772461&amp;quot;&#10;## [1] &amp;quot;2010-08-09 00:00:00 XLF 300 @ 12.0714874267578&amp;quot;&#10;## [1] &amp;quot;2010-08-09 00:00:00 XLF 300 @ 12.0714874267578&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 XLF -300 @ 11.2672624588013&amp;quot;&#10;## [1] &amp;quot;2010-08-19 00:00:00 XLF -300 @ 11.2672624588013&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLF 300 @ 11.2347679138184&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLF 300 @ 11.2347679138184&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLF -300 @ 10.9179525375366&amp;quot;&#10;## [1] &amp;quot;2010-08-30 00:00:00 XLF -300 @ 10.9179525375366&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLF 300 @ 12.0958566665649&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLF 300 @ 12.0958566665649&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLF -300 @ 11.9821281433105&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLF -300 @ 11.9821281433105&amp;quot;&#10;## [1] &amp;quot;2010-09-23 00:00:00 XLF 300 @ 11.5597076416016&amp;quot;&#10;## [1] &amp;quot;2010-09-23 00:00:00 XLF 300 @ 11.5597076416016&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLF -300 @ 11.6978073120117&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLF -300 @ 11.6978073120117&amp;quot;&#10;## [1] &amp;quot;2010-10-15 00:00:00 XLF 300 @ 11.6571893692017&amp;quot;&#10;## [1] &amp;quot;2010-10-15 00:00:00 XLF 300 @ 11.6571893692017&amp;quot;&#10;## [1] &amp;quot;2010-11-03 00:00:00 XLF -300 @ 11.9740047454834&amp;quot;&#10;## [1] &amp;quot;2010-11-03 00:00:00 XLF -300 @ 11.9740047454834&amp;quot;&#10;## [1] &amp;quot;2010-11-15 00:00:00 XLF 300 @ 12.1933393478394&amp;quot;&#10;## [1] &amp;quot;2010-11-15 00:00:00 XLF 300 @ 12.1933393478394&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLF -300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLF -300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLF 300 @ 12.5913887023926&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLF 300 @ 12.5913887023926&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLF -300 @ 12.9894390106201&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLF -300 @ 12.9894390106201&amp;quot;&#10;## [1] &amp;quot;2010-12-31 00:00:00 XLF 300 @ 12.9569463729858&amp;quot;&#10;## [1] &amp;quot;2010-12-31 00:00:00 XLF 300 @ 12.9569463729858&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLF -300 @ 13.2250204086304&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLF -300 @ 13.2250204086304&amp;quot;&#10;## [1] &amp;quot;2011-01-10 00:00:00 XLF 300 @ 13.1437864303589&amp;quot;&#10;## [1] &amp;quot;2011-01-10 00:00:00 XLF 300 @ 13.1437864303589&amp;quot;&#10;## [1] &amp;quot;2011-01-13 00:00:00 XLF -300 @ 13.3712425231934&amp;quot;&#10;## [1] &amp;quot;2011-01-13 00:00:00 XLF -300 @ 13.3712425231934&amp;quot;&#10;## [1] &amp;quot;2011-01-20 00:00:00 XLF 300 @ 13.2656383514404&amp;quot;&#10;## [1] &amp;quot;2011-01-20 00:00:00 XLF 300 @ 13.2656383514404&amp;quot;&#10;## [1] &amp;quot;2011-01-28 00:00:00 XLF -300 @ 13.2006502151489&amp;quot;&#10;## [1] &amp;quot;2011-01-28 00:00:00 XLF -300 @ 13.2006502151489&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLF 300 @ 13.3225021362305&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLF 300 @ 13.3225021362305&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLF -300 @ 13.4930953979492&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLF -300 @ 13.4930953979492&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLF 300 @ 13.4687252044678&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLF 300 @ 13.4687252044678&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLF -300 @ 13.3956127166748&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLF -300 @ 13.3956127166748&amp;quot;&#10;## [1] &amp;quot;2011-03-02 00:00:00 XLF 300 @ 13.3143787384033&amp;quot;&#10;## [1] &amp;quot;2011-03-02 00:00:00 XLF 300 @ 13.3143787384033&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLF -300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLF -300 @ 13.4199838638306&amp;quot;&#10;## [1] &amp;quot;2011-03-08 00:00:00 XLF 300 @ 13.6230707168579&amp;quot;&#10;## [1] &amp;quot;2011-03-08 00:00:00 XLF 300 @ 13.6230707168579&amp;quot;&#10;## [1] &amp;quot;2011-03-09 00:00:00 XLF -300 @ 13.6230707168579&amp;quot;&#10;## [1] &amp;quot;2011-03-09 00:00:00 XLF -300 @ 13.6230707168579&amp;quot;&#10;## [1] &amp;quot;2011-03-11 00:00:00 XLF 300 @ 13.4362306594849&amp;quot;&#10;## [1] &amp;quot;2011-03-11 00:00:00 XLF 300 @ 13.4362306594849&amp;quot;&#10;## [1] &amp;quot;2011-03-21 00:00:00 XLF -300 @ 13.2818851470947&amp;quot;&#10;## [1] &amp;quot;2011-03-21 00:00:00 XLF -300 @ 13.2818851470947&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLF 300 @ 13.3712425231934&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLF 300 @ 13.3712425231934&amp;quot;&#10;## [1] &amp;quot;2011-04-25 00:00:00 XLF -300 @ 13.0625505447388&amp;quot;&#10;## [1] &amp;quot;2011-04-25 00:00:00 XLF -300 @ 13.0625505447388&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 XLF 300 @ 13.0219326019287&amp;quot;&#10;## [1] &amp;quot;2011-05-05 00:00:00 XLF 300 @ 13.0219326019287&amp;quot;&#10;## [1] &amp;quot;2011-05-11 00:00:00 XLF -300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2011-05-11 00:00:00 XLF -300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLF 300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2011-05-12 00:00:00 XLF 300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLF -300 @ 12.9488220214844&amp;quot;&#10;## [1] &amp;quot;2011-05-19 00:00:00 XLF -300 @ 12.9488220214844&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 XLF 300 @ 12.5913887023926&amp;quot;&#10;## [1] &amp;quot;2011-05-23 00:00:00 XLF 300 @ 12.5913887023926&amp;quot;&#10;## [1] &amp;quot;2011-05-31 00:00:00 XLF -300 @ 12.8675870895386&amp;quot;&#10;## [1] &amp;quot;2011-05-31 00:00:00 XLF -300 @ 12.8675870895386&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLF 300 @ 12.4451665878296&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLF 300 @ 12.4451665878296&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 XLF -300 @ 12.2339563369751&amp;quot;&#10;## [1] &amp;quot;2011-06-14 00:00:00 XLF -300 @ 12.2339563369751&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLF 300 @ 12.0308685302734&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLF 300 @ 12.0308685302734&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLF -300 @ 12.1852149963379&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLF -300 @ 12.1852149963379&amp;quot;&#10;## [1] &amp;quot;2011-06-24 00:00:00 XLF 300 @ 11.9902515411377&amp;quot;&#10;## [1] &amp;quot;2011-06-24 00:00:00 XLF 300 @ 11.9902515411377&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLF -300 @ 12.4207963943481&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLF -300 @ 12.4207963943481&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLF 300 @ 12.1689682006836&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLF 300 @ 12.1689682006836&amp;quot;&#10;## [1] &amp;quot;2011-07-21 00:00:00 XLF -300 @ 12.4776601791382&amp;quot;&#10;## [1] &amp;quot;2011-07-21 00:00:00 XLF -300 @ 12.4776601791382&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLF 300 @ 12.0552396774292&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLF 300 @ 12.0552396774292&amp;quot;&#10;## [1] &amp;quot;2011-08-16 00:00:00 XLF -300 @ 10.5036563873291&amp;quot;&#10;## [1] &amp;quot;2011-08-16 00:00:00 XLF -300 @ 10.5036563873291&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLF 300 @ 9.8537769317627&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLF 300 @ 9.8537769317627&amp;quot;&#10;## [1] &amp;quot;2011-08-25 00:00:00 XLF -300 @ 10.2843217849731&amp;quot;&#10;## [1] &amp;quot;2011-08-25 00:00:00 XLF -300 @ 10.2843217849731&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLF 300 @ 10.0081233978271&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLF 300 @ 10.0081233978271&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLF -300 @ 10.4955320358276&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLF -300 @ 10.4955320358276&amp;quot;&#10;## [1] &amp;quot;2011-09-20 00:00:00 XLF 300 @ 10.1705932617188&amp;quot;&#10;## [1] &amp;quot;2011-09-20 00:00:00 XLF 300 @ 10.1705932617188&amp;quot;&#10;## [1] &amp;quot;2011-09-27 00:00:00 XLF -300 @ 9.95938301086426&amp;quot;&#10;## [1] &amp;quot;2011-09-27 00:00:00 XLF -300 @ 9.95938301086426&amp;quot;&#10;## [1] &amp;quot;2011-10-03 00:00:00 XLF 300 @ 9.16328239440918&amp;quot;&#10;## [1] &amp;quot;2011-10-03 00:00:00 XLF 300 @ 9.16328239440918&amp;quot;&#10;## [1] &amp;quot;2011-10-07 00:00:00 XLF -300 @ 9.61007308959961&amp;quot;&#10;## [1] &amp;quot;2011-10-07 00:00:00 XLF -300 @ 9.61007308959961&amp;quot;&#10;## [1] &amp;quot;2011-10-18 00:00:00 XLF 300 @ 10.3899269104004&amp;quot;&#10;## [1] &amp;quot;2011-10-18 00:00:00 XLF 300 @ 10.3899269104004&amp;quot;&#10;## [1] &amp;quot;2011-10-19 00:00:00 XLF -300 @ 10.2437038421631&amp;quot;&#10;## [1] &amp;quot;2011-10-19 00:00:00 XLF -300 @ 10.2437038421631&amp;quot;&#10;## [1] &amp;quot;2011-11-02 00:00:00 XLF 300 @ 10.755482673645&amp;quot;&#10;## [1] &amp;quot;2011-11-02 00:00:00 XLF 300 @ 10.755482673645&amp;quot;&#10;## [1] &amp;quot;2011-11-09 00:00:00 XLF -300 @ 10.4549150466919&amp;quot;&#10;## [1] &amp;quot;2011-11-09 00:00:00 XLF -300 @ 10.4549150466919&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLF 300 @ 10.5036563873291&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLF 300 @ 10.5036563873291&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLF -300 @ 9.8050365447998&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLF -300 @ 9.8050365447998&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLF 300 @ 10.6417551040649&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLF 300 @ 10.6417551040649&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLF -300 @ 10.3899269104004&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLF -300 @ 10.3899269104004&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 XLF 300 @ 10.6173839569092&amp;quot;&#10;## [1] &amp;quot;2011-12-29 00:00:00 XLF 300 @ 10.6173839569092&amp;quot;&#10;## [1] &amp;quot;2012-01-04 00:00:00 XLF -300 @ 10.8042240142822&amp;quot;&#10;## [1] &amp;quot;2012-01-04 00:00:00 XLF -300 @ 10.8042240142822&amp;quot;&#10;## [1] &amp;quot;2012-01-18 00:00:00 XLF 300 @ 11.3078804016113&amp;quot;&#10;## [1] &amp;quot;2012-01-18 00:00:00 XLF 300 @ 11.3078804016113&amp;quot;&#10;## [1] &amp;quot;2012-01-19 00:00:00 XLF -300 @ 11.4134845733643&amp;quot;&#10;## [1] &amp;quot;2012-01-19 00:00:00 XLF -300 @ 11.4134845733643&amp;quot;&#10;## [1] &amp;quot;2012-01-27 00:00:00 XLF 300 @ 11.4784727096558&amp;quot;&#10;## [1] &amp;quot;2012-01-27 00:00:00 XLF 300 @ 11.4784727096558&amp;quot;&#10;## [1] &amp;quot;2012-02-02 00:00:00 XLF -300 @ 11.6571893692017&amp;quot;&#10;## [1] &amp;quot;2012-02-02 00:00:00 XLF -300 @ 11.6571893692017&amp;quot;&#10;## [1] &amp;quot;2012-02-13 00:00:00 XLF 300 @ 11.9415111541748&amp;quot;&#10;## [1] &amp;quot;2012-02-13 00:00:00 XLF 300 @ 11.9415111541748&amp;quot;&#10;## [1] &amp;quot;2012-02-17 00:00:00 XLF -300 @ 12.0146217346191&amp;quot;&#10;## [1] &amp;quot;2012-02-17 00:00:00 XLF -300 @ 12.0146217346191&amp;quot;&#10;## [1] &amp;quot;2012-02-23 00:00:00 XLF 300 @ 11.9577579498291&amp;quot;&#10;## [1] &amp;quot;2012-02-23 00:00:00 XLF 300 @ 11.9577579498291&amp;quot;&#10;## [1] &amp;quot;2012-02-28 00:00:00 XLF -300 @ 12.0389928817749&amp;quot;&#10;## [1] &amp;quot;2012-02-28 00:00:00 XLF -300 @ 12.0389928817749&amp;quot;&#10;## [1] &amp;quot;2012-03-07 00:00:00 XLF 300 @ 11.8846473693848&amp;quot;&#10;## [1] &amp;quot;2012-03-07 00:00:00 XLF 300 @ 11.8846473693848&amp;quot;&#10;## [1] &amp;quot;2012-03-12 00:00:00 XLF -300 @ 12.0633630752563&amp;quot;&#10;## [1] &amp;quot;2012-03-12 00:00:00 XLF -300 @ 12.0633630752563&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLF 300 @ 12.7782287597656&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLF 300 @ 12.7782287597656&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-03-30 00:00:00 XLF 300 @ 12.8350925445557&amp;quot;&#10;## [1] &amp;quot;2012-03-30 00:00:00 XLF 300 @ 12.8350925445557&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLF 300 @ 12.6238832473755&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLF 300 @ 12.6238832473755&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLF -300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLF -300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2012-04-23 00:00:00 XLF 300 @ 12.2502031326294&amp;quot;&#10;## [1] &amp;quot;2012-04-23 00:00:00 XLF 300 @ 12.2502031326294&amp;quot;&#10;## [1] &amp;quot;2012-04-26 00:00:00 XLF -300 @ 12.599513053894&amp;quot;&#10;## [1] &amp;quot;2012-04-26 00:00:00 XLF -300 @ 12.599513053894&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLF 300 @ 12.2664499282837&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLF 300 @ 12.2664499282837&amp;quot;&#10;## [1] &amp;quot;2012-05-24 00:00:00 XLF -300 @ 11.4297323226929&amp;quot;&#10;## [1] &amp;quot;2012-05-24 00:00:00 XLF -300 @ 11.4297323226929&amp;quot;&#10;## [1] &amp;quot;2012-05-31 00:00:00 XLF 300 @ 11.3809909820557&amp;quot;&#10;## [1] &amp;quot;2012-05-31 00:00:00 XLF 300 @ 11.3809909820557&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLF -300 @ 11.3484973907471&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLF -300 @ 11.3484973907471&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLF 300 @ 11.6490659713745&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLF 300 @ 11.6490659713745&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLF -300 @ 11.5922012329102&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLF -300 @ 11.5922012329102&amp;quot;&#10;## [1] &amp;quot;2012-07-09 00:00:00 XLF 300 @ 11.7384243011475&amp;quot;&#10;## [1] &amp;quot;2012-07-09 00:00:00 XLF 300 @ 11.7384243011475&amp;quot;&#10;## [1] &amp;quot;2012-07-16 00:00:00 XLF -300 @ 11.9252643585205&amp;quot;&#10;## [1] &amp;quot;2012-07-16 00:00:00 XLF -300 @ 11.9252643585205&amp;quot;&#10;## [1] &amp;quot;2012-07-20 00:00:00 XLF 300 @ 11.6815595626831&amp;quot;&#10;## [1] &amp;quot;2012-07-20 00:00:00 XLF 300 @ 11.6815595626831&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLF -300 @ 11.9902515411377&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLF -300 @ 11.9902515411377&amp;quot;&#10;## [1] &amp;quot;2012-08-02 00:00:00 XLF 300 @ 11.7627935409546&amp;quot;&#10;## [1] &amp;quot;2012-08-02 00:00:00 XLF 300 @ 11.7627935409546&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLF -300 @ 12.0877342224121&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLF -300 @ 12.0877342224121&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLF 300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLF 300 @ 12.2908201217651&amp;quot;&#10;## [1] &amp;quot;2012-09-04 00:00:00 XLF -300 @ 12.3151912689209&amp;quot;&#10;## [1] &amp;quot;2012-09-04 00:00:00 XLF -300 @ 12.3151912689209&amp;quot;&#10;## [1] &amp;quot;2012-09-21 00:00:00 XLF 300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-09-21 00:00:00 XLF 300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-10-03 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-10-03 00:00:00 XLF -300 @ 12.8594636917114&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLF 300 @ 12.9488220214844&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLF 300 @ 12.9488220214844&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 XLF -300 @ 12.8432168960571&amp;quot;&#10;## [1] &amp;quot;2012-10-12 00:00:00 XLF -300 @ 12.8432168960571&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 XLF 300 @ 12.9894390106201&amp;quot;&#10;## [1] &amp;quot;2012-10-15 00:00:00 XLF 300 @ 12.9894390106201&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLF -300 @ 13.2412672042847&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLF -300 @ 13.2412672042847&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLF 300 @ 13.0869207382202&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLF 300 @ 13.0869207382202&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLF -300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLF -300 @ 12.9975633621216&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLF 300 @ 12.5751419067383&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLF 300 @ 12.5751419067383&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLF -300 @ 12.7132406234741&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLF -300 @ 12.7132406234741&amp;quot;&#10;## [1] &amp;quot;2012-11-28 00:00:00 XLF 300 @ 12.7538585662842&amp;quot;&#10;## [1] &amp;quot;2012-11-28 00:00:00 XLF 300 @ 12.7538585662842&amp;quot;&#10;## [1] &amp;quot;2012-11-30 00:00:00 XLF -300 @ 12.8025999069214&amp;quot;&#10;## [1] &amp;quot;2012-11-30 00:00:00 XLF -300 @ 12.8025999069214&amp;quot;&#10;## [1] &amp;quot;2012-12-04 00:00:00 XLF 300 @ 12.7213649749756&amp;quot;&#10;## [1] &amp;quot;2012-12-04 00:00:00 XLF 300 @ 12.7213649749756&amp;quot;&#10;## [1] &amp;quot;2012-12-06 00:00:00 XLF -300 @ 12.9163284301758&amp;quot;&#10;## [1] &amp;quot;2012-12-06 00:00:00 XLF -300 @ 12.9163284301758&amp;quot;&#10;## [1] &amp;quot;2012-12-17 00:00:00 XLF 300 @ 13.2656383514404&amp;quot;&#10;## [1] &amp;quot;2012-12-17 00:00:00 XLF 300 @ 13.2656383514404&amp;quot;&#10;## [1] &amp;quot;2012-12-18 00:00:00 XLF -300 @ 13.4606008529663&amp;quot;&#10;## [1] &amp;quot;2012-12-18 00:00:00 XLF -300 @ 13.4606008529663&amp;quot;&#10;## [1] &amp;quot;2012-12-28 00:00:00 XLF 300 @ 13.1437864303589&amp;quot;&#10;## [1] &amp;quot;2012-12-28 00:00:00 XLF 300 @ 13.1437864303589&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLF -300 @ 13.7043046951294&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLF -300 @ 13.7043046951294&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLF 300 @ 14.2323312759399&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLF 300 @ 14.2323312759399&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLF -300 @ 14.2891960144043&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLF -300 @ 14.2891960144043&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLF 300 @ 14.7603569030762&amp;quot;&#10;## [1] &amp;quot;2013-03-19 00:00:00 XLF 300 @ 14.7603569030762&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLF -300 @ 14.7522344589233&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLF -300 @ 14.7522344589233&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLF 300 @ 14.8090982437134&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLF 300 @ 14.8090982437134&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLF -300 @ 14.8334693908691&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLF -300 @ 14.8334693908691&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLF 300 @ 14.9147033691406&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLF 300 @ 14.9147033691406&amp;quot;&#10;## [1] &amp;quot;2013-04-24 00:00:00 XLF -300 @ 15.0609264373779&amp;quot;&#10;## [1] &amp;quot;2013-04-24 00:00:00 XLF -300 @ 15.0609264373779&amp;quot;&#10;## [1] &amp;quot;2013-05-02 00:00:00 XLF 300 @ 15.1502838134766&amp;quot;&#10;## [1] &amp;quot;2013-05-02 00:00:00 XLF 300 @ 15.1502838134766&amp;quot;&#10;## [1] &amp;quot;2013-05-06 00:00:00 XLF -300 @ 15.4752225875854&amp;quot;&#10;## [1] &amp;quot;2013-05-06 00:00:00 XLF -300 @ 15.4752225875854&amp;quot;&#10;## [1] &amp;quot;2013-05-23 00:00:00 XLF 300 @ 16.0113735198975&amp;quot;&#10;## [1] &amp;quot;2013-05-23 00:00:00 XLF 300 @ 16.0113735198975&amp;quot;&#10;## [1] &amp;quot;2013-05-29 00:00:00 XLF -300 @ 16.1900882720947&amp;quot;&#10;## [1] &amp;quot;2013-05-29 00:00:00 XLF -300 @ 16.1900882720947&amp;quot;&#10;## [1] &amp;quot;2013-06-05 00:00:00 XLF 300 @ 15.72705078125&amp;quot;&#10;## [1] &amp;quot;2013-06-05 00:00:00 XLF 300 @ 15.72705078125&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLF -300 @ 16.2307071685791&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLF -300 @ 16.2307071685791&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLF 300 @ 15.7920389175415&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLF 300 @ 15.7920389175415&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 XLF -300 @ 15.9220151901245&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 XLF -300 @ 15.9220151901245&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLF 300 @ 15.5320882797241&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLF 300 @ 15.5320882797241&amp;quot;&#10;## [1] 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00:00:00 XLF -300 @ 16.9536952972412&amp;quot;&#10;## [1] &amp;quot;2013-12-04 00:00:00 XLF 300 @ 17.3030052185059&amp;quot;&#10;## [1] &amp;quot;2013-12-04 00:00:00 XLF 300 @ 17.3030052185059&amp;quot;&#10;## [1] &amp;quot;2013-12-10 00:00:00 XLF -300 @ 17.3842391967773&amp;quot;&#10;## [1] &amp;quot;2013-12-10 00:00:00 XLF -300 @ 17.3842391967773&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLF 300 @ 17.14866065979&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLF 300 @ 17.14866065979&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLF -300 @ 17.1567821502686&amp;quot;&#10;## [1] &amp;quot;2013-12-17 00:00:00 XLF -300 @ 17.1567821502686&amp;quot;&#10;## [1] &amp;quot;2014-01-14 00:00:00 XLF 300 @ 17.7741661071777&amp;quot;&#10;## [1] &amp;quot;2014-01-14 00:00:00 XLF 300 @ 17.7741661071777&amp;quot;&#10;## [1] &amp;quot;2014-01-16 00:00:00 XLF -300 @ 17.8716487884521&amp;quot;&#10;## [1] &amp;quot;2014-01-16 00:00:00 XLF -300 @ 17.8716487884521&amp;quot;&#10;## [1] 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00:00:00 XLF 300 @ 17.5385875701904&amp;quot;&#10;## [1] &amp;quot;2014-05-13 00:00:00 XLF -300 @ 17.9772548675537&amp;quot;&#10;## [1] &amp;quot;2014-05-13 00:00:00 XLF -300 @ 17.9772548675537&amp;quot;&#10;## [1] &amp;quot;2014-05-15 00:00:00 XLF 300 @ 17.6441917419434&amp;quot;&#10;## [1] &amp;quot;2014-05-15 00:00:00 XLF 300 @ 17.6441917419434&amp;quot;&#10;## [1] &amp;quot;2014-05-23 00:00:00 XLF -300 @ 17.9041423797607&amp;quot;&#10;## [1] &amp;quot;2014-05-23 00:00:00 XLF -300 @ 17.9041423797607&amp;quot;&#10;## [1] &amp;quot;2014-06-12 00:00:00 XLF 300 @ 18.359058380127&amp;quot;&#10;## [1] &amp;quot;2014-06-12 00:00:00 XLF 300 @ 18.359058380127&amp;quot;&#10;## [1] &amp;quot;2014-06-18 00:00:00 XLF -300 @ 18.5702686309814&amp;quot;&#10;## [1] &amp;quot;2014-06-18 00:00:00 XLF -300 @ 18.5702686309814&amp;quot;&#10;## [1] &amp;quot;2014-06-25 00:00:00 XLF 300 @ 18.4809093475342&amp;quot;&#10;## [1] &amp;quot;2014-06-25 00:00:00 XLF 300 @ 18.4809093475342&amp;quot;&#10;## [1] 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XLF 300 @ 20.0893573760986&amp;quot;&#10;## [1] &amp;quot;2015-01-02 00:00:00 XLF 300 @ 20.0893573760986&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLF -300 @ 19.5938262939453&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLF -300 @ 19.5938262939453&amp;quot;&#10;## [1] &amp;quot;2015-01-13 00:00:00 XLF 300 @ 19.3663692474365&amp;quot;&#10;## [1] &amp;quot;2015-01-13 00:00:00 XLF 300 @ 19.3663692474365&amp;quot;&#10;## [1] &amp;quot;2015-01-23 00:00:00 XLF -300 @ 19.3095035552979&amp;quot;&#10;## [1] &amp;quot;2015-01-23 00:00:00 XLF -300 @ 19.3095035552979&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLF 300 @ 18.8464660644531&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLF 300 @ 18.8464660644531&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLF -300 @ 19.260763168335&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLF -300 @ 19.260763168335&amp;quot;&#10;## [1] &amp;quot;2015-02-20 00:00:00 XLF 300 @ 19.8537769317627&amp;quot;&#10;## [1] 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00:00:00 XLF -300 @ 19.7562961578369&amp;quot;&#10;## [1] &amp;quot;2015-04-29 00:00:00 XLF -300 @ 19.7562961578369&amp;quot;&#10;## [1] &amp;quot;2015-05-01 00:00:00 XLF 300 @ 19.7725429534912&amp;quot;&#10;## [1] &amp;quot;2015-05-01 00:00:00 XLF 300 @ 19.7725429534912&amp;quot;&#10;## [1] &amp;quot;2015-05-05 00:00:00 XLF -300 @ 19.7887897491455&amp;quot;&#10;## [1] &amp;quot;2015-05-05 00:00:00 XLF -300 @ 19.7887897491455&amp;quot;&#10;## [1] &amp;quot;2015-05-07 00:00:00 XLF 300 @ 19.8294067382812&amp;quot;&#10;## [1] &amp;quot;2015-05-07 00:00:00 XLF 300 @ 19.8294067382812&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLF -300 @ 20.0406169891357&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLF -300 @ 20.0406169891357&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLF 300 @ 20.186840057373&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLF 300 @ 20.186840057373&amp;quot;&#10;## [1] &amp;quot;2015-06-04 00:00:00 XLF -300 @ 20.0243701934814&amp;quot;&#10;## [1] 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00:00:00 XLF 300 @ 23.4699993133545&amp;quot;&#10;## [1] &amp;quot;2017-04-05 00:00:00 XLF 300 @ 23.4699993133545&amp;quot;&#10;## [1] &amp;quot;2017-04-21 00:00:00 XLF -300 @ 23.1599998474121&amp;quot;&#10;## [1] &amp;quot;2017-04-21 00:00:00 XLF -300 @ 23.1599998474121&amp;quot;&#10;## [1] &amp;quot;2017-05-01 00:00:00 XLF 300 @ 23.6800003051758&amp;quot;&#10;## [1] &amp;quot;2017-05-01 00:00:00 XLF 300 @ 23.6800003051758&amp;quot;&#10;## [1] &amp;quot;2017-05-04 00:00:00 XLF -300 @ 23.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-05-04 00:00:00 XLF -300 @ 23.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-05-10 00:00:00 XLF 300 @ 23.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-05-10 00:00:00 XLF 300 @ 23.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-05-17 00:00:00 XLF -300 @ 23.0599994659424&amp;quot;&#10;## [1] &amp;quot;2017-05-17 00:00:00 XLF -300 @ 23.0599994659424&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLF 300 @ 23.1499996185303&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLF 300 @ 23.1499996185303&amp;quot;&#10;## [1] &amp;quot;2017-05-24 00:00:00 XLF -300 @ 23.5799999237061&amp;quot;&#10;## [1] &amp;quot;2017-05-24 00:00:00 XLF -300 @ 23.5799999237061&amp;quot;&#10;## [1] &amp;quot;2017-05-31 00:00:00 XLF 300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2017-05-31 00:00:00 XLF 300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2017-06-08 00:00:00 XLF -300 @ 23.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-06-08 00:00:00 XLF -300 @ 23.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-06-19 00:00:00 XLF 300 @ 24.5400009155273&amp;quot;&#10;## [1] &amp;quot;2017-06-19 00:00:00 XLF 300 @ 24.5400009155273&amp;quot;&#10;## [1] &amp;quot;2017-06-20 00:00:00 XLF -300 @ 24.3299999237061&amp;quot;&#10;## [1] &amp;quot;2017-06-20 00:00:00 XLF -300 @ 24.3299999237061&amp;quot;&#10;## [1] &amp;quot;2017-06-22 00:00:00 XLF 300 @ 23.9799995422363&amp;quot;&#10;## [1] &amp;quot;2017-06-22 00:00:00 XLF 300 @ 23.9799995422363&amp;quot;&#10;## [1] &amp;quot;2017-06-28 00:00:00 XLF -300 @ 24.5200004577637&amp;quot;&#10;## [1] &amp;quot;2017-06-28 00:00:00 XLF -300 @ 24.5200004577637&amp;quot;&#10;## [1] &amp;quot;2017-07-12 00:00:00 XLF 300 @ 24.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-07-12 00:00:00 XLF 300 @ 24.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-07-14 00:00:00 XLF -300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2017-07-14 00:00:00 XLF -300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2017-07-18 00:00:00 XLF 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2017-07-18 00:00:00 XLF 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2017-07-25 00:00:00 XLF -300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2017-07-25 00:00:00 XLF -300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2017-07-28 00:00:00 XLF 300 @ 24.9099998474121&amp;quot;&#10;## [1] &amp;quot;2017-07-28 00:00:00 XLF 300 @ 24.9099998474121&amp;quot;&#10;## [1] &amp;quot;2017-08-01 00:00:00 XLF -300 @ 25.2700004577637&amp;quot;&#10;## [1] &amp;quot;2017-08-01 00:00:00 XLF -300 @ 25.2700004577637&amp;quot;&#10;## [1] &amp;quot;2017-08-11 00:00:00 XLF 300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2017-08-11 00:00:00 XLF 300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2017-08-23 00:00:00 XLF -300 @ 24.7399997711182&amp;quot;&#10;## [1] &amp;quot;2017-08-23 00:00:00 XLF -300 @ 24.7399997711182&amp;quot;&#10;## [1] &amp;quot;2017-08-29 00:00:00 XLF 300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2017-08-29 00:00:00 XLF 300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2017-09-05 00:00:00 XLF -300 @ 24.2399997711182&amp;quot;&#10;## [1] &amp;quot;2017-09-05 00:00:00 XLF -300 @ 24.2399997711182&amp;quot;&#10;## [1] &amp;quot;2017-09-06 00:00:00 XLF 300 @ 24.2999992370605&amp;quot;&#10;## [1] &amp;quot;2017-09-06 00:00:00 XLF 300 @ 24.2999992370605&amp;quot;&#10;## [1] &amp;quot;2017-09-12 00:00:00 XLF -300 @ 24.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-09-12 00:00:00 XLF -300 @ 24.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-10-13 00:00:00 XLF 300 @ 26.1299991607666&amp;quot;&#10;## [1] &amp;quot;2017-10-13 00:00:00 XLF 300 @ 26.1299991607666&amp;quot;&#10;## [1] &amp;quot;2017-10-17 00:00:00 XLF -300 @ 26.1700000762939&amp;quot;&#10;## [1] &amp;quot;2017-10-17 00:00:00 XLF -300 @ 26.1700000762939&amp;quot;&#10;## [1] &amp;quot;2017-10-31 00:00:00 XLF 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2017-10-31 00:00:00 XLF 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2017-11-03 00:00:00 XLF -300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2017-11-03 00:00:00 XLF -300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2017-11-08 00:00:00 XLF 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2017-11-08 00:00:00 XLF 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2017-11-16 00:00:00 XLF -300 @ 26.1900005340576&amp;quot;&#10;## [1] &amp;quot;2017-11-16 00:00:00 XLF -300 @ 26.1900005340576&amp;quot;&#10;## [1] &amp;quot;2017-11-28 00:00:00 XLF 300 @ 26.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-11-28 00:00:00 XLF 300 @ 26.8799991607666&amp;quot;&#10;## [1] &amp;quot;2017-11-29 00:00:00 XLF -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2017-11-29 00:00:00 XLF -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2017-12-15 00:00:00 XLF 300 @ 27.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-12-15 00:00:00 XLF 300 @ 27.8099994659424&amp;quot;&#10;## [1] &amp;quot;2017-12-19 00:00:00 XLF -300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2017-12-19 00:00:00 XLF -300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2018-01-02 00:00:00 XLF 300 @ 27.9200000762939&amp;quot;&#10;## [1] &amp;quot;2018-01-02 00:00:00 XLF 300 @ 27.9200000762939&amp;quot;&#10;## [1] &amp;quot;2018-01-04 00:00:00 XLF -300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-01-04 00:00:00 XLF -300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-01-31 00:00:00 XLF 300 @ 29.7399997711182&amp;quot;&#10;## [1] &amp;quot;2018-01-31 00:00:00 XLF 300 @ 29.7399997711182&amp;quot;&#10;## [1] &amp;quot;2018-02-02 00:00:00 XLF -300 @ 29.3600006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-02 00:00:00 XLF -300 @ 29.3600006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-05 00:00:00 XLF 300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2018-02-05 00:00:00 XLF 300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2018-02-14 00:00:00 XLF -300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-14 00:00:00 XLF -300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-02-23 00:00:00 XLF 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2018-02-23 00:00:00 XLF 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2018-02-26 00:00:00 XLF -300 @ 29.5599994659424&amp;quot;&#10;## [1] &amp;quot;2018-02-26 00:00:00 XLF -300 @ 29.5599994659424&amp;quot;&#10;## [1] &amp;quot;2018-03-01 00:00:00 XLF 300 @ 28.3700008392334&amp;quot;&#10;## [1] &amp;quot;2018-03-01 00:00:00 XLF 300 @ 28.3700008392334&amp;quot;&#10;## [1] &amp;quot;2018-03-07 00:00:00 XLF -300 @ 28.9099998474121&amp;quot;&#10;## [1] &amp;quot;2018-03-07 00:00:00 XLF -300 @ 28.9099998474121&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLF 300 @ 28.9500007629395&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLF 300 @ 28.9500007629395&amp;quot;&#10;## [1] &amp;quot;2018-04-05 00:00:00 XLF -300 @ 27.8400001525879&amp;quot;&#10;## [1] &amp;quot;2018-04-05 00:00:00 XLF -300 @ 27.8400001525879&amp;quot;&#10;## [1] &amp;quot;2018-04-09 00:00:00 XLF 300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2018-04-09 00:00:00 XLF 300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2018-04-11 00:00:00 XLF -300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2018-04-11 00:00:00 XLF -300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2018-04-19 00:00:00 XLF 300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2018-04-19 00:00:00 XLF 300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2018-04-20 00:00:00 XLF -300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2018-04-20 00:00:00 XLF -300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2018-04-25 00:00:00 XLF 300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2018-04-25 00:00:00 XLF 300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2018-05-08 00:00:00 XLF -300 @ 27.6399993896484&amp;quot;&#10;## [1] &amp;quot;2018-05-08 00:00:00 XLF -300 @ 27.6399993896484&amp;quot;&#10;## [1] &amp;quot;2018-05-21 00:00:00 XLF 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2018-05-21 00:00:00 XLF 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2018-05-23 00:00:00 XLF -300 @ 28.1599998474121&amp;quot;&#10;## [1] &amp;quot;2018-05-23 00:00:00 XLF -300 @ 28.1599998474121&amp;quot;&#10;## [1] &amp;quot;2018-05-25 00:00:00 XLF 300 @ 27.8500003814697&amp;quot;&#10;## [1] &amp;quot;2018-05-25 00:00:00 XLF 300 @ 27.8500003814697&amp;quot;&#10;## [1] &amp;quot;2018-06-05 00:00:00 XLF -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-06-05 00:00:00 XLF -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLF 300 @ 27.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLF 300 @ 27.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLF -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLF -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-07-05 00:00:00 XLF 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-05 00:00:00 XLF 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-09 00:00:00 XLF -300 @ 27.2800006866455&amp;quot;&#10;## [1] &amp;quot;2018-07-09 00:00:00 XLF -300 @ 27.2800006866455&amp;quot;&#10;## [1] &amp;quot;2018-07-16 00:00:00 XLF 300 @ 27.4599990844727&amp;quot;&#10;## [1] &amp;quot;2018-07-16 00:00:00 XLF 300 @ 27.4599990844727&amp;quot;&#10;## [1] &amp;quot;2018-07-17 00:00:00 XLF -300 @ 27.4899997711182&amp;quot;&#10;## [1] &amp;quot;2018-07-17 00:00:00 XLF -300 @ 27.4899997711182&amp;quot;&#10;## [1] &amp;quot;2018-08-01 00:00:00 XLF 300 @ 27.9500007629395&amp;quot;&#10;## [1] &amp;quot;2018-08-01 00:00:00 XLF 300 @ 27.9500007629395&amp;quot;&#10;## [1] &amp;quot;2018-08-06 00:00:00 XLF -300 @ 28.2700004577637&amp;quot;&#10;## [1] &amp;quot;2018-08-06 00:00:00 XLF -300 @ 28.2700004577637&amp;quot;&#10;## [1] &amp;quot;2018-08-13 00:00:00 XLF 300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2018-08-13 00:00:00 XLF 300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2018-08-17 00:00:00 XLF -300 @ 28.1700000762939&amp;quot;&#10;## [1] &amp;quot;2018-08-17 00:00:00 XLF -300 @ 28.1700000762939&amp;quot;&#10;## [1] &amp;quot;2018-08-24 00:00:00 XLF 300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2018-08-24 00:00:00 XLF 300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2018-08-28 00:00:00 XLF -300 @ 28.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-08-28 00:00:00 XLF -300 @ 28.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-08-31 00:00:00 XLF 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-08-31 00:00:00 XLF 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLF -300 @ 28.3600006103516&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLF -300 @ 28.3600006103516&amp;quot;&#10;## [1] &amp;quot;2018-09-07 00:00:00 XLF 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-09-07 00:00:00 XLF 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2018-09-20 00:00:00 XLF -300 @ 28.9799995422363&amp;quot;&#10;## [1] &amp;quot;2018-09-20 00:00:00 XLF -300 @ 28.9799995422363&amp;quot;&#10;## [1] &amp;quot;2018-09-25 00:00:00 XLF 300 @ 28.3099994659424&amp;quot;&#10;## [1] &amp;quot;2018-09-25 00:00:00 XLF 300 @ 28.3099994659424&amp;quot;&#10;## [1] &amp;quot;2018-10-04 00:00:00 XLF -300 @ 28.1399993896484&amp;quot;&#10;## [1] &amp;quot;2018-10-04 00:00:00 XLF -300 @ 28.1399993896484&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLF 300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLF 300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2018-10-18 00:00:00 XLF -300 @ 26.5699996948242&amp;quot;&#10;## [1] &amp;quot;2018-10-18 00:00:00 XLF -300 @ 26.5699996948242&amp;quot;&#10;## [1] &amp;quot;2018-10-23 00:00:00 XLF 300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-10-23 00:00:00 XLF 300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-10-31 00:00:00 XLF -300 @ 26.2800006866455&amp;quot;&#10;## [1] &amp;quot;2018-10-31 00:00:00 XLF -300 @ 26.2800006866455&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLF 300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLF 300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2018-11-27 00:00:00 XLF -300 @ 26.5499992370605&amp;quot;&#10;## [1] &amp;quot;2018-11-27 00:00:00 XLF -300 @ 26.5499992370605&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLF 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLF 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2018-12-28 00:00:00 XLF -300 @ 23.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-12-28 00:00:00 XLF -300 @ 23.5900001525879&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLF 300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLF 300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2019-01-07 00:00:00 XLF -300 @ 24.2900009155273&amp;quot;&#10;## [1] &amp;quot;2019-01-07 00:00:00 XLF -300 @ 24.2900009155273&amp;quot;&#10;## [1] &amp;quot;2019-02-08 00:00:00 XLF 300 @ 25.6700000762939&amp;quot;&#10;## [1] &amp;quot;2019-02-08 00:00:00 XLF 300 @ 25.6700000762939&amp;quot;&#10;## [1] &amp;quot;2019-02-13 00:00:00 XLF -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2019-02-13 00:00:00 XLF -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2019-02-15 00:00:00 XLF 300 @ 26.4300003051758&amp;quot;&#10;## [1] &amp;quot;2019-02-15 00:00:00 XLF 300 @ 26.4300003051758&amp;quot;&#10;## [1] &amp;quot;2019-02-19 00:00:00 XLF -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2019-02-19 00:00:00 XLF -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2019-03-06 00:00:00 XLF 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2019-03-06 00:00:00 XLF 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLF -300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLF -300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-03-21 00:00:00 XLF 300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-03-21 00:00:00 XLF 300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-03-29 00:00:00 XLF -300 @ 25.7099990844727&amp;quot;&#10;## [1] &amp;quot;2019-03-29 00:00:00 XLF -300 @ 25.7099990844727&amp;quot;&#10;## [1] &amp;quot;2019-04-10 00:00:00 XLF 300 @ 26.4899997711182&amp;quot;&#10;## [1] &amp;quot;2019-04-10 00:00:00 XLF 300 @ 26.4899997711182&amp;quot;&#10;## [1] &amp;quot;2019-04-12 00:00:00 XLF -300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-04-12 00:00:00 XLF -300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLF 300 @ 27.3600006103516&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLF 300 @ 27.3600006103516&amp;quot;&#10;## [1] &amp;quot;2019-05-22 00:00:00 XLF -300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2019-05-22 00:00:00 XLF -300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2019-05-24 00:00:00 XLF 300 @ 26.8600006103516&amp;quot;&#10;## [1] &amp;quot;2019-05-24 00:00:00 XLF 300 @ 26.8600006103516&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLF -300 @ 27.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLF -300 @ 27.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-06-13 00:00:00 XLF 300 @ 27.1800003051758&amp;quot;&#10;## [1] &amp;quot;2019-06-13 00:00:00 XLF 300 @ 27.1800003051758&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLF -300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLF -300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-06-25 00:00:00 XLF 300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-06-25 00:00:00 XLF 300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-06-28 00:00:00 XLF -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2019-06-28 00:00:00 XLF -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2019-07-11 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2019-07-11 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2019-07-12 00:00:00 XLF -300 @ 28.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-07-12 00:00:00 XLF -300 @ 28.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-07-18 00:00:00 XLF 300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-07-18 00:00:00 XLF 300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2019-07-24 00:00:00 XLF -300 @ 28.5799999237061&amp;quot;&#10;## [1] &amp;quot;2019-07-24 00:00:00 XLF -300 @ 28.5799999237061&amp;quot;&#10;## [1] &amp;quot;2019-08-01 00:00:00 XLF 300 @ 27.6100006103516&amp;quot;&#10;## [1] &amp;quot;2019-08-01 00:00:00 XLF 300 @ 27.6100006103516&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLF -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLF -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLF 300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLF 300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLF -300 @ 26.9200000762939&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLF -300 @ 26.9200000762939&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLF -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLF -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLF 300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLF 300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLF -300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLF -300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2019-11-01 00:00:00 XLF 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-01 00:00:00 XLF 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-04 00:00:00 XLF -300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-04 00:00:00 XLF -300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-14 00:00:00 XLF 300 @ 29.6700000762939&amp;quot;&#10;## [1] &amp;quot;2019-11-14 00:00:00 XLF 300 @ 29.6700000762939&amp;quot;&#10;## [1] &amp;quot;2019-11-19 00:00:00 XLF -300 @ 29.8700008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-19 00:00:00 XLF -300 @ 29.8700008392334&amp;quot;&#10;## [1] &amp;quot;2019-11-21 00:00:00 XLF 300 @ 29.7000007629395&amp;quot;&#10;## [1] &amp;quot;2019-11-21 00:00:00 XLF 300 @ 29.7000007629395&amp;quot;&#10;## [1] &amp;quot;2019-11-25 00:00:00 XLF -300 @ 30.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-11-25 00:00:00 XLF -300 @ 30.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-12-03 00:00:00 XLF 300 @ 29.5400009155273&amp;quot;&#10;## [1] &amp;quot;2019-12-03 00:00:00 XLF 300 @ 29.5400009155273&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLF -300 @ 30.2900009155273&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLF -300 @ 30.2900009155273&amp;quot;&#10;## [1] &amp;quot;2019-12-23 00:00:00 XLF 300 @ 30.6100006103516&amp;quot;&#10;## [1] &amp;quot;2019-12-23 00:00:00 XLF 300 @ 30.6100006103516&amp;quot;&#10;## [1] &amp;quot;2019-12-27 00:00:00 XLF -300 @ 30.7700004577637&amp;quot;&#10;## [1] &amp;quot;2019-12-27 00:00:00 XLF -300 @ 30.7700004577637&amp;quot;&#10;## [1] &amp;quot;2019-12-31 00:00:00 XLF 300 @ 30.7800006866455&amp;quot;&#10;## [1] &amp;quot;2019-12-31 00:00:00 XLF 300 @ 30.7800006866455&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLF -300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLF -300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2020-01-08 00:00:00 XLF 300 @ 30.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-01-08 00:00:00 XLF 300 @ 30.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-01-10 00:00:00 XLF -300 @ 30.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-01-10 00:00:00 XLF -300 @ 30.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-01-16 00:00:00 XLF 300 @ 30.9400005340576&amp;quot;&#10;## [1] &amp;quot;2020-01-16 00:00:00 XLF 300 @ 30.9400005340576&amp;quot;&#10;## [1] &amp;quot;2020-01-17 00:00:00 XLF -300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2020-01-17 00:00:00 XLF -300 @ 31.0300006866455&amp;quot;&#10;## [1] &amp;quot;2020-01-22 00:00:00 XLF 300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-01-22 00:00:00 XLF 300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLF -300 @ 29.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLF -300 @ 29.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-02-03 00:00:00 XLF 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2020-02-03 00:00:00 XLF 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2020-02-05 00:00:00 XLF -300 @ 31.0699996948242&amp;quot;&#10;## [1] &amp;quot;2020-02-05 00:00:00 XLF -300 @ 31.0699996948242&amp;quot;&#10;## [1] &amp;quot;2020-02-19 00:00:00 XLF 300 @ 31.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-02-19 00:00:00 XLF 300 @ 31.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLF -300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLF -300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLF 300 @ 20.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLF 300 @ 20.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-04-07 00:00:00 XLF -300 @ 21.2600002288818&amp;quot;&#10;## [1] &amp;quot;2020-04-07 00:00:00 XLF -300 @ 21.2600002288818&amp;quot;&#10;## [1] &amp;quot;2020-04-16 00:00:00 XLF 300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2020-04-16 00:00:00 XLF 300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2020-04-20 00:00:00 XLF -300 @ 22&amp;quot;&#10;## [1] &amp;quot;2020-04-20 00:00:00 XLF -300 @ 22&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLF 300 @ 21.5200004577637&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLF 300 @ 21.5200004577637&amp;quot;&#10;## [1] &amp;quot;2020-04-27 00:00:00 XLF -300 @ 22.4799995422363&amp;quot;&#10;## [1] &amp;quot;2020-04-27 00:00:00 XLF -300 @ 22.4799995422363&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLF 300 @ 21.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLF 300 @ 21.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLF -300 @ 21.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLF -300 @ 21.8600006103516&amp;quot;&#10;## [1] &amp;quot;2020-05-13 00:00:00 XLF 300 @ 20.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-05-13 00:00:00 XLF 300 @ 20.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLF -300 @ 21.5900001525879&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLF -300 @ 21.5900001525879&amp;quot;&#10;## [1] &amp;quot;2020-06-11 00:00:00 XLF 300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-06-11 00:00:00 XLF 300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-07-07 00:00:00 XLF -300 @ 22.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-07-07 00:00:00 XLF -300 @ 22.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-07-10 00:00:00 XLF 300 @ 23.4599990844727&amp;quot;&#10;## [1] &amp;quot;2020-07-10 00:00:00 XLF 300 @ 23.4599990844727&amp;quot;&#10;## [1] &amp;quot;2020-07-13 00:00:00 XLF -300 @ 23.5599994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-13 00:00:00 XLF -300 @ 23.5599994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLF 300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLF 300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-22 00:00:00 XLF -300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-22 00:00:00 XLF -300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-07-28 00:00:00 XLF 300 @ 24.0100002288818&amp;quot;&#10;## [1] &amp;quot;2020-07-28 00:00:00 XLF 300 @ 24.0100002288818&amp;quot;&#10;## [1] &amp;quot;2020-07-30 00:00:00 XLF -300 @ 24.0200004577637&amp;quot;&#10;## [1] &amp;quot;2020-07-30 00:00:00 XLF -300 @ 24.0200004577637&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLF 300 @ 24.3299999237061&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLF 300 @ 24.3299999237061&amp;quot;&#10;## [1] &amp;quot;2020-08-06 00:00:00 XLF -300 @ 24.3199996948242&amp;quot;&#10;## [1] &amp;quot;2020-08-06 00:00:00 XLF -300 @ 24.3199996948242&amp;quot;&#10;## [1] &amp;quot;2020-08-18 00:00:00 XLF 300 @ 24.6000003814697&amp;quot;&#10;## [1] &amp;quot;2020-08-18 00:00:00 XLF 300 @ 24.6000003814697&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLF -300 @ 24.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLF -300 @ 24.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-09-09 00:00:00 XLF 300 @ 24.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-09-09 00:00:00 XLF 300 @ 24.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-09-15 00:00:00 XLF -300 @ 24.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-09-15 00:00:00 XLF -300 @ 24.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-09-22 00:00:00 XLF 300 @ 23.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-09-22 00:00:00 XLF 300 @ 23.7299995422363&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLF -300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLF -300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2020-10-15 00:00:00 XLF 300 @ 24.9699993133545&amp;quot;&#10;## [1] &amp;quot;2020-10-15 00:00:00 XLF 300 @ 24.9699993133545&amp;quot;&#10;## [1] &amp;quot;2020-10-23 00:00:00 XLF -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2020-10-23 00:00:00 XLF -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2020-10-27 00:00:00 XLF 300 @ 24.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-10-27 00:00:00 XLF 300 @ 24.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLF -300 @ 24.8500003814697&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLF -300 @ 24.8500003814697&amp;quot;&#10;## [1] &amp;quot;2020-11-23 00:00:00 XLF 300 @ 27.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-11-23 00:00:00 XLF 300 @ 27.6900005340576&amp;quot;&#10;## [1] &amp;quot;2020-11-24 00:00:00 XLF -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-11-24 00:00:00 XLF -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-12-01 00:00:00 XLF 300 @ 28.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-12-01 00:00:00 XLF 300 @ 28.3099994659424&amp;quot;&#10;## [1] &amp;quot;2020-12-03 00:00:00 XLF -300 @ 28.6299991607666&amp;quot;&#10;## [1] &amp;quot;2020-12-03 00:00:00 XLF -300 @ 28.6299991607666&amp;quot;&#10;## [1] &amp;quot;2020-12-14 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-12-14 00:00:00 XLF 300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2020-12-17 00:00:00 XLF -300 @ 28.7399997711182&amp;quot;&#10;## [1] &amp;quot;2020-12-17 00:00:00 XLF -300 @ 28.7399997711182&amp;quot;&#10;## [1] &amp;quot;2020-12-21 00:00:00 XLF 300 @ 28.7199993133545&amp;quot;&#10;## [1] &amp;quot;2020-12-21 00:00:00 XLF 300 @ 28.7199993133545&amp;quot;&#10;## [1] &amp;quot;2020-12-24 00:00:00 XLF -300 @ 28.9500007629395&amp;quot;&#10;## [1] &amp;quot;2020-12-24 00:00:00 XLF -300 @ 28.9500007629395&amp;quot;&#10;## [1] &amp;quot;2021-01-19 00:00:00 XLF 300 @ 31.0200004577637&amp;quot;&#10;## [1] &amp;quot;2021-01-19 00:00:00 XLF 300 @ 31.0200004577637&amp;quot;&#10;## [1] &amp;quot;2021-02-03 00:00:00 XLF -300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-02-03 00:00:00 XLF -300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-03-01 00:00:00 XLF 300 @ 33.3199996948242&amp;quot;&#10;## [1] &amp;quot;2021-03-01 00:00:00 XLF 300 @ 33.3199996948242&amp;quot;&#10;## [1] &amp;quot;2021-03-02 00:00:00 XLF -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-03-02 00:00:00 XLF -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-03-17 00:00:00 XLF 300 @ 34.439998626709&amp;quot;&#10;## [1] &amp;quot;2021-03-17 00:00:00 XLF 300 @ 34.439998626709&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLF -300 @ 34.2200012207031&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLF -300 @ 34.2200012207031&amp;quot;&#10;## [1] &amp;quot;2021-03-22 00:00:00 XLF 300 @ 33.6300010681152&amp;quot;&#10;## [1] &amp;quot;2021-03-22 00:00:00 XLF 300 @ 33.6300010681152&amp;quot;&#10;## [1] &amp;quot;2021-03-26 00:00:00 XLF -300 @ 34.3699989318848&amp;quot;&#10;## [1] &amp;quot;2021-03-26 00:00:00 XLF -300 @ 34.3699989318848&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLF 300 @ 35.1199989318848&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLF 300 @ 35.1199989318848&amp;quot;&#10;## [1] &amp;quot;2021-04-26 00:00:00 XLF -300 @ 35.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-04-26 00:00:00 XLF -300 @ 35.5200004577637&amp;quot;&#10;## [1] &amp;quot;2021-05-12 00:00:00 XLF 300 @ 36.7000007629395&amp;quot;&#10;## [1] &amp;quot;2021-05-12 00:00:00 XLF 300 @ 36.7000007629395&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLF -300 @ 37.9500007629395&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLF -300 @ 37.9500007629395&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLF 300 @ 37.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLF 300 @ 37.2099990844727&amp;quot;&#10;## [1] &amp;quot;2021-05-24 00:00:00 XLF -300 @ 37.7599983215332&amp;quot;&#10;## [1] &amp;quot;2021-05-24 00:00:00 XLF -300 @ 37.7599983215332&amp;quot;&#10;## [1] &amp;quot;2021-06-08 00:00:00 XLF 300 @ 38.1199989318848&amp;quot;&#10;## [1] &amp;quot;2021-06-08 00:00:00 XLF 300 @ 38.1199989318848&amp;quot;&#10;## [1] &amp;quot;2021-06-25 00:00:00 XLF -300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2021-06-25 00:00:00 XLF -300 @ 36.9300003051758&amp;quot;&#10;## [1] &amp;quot;2021-07-07 00:00:00 XLF 300 @ 36.4099998474121&amp;quot;&#10;## [1] &amp;quot;2021-07-07 00:00:00 XLF 300 @ 36.4099998474121&amp;quot;&#10;## [1] &amp;quot;2021-07-12 00:00:00 XLF -300 @ 37.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-07-12 00:00:00 XLF -300 @ 37.0699996948242&amp;quot;&#10;## [1] &amp;quot;2021-07-19 00:00:00 XLF 300 @ 35.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-07-19 00:00:00 XLF 300 @ 35.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLF -300 @ 36.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLF -300 @ 36.2000007629395&amp;quot;&#10;## [1] &amp;quot;2021-08-18 00:00:00 XLF 300 @ 37.7400016784668&amp;quot;&#10;## [1] &amp;quot;2021-08-18 00:00:00 XLF 300 @ 37.7400016784668&amp;quot;&#10;## [1] &amp;quot;2021-08-24 00:00:00 XLF -300 @ 38.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-08-24 00:00:00 XLF -300 @ 38.2299995422363&amp;quot;&#10;## [1] &amp;quot;2021-09-02 00:00:00 XLF 300 @ 38.310001373291&amp;quot;&#10;## [1] &amp;quot;2021-09-02 00:00:00 XLF 300 @ 38.310001373291&amp;quot;&#10;## [1] &amp;quot;2021-09-14 00:00:00 XLF -300 @ 37.5&amp;quot;&#10;## [1] &amp;quot;2021-09-14 00:00:00 XLF -300 @ 37.5&amp;quot;&#10;## [1] &amp;quot;2021-09-15 00:00:00 XLF 300 @ 37.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-09-15 00:00:00 XLF 300 @ 37.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-09-24 00:00:00 XLF -300 @ 38.2200012207031&amp;quot;&#10;## [1] &amp;quot;2021-09-24 00:00:00 XLF -300 @ 38.2200012207031&amp;quot;&#10;## [1] &amp;quot;2021-10-01 00:00:00 XLF 300 @ 38.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-10-01 00:00:00 XLF 300 @ 38.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-10-06 00:00:00 XLF -300 @ 38.5999984741211&amp;quot;&#10;## [1] &amp;quot;2021-10-06 00:00:00 XLF -300 @ 38.5999984741211&amp;quot;&#10;## [1] &amp;quot;2021-10-13 00:00:00 XLF 300 @ 38.2900009155273&amp;quot;&#10;## [1] &amp;quot;2021-10-13 00:00:00 XLF 300 @ 38.2900009155273&amp;quot;&#10;## [1] &amp;quot;2021-10-15 00:00:00 XLF -300 @ 39.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-10-15 00:00:00 XLF -300 @ 39.5099983215332&amp;quot;&#10;## [1] &amp;quot;2021-10-28 00:00:00 XLF 300 @ 40.4199981689453&amp;quot;&#10;## [1] &amp;quot;2021-10-28 00:00:00 XLF 300 @ 40.4199981689453&amp;quot;&#10;## [1] &amp;quot;2021-11-04 00:00:00 XLF -300 @ 40&amp;quot;&#10;## [1] &amp;quot;2021-11-04 00:00:00 XLF -300 @ 40&amp;quot;&#10;## [1] &amp;quot;2021-11-05 00:00:00 XLF 300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2021-11-05 00:00:00 XLF 300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2021-11-15 00:00:00 XLF -300 @ 40.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-11-15 00:00:00 XLF -300 @ 40.1500015258789&amp;quot;&#10;## [1] &amp;quot;2021-11-18 00:00:00 XLF 300 @ 39.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-11-18 00:00:00 XLF 300 @ 39.4500007629395&amp;quot;&#10;## [1] &amp;quot;2021-11-24 00:00:00 XLF -300 @ 40.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-11-24 00:00:00 XLF -300 @ 40.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLF 300 @ 38.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLF 300 @ 38.8899993896484&amp;quot;&#10;## [1] &amp;quot;2021-12-08 00:00:00 XLF -300 @ 39.0900001525879&amp;quot;&#10;## [1] &amp;quot;2021-12-08 00:00:00 XLF -300 @ 39.0900001525879&amp;quot;&#10;## [1] &amp;quot;2021-12-14 00:00:00 XLF 300 @ 38.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-12-14 00:00:00 XLF 300 @ 38.8600006103516&amp;quot;&#10;## [1] &amp;quot;2021-12-17 00:00:00 XLF -300 @ 38.5900001525879&amp;quot;&#10;## [1] &amp;quot;2021-12-17 00:00:00 XLF -300 @ 38.5900001525879&amp;quot;&#10;## [1] &amp;quot;2021-12-20 00:00:00 XLF 300 @ 37.6599998474121&amp;quot;&#10;## [1] &amp;quot;2021-12-20 00:00:00 XLF 300 @ 37.6599998474121&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLF -300 @ 39.2200012207031&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLF -300 @ 39.2200012207031&amp;quot;&#10;## [1] &amp;quot;2022-01-03 00:00:00 XLF 300 @ 39.5299987792969&amp;quot;&#10;## [1] &amp;quot;2022-01-03 00:00:00 XLF 300 @ 39.5299987792969&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLF -300 @ 40.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLF -300 @ 40.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-01-18 00:00:00 XLF 300 @ 39.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-01-18 00:00:00 XLF 300 @ 39.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLF -300 @ 39.060001373291&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLF -300 @ 39.060001373291&amp;quot;&#10;## [1] &amp;quot;2022-02-14 00:00:00 XLF 300 @ 39.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-02-14 00:00:00 XLF 300 @ 39.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLF -300 @ 38.5200004577637&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLF -300 @ 38.5200004577637&amp;quot;&#10;## [1] &amp;quot;2022-03-02 00:00:00 XLF 300 @ 38.060001373291&amp;quot;&#10;## [1] &amp;quot;2022-03-02 00:00:00 XLF 300 @ 38.060001373291&amp;quot;&#10;## [1] &amp;quot;2022-03-10 00:00:00 XLF -300 @ 36.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-03-10 00:00:00 XLF -300 @ 36.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-03-31 00:00:00 XLF 300 @ 38.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-03-31 00:00:00 XLF 300 @ 38.3199996948242&amp;quot;&#10;## [1] &amp;quot;2022-04-11 00:00:00 XLF -300 @ 37.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-04-11 00:00:00 XLF -300 @ 37.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-04-13 00:00:00 XLF 300 @ 37.310001373291&amp;quot;&#10;## [1] &amp;quot;2022-04-13 00:00:00 XLF 300 @ 37.310001373291&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLF -300 @ 37.8800010681152&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLF -300 @ 37.8800010681152&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLF 300 @ 36.2299995422363&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLF 300 @ 36.2299995422363&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLF -300 @ 34.9900016784668&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLF -300 @ 34.9900016784668&amp;quot;&#10;## [1] &amp;quot;2022-05-09 00:00:00 XLF 300 @ 33.9099998474121&amp;quot;&#10;## [1] &amp;quot;2022-05-09 00:00:00 XLF 300 @ 33.9099998474121&amp;quot;&#10;## [1] &amp;quot;2022-05-18 00:00:00 XLF -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2022-05-18 00:00:00 XLF -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2022-05-20 00:00:00 XLF 300 @ 32.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-05-20 00:00:00 XLF 300 @ 32.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-05-24 00:00:00 XLF -300 @ 33.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-05-24 00:00:00 XLF -300 @ 33.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-06-09 00:00:00 XLF 300 @ 33.75&amp;quot;&#10;## [1] &amp;quot;2022-06-09 00:00:00 XLF 300 @ 33.75&amp;quot;&#10;## [1] &amp;quot;2022-06-27 00:00:00 XLF -300 @ 32.2299995422363&amp;quot;&#10;## [1] &amp;quot;2022-06-27 00:00:00 XLF -300 @ 32.2299995422363&amp;quot;&#10;## [1] &amp;quot;2022-06-30 00:00:00 XLF 300 @ 31.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-06-30 00:00:00 XLF 300 @ 31.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-07-08 00:00:00 XLF -300 @ 32.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-07-08 00:00:00 XLF -300 @ 32.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-07-12 00:00:00 XLF 300 @ 31.6200008392334&amp;quot;&#10;## [1] &amp;quot;2022-07-12 00:00:00 XLF 300 @ 31.6200008392334&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLF -300 @ 31.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLF -300 @ 31.6599998474121&amp;quot;&#10;## [1] &amp;quot;2022-07-27 00:00:00 XLF 300 @ 33&amp;quot;&#10;## [1] &amp;quot;2022-07-27 00:00:00 XLF 300 @ 33&amp;quot;&#10;## [1] &amp;quot;2022-07-29 00:00:00 XLF -300 @ 33.7099990844727&amp;quot;&#10;## [1] &amp;quot;2022-07-29 00:00:00 XLF -300 @ 33.7099990844727&amp;quot;&#10;## [1] &amp;quot;2022-08-03 00:00:00 XLF 300 @ 33.560001373291&amp;quot;&#10;## [1] &amp;quot;2022-08-03 00:00:00 XLF 300 @ 33.560001373291&amp;quot;&#10;## [1] &amp;quot;2022-08-08 00:00:00 XLF -300 @ 33.6699981689453&amp;quot;&#10;## [1] &amp;quot;2022-08-08 00:00:00 XLF -300 @ 33.6699981689453&amp;quot;&#10;## [1] &amp;quot;2022-08-22 00:00:00 XLF 300 @ 34.189998626709&amp;quot;&#10;## [1] &amp;quot;2022-08-22 00:00:00 XLF 300 @ 34.189998626709&amp;quot;&#10;## [1] &amp;quot;2022-08-26 00:00:00 XLF -300 @ 33.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-08-26 00:00:00 XLF -300 @ 33.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-08-29 00:00:00 XLF 300 @ 33.4799995422363&amp;quot;&#10;## [1] &amp;quot;2022-08-29 00:00:00 XLF 300 @ 33.4799995422363&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLF -300 @ 34.0499992370605&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLF -300 @ 34.0499992370605&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLF 300 @ 33.25&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLF 300 @ 33.25&amp;quot;&#10;## [1] &amp;quot;2022-10-04 00:00:00 XLF -300 @ 32.3400001525879&amp;quot;&#10;## [1] &amp;quot;2022-10-04 00:00:00 XLF -300 @ 32.3400001525879&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLF 300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLF 300 @ 30.75&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLF -300 @ 31.0100002288818&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLF -300 @ 31.0100002288818&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLF 300 @ 32.189998626709&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLF 300 @ 32.189998626709&amp;quot;&#10;## [1] &amp;quot;2022-10-24 00:00:00 XLF -300 @ 32.6199989318848&amp;quot;&#10;## [1] &amp;quot;2022-10-24 00:00:00 XLF -300 @ 32.6199989318848&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLF 300 @ 33.2999992370605&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLF 300 @ 33.2999992370605&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLF -300 @ 34.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLF -300 @ 34.4500007629395&amp;quot;&#10;## [1] &amp;quot;2022-11-18 00:00:00 XLF 300 @ 35.3699989318848&amp;quot;&#10;## [1] &amp;quot;2022-11-18 00:00:00 XLF 300 @ 35.3699989318848&amp;quot;&#10;## [1] &amp;quot;2022-11-22 00:00:00 XLF -300 @ 35.8400001525879&amp;quot;&#10;## [1] &amp;quot;2022-11-22 00:00:00 XLF -300 @ 35.8400001525879&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLF 300 @ 35.7000007629395&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLF 300 @ 35.7000007629395&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLF -300 @ 36.0999984741211&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLF -300 @ 36.0999984741211&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLF 300 @ 34.7299995422363&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLF 300 @ 34.7299995422363&amp;quot;&#10;## [1] &amp;quot;2022-12-13 00:00:00 XLF -300 @ 35.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-12-13 00:00:00 XLF -300 @ 35.0800018310547&amp;quot;&#10;## [1] &amp;quot;2022-12-15 00:00:00 XLF 300 @ 33.9599990844727&amp;quot;&#10;## [1] &amp;quot;2022-12-15 00:00:00 XLF 300 @ 33.9599990844727&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLF -300 @ 33.7599983215332&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLF -300 @ 33.7599983215332&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLF 300 @ 34.7999992370605&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLF 300 @ 34.7999992370605&amp;quot;&#10;## [1] &amp;quot;2023-01-24 00:00:00 XLF -300 @ 35.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-01-24 00:00:00 XLF -300 @ 35.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-02-10 00:00:00 XLF 300 @ 36.4900016784668&amp;quot;&#10;## [1] &amp;quot;2023-02-10 00:00:00 XLF 300 @ 36.4900016784668&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLF -300 @ 36.7099990844727&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLF -300 @ 36.7099990844727&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLF 300 @ 36.3899993896484&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLF 300 @ 36.3899993896484&amp;quot;&#10;## [1] &amp;quot;2023-03-01 00:00:00 XLF -300 @ 35.5999984741211&amp;quot;&#10;## [1] &amp;quot;2023-03-01 00:00:00 XLF -300 @ 35.5999984741211&amp;quot;&#10;## [1] &amp;quot;2023-03-02 00:00:00 XLF 300 @ 35.4300003051758&amp;quot;&#10;## [1] &amp;quot;2023-03-02 00:00:00 XLF 300 @ 35.4300003051758&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLF -300 @ 36.0200004577637&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLF -300 @ 36.0200004577637&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLF 300 @ 34.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLF 300 @ 34.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-03-22 00:00:00 XLF -300 @ 31.2199993133545&amp;quot;&#10;## [1] &amp;quot;2023-03-22 00:00:00 XLF -300 @ 31.2199993133545&amp;quot;&#10;## [1] &amp;quot;2023-03-24 00:00:00 XLF 300 @ 30.9899997711182&amp;quot;&#10;## [1] &amp;quot;2023-03-24 00:00:00 XLF 300 @ 30.9899997711182&amp;quot;&#10;## [1] &amp;quot;2023-03-28 00:00:00 XLF -300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2023-03-28 00:00:00 XLF -300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2023-04-06 00:00:00 XLF 300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2023-04-06 00:00:00 XLF 300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2023-04-11 00:00:00 XLF -300 @ 32.3400001525879&amp;quot;&#10;## [1] &amp;quot;2023-04-11 00:00:00 XLF -300 @ 32.3400001525879&amp;quot;&#10;## [1] &amp;quot;2023-04-24 00:00:00 XLF 300 @ 33.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-04-24 00:00:00 XLF 300 @ 33.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-05-01 00:00:00 XLF -300 @ 33.0800018310547&amp;quot;&#10;## [1] &amp;quot;2023-05-01 00:00:00 XLF -300 @ 33.0800018310547&amp;quot;&#10;## [1] &amp;quot;2023-05-03 00:00:00 XLF 300 @ 31.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-05-03 00:00:00 XLF 300 @ 31.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-05-16 00:00:00 XLF -300 @ 31.8600006103516&amp;quot;&#10;## [1] &amp;quot;2023-05-16 00:00:00 XLF -300 @ 31.8600006103516&amp;quot;&#10;## [1] &amp;quot;2023-05-17 00:00:00 XLF 300 @ 32.5&amp;quot;&#10;## [1] &amp;quot;2023-05-17 00:00:00 XLF 300 @ 32.5&amp;quot;&#10;## [1] &amp;quot;2023-05-18 00:00:00 XLF -300 @ 32.7400016784668&amp;quot;&#10;## [1] &amp;quot;2023-05-18 00:00:00 XLF -300 @ 32.7400016784668&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLF 300 @ 31.8600006103516&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLF 300 @ 31.8600006103516&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLF -300 @ 32.6300010681152&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLF -300 @ 32.6300010681152&amp;quot;&#10;## [1] &amp;quot;2023-06-21 00:00:00 XLF 300 @ 33.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-06-21 00:00:00 XLF 300 @ 33.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-06-30 00:00:00 XLF -300 @ 33.7099990844727&amp;quot;&#10;## [1] &amp;quot;2023-06-30 00:00:00 XLF -300 @ 33.7099990844727&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLF 300 @ 33.5900001525879&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLF 300 @ 33.5900001525879&amp;quot;&#10;## [1] &amp;quot;2023-07-11 00:00:00 XLF -300 @ 34.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-07-11 00:00:00 XLF -300 @ 34.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLF 300 @ 35.2000007629395&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLF 300 @ 35.2000007629395&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLF -300 @ 35.0800018310547&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLF -300 @ 35.0800018310547&amp;quot;&#10;## [1] &amp;quot;2023-08-10 00:00:00 XLF 300 @ 34.8499984741211&amp;quot;&#10;## [1] &amp;quot;2023-08-10 00:00:00 XLF 300 @ 34.8499984741211&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLF -300 @ 34.4900016784668&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLF -300 @ 34.4900016784668&amp;quot;&#10;## [1] &amp;quot;2023-09-08 00:00:00 XLF 300 @ 34.2999992370605&amp;quot;&#10;## [1] &amp;quot;2023-09-08 00:00:00 XLF 300 @ 34.2999992370605&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLF -300 @ 34.689998626709&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLF -300 @ 34.689998626709&amp;quot;&#10;## [1] &amp;quot;2023-09-21 00:00:00 XLF 300 @ 33.9199981689453&amp;quot;&#10;## [1] &amp;quot;2023-09-21 00:00:00 XLF 300 @ 33.9199981689453&amp;quot;&#10;## [1] &amp;quot;2023-10-09 00:00:00 XLF -300 @ 33.060001373291&amp;quot;&#10;## [1] &amp;quot;2023-10-09 00:00:00 XLF -300 @ 33.060001373291&amp;quot;&#10;## [1] &amp;quot;2023-10-19 00:00:00 XLF 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2023-10-19 00:00:00 XLF 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLF -300 @ 32.5699996948242&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLF -300 @ 32.5699996948242&amp;quot;&#10;## [1] &amp;quot;2023-12-07 00:00:00 XLF 300 @ 35.939998626709&amp;quot;&#10;## [1] &amp;quot;2023-12-07 00:00:00 XLF 300 @ 35.939998626709&amp;quot;&#10;## [1] &amp;quot;2023-12-11 00:00:00 XLF -300 @ 36.3499984741211&amp;quot;&#10;## [1] &amp;quot;2023-12-11 00:00:00 XLF -300 @ 36.3499984741211&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLF 300 @ 37.2599983215332&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLF 300 @ 37.2599983215332&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLF -300 @ 37.6100006103516&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLF -300 @ 37.6100006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-04 00:00:00 XLF 300 @ 37.5900001525879&amp;quot;&#10;## [1] &amp;quot;2024-01-04 00:00:00 XLF 300 @ 37.5900001525879&amp;quot;&#10;## [1] &amp;quot;2024-01-08 00:00:00 XLF -300 @ 37.9900016784668&amp;quot;&#10;## [1] &amp;quot;2024-01-08 00:00:00 XLF -300 @ 37.9900016784668&amp;quot;&#10;## [1] &amp;quot;2024-01-12 00:00:00 XLF 300 @ 37.5999984741211&amp;quot;&#10;## [1] &amp;quot;2024-01-12 00:00:00 XLF 300 @ 37.5999984741211&amp;quot;&#10;## [1] &amp;quot;2024-01-22 00:00:00 XLF -300 @ 38.1100006103516&amp;quot;&#10;## [1] &amp;quot;2024-01-22 00:00:00 XLF -300 @ 38.1100006103516&amp;quot;&#10;## [1] &amp;quot;2024-02-14 00:00:00 XLF 300 @ 39.0999984741211&amp;quot;&#10;## [1] &amp;quot;2024-02-14 00:00:00 XLF 300 @ 39.0999984741211&amp;quot;&#10;## [1] &amp;quot;2024-02-16 00:00:00 XLF -300 @ 39.6300010681152&amp;quot;&#10;## [1] &amp;quot;2024-02-16 00:00:00 XLF -300 @ 39.6300010681152&amp;quot;&#10;## [1] &amp;quot;2024-03-26 00:00:00 XLF 300 @ 41.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-03-26 00:00:00 XLF 300 @ 41.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-03-28 00:00:00 XLF -300 @ 42.1199989318848&amp;quot;&#10;## [1] &amp;quot;2024-03-28 00:00:00 XLF -300 @ 42.1199989318848&amp;quot;&#10;## [1] &amp;quot;2024-04-03 00:00:00 XLF 300 @ 41.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-04-03 00:00:00 XLF 300 @ 41.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-04-09 00:00:00 XLF -300 @ 41.5099983215332&amp;quot;&#10;## [1] &amp;quot;2024-04-09 00:00:00 XLF -300 @ 41.5099983215332&amp;quot;&#10;## [1] &amp;quot;2024-04-11 00:00:00 XLF 300 @ 40.5999984741211&amp;quot;&#10;## [1] &amp;quot;2024-04-11 00:00:00 XLF 300 @ 40.5999984741211&amp;quot;&#10;## [1] &amp;quot;2024-04-22 00:00:00 XLF -300 @ 40.8699989318848&amp;quot;&#10;## [1] &amp;quot;2024-04-22 00:00:00 XLF -300 @ 40.8699989318848&amp;quot;&#10;## [1] &amp;quot;2024-04-30 00:00:00 XLF 300 @ 40.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-04-30 00:00:00 XLF 300 @ 40.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLF -300 @ 41.0699996948242&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLF -300 @ 41.0699996948242&amp;quot;&#10;## [1] &amp;quot;2024-05-21 00:00:00 XLF 300 @ 42.1800003051758&amp;quot;&#10;## [1] &amp;quot;2024-05-21 00:00:00 XLF 300 @ 42.1800003051758&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLF -300 @ 41.3800010681152&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLF -300 @ 41.3800010681152&amp;quot;&#10;## [1] &amp;quot;2024-06-12 00:00:00 XLF 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2024-06-12 00:00:00 XLF 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2024-06-18 00:00:00 XLF -300 @ 41.2700004577637&amp;quot;&#10;## [1] &amp;quot;2024-06-18 00:00:00 XLF -300 @ 41.2700004577637&amp;quot;&#10;## [1] &amp;quot;2024-06-27 00:00:00 XLF 300 @ 40.9700012207031&amp;quot;&#10;## [1] &amp;quot;2024-06-27 00:00:00 XLF 300 @ 40.9700012207031&amp;quot;&#10;## [1] &amp;quot;2024-07-02 00:00:00 XLF -300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2024-07-02 00:00:00 XLF -300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2024-07-22 00:00:00 XLF 300 @ 43.0900001525879&amp;quot;&#10;## [1] &amp;quot;2024-07-22 00:00:00 XLF 300 @ 43.0900001525879&amp;quot;&#10;## [1] &amp;quot;2024-07-29 00:00:00 XLF -300 @ 43.3499984741211&amp;quot;&#10;## [1] &amp;quot;2024-07-29 00:00:00 XLF -300 @ 43.3499984741211&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLF 300 @ 42.060001373291&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLF 300 @ 42.060001373291&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLF -300 @ 42.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLF -300 @ 42.4000015258789&amp;quot;&#10;## [1] &amp;quot;2024-09-06 00:00:00 XLF 300 @ 44.2900009155273&amp;quot;&#10;## [1] &amp;quot;2024-09-06 00:00:00 XLF 300 @ 44.2900009155273&amp;quot;&#10;## [1] &amp;quot;2024-09-17 00:00:00 XLF -300 @ 45.3300018310547&amp;quot;&#10;## [1] &amp;quot;2024-09-17 00:00:00 XLF -300 @ 45.3300018310547&amp;quot;&#10;## [1] &amp;quot;2024-09-25 00:00:00 XLF 300 @ 44.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-09-25 00:00:00 XLF 300 @ 44.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-10-01 00:00:00 XLF -300 @ 45.0800018310547&amp;quot;&#10;## [1] &amp;quot;2024-10-01 00:00:00 XLF -300 @ 45.0800018310547&amp;quot;&#10;## [1] &amp;quot;2024-10-04 00:00:00 XLF 300 @ 45.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-10-04 00:00:00 XLF 300 @ 45.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-10-07 00:00:00 XLF -300 @ 45.0900001525879&amp;quot;&#10;## [1] &amp;quot;2024-10-07 00:00:00 XLF -300 @ 45.0900001525879&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLF 300 @ 47.1500015258789&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLF 300 @ 47.1500015258789&amp;quot;&#10;## [1] &amp;quot;2024-11-07 00:00:00 XLF -300 @ 48.75&amp;quot;&#10;## [1] &amp;quot;2024-11-07 00:00:00 XLF -300 @ 48.75&amp;quot;&#10;## [1] &amp;quot;2024-11-21 00:00:00 XLF 300 @ 50.1699981689453&amp;quot;&#10;## [1] &amp;quot;2024-11-21 00:00:00 XLF 300 @ 50.1699981689453&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLF -300 @ 50.7299995422363&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLF -300 @ 50.7299995422363&amp;quot;&#10;## [1] &amp;quot;2024-12-03 00:00:00 XLF 300 @ 50.4500007629395&amp;quot;&#10;## [1] &amp;quot;2024-12-03 00:00:00 XLF 300 @ 50.4500007629395&amp;quot;&#10;## [1] &amp;quot;2024-12-26 00:00:00 XLF -300 @ 49.1100006103516&amp;quot;&#10;## [1] &amp;quot;2024-12-26 00:00:00 XLF -300 @ 49.1100006103516&amp;quot;&#10;## [1] &amp;quot;2024-12-31 00:00:00 XLF 300 @ 48.3300018310547&amp;quot;&#10;## [1] &amp;quot;2024-12-31 00:00:00 XLF 300 @ 48.3300018310547&amp;quot;&#10;## [1] &amp;quot;2025-01-06 00:00:00 XLF -300 @ 48.439998626709&amp;quot;&#10;## [1] &amp;quot;2025-01-06 00:00:00 XLF -300 @ 48.439998626709&amp;quot;&#10;## [1] &amp;quot;2025-01-13 00:00:00 XLF 300 @ 47.6599998474121&amp;quot;&#10;## [1] &amp;quot;2025-01-13 00:00:00 XLF 300 @ 47.6599998474121&amp;quot;&#10;## [1] &amp;quot;2025-01-15 00:00:00 XLF -300 @ 49.4799995422363&amp;quot;&#10;## [1] &amp;quot;2025-01-15 00:00:00 XLF -300 @ 49.4799995422363&amp;quot;&#10;## [1] &amp;quot;2025-02-04 00:00:00 XLF 300 @ 51.1399993896484&amp;quot;&#10;## [1] &amp;quot;2025-02-04 00:00:00 XLF 300 @ 51.1399993896484&amp;quot;&#10;## [1] &amp;quot;2025-02-06 00:00:00 XLF -300 @ 52.1100006103516&amp;quot;&#10;## [1] &amp;quot;2025-02-06 00:00:00 XLF -300 @ 52.1100006103516&amp;quot;&#10;## [1] &amp;quot;2025-02-11 00:00:00 XLF 300 @ 51.5400009155273&amp;quot;&#10;## [1] &amp;quot;2025-02-11 00:00:00 XLF 300 @ 51.5400009155273&amp;quot;&#10;## [1] &amp;quot;2025-02-14 00:00:00 XLF -300 @ 51.7999992370605&amp;quot;&#10;## [1] &amp;quot;2025-02-14 00:00:00 XLF -300 @ 51.7999992370605&amp;quot;&#10;## [1] &amp;quot;2025-02-21 00:00:00 XLF 300 @ 50.75&amp;quot;&#10;## [1] &amp;quot;2025-02-21 00:00:00 XLF 300 @ 50.75&amp;quot;&#10;## [1] &amp;quot;2025-02-28 00:00:00 XLF -300 @ 52.1800003051758&amp;quot;&#10;## [1] &amp;quot;2025-02-28 00:00:00 XLF -300 @ 52.1800003051758&amp;quot;&#10;## [1] &amp;quot;2025-03-05 00:00:00 XLF 300 @ 50.2099990844727&amp;quot;&#10;## [1] &amp;quot;2025-03-05 00:00:00 XLF 300 @ 50.2099990844727&amp;quot;&#10;## [1] &amp;quot;2025-03-17 00:00:00 XLF -300 @ 49.0900001525879&amp;quot;&#10;## [1] &amp;quot;2025-03-17 00:00:00 XLF -300 @ 49.0900001525879&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLF 300 @ 49.810001373291&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLF 300 @ 49.810001373291&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLF -300 @ 47.689998626709&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLF -300 @ 47.689998626709&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLF 300 @ 44.2000007629395&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLF 300 @ 44.2000007629395&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLF -300 @ 45.9099998474121&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLF -300 @ 45.9099998474121&amp;quot;&#10;## [1] &amp;quot;2025-04-22 00:00:00 XLF 300 @ 47.1599998474121&amp;quot;&#10;## [1] &amp;quot;2025-04-22 00:00:00 XLF 300 @ 47.1599998474121&amp;quot;&#10;## [1] &amp;quot;2025-04-23 00:00:00 XLF -300 @ 47.7200012207031&amp;quot;&#10;## [1] &amp;quot;2025-04-23 00:00:00 XLF -300 @ 47.7200012207031&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLF 300 @ 50.2299995422363&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLF 300 @ 50.2299995422363&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLF -300 @ 50.5900001525879&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLF -300 @ 50.5900001525879&amp;quot;&#10;## [1] &amp;quot;2025-06-05 00:00:00 XLF 300 @ 50.6500015258789&amp;quot;&#10;## [1] &amp;quot;2025-06-05 00:00:00 XLF 300 @ 50.6500015258789&amp;quot;&#10;## [1] &amp;quot;2025-06-09 00:00:00 XLF -300 @ 51&amp;quot;&#10;## [1] &amp;quot;2025-06-09 00:00:00 XLF -300 @ 51&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLF 300 @ 50.5299987792969&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLF 300 @ 50.5299987792969&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLF -300 @ 51.5800018310547&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLF -300 @ 51.5800018310547&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLF 300 @ 52.4000015258789&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLF 300 @ 52.4000015258789&amp;quot;&#10;## [1] &amp;quot;2025-07-11 00:00:00 XLF -300 @ 52.1599998474121&amp;quot;&#10;## [1] &amp;quot;2025-07-11 00:00:00 XLF -300 @ 52.1599998474121&amp;quot;&#10;## [1] &amp;quot;1999-01-06 00:00:00 XLI -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLI 300 @ 24.0625&amp;quot;&#10;## [1] &amp;quot;1999-01-13 00:00:00 XLI 300 @ 24.0625&amp;quot;&#10;## [1] &amp;quot;1999-01-28 00:00:00 XLI -300 @ 24.140625&amp;quot;&#10;## [1] &amp;quot;1999-01-28 00:00:00 XLI -300 @ 24.140625&amp;quot;&#10;## [1] &amp;quot;1999-02-03 00:00:00 XLI 300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;1999-02-03 00:00:00 XLI 300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;1999-02-04 00:00:00 XLI -300 @ 24.40625&amp;quot;&#10;## [1] &amp;quot;1999-02-04 00:00:00 XLI -300 @ 24.40625&amp;quot;&#10;## [1] &amp;quot;1999-02-10 00:00:00 XLI 300 @ 24.171875&amp;quot;&#10;## [1] &amp;quot;1999-02-10 00:00:00 XLI 300 @ 24.171875&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLI -300 @ 24.359375&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLI -300 @ 24.359375&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLI 300 @ 24.515625&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLI 300 @ 24.515625&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLI -300 @ 25.171875&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLI -300 @ 25.171875&amp;quot;&#10;## [1] &amp;quot;1999-03-17 00:00:00 XLI 300 @ 25.21875&amp;quot;&#10;## [1] &amp;quot;1999-03-17 00:00:00 XLI 300 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28.8125&amp;quot;&#10;## [1] &amp;quot;1999-06-11 00:00:00 XLI 300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-06-11 00:00:00 XLI 300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLI -300 @ 29.203125&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLI -300 @ 29.203125&amp;quot;&#10;## [1] &amp;quot;1999-06-23 00:00:00 XLI 300 @ 29.578125&amp;quot;&#10;## [1] &amp;quot;1999-06-23 00:00:00 XLI 300 @ 29.578125&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLI -300 @ 29.828125&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLI -300 @ 29.828125&amp;quot;&#10;## [1] &amp;quot;1999-07-08 00:00:00 XLI 300 @ 29.890625&amp;quot;&#10;## [1] &amp;quot;1999-07-08 00:00:00 XLI 300 @ 29.890625&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLI -300 @ 29.953125&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLI -300 @ 29.953125&amp;quot;&#10;## [1] &amp;quot;1999-07-23 00:00:00 XLI 300 @ 29.65625&amp;quot;&#10;## [1] &amp;quot;1999-07-23 00:00:00 XLI 300 @ 29.65625&amp;quot;&#10;## [1] &amp;quot;1999-07-28 00:00:00 XLI -300 @ 29.65625&amp;quot;&#10;## [1] &amp;quot;1999-07-28 00:00:00 XLI -300 @ 29.65625&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLI 300 @ 28.71875&amp;quot;&#10;## [1] &amp;quot;1999-07-30 00:00:00 XLI 300 @ 28.71875&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLI -300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLI -300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;1999-08-20 00:00:00 XLI 300 @ 29.171875&amp;quot;&#10;## [1] &amp;quot;1999-08-20 00:00:00 XLI 300 @ 29.171875&amp;quot;&#10;## [1] &amp;quot;1999-08-24 00:00:00 XLI -300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;1999-08-24 00:00:00 XLI -300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;1999-08-30 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;1999-08-30 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLI -300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLI -300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;1999-09-14 00:00:00 XLI 300 @ 29.125&amp;quot;&#10;## [1] &amp;quot;1999-09-14 00:00:00 XLI 300 @ 29.125&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLI -300 @ 29.359375&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLI -300 @ 29.359375&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLI -300 @ 28.359375&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLI -300 @ 28.359375&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLI 300 @ 28.015625&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLI 300 @ 28.015625&amp;quot;&#10;## [1] &amp;quot;1999-10-25 00:00:00 XLI -300 @ 27.4375&amp;quot;&#10;## [1] &amp;quot;1999-10-25 00:00:00 XLI -300 @ 27.4375&amp;quot;&#10;## [1] &amp;quot;1999-11-02 00:00:00 XLI 300 @ 27.75&amp;quot;&#10;## [1] &amp;quot;1999-11-02 00:00:00 XLI 300 @ 27.75&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLI -300 @ 27.578125&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLI -300 @ 27.578125&amp;quot;&#10;## [1] &amp;quot;1999-11-11 00:00:00 XLI 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;1999-11-11 00:00:00 XLI 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLI -300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLI -300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-11-23 00:00:00 XLI 300 @ 28.21875&amp;quot;&#10;## [1] &amp;quot;1999-11-23 00:00:00 XLI 300 @ 28.21875&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLI -300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLI -300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLI 300 @ 27.984375&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLI 300 @ 27.984375&amp;quot;&#10;## [1] &amp;quot;1999-12-20 00:00:00 XLI -300 @ 27.671875&amp;quot;&#10;## [1] &amp;quot;1999-12-20 00:00:00 XLI -300 @ 27.671875&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLI 300 @ 28.046875&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLI 300 @ 28.046875&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLI -300 @ 29.375&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLI -300 @ 29.375&amp;quot;&#10;## [1] &amp;quot;2000-01-13 00:00:00 XLI 300 @ 29.203125&amp;quot;&#10;## [1] &amp;quot;2000-01-13 00:00:00 XLI 300 @ 29.203125&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLI -300 @ 26.265625&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLI -300 @ 26.265625&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLI 300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLI 300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;2000-03-06 00:00:00 XLI -300 @ 26.234375&amp;quot;&#10;## [1] &amp;quot;2000-03-06 00:00:00 XLI -300 @ 26.234375&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLI 300 @ 25.453125&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLI 300 @ 25.453125&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLI -300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLI -300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-04-05 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;2000-04-05 00:00:00 XLI 300 @ 28.890625&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLI -300 @ 29.625&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLI -300 @ 29.625&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLI 300 @ 28.265625&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLI 300 @ 28.265625&amp;quot;&#10;## [1] &amp;quot;2000-04-24 00:00:00 XLI -300 @ 28.75&amp;quot;&#10;## [1] &amp;quot;2000-04-24 00:00:00 XLI -300 @ 28.75&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLI 300 @ 29.046875&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLI 300 @ 29.046875&amp;quot;&#10;## [1] &amp;quot;2000-05-12 00:00:00 XLI -300 @ 30.09375&amp;quot;&#10;## [1] &amp;quot;2000-05-12 00:00:00 XLI -300 @ 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29.84375&amp;quot;&#10;## [1] &amp;quot;2000-08-07 00:00:00 XLI -300 @ 30.078125&amp;quot;&#10;## [1] &amp;quot;2000-08-07 00:00:00 XLI -300 @ 30.078125&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLI 300 @ 30.8125&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLI 300 @ 30.8125&amp;quot;&#10;## [1] &amp;quot;2000-08-22 00:00:00 XLI -300 @ 31.09375&amp;quot;&#10;## [1] &amp;quot;2000-08-22 00:00:00 XLI -300 @ 31.09375&amp;quot;&#10;## [1] &amp;quot;2000-08-31 00:00:00 XLI 300 @ 31.5625&amp;quot;&#10;## [1] &amp;quot;2000-08-31 00:00:00 XLI 300 @ 31.5625&amp;quot;&#10;## [1] &amp;quot;2000-09-05 00:00:00 XLI -300 @ 31.84375&amp;quot;&#10;## [1] &amp;quot;2000-09-05 00:00:00 XLI -300 @ 31.84375&amp;quot;&#10;## [1] &amp;quot;2000-09-11 00:00:00 XLI 300 @ 31.28125&amp;quot;&#10;## [1] &amp;quot;2000-09-11 00:00:00 XLI 300 @ 31.28125&amp;quot;&#10;## [1] &amp;quot;2000-09-26 00:00:00 XLI -300 @ 30.625&amp;quot;&#10;## [1] &amp;quot;2000-09-26 00:00:00 XLI -300 @ 30.625&amp;quot;&#10;## [1] &amp;quot;2000-10-03 00:00:00 XLI 300 @ 30.84375&amp;quot;&#10;## [1] &amp;quot;2000-10-03 00:00:00 XLI 300 @ 30.84375&amp;quot;&#10;## [1] &amp;quot;2000-10-04 00:00:00 XLI -300 @ 31.0625&amp;quot;&#10;## [1] &amp;quot;2000-10-04 00:00:00 XLI -300 @ 31.0625&amp;quot;&#10;## [1] &amp;quot;2000-10-09 00:00:00 XLI 300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-10-09 00:00:00 XLI 300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-10-17 00:00:00 XLI -300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;2000-10-17 00:00:00 XLI -300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;2000-10-19 00:00:00 XLI 300 @ 29.28125&amp;quot;&#10;## [1] &amp;quot;2000-10-19 00:00:00 XLI 300 @ 29.28125&amp;quot;&#10;## [1] &amp;quot;2000-10-24 00:00:00 XLI -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2000-10-24 00:00:00 XLI -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2000-11-13 00:00:00 XLI 300 @ 30.09375&amp;quot;&#10;## [1] &amp;quot;2000-11-13 00:00:00 XLI 300 @ 30.09375&amp;quot;&#10;## [1] &amp;quot;2000-11-17 00:00:00 XLI -300 @ 30.78125&amp;quot;&#10;## [1] &amp;quot;2000-11-17 00:00:00 XLI -300 @ 30.78125&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLI 300 @ 30.71875&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLI 300 @ 30.71875&amp;quot;&#10;## [1] &amp;quot;2000-12-05 00:00:00 XLI -300 @ 32.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-05 00:00:00 XLI -300 @ 32.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLI 300 @ 30.875&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLI 300 @ 30.875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLI -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLI -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLI 300 @ 31.15625&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLI 300 @ 31.15625&amp;quot;&#10;## [1] &amp;quot;2001-01-05 00:00:00 XLI -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2001-01-05 00:00:00 XLI -300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2001-01-09 00:00:00 XLI 300 @ 30.34375&amp;quot;&#10;## [1] &amp;quot;2001-01-09 00:00:00 XLI 300 @ 30.34375&amp;quot;&#10;## [1] &amp;quot;2001-01-12 00:00:00 XLI -300 @ 30.90625&amp;quot;&#10;## [1] &amp;quot;2001-01-12 00:00:00 XLI -300 @ 30.90625&amp;quot;&#10;## [1] &amp;quot;2001-01-23 00:00:00 XLI 300 @ 31.375&amp;quot;&#10;## [1] &amp;quot;2001-01-23 00:00:00 XLI 300 @ 31.375&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLI -300 @ 31.203125&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLI -300 @ 31.203125&amp;quot;&#10;## [1] &amp;quot;2001-01-29 00:00:00 XLI 300 @ 30.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-01-29 00:00:00 XLI 300 @ 30.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-01-31 00:00:00 XLI -300 @ 31.3700008392334&amp;quot;&#10;## [1] &amp;quot;2001-01-31 00:00:00 XLI -300 @ 31.3700008392334&amp;quot;&#10;## [1] &amp;quot;2001-02-02 00:00:00 XLI 300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-02-02 00:00:00 XLI 300 @ 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00:00:00 XLI -300 @ 76.1900024414062&amp;quot;&#10;## [1] &amp;quot;2018-06-07 00:00:00 XLI -300 @ 76.1900024414062&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLI 300 @ 75.6100006103516&amp;quot;&#10;## [1] &amp;quot;2018-06-14 00:00:00 XLI 300 @ 75.6100006103516&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLI -300 @ 71.5599975585938&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLI -300 @ 71.5599975585938&amp;quot;&#10;## [1] &amp;quot;2018-07-12 00:00:00 XLI 300 @ 73.370002746582&amp;quot;&#10;## [1] &amp;quot;2018-07-12 00:00:00 XLI 300 @ 73.370002746582&amp;quot;&#10;## [1] &amp;quot;2018-07-16 00:00:00 XLI -300 @ 73.4499969482422&amp;quot;&#10;## [1] &amp;quot;2018-07-16 00:00:00 XLI -300 @ 73.4499969482422&amp;quot;&#10;## [1] &amp;quot;2018-07-24 00:00:00 XLI 300 @ 74.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-24 00:00:00 XLI 300 @ 74.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-07-26 00:00:00 XLI -300 @ 76&amp;quot;&#10;## [1] 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&amp;quot;1999-06-14 00:00:00 XLK 300 @ 36.453125&amp;quot;&#10;## [1] &amp;quot;1999-06-14 00:00:00 XLK 300 @ 36.453125&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLK -300 @ 38.71875&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLK -300 @ 38.71875&amp;quot;&#10;## [1] &amp;quot;1999-06-25 00:00:00 XLK 300 @ 38.734375&amp;quot;&#10;## [1] &amp;quot;1999-06-25 00:00:00 XLK 300 @ 38.734375&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLK -300 @ 39.875&amp;quot;&#10;## [1] &amp;quot;1999-06-29 00:00:00 XLK -300 @ 39.875&amp;quot;&#10;## [1] &amp;quot;1999-07-21 00:00:00 XLK 300 @ 41.875&amp;quot;&#10;## [1] &amp;quot;1999-07-21 00:00:00 XLK 300 @ 41.875&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLK -300 @ 40.4375&amp;quot;&#10;## [1] &amp;quot;1999-07-29 00:00:00 XLK -300 @ 40.4375&amp;quot;&#10;## [1] &amp;quot;1999-08-02 00:00:00 XLK 300 @ 39.9375&amp;quot;&#10;## [1] &amp;quot;1999-08-02 00:00:00 XLK 300 @ 39.9375&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLK -300 @ 39.25&amp;quot;&#10;## [1] &amp;quot;1999-08-12 00:00:00 XLK -300 @ 39.25&amp;quot;&#10;## [1] &amp;quot;1999-08-20 00:00:00 XLK 300 @ 40.0625&amp;quot;&#10;## [1] &amp;quot;1999-08-20 00:00:00 XLK 300 @ 40.0625&amp;quot;&#10;## [1] &amp;quot;1999-08-24 00:00:00 XLK -300 @ 41.625&amp;quot;&#10;## [1] &amp;quot;1999-08-24 00:00:00 XLK -300 @ 41.625&amp;quot;&#10;## [1] &amp;quot;1999-08-31 00:00:00 XLK 300 @ 41.421875&amp;quot;&#10;## [1] &amp;quot;1999-08-31 00:00:00 XLK 300 @ 41.421875&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLK -300 @ 43.015625&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLK -300 @ 43.015625&amp;quot;&#10;## [1] &amp;quot;1999-09-16 00:00:00 XLK 300 @ 42.34375&amp;quot;&#10;## [1] &amp;quot;1999-09-16 00:00:00 XLK 300 @ 42.34375&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLK -300 @ 43.375&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLK -300 @ 43.375&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLK 300 @ 42.5625&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLK 300 @ 42.5625&amp;quot;&#10;## [1] &amp;quot;1999-10-05 00:00:00 XLK -300 @ 42.25&amp;quot;&#10;## [1] &amp;quot;1999-10-05 00:00:00 XLK -300 @ 42.25&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLK 300 @ 41.0625&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLK 300 @ 41.0625&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLK -300 @ 39.78125&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLK -300 @ 39.78125&amp;quot;&#10;## [1] &amp;quot;1999-12-01 00:00:00 XLK 300 @ 47.125&amp;quot;&#10;## [1] &amp;quot;1999-12-01 00:00:00 XLK 300 @ 47.125&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLK -300 @ 49.625&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLK -300 @ 49.625&amp;quot;&#10;## [1] &amp;quot;1999-12-15 00:00:00 XLK 300 @ 50.0625&amp;quot;&#10;## [1] &amp;quot;1999-12-15 00:00:00 XLK 300 @ 50.0625&amp;quot;&#10;## [1] &amp;quot;1999-12-17 00:00:00 XLK -300 @ 51.5625&amp;quot;&#10;## [1] &amp;quot;1999-12-17 00:00:00 XLK -300 @ 51.5625&amp;quot;&#10;## [1] &amp;quot;2000-01-05 00:00:00 XLK 300 @ 51.84375&amp;quot;&#10;## [1] &amp;quot;2000-01-05 00:00:00 XLK 300 @ 51.84375&amp;quot;&#10;## [1] &amp;quot;2000-01-11 00:00:00 XLK -300 @ 51.4375&amp;quot;&#10;## [1] &amp;quot;2000-01-11 00:00:00 XLK -300 @ 51.4375&amp;quot;&#10;## [1] &amp;quot;2000-01-25 00:00:00 XLK 300 @ 52.984375&amp;quot;&#10;## [1] &amp;quot;2000-01-25 00:00:00 XLK 300 @ 52.984375&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLK -300 @ 52&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLK -300 @ 52&amp;quot;&#10;## [1] &amp;quot;2000-02-17 00:00:00 XLK 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2000-02-17 00:00:00 XLK 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2000-02-18 00:00:00 XLK -300 @ 53.625&amp;quot;&#10;## [1] &amp;quot;2000-02-18 00:00:00 XLK -300 @ 53.625&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLK 300 @ 53.5&amp;quot;&#10;## [1] &amp;quot;2000-02-22 00:00:00 XLK 300 @ 53.5&amp;quot;&#10;## [1] &amp;quot;2000-02-24 00:00:00 XLK -300 @ 55.8125&amp;quot;&#10;## [1] &amp;quot;2000-02-24 00:00:00 XLK -300 @ 55.8125&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLK 300 @ 55.875&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLK 300 @ 55.875&amp;quot;&#10;## [1] &amp;quot;2000-03-01 00:00:00 XLK -300 @ 56.4375&amp;quot;&#10;## [1] &amp;quot;2000-03-01 00:00:00 XLK -300 @ 56.4375&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLK 300 @ 57.875&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLK 300 @ 57.875&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLK -300 @ 59.75&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLK -300 @ 59.75&amp;quot;&#10;## [1] &amp;quot;2000-03-15 00:00:00 XLK 300 @ 56.53125&amp;quot;&#10;## [1] &amp;quot;2000-03-15 00:00:00 XLK 300 @ 56.53125&amp;quot;&#10;## [1] &amp;quot;2000-03-20 00:00:00 XLK -300 @ 59.625&amp;quot;&#10;## [1] &amp;quot;2000-03-20 00:00:00 XLK -300 @ 59.625&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLK 300 @ 59.4375&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLK 300 @ 59.4375&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLK -300 @ 58.375&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLK -300 @ 58.375&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLK 300 @ 53.25&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLK 300 @ 53.25&amp;quot;&#10;## [1] &amp;quot;2000-04-19 00:00:00 XLK -300 @ 53.34375&amp;quot;&#10;## [1] &amp;quot;2000-04-19 00:00:00 XLK -300 @ 53.34375&amp;quot;&#10;## [1] &amp;quot;2000-04-25 00:00:00 XLK 300 @ 54.21875&amp;quot;&#10;## [1] &amp;quot;2000-04-25 00:00:00 XLK 300 @ 54.21875&amp;quot;&#10;## [1] &amp;quot;2000-04-26 00:00:00 XLK -300 @ 53.1875&amp;quot;&#10;## [1] &amp;quot;2000-04-26 00:00:00 XLK -300 @ 53.1875&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLK 300 @ 52&amp;quot;&#10;## [1] &amp;quot;2000-05-04 00:00:00 XLK 300 @ 52&amp;quot;&#10;## [1] &amp;quot;2000-05-16 00:00:00 XLK -300 @ 52.59375&amp;quot;&#10;## [1] &amp;quot;2000-05-16 00:00:00 XLK -300 @ 52.59375&amp;quot;&#10;## [1] &amp;quot;2000-05-19 00:00:00 XLK 300 @ 48.5625&amp;quot;&#10;## [1] &amp;quot;2000-05-19 00:00:00 XLK 300 @ 48.5625&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLK -300 @ 49.28125&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLK -300 @ 49.28125&amp;quot;&#10;## [1] &amp;quot;2000-06-13 00:00:00 XLK 300 @ 54.125&amp;quot;&#10;## [1] &amp;quot;2000-06-13 00:00:00 XLK 300 @ 54.125&amp;quot;&#10;## [1] &amp;quot;2000-06-19 00:00:00 XLK -300 @ 56.09375&amp;quot;&#10;## [1] &amp;quot;2000-06-19 00:00:00 XLK -300 @ 56.09375&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLK 300 @ 53.828125&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLK 300 @ 53.828125&amp;quot;&#10;## [1] &amp;quot;2000-07-05 00:00:00 XLK -300 @ 52.8125&amp;quot;&#10;## [1] &amp;quot;2000-07-05 00:00:00 XLK -300 @ 52.8125&amp;quot;&#10;## [1] &amp;quot;2000-07-06 00:00:00 XLK 300 @ 53.625&amp;quot;&#10;## [1] &amp;quot;2000-07-06 00:00:00 XLK 300 @ 53.625&amp;quot;&#10;## [1] &amp;quot;2000-07-10 00:00:00 XLK -300 @ 53.90625&amp;quot;&#10;## [1] &amp;quot;2000-07-10 00:00:00 XLK -300 @ 53.90625&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLK 300 @ 54.84375&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLK 300 @ 54.84375&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLK -300 @ 55.90625&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLK -300 @ 55.90625&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLK 300 @ 56.15625&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLK 300 @ 56.15625&amp;quot;&#10;## [1] &amp;quot;2000-08-04 00:00:00 XLK -300 @ 51.46875&amp;quot;&#10;## [1] &amp;quot;2000-08-04 00:00:00 XLK -300 @ 51.46875&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLK 300 @ 51.875&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLK 300 @ 51.875&amp;quot;&#10;## [1] &amp;quot;2000-08-15 00:00:00 XLK -300 @ 53.0625&amp;quot;&#10;## [1] &amp;quot;2000-08-15 00:00:00 XLK -300 @ 53.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLK 300 @ 53.875&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLK 300 @ 53.875&amp;quot;&#10;## [1] &amp;quot;2000-09-20 00:00:00 XLK -300 @ 51.75&amp;quot;&#10;## [1] &amp;quot;2000-09-20 00:00:00 XLK -300 @ 51.75&amp;quot;&#10;## [1] &amp;quot;2000-09-25 00:00:00 XLK 300 @ 48.21875&amp;quot;&#10;## [1] &amp;quot;2000-09-25 00:00:00 XLK 300 @ 48.21875&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLK -300 @ 46.375&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLK -300 @ 46.375&amp;quot;&#10;## [1] &amp;quot;2000-10-02 00:00:00 XLK 300 @ 46.03125&amp;quot;&#10;## [1] &amp;quot;2000-10-02 00:00:00 XLK 300 @ 46.03125&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLK -300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLK -300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2000-10-19 00:00:00 XLK 300 @ 44.609375&amp;quot;&#10;## [1] &amp;quot;2000-10-19 00:00:00 XLK 300 @ 44.609375&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLK -300 @ 45.28125&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLK -300 @ 45.28125&amp;quot;&#10;## [1] &amp;quot;2000-10-26 00:00:00 XLK 300 @ 42&amp;quot;&#10;## [1] &amp;quot;2000-10-26 00:00:00 XLK 300 @ 42&amp;quot;&#10;## [1] &amp;quot;2000-11-01 00:00:00 XLK -300 @ 42.875&amp;quot;&#10;## [1] &amp;quot;2000-11-01 00:00:00 XLK -300 @ 42.875&amp;quot;&#10;## [1] &amp;quot;2000-11-09 00:00:00 XLK 300 @ 41.015625&amp;quot;&#10;## [1] &amp;quot;2000-11-09 00:00:00 XLK 300 @ 41.015625&amp;quot;&#10;## [1] &amp;quot;2000-11-15 00:00:00 XLK -300 @ 41&amp;quot;&#10;## [1] &amp;quot;2000-11-15 00:00:00 XLK -300 @ 41&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLK 300 @ 38.5625&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLK 300 @ 38.5625&amp;quot;&#10;## [1] &amp;quot;2000-12-06 00:00:00 XLK -300 @ 37.25&amp;quot;&#10;## [1] &amp;quot;2000-12-06 00:00:00 XLK -300 @ 37.25&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLK 300 @ 36.125&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLK 300 @ 36.125&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLK -300 @ 32.1875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLK -300 @ 32.1875&amp;quot;&#10;## [1] &amp;quot;2001-01-02 00:00:00 XLK 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2001-01-02 00:00:00 XLK 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLK -300 @ 34.59375&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLK -300 @ 34.59375&amp;quot;&#10;## [1] &amp;quot;2001-01-26 00:00:00 XLK 300 @ 37.375&amp;quot;&#10;## [1] &amp;quot;2001-01-26 00:00:00 XLK 300 @ 37.375&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLK -300 @ 38.25&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLK -300 @ 38.25&amp;quot;&#10;## [1] &amp;quot;2001-02-01 00:00:00 XLK 300 @ 37.2799987792969&amp;quot;&#10;## [1] &amp;quot;2001-02-01 00:00:00 XLK 300 @ 37.2799987792969&amp;quot;&#10;## [1] &amp;quot;2001-02-16 00:00:00 XLK -300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2001-02-16 00:00:00 XLK -300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2001-02-20 00:00:00 XLK 300 @ 30.2700004577637&amp;quot;&#10;## [1] &amp;quot;2001-02-20 00:00:00 XLK 300 @ 30.2700004577637&amp;quot;&#10;## [1] &amp;quot;2001-03-07 00:00:00 XLK -300 @ 29.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-07 00:00:00 XLK -300 @ 29.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-12 00:00:00 XLK 300 @ 25.7000007629395&amp;quot;&#10;## [1] &amp;quot;2001-03-12 00:00:00 XLK 300 @ 25.7000007629395&amp;quot;&#10;## [1] &amp;quot;2001-03-23 00:00:00 XLK -300 @ 26.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-23 00:00:00 XLK -300 @ 26.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-29 00:00:00 XLK 300 @ 24.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-03-29 00:00:00 XLK 300 @ 24.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLK -300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLK -300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLK 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLK 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-05-01 00:00:00 XLK -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2001-05-01 00:00:00 XLK -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLK 300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLK 300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2001-05-17 00:00:00 XLK -300 @ 29.3600006103516&amp;quot;&#10;## [1] &amp;quot;2001-05-17 00:00:00 XLK -300 @ 29.3600006103516&amp;quot;&#10;## [1] &amp;quot;2001-05-29 00:00:00 XLK 300 @ 28.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-05-29 00:00:00 XLK 300 @ 28.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLK -300 @ 28.8700008392334&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLK -300 @ 28.8700008392334&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLK 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLK 300 @ 28.3299999237061&amp;quot;&#10;## [1] &amp;quot;2001-06-22 00:00:00 XLK -300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-06-22 00:00:00 XLK -300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLK 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLK 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLK -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLK -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2001-07-19 00:00:00 XLK 300 @ 26.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-07-19 00:00:00 XLK 300 @ 26.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLK -300 @ 26.3099994659424&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLK -300 @ 26.3099994659424&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLK 300 @ 26.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLK 300 @ 26.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-08-27 00:00:00 XLK -300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-27 00:00:00 XLK -300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLK 300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLK 300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2001-09-26 00:00:00 XLK -300 @ 18.8899993896484&amp;quot;&#10;## [1] &amp;quot;2001-09-26 00:00:00 XLK -300 @ 18.8899993896484&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLK 300 @ 19.25&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLK 300 @ 19.25&amp;quot;&#10;## [1] &amp;quot;2001-10-04 00:00:00 XLK -300 @ 20.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-10-04 00:00:00 XLK -300 @ 20.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-10-10 00:00:00 XLK 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-10-10 00:00:00 XLK 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLK -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLK -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLK 300 @ 20.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLK 300 @ 20.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLK -300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLK -300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLK 300 @ 21.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLK 300 @ 21.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLK -300 @ 22.1200008392334&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLK -300 @ 22.1200008392334&amp;quot;&#10;## [1] &amp;quot;2001-11-21 00:00:00 XLK 300 @ 24.0200004577637&amp;quot;&#10;## [1] &amp;quot;2001-11-21 00:00:00 XLK 300 @ 24.0200004577637&amp;quot;&#10;## [1] &amp;quot;2001-11-27 00:00:00 XLK -300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-11-27 00:00:00 XLK -300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLK 300 @ 24.5900001525879&amp;quot;&#10;## [1] &amp;quot;2001-11-29 00:00:00 XLK 300 @ 24.5900001525879&amp;quot;&#10;## [1] &amp;quot;2001-12-05 00:00:00 XLK -300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-12-05 00:00:00 XLK -300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLK 300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLK 300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLK -300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-12-19 00:00:00 XLK -300 @ 24.7299995422363&amp;quot;&#10;## [1] &amp;quot;2001-12-21 00:00:00 XLK 300 @ 24.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-12-21 00:00:00 XLK 300 @ 24.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-12-28 00:00:00 XLK -300 @ 24.5599994659424&amp;quot;&#10;## [1] &amp;quot;2001-12-28 00:00:00 XLK -300 @ 24.5599994659424&amp;quot;&#10;## [1] &amp;quot;2002-01-02 00:00:00 XLK 300 @ 24.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-02 00:00:00 XLK 300 @ 24.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-04 00:00:00 XLK -300 @ 25.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-01-04 00:00:00 XLK -300 @ 25.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-01-11 00:00:00 XLK 300 @ 25.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-11 00:00:00 XLK 300 @ 25.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-29 00:00:00 XLK -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-29 00:00:00 XLK -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-30 00:00:00 XLK 300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-01-30 00:00:00 XLK 300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLK -300 @ 22.3799991607666&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLK -300 @ 22.3799991607666&amp;quot;&#10;## [1] &amp;quot;2002-02-19 00:00:00 XLK 300 @ 21.0799999237061&amp;quot;&#10;## [1] &amp;quot;2002-02-19 00:00:00 XLK 300 @ 21.0799999237061&amp;quot;&#10;## [1] &amp;quot;2002-02-26 00:00:00 XLK -300 @ 21.0400009155273&amp;quot;&#10;## [1] &amp;quot;2002-02-26 00:00:00 XLK -300 @ 21.0400009155273&amp;quot;&#10;## [1] &amp;quot;2002-03-01 00:00:00 XLK 300 @ 21.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-03-01 00:00:00 XLK 300 @ 21.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-03-04 00:00:00 XLK -300 @ 22.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-03-04 00:00:00 XLK -300 @ 22.4799995422363&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLK 300 @ 22&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLK 300 @ 22&amp;quot;&#10;## [1] &amp;quot;2002-04-01 00:00:00 XLK -300 @ 21.9099998474121&amp;quot;&#10;## [1] &amp;quot;2002-04-01 00:00:00 XLK -300 @ 21.9099998474121&amp;quot;&#10;## [1] &amp;quot;2002-04-03 00:00:00 XLK 300 @ 20.9400005340576&amp;quot;&#10;## [1] &amp;quot;2002-04-03 00:00:00 XLK 300 @ 20.9400005340576&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLK -300 @ 20.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-04-17 00:00:00 XLK -300 @ 20.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLK 300 @ 19.6299991607666&amp;quot;&#10;## [1] &amp;quot;2002-04-23 00:00:00 XLK 300 @ 19.6299991607666&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLK -300 @ 18.6399993896484&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLK -300 @ 18.6399993896484&amp;quot;&#10;## [1] &amp;quot;2002-05-21 00:00:00 XLK 300 @ 18.9400005340576&amp;quot;&#10;## [1] &amp;quot;2002-05-21 00:00:00 XLK 300 @ 18.9400005340576&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLK -300 @ 17.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLK -300 @ 17.2199993133545&amp;quot;&#10;## [1] &amp;quot;2002-06-20 00:00:00 XLK 300 @ 16.1599998474121&amp;quot;&#10;## [1] &amp;quot;2002-06-20 00:00:00 XLK 300 @ 16.1599998474121&amp;quot;&#10;## [1] &amp;quot;2002-06-28 00:00:00 XLK -300 @ 15.8199996948242&amp;quot;&#10;## [1] &amp;quot;2002-06-28 00:00:00 XLK -300 @ 15.8199996948242&amp;quot;&#10;## [1] &amp;quot;2002-07-02 00:00:00 XLK 300 @ 14.6999998092651&amp;quot;&#10;## [1] &amp;quot;2002-07-02 00:00:00 XLK 300 @ 14.6999998092651&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLK -300 @ 15.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLK -300 @ 15.5799999237061&amp;quot;&#10;## [1] &amp;quot;2002-07-11 00:00:00 XLK 300 @ 15.4899997711182&amp;quot;&#10;## [1] &amp;quot;2002-07-11 00:00:00 XLK 300 @ 15.4899997711182&amp;quot;&#10;## [1] &amp;quot;2002-07-16 00:00:00 XLK -300 @ 15.539999961853&amp;quot;&#10;## [1] &amp;quot;2002-07-16 00:00:00 XLK -300 @ 15.539999961853&amp;quot;&#10;## [1] &amp;quot;2002-07-19 00:00:00 XLK 300 @ 14.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-07-19 00:00:00 XLK 300 @ 14.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-07-30 00:00:00 XLK -300 @ 14.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-07-30 00:00:00 XLK -300 @ 14.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-02 00:00:00 XLK 300 @ 13.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-02 00:00:00 XLK 300 @ 13.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLK -300 @ 14.0500001907349&amp;quot;&#10;## [1] &amp;quot;2002-08-09 00:00:00 XLK -300 @ 14.0500001907349&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2002-08-14 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2002-08-15 00:00:00 XLK -300 @ 14.6499996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-15 00:00:00 XLK -300 @ 14.6499996185303&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLK 300 @ 15.289999961853&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLK 300 @ 15.289999961853&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLK -300 @ 14.289999961853&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLK -300 @ 14.289999961853&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLK 300 @ 13.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLK 300 @ 13.8999996185303&amp;quot;&#10;## [1] &amp;quot;2002-10-11 00:00:00 XLK -300 @ 12.960000038147&amp;quot;&#10;## [1] &amp;quot;2002-10-11 00:00:00 XLK -300 @ 12.960000038147&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLK 300 @ 15.1999998092651&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLK 300 @ 15.1999998092651&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLK -300 @ 15.789999961853&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLK -300 @ 15.789999961853&amp;quot;&#10;## [1] &amp;quot;2002-11-20 00:00:00 XLK 300 @ 16&amp;quot;&#10;## [1] &amp;quot;2002-11-20 00:00:00 XLK 300 @ 16&amp;quot;&#10;## [1] &amp;quot;2002-11-21 00:00:00 XLK -300 @ 16.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-21 00:00:00 XLK -300 @ 16.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-12-04 00:00:00 XLK 300 @ 16.2999992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-04 00:00:00 XLK 300 @ 16.2999992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLK -300 @ 15.7200002670288&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLK -300 @ 15.7200002670288&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLK 300 @ 15.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-12-19 00:00:00 XLK 300 @ 15.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-12-24 00:00:00 XLK -300 @ 15.3800001144409&amp;quot;&#10;## [1] &amp;quot;2002-12-24 00:00:00 XLK -300 @ 15.3800001144409&amp;quot;&#10;## [1] &amp;quot;2002-12-27 00:00:00 XLK 300 @ 15.0299997329712&amp;quot;&#10;## [1] &amp;quot;2002-12-27 00:00:00 XLK 300 @ 15.0299997329712&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLK -300 @ 15.6599998474121&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLK -300 @ 15.6599998474121&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLK 300 @ 15.2200002670288&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLK 300 @ 15.2200002670288&amp;quot;&#10;## [1] &amp;quot;2003-01-30 00:00:00 XLK -300 @ 14.4700002670288&amp;quot;&#10;## [1] &amp;quot;2003-01-30 00:00:00 XLK -300 @ 14.4700002670288&amp;quot;&#10;## [1] &amp;quot;2003-01-31 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2003-01-31 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLK -300 @ 14.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLK -300 @ 14.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLK 300 @ 14.539999961853&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLK 300 @ 14.539999961853&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLK -300 @ 14.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLK -300 @ 14.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-03-05 00:00:00 XLK 300 @ 14.25&amp;quot;&#10;## [1] &amp;quot;2003-03-05 00:00:00 XLK 300 @ 14.25&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLK -300 @ 14.6099996566772&amp;quot;&#10;## [1] &amp;quot;2003-03-14 00:00:00 XLK -300 @ 14.6099996566772&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLK 300 @ 15.1099996566772&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLK 300 @ 15.1099996566772&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLK -300 @ 15.0500001907349&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLK -300 @ 15.0500001907349&amp;quot;&#10;## [1] &amp;quot;2003-04-09 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2003-04-09 00:00:00 XLK 300 @ 14.4499998092651&amp;quot;&#10;## [1] &amp;quot;2003-04-15 00:00:00 XLK -300 @ 14.789999961853&amp;quot;&#10;## [1] &amp;quot;2003-04-15 00:00:00 XLK -300 @ 14.789999961853&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLK 300 @ 15.6300001144409&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLK 300 @ 15.6300001144409&amp;quot;&#10;## [1] &amp;quot;2003-04-30 00:00:00 XLK -300 @ 15.6099996566772&amp;quot;&#10;## [1] &amp;quot;2003-04-30 00:00:00 XLK -300 @ 15.6099996566772&amp;quot;&#10;## [1] &amp;quot;2003-05-09 00:00:00 XLK 300 @ 16.3199996948242&amp;quot;&#10;## [1] &amp;quot;2003-05-09 00:00:00 XLK 300 @ 16.3199996948242&amp;quot;&#10;## [1] &amp;quot;2003-05-12 00:00:00 XLK -300 @ 16.5699996948242&amp;quot;&#10;## [1] &amp;quot;2003-05-12 00:00:00 XLK -300 @ 16.5699996948242&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLK 300 @ 15.9300003051758&amp;quot;&#10;## [1] &amp;quot;2003-05-20 00:00:00 XLK 300 @ 15.9300003051758&amp;quot;&#10;## [1] &amp;quot;2003-05-27 00:00:00 XLK -300 @ 16.5599994659424&amp;quot;&#10;## [1] &amp;quot;2003-05-27 00:00:00 XLK -300 @ 16.5599994659424&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLK 300 @ 17.1900005340576&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLK 300 @ 17.1900005340576&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLK -300 @ 17.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLK -300 @ 17.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLK 300 @ 17.4200000762939&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLK 300 @ 17.4200000762939&amp;quot;&#10;## [1] &amp;quot;2003-06-17 00:00:00 XLK -300 @ 17.5&amp;quot;&#10;## [1] &amp;quot;2003-06-17 00:00:00 XLK -300 @ 17.5&amp;quot;&#10;## [1] &amp;quot;2003-06-24 00:00:00 XLK 300 @ 17.1000003814697&amp;quot;&#10;## [1] &amp;quot;2003-06-24 00:00:00 XLK 300 @ 17.1000003814697&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLK -300 @ 17.6700000762939&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLK -300 @ 17.6700000762939&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLK 300 @ 18.0100002288818&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLK 300 @ 18.0100002288818&amp;quot;&#10;## [1] &amp;quot;2003-07-16 00:00:00 XLK -300 @ 18.0599994659424&amp;quot;&#10;## [1] &amp;quot;2003-07-16 00:00:00 XLK -300 @ 18.0599994659424&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLK 300 @ 17.5499992370605&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLK 300 @ 17.5499992370605&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLK -300 @ 17.7800006866455&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLK -300 @ 17.7800006866455&amp;quot;&#10;## [1] &amp;quot;2003-07-31 00:00:00 XLK 300 @ 17.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-07-31 00:00:00 XLK 300 @ 17.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-08-05 00:00:00 XLK -300 @ 17.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-08-05 00:00:00 XLK -300 @ 17.2199993133545&amp;quot;&#10;## [1] &amp;quot;2003-08-06 00:00:00 XLK 300 @ 17.0599994659424&amp;quot;&#10;## [1] &amp;quot;2003-08-06 00:00:00 XLK 300 @ 17.0599994659424&amp;quot;&#10;## [1] &amp;quot;2003-08-13 00:00:00 XLK -300 @ 17.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-08-13 00:00:00 XLK -300 @ 17.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLK 300 @ 18.9099998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-11 00:00:00 XLK 300 @ 18.9099998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLK -300 @ 19.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLK -300 @ 19.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLK 300 @ 19.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLK 300 @ 19.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-10-06 00:00:00 XLK -300 @ 19.3099994659424&amp;quot;&#10;## [1] &amp;quot;2003-10-06 00:00:00 XLK -300 @ 19.3099994659424&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLK 300 @ 19.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLK 300 @ 19.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-10-22 00:00:00 XLK -300 @ 19.4699993133545&amp;quot;&#10;## [1] &amp;quot;2003-10-22 00:00:00 XLK -300 @ 19.4699993133545&amp;quot;&#10;## [1] &amp;quot;2003-10-23 00:00:00 XLK 300 @ 19.3199996948242&amp;quot;&#10;## [1] &amp;quot;2003-10-23 00:00:00 XLK 300 @ 19.3199996948242&amp;quot;&#10;## [1] &amp;quot;2003-10-29 00:00:00 XLK -300 @ 19.6200008392334&amp;quot;&#10;## [1] &amp;quot;2003-10-29 00:00:00 XLK -300 @ 19.6200008392334&amp;quot;&#10;## [1] &amp;quot;2003-11-11 00:00:00 XLK 300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2003-11-11 00:00:00 XLK 300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLK -300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-11-13 00:00:00 XLK -300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-11-17 00:00:00 XLK 300 @ 19.4500007629395&amp;quot;&#10;## [1] &amp;quot;2003-11-17 00:00:00 XLK 300 @ 19.4500007629395&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLK -300 @ 19.75&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLK -300 @ 19.75&amp;quot;&#10;## [1] &amp;quot;2003-12-08 00:00:00 XLK 300 @ 19.8799991607666&amp;quot;&#10;## [1] &amp;quot;2003-12-08 00:00:00 XLK 300 @ 19.8799991607666&amp;quot;&#10;## [1] &amp;quot;2003-12-12 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2003-12-12 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2003-12-16 00:00:00 XLK 300 @ 19.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-12-16 00:00:00 XLK 300 @ 19.7999992370605&amp;quot;&#10;## [1] &amp;quot;2003-12-19 00:00:00 XLK -300 @ 19.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-12-19 00:00:00 XLK -300 @ 19.8899993896484&amp;quot;&#10;## [1] &amp;quot;2004-01-23 00:00:00 XLK 300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-23 00:00:00 XLK 300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-27 00:00:00 XLK -300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2004-01-27 00:00:00 XLK -300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLK 300 @ 21.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLK 300 @ 21.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-02-09 00:00:00 XLK -300 @ 21.0699996948242&amp;quot;&#10;## [1] &amp;quot;2004-02-09 00:00:00 XLK -300 @ 21.0699996948242&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLK 300 @ 21.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLK 300 @ 21.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLK -300 @ 21.2900009155273&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLK -300 @ 21.2900009155273&amp;quot;&#10;## [1] &amp;quot;2004-02-20 00:00:00 XLK 300 @ 20.8700008392334&amp;quot;&#10;## [1] &amp;quot;2004-02-20 00:00:00 XLK 300 @ 20.8700008392334&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLK -300 @ 20.7099990844727&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLK -300 @ 20.7099990844727&amp;quot;&#10;## [1] &amp;quot;2004-03-09 00:00:00 XLK 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2004-03-09 00:00:00 XLK 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLK -300 @ 20.0200004577637&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLK -300 @ 20.0200004577637&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLK 300 @ 19.4300003051758&amp;quot;&#10;## [1] &amp;quot;2004-03-22 00:00:00 XLK 300 @ 19.4300003051758&amp;quot;&#10;## [1] &amp;quot;2004-03-26 00:00:00 XLK -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2004-03-26 00:00:00 XLK -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2004-04-14 00:00:00 XLK 300 @ 20.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-04-14 00:00:00 XLK 300 @ 20.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2004-04-23 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2004-04-29 00:00:00 XLK 300 @ 19.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-04-29 00:00:00 XLK 300 @ 19.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-05-06 00:00:00 XLK -300 @ 19.7000007629395&amp;quot;&#10;## [1] &amp;quot;2004-05-06 00:00:00 XLK -300 @ 19.7000007629395&amp;quot;&#10;## [1] &amp;quot;2004-05-10 00:00:00 XLK 300 @ 19.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-05-10 00:00:00 XLK 300 @ 19.5200004577637&amp;quot;&#10;## [1] &amp;quot;2004-05-12 00:00:00 XLK -300 @ 19.7199993133545&amp;quot;&#10;## [1] &amp;quot;2004-05-12 00:00:00 XLK -300 @ 19.7199993133545&amp;quot;&#10;## [1] &amp;quot;2004-05-17 00:00:00 XLK 300 @ 19.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-05-17 00:00:00 XLK 300 @ 19.2399997711182&amp;quot;&#10;## [1] &amp;quot;2004-05-24 00:00:00 XLK -300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-05-24 00:00:00 XLK -300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLK 300 @ 19.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-06-04 00:00:00 XLK 300 @ 19.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLK -300 @ 20.5100002288818&amp;quot;&#10;## [1] &amp;quot;2004-06-08 00:00:00 XLK -300 @ 20.5100002288818&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLK 300 @ 20.4099998474121&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLK 300 @ 20.4099998474121&amp;quot;&#10;## [1] &amp;quot;2004-06-23 00:00:00 XLK -300 @ 20.5300006866455&amp;quot;&#10;## [1] &amp;quot;2004-06-23 00:00:00 XLK -300 @ 20.5300006866455&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLK 300 @ 20.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLK 300 @ 20.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-07-21 00:00:00 XLK -300 @ 18.9799995422363&amp;quot;&#10;## [1] &amp;quot;2004-07-21 00:00:00 XLK -300 @ 18.9799995422363&amp;quot;&#10;## [1] &amp;quot;2004-07-26 00:00:00 XLK 300 @ 18.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-07-26 00:00:00 XLK 300 @ 18.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLK -300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLK -300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-08-04 00:00:00 XLK 300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2004-08-04 00:00:00 XLK 300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2004-08-18 00:00:00 XLK -300 @ 18.6299991607666&amp;quot;&#10;## [1] &amp;quot;2004-08-18 00:00:00 XLK -300 @ 18.6299991607666&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLK 300 @ 18.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLK 300 @ 18.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLK -300 @ 18.5300006866455&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLK -300 @ 18.5300006866455&amp;quot;&#10;## [1] &amp;quot;2004-09-07 00:00:00 XLK 300 @ 18.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-09-07 00:00:00 XLK 300 @ 18.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-09-10 00:00:00 XLK -300 @ 19.2299995422363&amp;quot;&#10;## [1] &amp;quot;2004-09-10 00:00:00 XLK -300 @ 19.2299995422363&amp;quot;&#10;## [1] &amp;quot;2004-09-16 00:00:00 XLK 300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-09-16 00:00:00 XLK 300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-09-21 00:00:00 XLK -300 @ 19.3999996185303&amp;quot;&#10;## [1] &amp;quot;2004-09-21 00:00:00 XLK -300 @ 19.3999996185303&amp;quot;&#10;## [1] &amp;quot;2004-09-23 00:00:00 XLK 300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-09-23 00:00:00 XLK 300 @ 19.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-09-30 00:00:00 XLK -300 @ 19.1200008392334&amp;quot;&#10;## [1] &amp;quot;2004-09-30 00:00:00 XLK -300 @ 19.1200008392334&amp;quot;&#10;## [1] &amp;quot;2004-10-11 00:00:00 XLK 300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-10-11 00:00:00 XLK 300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-10-19 00:00:00 XLK -300 @ 19.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-10-19 00:00:00 XLK -300 @ 19.6499996185303&amp;quot;&#10;## [1] &amp;quot;2004-10-25 00:00:00 XLK 300 @ 19.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-10-25 00:00:00 XLK 300 @ 19.3899993896484&amp;quot;&#10;## [1] &amp;quot;2004-10-28 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-10-28 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-11-11 00:00:00 XLK 300 @ 20.7700004577637&amp;quot;&#10;## [1] &amp;quot;2004-11-11 00:00:00 XLK 300 @ 20.7700004577637&amp;quot;&#10;## [1] &amp;quot;2004-11-12 00:00:00 XLK -300 @ 21.0599994659424&amp;quot;&#10;## [1] &amp;quot;2004-11-12 00:00:00 XLK -300 @ 21.0599994659424&amp;quot;&#10;## [1] &amp;quot;2004-11-22 00:00:00 XLK 300 @ 21.0400009155273&amp;quot;&#10;## [1] &amp;quot;2004-11-22 00:00:00 XLK 300 @ 21.0400009155273&amp;quot;&#10;## [1] &amp;quot;2004-12-02 00:00:00 XLK -300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2004-12-02 00:00:00 XLK -300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLK 300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLK 300 @ 21.3999996185303&amp;quot;&#10;## [1] &amp;quot;2004-12-14 00:00:00 XLK -300 @ 21.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-12-14 00:00:00 XLK -300 @ 21.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-12-17 00:00:00 XLK 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-12-17 00:00:00 XLK 300 @ 20.9599990844727&amp;quot;&#10;## [1] &amp;quot;2004-12-27 00:00:00 XLK -300 @ 21.0300006866455&amp;quot;&#10;## [1] &amp;quot;2004-12-27 00:00:00 XLK -300 @ 21.0300006866455&amp;quot;&#10;## [1] &amp;quot;2004-12-28 00:00:00 XLK 300 @ 21.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-12-28 00:00:00 XLK 300 @ 21.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-12-31 00:00:00 XLK -300 @ 21.1100006103516&amp;quot;&#10;## [1] &amp;quot;2004-12-31 00:00:00 XLK -300 @ 21.1100006103516&amp;quot;&#10;## [1] &amp;quot;2005-01-04 00:00:00 XLK 300 @ 20.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-01-04 00:00:00 XLK 300 @ 20.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLK -300 @ 20.0100002288818&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLK -300 @ 20.0100002288818&amp;quot;&#10;## [1] &amp;quot;2005-01-20 00:00:00 XLK 300 @ 19.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-01-20 00:00:00 XLK 300 @ 19.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-01-27 00:00:00 XLK -300 @ 19.7800006866455&amp;quot;&#10;## [1] &amp;quot;2005-01-27 00:00:00 XLK -300 @ 19.7800006866455&amp;quot;&#10;## [1] &amp;quot;2005-02-04 00:00:00 XLK 300 @ 20.2600002288818&amp;quot;&#10;## [1] &amp;quot;2005-02-04 00:00:00 XLK 300 @ 20.2600002288818&amp;quot;&#10;## [1] &amp;quot;2005-02-07 00:00:00 XLK -300 @ 20.2000007629395&amp;quot;&#10;## [1] &amp;quot;2005-02-07 00:00:00 XLK -300 @ 20.2000007629395&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLK 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLK 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLK -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLK -300 @ 20.2199993133545&amp;quot;&#10;## [1] &amp;quot;2005-02-18 00:00:00 XLK 300 @ 19.8799991607666&amp;quot;&#10;## [1] &amp;quot;2005-02-18 00:00:00 XLK 300 @ 19.8799991607666&amp;quot;&#10;## [1] &amp;quot;2005-02-28 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-02-28 00:00:00 XLK -300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-03-04 00:00:00 XLK 300 @ 20.1200008392334&amp;quot;&#10;## [1] &amp;quot;2005-03-04 00:00:00 XLK 300 @ 20.1200008392334&amp;quot;&#10;## [1] &amp;quot;2005-03-08 00:00:00 XLK -300 @ 20.1000003814697&amp;quot;&#10;## [1] &amp;quot;2005-03-08 00:00:00 XLK -300 @ 20.1000003814697&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLK 300 @ 20.1499996185303&amp;quot;&#10;## [1] &amp;quot;2005-03-10 00:00:00 XLK 300 @ 20.1499996185303&amp;quot;&#10;## [1] &amp;quot;2005-03-31 00:00:00 XLK -300 @ 19.5599994659424&amp;quot;&#10;## [1] &amp;quot;2005-03-31 00:00:00 XLK -300 @ 19.5599994659424&amp;quot;&#10;## [1] &amp;quot;2005-04-12 00:00:00 XLK 300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2005-04-12 00:00:00 XLK 300 @ 19.6000003814697&amp;quot;&#10;## [1] &amp;quot;2005-04-22 00:00:00 XLK -300 @ 18.8199996948242&amp;quot;&#10;## [1] &amp;quot;2005-04-22 00:00:00 XLK -300 @ 18.8199996948242&amp;quot;&#10;## [1] &amp;quot;2005-04-29 00:00:00 XLK 300 @ 18.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-04-29 00:00:00 XLK 300 @ 18.8700008392334&amp;quot;&#10;## [1] &amp;quot;2005-05-04 00:00:00 XLK -300 @ 19.1100006103516&amp;quot;&#10;## [1] &amp;quot;2005-05-04 00:00:00 XLK -300 @ 19.1100006103516&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLK 300 @ 19.1000003814697&amp;quot;&#10;## [1] &amp;quot;2005-05-11 00:00:00 XLK 300 @ 19.1000003814697&amp;quot;&#10;## [1] &amp;quot;2005-05-16 00:00:00 XLK -300 @ 19.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-05-16 00:00:00 XLK -300 @ 19.5400009155273&amp;quot;&#10;## [1] &amp;quot;2005-06-07 00:00:00 XLK 300 @ 20.1399993896484&amp;quot;&#10;## [1] &amp;quot;2005-06-07 00:00:00 XLK 300 @ 20.1399993896484&amp;quot;&#10;## [1] &amp;quot;2005-06-10 00:00:00 XLK -300 @ 20.1700000762939&amp;quot;&#10;## [1] &amp;quot;2005-06-10 00:00:00 XLK -300 @ 20.1700000762939&amp;quot;&#10;## [1] &amp;quot;2005-06-15 00:00:00 XLK 300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2005-06-15 00:00:00 XLK 300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2005-06-17 00:00:00 XLK -300 @ 20.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-06-17 00:00:00 XLK -300 @ 20.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-06-24 00:00:00 XLK 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-06-24 00:00:00 XLK 300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-07-06 00:00:00 XLK -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-06 00:00:00 XLK -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-25 00:00:00 XLK 300 @ 20.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-07-25 00:00:00 XLK 300 @ 20.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-07-28 00:00:00 XLK -300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2005-07-28 00:00:00 XLK -300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2005-08-08 00:00:00 XLK 300 @ 20.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-08-08 00:00:00 XLK 300 @ 20.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-08-30 00:00:00 XLK -300 @ 20.7399997711182&amp;quot;&#10;## [1] &amp;quot;2005-08-30 00:00:00 XLK -300 @ 20.7399997711182&amp;quot;&#10;## [1] &amp;quot;2005-09-06 00:00:00 XLK 300 @ 20.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-09-06 00:00:00 XLK 300 @ 20.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-09-07 00:00:00 XLK -300 @ 20.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-09-07 00:00:00 XLK -300 @ 20.9799995422363&amp;quot;&#10;## [1] &amp;quot;2005-09-15 00:00:00 XLK 300 @ 20.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-09-15 00:00:00 XLK 300 @ 20.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-09-29 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2005-09-29 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLK 300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2005-10-05 00:00:00 XLK 300 @ 20.3899993896484&amp;quot;&#10;## [1] &amp;quot;2005-10-20 00:00:00 XLK -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-10-20 00:00:00 XLK -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-10-28 00:00:00 XLK 300 @ 20.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-10-28 00:00:00 XLK 300 @ 20.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-11-01 00:00:00 XLK -300 @ 20.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-11-01 00:00:00 XLK -300 @ 20.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-12-01 00:00:00 XLK 300 @ 22.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-12-01 00:00:00 XLK 300 @ 22.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-12-02 00:00:00 XLK -300 @ 22.0200004577637&amp;quot;&#10;## [1] &amp;quot;2005-12-02 00:00:00 XLK -300 @ 22.0200004577637&amp;quot;&#10;## [1] &amp;quot;2005-12-09 00:00:00 XLK 300 @ 21.8199996948242&amp;quot;&#10;## [1] &amp;quot;2005-12-09 00:00:00 XLK 300 @ 21.8199996948242&amp;quot;&#10;## [1] &amp;quot;2005-12-27 00:00:00 XLK -300 @ 21.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-12-27 00:00:00 XLK -300 @ 21.2099990844727&amp;quot;&#10;## [1] &amp;quot;2005-12-28 00:00:00 XLK 300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2005-12-28 00:00:00 XLK 300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLK -300 @ 21.5599994659424&amp;quot;&#10;## [1] &amp;quot;2006-01-04 00:00:00 XLK -300 @ 21.5599994659424&amp;quot;&#10;## [1] &amp;quot;2006-01-18 00:00:00 XLK 300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-01-18 00:00:00 XLK 300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLK -300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLK -300 @ 21.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-02-03 00:00:00 XLK 300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-02-03 00:00:00 XLK 300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-02-09 00:00:00 XLK -300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2006-02-09 00:00:00 XLK -300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2006-02-22 00:00:00 XLK 300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2006-02-22 00:00:00 XLK 300 @ 21.7999992370605&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLK -300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-02-28 00:00:00 XLK -300 @ 21.6499996185303&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLK 300 @ 22.0799999237061&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLK 300 @ 22.0799999237061&amp;quot;&#10;## [1] &amp;quot;2006-03-02 00:00:00 XLK -300 @ 22.1299991607666&amp;quot;&#10;## [1] &amp;quot;2006-03-02 00:00:00 XLK -300 @ 22.1299991607666&amp;quot;&#10;## [1] &amp;quot;2006-03-07 00:00:00 XLK 300 @ 21.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-03-07 00:00:00 XLK 300 @ 21.7700004577637&amp;quot;&#10;## [1] &amp;quot;2006-03-14 00:00:00 XLK -300 @ 22.0499992370605&amp;quot;&#10;## [1] &amp;quot;2006-03-14 00:00:00 XLK -300 @ 22.0499992370605&amp;quot;&#10;## [1] &amp;quot;2006-03-24 00:00:00 XLK 300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2006-03-24 00:00:00 XLK 300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2006-03-28 00:00:00 XLK -300 @ 21.8700008392334&amp;quot;&#10;## [1] &amp;quot;2006-03-28 00:00:00 XLK -300 @ 21.8700008392334&amp;quot;&#10;## [1] &amp;quot;2006-03-29 00:00:00 XLK 300 @ 22.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-03-29 00:00:00 XLK 300 @ 22.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-03-30 00:00:00 XLK -300 @ 22.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-03-30 00:00:00 XLK -300 @ 22.2700004577637&amp;quot;&#10;## [1] &amp;quot;2006-04-10 00:00:00 XLK 300 @ 22.2299995422363&amp;quot;&#10;## [1] &amp;quot;2006-04-10 00:00:00 XLK 300 @ 22.2299995422363&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLK -300 @ 22.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLK -300 @ 22.2800006866455&amp;quot;&#10;## [1] &amp;quot;2006-04-24 00:00:00 XLK 300 @ 22.0300006866455&amp;quot;&#10;## [1] &amp;quot;2006-04-24 00:00:00 XLK 300 @ 22.0300006866455&amp;quot;&#10;## [1] &amp;quot;2006-04-28 00:00:00 XLK -300 @ 21.8500003814697&amp;quot;&#10;## [1] &amp;quot;2006-04-28 00:00:00 XLK -300 @ 21.8500003814697&amp;quot;&#10;## [1] &amp;quot;2006-05-01 00:00:00 XLK 300 @ 21.6700000762939&amp;quot;&#10;## [1] &amp;quot;2006-05-01 00:00:00 XLK 300 @ 21.6700000762939&amp;quot;&#10;## [1] &amp;quot;2006-05-08 00:00:00 XLK -300 @ 21.9500007629395&amp;quot;&#10;## [1] &amp;quot;2006-05-08 00:00:00 XLK -300 @ 21.9500007629395&amp;quot;&#10;## [1] &amp;quot;2006-05-11 00:00:00 XLK 300 @ 21.1800003051758&amp;quot;&#10;## [1] &amp;quot;2006-05-11 00:00:00 XLK 300 @ 21.1800003051758&amp;quot;&#10;## [1] &amp;quot;2006-05-26 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-05-26 00:00:00 XLK -300 @ 20.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLK 300 @ 20.4300003051758&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLK 300 @ 20.4300003051758&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLK -300 @ 20.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLK -300 @ 20.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLK 300 @ 20.3999996185303&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLK 300 @ 20.3999996185303&amp;quot;&#10;## [1] &amp;quot;2006-06-16 00:00:00 XLK -300 @ 20.1900005340576&amp;quot;&#10;## [1] &amp;quot;2006-06-16 00:00:00 XLK -300 @ 20.1900005340576&amp;quot;&#10;## [1] &amp;quot;2006-06-26 00:00:00 XLK 300 @ 20.0699996948242&amp;quot;&#10;## [1] &amp;quot;2006-06-26 00:00:00 XLK 300 @ 20.0699996948242&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLK -300 @ 20.3299999237061&amp;quot;&#10;## [1] &amp;quot;2006-06-30 00:00:00 XLK -300 @ 20.3299999237061&amp;quot;&#10;## [1] &amp;quot;2006-07-06 00:00:00 XLK 300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2006-07-06 00:00:00 XLK 300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLK -300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-20 00:00:00 XLK -300 @ 19.2000007629395&amp;quot;&#10;## [1] &amp;quot;2006-07-24 00:00:00 XLK 300 @ 19.2900009155273&amp;quot;&#10;## [1] &amp;quot;2006-07-24 00:00:00 XLK 300 @ 19.2900009155273&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLK -300 @ 19.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-07-26 00:00:00 XLK -300 @ 19.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-08-02 00:00:00 XLK 300 @ 19.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-08-02 00:00:00 XLK 300 @ 19.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-08-04 00:00:00 XLK -300 @ 19.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-08-04 00:00:00 XLK -300 @ 19.7600002288818&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLK 300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2006-08-09 00:00:00 XLK 300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2006-08-11 00:00:00 XLK -300 @ 19.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-08-11 00:00:00 XLK -300 @ 19.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLK 300 @ 20.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-08-24 00:00:00 XLK 300 @ 20.6800003051758&amp;quot;&#10;## [1] &amp;quot;2006-08-28 00:00:00 XLK -300 @ 20.9300003051758&amp;quot;&#10;## [1] &amp;quot;2006-08-28 00:00:00 XLK -300 @ 20.9300003051758&amp;quot;&#10;## [1] &amp;quot;2006-09-07 00:00:00 XLK 300 @ 20.9200000762939&amp;quot;&#10;## [1] &amp;quot;2006-09-07 00:00:00 XLK 300 @ 20.9200000762939&amp;quot;&#10;## [1] &amp;quot;2006-09-12 00:00:00 XLK -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-09-12 00:00:00 XLK -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-09-20 00:00:00 XLK 300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2006-09-20 00:00:00 XLK 300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2006-09-21 00:00:00 XLK -300 @ 21.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-09-21 00:00:00 XLK -300 @ 21.7299995422363&amp;quot;&#10;## [1] &amp;quot;2006-09-25 00:00:00 XLK 300 @ 21.9899997711182&amp;quot;&#10;## [1] &amp;quot;2006-09-25 00:00:00 XLK 300 @ 21.9899997711182&amp;quot;&#10;## [1] &amp;quot;2006-09-26 00:00:00 XLK -300 @ 22.1299991607666&amp;quot;&#10;## [1] &amp;quot;2006-09-26 00:00:00 XLK -300 @ 22.1299991607666&amp;quot;&#10;## [1] &amp;quot;2006-10-03 00:00:00 XLK 300 @ 21.9599990844727&amp;quot;&#10;## [1] &amp;quot;2006-10-03 00:00:00 XLK 300 @ 21.9599990844727&amp;quot;&#10;## [1] &amp;quot;2006-10-05 00:00:00 XLK -300 @ 22.2900009155273&amp;quot;&#10;## [1] &amp;quot;2006-10-05 00:00:00 XLK -300 @ 22.2900009155273&amp;quot;&#10;## [1] &amp;quot;2006-10-18 00:00:00 XLK 300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-10-18 00:00:00 XLK 300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-10-23 00:00:00 XLK -300 @ 22.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-10-23 00:00:00 XLK -300 @ 22.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-10-30 00:00:00 XLK 300 @ 22.8400001525879&amp;quot;&#10;## [1] &amp;quot;2006-10-30 00:00:00 XLK 300 @ 22.8400001525879&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLK -300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2006-11-07 00:00:00 XLK -300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLK 300 @ 23.3199996948242&amp;quot;&#10;## [1] &amp;quot;2006-11-28 00:00:00 XLK 300 @ 23.3199996948242&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLK -300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLK -300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2006-12-08 00:00:00 XLK 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-12-08 00:00:00 XLK 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-12-12 00:00:00 XLK -300 @ 23.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-12-12 00:00:00 XLK -300 @ 23.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLK 300 @ 23.3199996948242&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLK 300 @ 23.3199996948242&amp;quot;&#10;## [1] &amp;quot;2006-12-28 00:00:00 XLK -300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2006-12-28 00:00:00 XLK -300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2007-01-18 00:00:00 XLK 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2007-01-18 00:00:00 XLK 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2007-01-25 00:00:00 XLK -300 @ 23.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-01-25 00:00:00 XLK -300 @ 23.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-02-12 00:00:00 XLK 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2007-02-12 00:00:00 XLK 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLK -300 @ 23.9500007629395&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLK -300 @ 23.9500007629395&amp;quot;&#10;## [1] &amp;quot;2007-02-28 00:00:00 XLK 300 @ 23.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-02-28 00:00:00 XLK 300 @ 23.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-03-07 00:00:00 XLK -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2007-03-07 00:00:00 XLK -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLK 300 @ 22.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLK 300 @ 22.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 XLK -300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2007-03-20 00:00:00 XLK -300 @ 23.25&amp;quot;&#10;## [1] &amp;quot;2007-03-29 00:00:00 XLK 300 @ 23.3700008392334&amp;quot;&#10;## [1] &amp;quot;2007-03-29 00:00:00 XLK 300 @ 23.3700008392334&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLK -300 @ 23.7700004577637&amp;quot;&#10;## [1] &amp;quot;2007-04-04 00:00:00 XLK -300 @ 23.7700004577637&amp;quot;&#10;## [1] &amp;quot;2007-04-12 00:00:00 XLK 300 @ 23.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-04-12 00:00:00 XLK 300 @ 23.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-04-16 00:00:00 XLK -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-04-16 00:00:00 XLK -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLK 300 @ 24.5400009155273&amp;quot;&#10;## [1] &amp;quot;2007-05-01 00:00:00 XLK 300 @ 24.5400009155273&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLK -300 @ 24.9099998474121&amp;quot;&#10;## [1] &amp;quot;2007-05-03 00:00:00 XLK -300 @ 24.9099998474121&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLK 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-05-11 00:00:00 XLK 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-05-14 00:00:00 XLK -300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-05-14 00:00:00 XLK -300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLK 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLK 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2007-05-30 00:00:00 XLK -300 @ 25.5300006866455&amp;quot;&#10;## [1] &amp;quot;2007-05-30 00:00:00 XLK -300 @ 25.5300006866455&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLK 300 @ 24.9899997711182&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLK 300 @ 24.9899997711182&amp;quot;&#10;## [1] &amp;quot;2007-06-15 00:00:00 XLK -300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2007-06-15 00:00:00 XLK -300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLK 300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLK 300 @ 25.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLK -300 @ 25.6900005340576&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLK -300 @ 25.6900005340576&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLK 300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLK 300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLK -300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLK -300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2007-07-25 00:00:00 XLK 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-07-25 00:00:00 XLK 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-08-09 00:00:00 XLK -300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-08-09 00:00:00 XLK -300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-08-10 00:00:00 XLK 300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2007-08-10 00:00:00 XLK 300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 XLK -300 @ 25.3299999237061&amp;quot;&#10;## [1] &amp;quot;2007-08-22 00:00:00 XLK -300 @ 25.3299999237061&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLK 300 @ 25.7600002288818&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLK 300 @ 25.7600002288818&amp;quot;&#10;## [1] &amp;quot;2007-08-30 00:00:00 XLK -300 @ 25.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-08-30 00:00:00 XLK -300 @ 25.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLK 300 @ 25.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLK 300 @ 25.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-09-19 00:00:00 XLK -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2007-09-19 00:00:00 XLK -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLK 300 @ 27.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLK 300 @ 27.1100006103516&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLK -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLK -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2007-10-12 00:00:00 XLK 300 @ 27.7099990844727&amp;quot;&#10;## [1] &amp;quot;2007-10-12 00:00:00 XLK 300 @ 27.7099990844727&amp;quot;&#10;## [1] &amp;quot;2007-10-18 00:00:00 XLK -300 @ 27.8099994659424&amp;quot;&#10;## [1] &amp;quot;2007-10-18 00:00:00 XLK -300 @ 27.8099994659424&amp;quot;&#10;## [1] &amp;quot;2007-10-22 00:00:00 XLK 300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-22 00:00:00 XLK 300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-24 00:00:00 XLK -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-10-24 00:00:00 XLK -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLK 300 @ 26.5200004577637&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLK 300 @ 26.5200004577637&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLK -300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLK -300 @ 26.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-12-05 00:00:00 XLK 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-12-05 00:00:00 XLK 300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2007-12-06 00:00:00 XLK -300 @ 26.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-12-06 00:00:00 XLK -300 @ 26.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLK 300 @ 27.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLK 300 @ 27.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-12-13 00:00:00 XLK -300 @ 26.9300003051758&amp;quot;&#10;## [1] &amp;quot;2007-12-13 00:00:00 XLK -300 @ 26.9300003051758&amp;quot;&#10;## [1] &amp;quot;2007-12-18 00:00:00 XLK 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2007-12-18 00:00:00 XLK 300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLK -300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-12-21 00:00:00 XLK -300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-12-31 00:00:00 XLK 300 @ 26.6599998474121&amp;quot;&#10;## [1] &amp;quot;2007-12-31 00:00:00 XLK 300 @ 26.6599998474121&amp;quot;&#10;## [1] &amp;quot;2008-01-30 00:00:00 XLK -300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2008-01-30 00:00:00 XLK -300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLK 300 @ 22.3299999237061&amp;quot;&#10;## [1] &amp;quot;2008-02-06 00:00:00 XLK 300 @ 22.3299999237061&amp;quot;&#10;## [1] &amp;quot;2008-02-12 00:00:00 XLK -300 @ 22.7399997711182&amp;quot;&#10;## [1] &amp;quot;2008-02-12 00:00:00 XLK -300 @ 22.7399997711182&amp;quot;&#10;## [1] &amp;quot;2008-02-20 00:00:00 XLK 300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-02-20 00:00:00 XLK 300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-02-26 00:00:00 XLK -300 @ 22.8799991607666&amp;quot;&#10;## [1] &amp;quot;2008-02-26 00:00:00 XLK -300 @ 22.8799991607666&amp;quot;&#10;## [1] &amp;quot;2008-02-29 00:00:00 XLK 300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-02-29 00:00:00 XLK 300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLK -300 @ 22.3199996948242&amp;quot;&#10;## [1] &amp;quot;2008-03-12 00:00:00 XLK -300 @ 22.3199996948242&amp;quot;&#10;## [1] &amp;quot;2008-03-17 00:00:00 XLK 300 @ 21.8500003814697&amp;quot;&#10;## [1] &amp;quot;2008-03-17 00:00:00 XLK 300 @ 21.8500003814697&amp;quot;&#10;## [1] &amp;quot;2008-03-19 00:00:00 XLK -300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-03-19 00:00:00 XLK -300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 XLK 300 @ 22.4300003051758&amp;quot;&#10;## [1] &amp;quot;2008-03-28 00:00:00 XLK 300 @ 22.4300003051758&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 XLK -300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2008-04-02 00:00:00 XLK -300 @ 23.3299999237061&amp;quot;&#10;## [1] &amp;quot;2008-04-09 00:00:00 XLK 300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-04-09 00:00:00 XLK 300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-04-17 00:00:00 XLK -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2008-04-17 00:00:00 XLK -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2008-05-01 00:00:00 XLK 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-05-01 00:00:00 XLK 300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-05-02 00:00:00 XLK -300 @ 24.7900009155273&amp;quot;&#10;## [1] &amp;quot;2008-05-02 00:00:00 XLK -300 @ 24.7900009155273&amp;quot;&#10;## [1] &amp;quot;2008-05-12 00:00:00 XLK 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-12 00:00:00 XLK 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-13 00:00:00 XLK -300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-13 00:00:00 XLK -300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-21 00:00:00 XLK 300 @ 24.4400005340576&amp;quot;&#10;## [1] &amp;quot;2008-05-21 00:00:00 XLK 300 @ 24.4400005340576&amp;quot;&#10;## [1] &amp;quot;2008-05-28 00:00:00 XLK -300 @ 25.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-05-28 00:00:00 XLK -300 @ 25.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-06-04 00:00:00 XLK 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-06-04 00:00:00 XLK 300 @ 24.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLK -300 @ 24.7199993133545&amp;quot;&#10;## [1] &amp;quot;2008-06-06 00:00:00 XLK -300 @ 24.7199993133545&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLK 300 @ 24.6700000762939&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLK 300 @ 24.6700000762939&amp;quot;&#10;## [1] &amp;quot;2008-06-17 00:00:00 XLK -300 @ 24.4200000762939&amp;quot;&#10;## [1] &amp;quot;2008-06-17 00:00:00 XLK -300 @ 24.4200000762939&amp;quot;&#10;## [1] &amp;quot;2008-06-19 00:00:00 XLK 300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;2008-06-19 00:00:00 XLK 300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 XLK -300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-07-09 00:00:00 XLK -300 @ 22.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-07-10 00:00:00 XLK 300 @ 22.4300003051758&amp;quot;&#10;## [1] &amp;quot;2008-07-10 00:00:00 XLK 300 @ 22.4300003051758&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLK -300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLK -300 @ 22.5499992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-23 00:00:00 XLK 300 @ 22.6299991607666&amp;quot;&#10;## [1] &amp;quot;2008-07-23 00:00:00 XLK 300 @ 22.6299991607666&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 XLK -300 @ 22.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-24 00:00:00 XLK -300 @ 22.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLK 300 @ 22.3600006103516&amp;quot;&#10;## [1] &amp;quot;2008-07-25 00:00:00 XLK 300 @ 22.3600006103516&amp;quot;&#10;## [1] &amp;quot;2008-07-31 00:00:00 XLK -300 @ 22.3500003814697&amp;quot;&#10;## [1] &amp;quot;2008-07-31 00:00:00 XLK -300 @ 22.3500003814697&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 XLK 300 @ 22.2099990844727&amp;quot;&#10;## [1] &amp;quot;2008-08-04 00:00:00 XLK 300 @ 22.2099990844727&amp;quot;&#10;## [1] &amp;quot;2008-08-06 00:00:00 XLK -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2008-08-06 00:00:00 XLK -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 XLK 300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-08-19 00:00:00 XLK 300 @ 23.0200004577637&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 XLK -300 @ 23&amp;quot;&#10;## [1] &amp;quot;2008-08-25 00:00:00 XLK -300 @ 23&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 XLK 300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2008-08-27 00:00:00 XLK 300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 XLK -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2008-08-29 00:00:00 XLK -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 XLK 300 @ 22.6200008392334&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 XLK 300 @ 22.6200008392334&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLK -300 @ 20.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-15 00:00:00 XLK -300 @ 20.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLK 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLK 300 @ 21.0900001525879&amp;quot;&#10;## [1] &amp;quot;2008-09-26 00:00:00 XLK -300 @ 20.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-26 00:00:00 XLK -300 @ 20.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLK 300 @ 19.8500003814697&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLK 300 @ 19.8500003814697&amp;quot;&#10;## [1] &amp;quot;2008-10-14 00:00:00 XLK -300 @ 17.1599998474121&amp;quot;&#10;## [1] &amp;quot;2008-10-14 00:00:00 XLK -300 @ 17.1599998474121&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLK 300 @ 16.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLK 300 @ 16.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLK -300 @ 16.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLK -300 @ 16.2999992370605&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLK 300 @ 15.8000001907349&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLK 300 @ 15.8000001907349&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLK -300 @ 16.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLK -300 @ 16.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-11-06 00:00:00 XLK 300 @ 15.3999996185303&amp;quot;&#10;## [1] &amp;quot;2008-11-06 00:00:00 XLK 300 @ 15.3999996185303&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLK -300 @ 14.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLK -300 @ 14.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLK 300 @ 14.6499996185303&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLK 300 @ 14.6499996185303&amp;quot;&#10;## [1] &amp;quot;2008-12-04 00:00:00 XLK -300 @ 14.460000038147&amp;quot;&#10;## [1] &amp;quot;2008-12-04 00:00:00 XLK -300 @ 14.460000038147&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLK 300 @ 15.3500003814697&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLK 300 @ 15.3500003814697&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLK -300 @ 15.6599998474121&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLK -300 @ 15.6599998474121&amp;quot;&#10;## [1] &amp;quot;2008-12-19 00:00:00 XLK 300 @ 15.2700004577637&amp;quot;&#10;## [1] &amp;quot;2008-12-19 00:00:00 XLK 300 @ 15.2700004577637&amp;quot;&#10;## [1] &amp;quot;2008-12-31 00:00:00 XLK -300 @ 15.4099998474121&amp;quot;&#10;## [1] &amp;quot;2008-12-31 00:00:00 XLK -300 @ 15.4099998474121&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLK 300 @ 15.2700004577637&amp;quot;&#10;## [1] &amp;quot;2009-01-12 00:00:00 XLK 300 @ 15.2700004577637&amp;quot;&#10;## [1] &amp;quot;2009-01-27 00:00:00 XLK -300 @ 15.1599998474121&amp;quot;&#10;## [1] &amp;quot;2009-01-27 00:00:00 XLK -300 @ 15.1599998474121&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLK 300 @ 14.9099998474121&amp;quot;&#10;## [1] &amp;quot;2009-02-02 00:00:00 XLK 300 @ 14.9099998474121&amp;quot;&#10;## [1] &amp;quot;2009-02-04 00:00:00 XLK -300 @ 15.1999998092651&amp;quot;&#10;## [1] &amp;quot;2009-02-04 00:00:00 XLK -300 @ 15.1999998092651&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLK 300 @ 15.3900003433228&amp;quot;&#10;## [1] &amp;quot;2009-02-11 00:00:00 XLK 300 @ 15.3900003433228&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLK -300 @ 14.289999961853&amp;quot;&#10;## [1] &amp;quot;2009-03-11 00:00:00 XLK -300 @ 14.289999961853&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLK 300 @ 15.6199998855591&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLK 300 @ 15.6199998855591&amp;quot;&#10;## [1] &amp;quot;2009-04-02 00:00:00 XLK -300 @ 16.4799995422363&amp;quot;&#10;## [1] &amp;quot;2009-04-02 00:00:00 XLK -300 @ 16.4799995422363&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLK 300 @ 16.3199996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLK 300 @ 16.3199996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLK -300 @ 16.7299995422363&amp;quot;&#10;## [1] &amp;quot;2009-04-13 00:00:00 XLK -300 @ 16.7299995422363&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLK 300 @ 16.7000007629395&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLK 300 @ 16.7000007629395&amp;quot;&#10;## [1] &amp;quot;2009-04-24 00:00:00 XLK -300 @ 17.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-04-24 00:00:00 XLK -300 @ 17.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-05-08 00:00:00 XLK 300 @ 17.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-05-08 00:00:00 XLK 300 @ 17.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLK -300 @ 17.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLK -300 @ 17.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLK 300 @ 16.9400005340576&amp;quot;&#10;## [1] &amp;quot;2009-05-22 00:00:00 XLK 300 @ 16.9400005340576&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLK -300 @ 17.2099990844727&amp;quot;&#10;## [1] &amp;quot;2009-05-27 00:00:00 XLK -300 @ 17.2099990844727&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLK 300 @ 17.9599990844727&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLK 300 @ 17.9599990844727&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLK -300 @ 18.1599998474121&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLK -300 @ 18.1599998474121&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLK 300 @ 17.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLK 300 @ 17.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLK -300 @ 17.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLK -300 @ 17.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-08-06 00:00:00 XLK 300 @ 19.5900001525879&amp;quot;&#10;## [1] &amp;quot;2009-08-06 00:00:00 XLK 300 @ 19.5900001525879&amp;quot;&#10;## [1] &amp;quot;2009-08-13 00:00:00 XLK -300 @ 19.8999996185303&amp;quot;&#10;## [1] &amp;quot;2009-08-13 00:00:00 XLK -300 @ 19.8999996185303&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLK 300 @ 19.5300006866455&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLK 300 @ 19.5300006866455&amp;quot;&#10;## [1] &amp;quot;2009-08-21 00:00:00 XLK -300 @ 20.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-08-21 00:00:00 XLK -300 @ 20.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLK 300 @ 19.6100006103516&amp;quot;&#10;## [1] &amp;quot;2009-09-01 00:00:00 XLK 300 @ 19.6100006103516&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLK -300 @ 20.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLK -300 @ 20.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLK 300 @ 20.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLK 300 @ 20.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-09-29 00:00:00 XLK -300 @ 20.8099994659424&amp;quot;&#10;## [1] &amp;quot;2009-09-29 00:00:00 XLK -300 @ 20.8099994659424&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLK 300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLK 300 @ 20.25&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLK -300 @ 20.75&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLK -300 @ 20.75&amp;quot;&#10;## [1] &amp;quot;2009-10-19 00:00:00 XLK 300 @ 21.3500003814697&amp;quot;&#10;## [1] &amp;quot;2009-10-19 00:00:00 XLK 300 @ 21.3500003814697&amp;quot;&#10;## [1] &amp;quot;2009-10-20 00:00:00 XLK -300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2009-10-20 00:00:00 XLK -300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2009-10-27 00:00:00 XLK 300 @ 21.0799999237061&amp;quot;&#10;## [1] &amp;quot;2009-10-27 00:00:00 XLK 300 @ 21.0799999237061&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLK -300 @ 21.25&amp;quot;&#10;## [1] &amp;quot;2009-11-06 00:00:00 XLK -300 @ 21.25&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLK 300 @ 21.6900005340576&amp;quot;&#10;## [1] &amp;quot;2009-11-20 00:00:00 XLK 300 @ 21.6900005340576&amp;quot;&#10;## [1] &amp;quot;2009-11-24 00:00:00 XLK -300 @ 22.0300006866455&amp;quot;&#10;## [1] &amp;quot;2009-11-24 00:00:00 XLK -300 @ 22.0300006866455&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLK 300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLK 300 @ 21.75&amp;quot;&#10;## [1] &amp;quot;2009-12-02 00:00:00 XLK -300 @ 22.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-12-02 00:00:00 XLK -300 @ 22.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-12-09 00:00:00 XLK 300 @ 22.1900005340576&amp;quot;&#10;## [1] &amp;quot;2009-12-09 00:00:00 XLK 300 @ 22.1900005340576&amp;quot;&#10;## [1] &amp;quot;2009-12-11 00:00:00 XLK -300 @ 22.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-12-11 00:00:00 XLK -300 @ 22.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 XLK 300 @ 22.3299999237061&amp;quot;&#10;## [1] &amp;quot;2009-12-18 00:00:00 XLK 300 @ 22.3299999237061&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 XLK -300 @ 22.7099990844727&amp;quot;&#10;## [1] &amp;quot;2009-12-22 00:00:00 XLK -300 @ 22.7099990844727&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLK 300 @ 23.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLK 300 @ 23.2700004577637&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLK -300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2010-01-05 00:00:00 XLK -300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2010-01-07 00:00:00 XLK 300 @ 22.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-01-07 00:00:00 XLK 300 @ 22.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-01-20 00:00:00 XLK -300 @ 22.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-01-20 00:00:00 XLK -300 @ 22.6800003051758&amp;quot;&#10;## [1] &amp;quot;2010-01-22 00:00:00 XLK 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-01-22 00:00:00 XLK 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 XLK -300 @ 20.8600006103516&amp;quot;&#10;## [1] &amp;quot;2010-02-04 00:00:00 XLK -300 @ 20.8600006103516&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLK 300 @ 21.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLK 300 @ 21.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-02-12 00:00:00 XLK -300 @ 21.3600006103516&amp;quot;&#10;## [1] &amp;quot;2010-02-12 00:00:00 XLK -300 @ 21.3600006103516&amp;quot;&#10;## [1] &amp;quot;2010-02-24 00:00:00 XLK 300 @ 21.7199993133545&amp;quot;&#10;## [1] &amp;quot;2010-02-24 00:00:00 XLK 300 @ 21.7199993133545&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLK -300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLK -300 @ 21.9400005340576&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLK 300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLK 300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLK -300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLK -300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-29 00:00:00 XLK 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-29 00:00:00 XLK 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-31 00:00:00 XLK -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2010-03-31 00:00:00 XLK -300 @ 23.1000003814697&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLK 300 @ 23.6499996185303&amp;quot;&#10;## [1] &amp;quot;2010-04-28 00:00:00 XLK 300 @ 23.6499996185303&amp;quot;&#10;## [1] &amp;quot;2010-05-13 00:00:00 XLK -300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-05-13 00:00:00 XLK -300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLK 300 @ 22.5200004577637&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLK 300 @ 22.5200004577637&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLK -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLK -300 @ 21.6399993896484&amp;quot;&#10;## [1] &amp;quot;2010-06-07 00:00:00 XLK 300 @ 21.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-06-07 00:00:00 XLK 300 @ 21.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLK -300 @ 21.7399997711182&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLK -300 @ 21.7399997711182&amp;quot;&#10;## [1] &amp;quot;2010-06-22 00:00:00 XLK 300 @ 21.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-06-22 00:00:00 XLK 300 @ 21.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLK -300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLK -300 @ 21.2800006866455&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLK 300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLK 300 @ 21.5799999237061&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 XLK -300 @ 22.1900005340576&amp;quot;&#10;## [1] &amp;quot;2010-07-23 00:00:00 XLK -300 @ 22.1900005340576&amp;quot;&#10;## [1] &amp;quot;2010-07-30 00:00:00 XLK 300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2010-07-30 00:00:00 XLK 300 @ 21.9200000762939&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 XLK -300 @ 22.2600002288818&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 XLK -300 @ 22.2600002288818&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLK 300 @ 21.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-08-11 00:00:00 XLK 300 @ 21.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLK -300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLK -300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2010-08-23 00:00:00 XLK 300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2010-08-23 00:00:00 XLK 300 @ 21.1599998474121&amp;quot;&#10;## [1] &amp;quot;2010-09-02 00:00:00 XLK -300 @ 21.4099998474121&amp;quot;&#10;## [1] &amp;quot;2010-09-02 00:00:00 XLK -300 @ 21.4099998474121&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLK 300 @ 23.0300006866455&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLK 300 @ 23.0300006866455&amp;quot;&#10;## [1] &amp;quot;2010-10-06 00:00:00 XLK -300 @ 23.1800003051758&amp;quot;&#10;## [1] &amp;quot;2010-10-06 00:00:00 XLK -300 @ 23.1800003051758&amp;quot;&#10;## [1] &amp;quot;2010-11-12 00:00:00 XLK 300 @ 24.3400001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-12 00:00:00 XLK 300 @ 24.3400001525879&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLK -300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLK -300 @ 24.3099994659424&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLK 300 @ 24.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLK 300 @ 24.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-11-26 00:00:00 XLK -300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;2010-11-26 00:00:00 XLK -300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;2010-12-01 00:00:00 XLK 300 @ 24.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-12-01 00:00:00 XLK 300 @ 24.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLK -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLK -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLK 300 @ 25.1200008392334&amp;quot;&#10;## [1] &amp;quot;2010-12-16 00:00:00 XLK 300 @ 25.1200008392334&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLK -300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLK -300 @ 25.2199993133545&amp;quot;&#10;## [1] &amp;quot;2011-01-03 00:00:00 XLK 300 @ 25.4699993133545&amp;quot;&#10;## [1] &amp;quot;2011-01-03 00:00:00 XLK 300 @ 25.4699993133545&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLK -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLK -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-01-21 00:00:00 XLK 300 @ 25.7199993133545&amp;quot;&#10;## [1] &amp;quot;2011-01-21 00:00:00 XLK 300 @ 25.7199993133545&amp;quot;&#10;## [1] &amp;quot;2011-01-25 00:00:00 XLK -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2011-01-25 00:00:00 XLK -300 @ 26.2000007629395&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLK 300 @ 25.9899997711182&amp;quot;&#10;## [1] &amp;quot;2011-01-31 00:00:00 XLK 300 @ 25.9899997711182&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLK -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLK -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2011-02-11 00:00:00 XLK 300 @ 26.8999996185303&amp;quot;&#10;## [1] &amp;quot;2011-02-11 00:00:00 XLK 300 @ 26.8999996185303&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLK -300 @ 26.8400001525879&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLK -300 @ 26.8400001525879&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLK 300 @ 26.0300006866455&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLK 300 @ 26.0300006866455&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLK -300 @ 26.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLK -300 @ 26.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-03-02 00:00:00 XLK 300 @ 26.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-03-02 00:00:00 XLK 300 @ 26.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLK -300 @ 26.4200000762939&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLK -300 @ 26.4200000762939&amp;quot;&#10;## [1] &amp;quot;2011-03-08 00:00:00 XLK 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2011-03-08 00:00:00 XLK 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 XLK -300 @ 25.2800006866455&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 XLK -300 @ 25.2800006866455&amp;quot;&#10;## [1] &amp;quot;2011-04-05 00:00:00 XLK 300 @ 25.8799991607666&amp;quot;&#10;## [1] &amp;quot;2011-04-05 00:00:00 XLK 300 @ 25.8799991607666&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 XLK -300 @ 26.0799999237061&amp;quot;&#10;## [1] &amp;quot;2011-04-07 00:00:00 XLK -300 @ 26.0799999237061&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLK 300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2011-04-11 00:00:00 XLK 300 @ 25.8899993896484&amp;quot;&#10;## [1] &amp;quot;2011-04-21 00:00:00 XLK -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-04-21 00:00:00 XLK -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 XLK 300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2011-05-03 00:00:00 XLK 300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLK -300 @ 26.8299999237061&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLK -300 @ 26.8299999237061&amp;quot;&#10;## [1] &amp;quot;2011-05-16 00:00:00 XLK 300 @ 26.0799999237061&amp;quot;&#10;## [1] &amp;quot;2011-05-16 00:00:00 XLK 300 @ 26.0799999237061&amp;quot;&#10;## [1] &amp;quot;2011-05-27 00:00:00 XLK -300 @ 26.1000003814697&amp;quot;&#10;## [1] &amp;quot;2011-05-27 00:00:00 XLK -300 @ 26.1000003814697&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLK 300 @ 25.9300003051758&amp;quot;&#10;## [1] &amp;quot;2011-06-02 00:00:00 XLK 300 @ 25.9300003051758&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 XLK -300 @ 24.6299991607666&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 XLK -300 @ 24.6299991607666&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLK 300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLK 300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLK -300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2011-06-22 00:00:00 XLK -300 @ 24.7999992370605&amp;quot;&#10;## [1] &amp;quot;2011-06-27 00:00:00 XLK 300 @ 24.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-06-27 00:00:00 XLK 300 @ 24.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLK -300 @ 25.3799991607666&amp;quot;&#10;## [1] &amp;quot;2011-06-29 00:00:00 XLK -300 @ 25.3799991607666&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLK 300 @ 25.7999992370605&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLK 300 @ 25.7999992370605&amp;quot;&#10;## [1] &amp;quot;2011-07-20 00:00:00 XLK -300 @ 26.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-07-20 00:00:00 XLK -300 @ 26.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLK 300 @ 26.0200004577637&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLK 300 @ 26.0200004577637&amp;quot;&#10;## [1] &amp;quot;2011-08-16 00:00:00 XLK -300 @ 24.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-08-16 00:00:00 XLK -300 @ 24.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLK 300 @ 22.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLK 300 @ 22.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLK -300 @ 23.6800003051758&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLK -300 @ 23.6800003051758&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLK 300 @ 23.5100002288818&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLK 300 @ 23.5100002288818&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLK -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLK -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLK 300 @ 23.7700004577637&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLK 300 @ 23.7700004577637&amp;quot;&#10;## [1] &amp;quot;2011-09-14 00:00:00 XLK -300 @ 24.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-09-14 00:00:00 XLK -300 @ 24.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-09-22 00:00:00 XLK 300 @ 23.7299995422363&amp;quot;&#10;## [1] &amp;quot;2011-09-22 00:00:00 XLK 300 @ 23.7299995422363&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLK -300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2011-09-28 00:00:00 XLK -300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2011-10-03 00:00:00 XLK 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-10-03 00:00:00 XLK 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-10-06 00:00:00 XLK -300 @ 24.3899993896484&amp;quot;&#10;## [1] &amp;quot;2011-10-06 00:00:00 XLK -300 @ 24.3899993896484&amp;quot;&#10;## [1] &amp;quot;2011-10-20 00:00:00 XLK 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-10-20 00:00:00 XLK 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-10-25 00:00:00 XLK -300 @ 25.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-10-25 00:00:00 XLK -300 @ 25.5200004577637&amp;quot;&#10;## [1] &amp;quot;2011-11-02 00:00:00 XLK 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2011-11-02 00:00:00 XLK 300 @ 25.6000003814697&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLK -300 @ 26.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLK -300 @ 26.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLK 300 @ 25.6700000762939&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLK 300 @ 25.6700000762939&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLK -300 @ 25.9599990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLK -300 @ 25.9599990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 XLK 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-18 00:00:00 XLK 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLK -300 @ 24.6700000762939&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLK -300 @ 24.6700000762939&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLK 300 @ 26.0400009155273&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLK 300 @ 26.0400009155273&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLK -300 @ 25.0200004577637&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLK -300 @ 25.0200004577637&amp;quot;&#10;## [1] &amp;quot;2012-03-06 00:00:00 XLK 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2012-03-06 00:00:00 XLK 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLK -300 @ 29.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLK -300 @ 29.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLK 300 @ 29.9899997711182&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLK 300 @ 29.9899997711182&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLK -300 @ 30.4200000762939&amp;quot;&#10;## [1] &amp;quot;2012-03-27 00:00:00 XLK -300 @ 30.4200000762939&amp;quot;&#10;## [1] &amp;quot;2012-04-02 00:00:00 XLK 300 @ 30.4799995422363&amp;quot;&#10;## [1] &amp;quot;2012-04-02 00:00:00 XLK 300 @ 30.4799995422363&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLK -300 @ 30.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-04-03 00:00:00 XLK -300 @ 30.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLK 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2012-04-05 00:00:00 XLK 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLK -300 @ 29.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-04-13 00:00:00 XLK -300 @ 29.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-04-16 00:00:00 XLK 300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2012-04-16 00:00:00 XLK 300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2012-04-18 00:00:00 XLK -300 @ 29.7199993133545&amp;quot;&#10;## [1] &amp;quot;2012-04-18 00:00:00 XLK -300 @ 29.7199993133545&amp;quot;&#10;## [1] &amp;quot;2012-04-20 00:00:00 XLK 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2012-04-20 00:00:00 XLK 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2012-04-26 00:00:00 XLK -300 @ 30.0400009155273&amp;quot;&#10;## [1] &amp;quot;2012-04-26 00:00:00 XLK -300 @ 30.0400009155273&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLK 300 @ 29.0699996948242&amp;quot;&#10;## [1] &amp;quot;2012-05-04 00:00:00 XLK 300 @ 29.0699996948242&amp;quot;&#10;## [1] &amp;quot;2012-05-22 00:00:00 XLK -300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2012-05-22 00:00:00 XLK -300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2012-05-29 00:00:00 XLK 300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2012-05-29 00:00:00 XLK 300 @ 28.2399997711182&amp;quot;&#10;## [1] &amp;quot;2012-05-30 00:00:00 XLK -300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2012-05-30 00:00:00 XLK -300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 XLK 300 @ 27.2000007629395&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 XLK 300 @ 27.2000007629395&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLK -300 @ 28.0200004577637&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLK -300 @ 28.0200004577637&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLK 300 @ 28.4799995422363&amp;quot;&#10;## [1] &amp;quot;2012-06-22 00:00:00 XLK 300 @ 28.4799995422363&amp;quot;&#10;## [1] &amp;quot;2012-07-02 00:00:00 XLK -300 @ 28.8899993896484&amp;quot;&#10;## [1] &amp;quot;2012-07-02 00:00:00 XLK -300 @ 28.8899993896484&amp;quot;&#10;## [1] &amp;quot;2012-07-09 00:00:00 XLK 300 @ 28.6299991607666&amp;quot;&#10;## [1] &amp;quot;2012-07-09 00:00:00 XLK 300 @ 28.6299991607666&amp;quot;&#10;## [1] &amp;quot;2012-07-18 00:00:00 XLK -300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-07-18 00:00:00 XLK -300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2012-07-24 00:00:00 XLK 300 @ 28.1900005340576&amp;quot;&#10;## [1] &amp;quot;2012-07-24 00:00:00 XLK 300 @ 28.1900005340576&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLK -300 @ 29.1299991607666&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLK -300 @ 29.1299991607666&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLK 300 @ 29.5400009155273&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLK 300 @ 29.5400009155273&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLK -300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLK -300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLK 300 @ 30.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-08-24 00:00:00 XLK 300 @ 30.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLK -300 @ 31.0900001525879&amp;quot;&#10;## [1] &amp;quot;2012-09-07 00:00:00 XLK -300 @ 31.0900001525879&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLK 300 @ 31.3099994659424&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLK 300 @ 31.3099994659424&amp;quot;&#10;## [1] &amp;quot;2012-10-04 00:00:00 XLK -300 @ 31.0499992370605&amp;quot;&#10;## [1] &amp;quot;2012-10-04 00:00:00 XLK -300 @ 31.0499992370605&amp;quot;&#10;## [1] &amp;quot;2012-10-09 00:00:00 XLK 300 @ 30.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-10-09 00:00:00 XLK 300 @ 30.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLK -300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2012-10-17 00:00:00 XLK -300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2012-10-19 00:00:00 XLK 300 @ 29.2900009155273&amp;quot;&#10;## [1] &amp;quot;2012-10-19 00:00:00 XLK 300 @ 29.2900009155273&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLK -300 @ 28.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-11-02 00:00:00 XLK -300 @ 28.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLK 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLK 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLK -300 @ 28.2999992370605&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLK -300 @ 28.2999992370605&amp;quot;&#10;## [1] &amp;quot;2012-12-05 00:00:00 XLK 300 @ 28.75&amp;quot;&#10;## [1] &amp;quot;2012-12-05 00:00:00 XLK 300 @ 28.75&amp;quot;&#10;## [1] &amp;quot;2012-12-12 00:00:00 XLK -300 @ 29.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-12-12 00:00:00 XLK -300 @ 29.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-12-17 00:00:00 XLK 300 @ 29.0400009155273&amp;quot;&#10;## [1] &amp;quot;2012-12-17 00:00:00 XLK 300 @ 29.0400009155273&amp;quot;&#10;## [1] &amp;quot;2012-12-19 00:00:00 XLK -300 @ 29.3199996948242&amp;quot;&#10;## [1] &amp;quot;2012-12-19 00:00:00 XLK -300 @ 29.3199996948242&amp;quot;&#10;## [1] &amp;quot;2012-12-24 00:00:00 XLK 300 @ 28.8700008392334&amp;quot;&#10;## [1] &amp;quot;2012-12-24 00:00:00 XLK 300 @ 28.8700008392334&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLK -300 @ 29.8099994659424&amp;quot;&#10;## [1] &amp;quot;2013-01-02 00:00:00 XLK -300 @ 29.8099994659424&amp;quot;&#10;## [1] &amp;quot;2013-01-09 00:00:00 XLK 300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2013-01-09 00:00:00 XLK 300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2013-01-11 00:00:00 XLK -300 @ 29.5900001525879&amp;quot;&#10;## [1] &amp;quot;2013-01-11 00:00:00 XLK -300 @ 29.5900001525879&amp;quot;&#10;## [1] &amp;quot;2013-01-15 00:00:00 XLK 300 @ 29.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-01-15 00:00:00 XLK 300 @ 29.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-01-18 00:00:00 XLK -300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-01-18 00:00:00 XLK -300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2013-01-25 00:00:00 XLK 300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2013-01-25 00:00:00 XLK 300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2013-02-04 00:00:00 XLK -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2013-02-04 00:00:00 XLK -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2013-02-15 00:00:00 XLK 300 @ 29.7800006866455&amp;quot;&#10;## [1] &amp;quot;2013-02-15 00:00:00 XLK 300 @ 29.7800006866455&amp;quot;&#10;## [1] &amp;quot;2013-02-20 00:00:00 XLK -300 @ 29.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-02-20 00:00:00 XLK -300 @ 29.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLK 300 @ 29.3299999237061&amp;quot;&#10;## [1] &amp;quot;2013-02-21 00:00:00 XLK 300 @ 29.3299999237061&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLK -300 @ 29.6299991607666&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLK -300 @ 29.6299991607666&amp;quot;&#10;## [1] &amp;quot;2013-03-20 00:00:00 XLK 300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2013-03-20 00:00:00 XLK 300 @ 30.3199996948242&amp;quot;&#10;## [1] &amp;quot;2013-03-21 00:00:00 XLK -300 @ 29.9799995422363&amp;quot;&#10;## [1] &amp;quot;2013-03-21 00:00:00 XLK -300 @ 29.9799995422363&amp;quot;&#10;## [1] &amp;quot;2013-03-22 00:00:00 XLK 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2013-03-22 00:00:00 XLK 300 @ 30.1700000762939&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLK -300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-03-27 00:00:00 XLK -300 @ 30.2099990844727&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLK 300 @ 30.1900005340576&amp;quot;&#10;## [1] &amp;quot;2013-04-02 00:00:00 XLK 300 @ 30.1900005340576&amp;quot;&#10;## [1] &amp;quot;2013-04-10 00:00:00 XLK -300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2013-04-10 00:00:00 XLK -300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLK 300 @ 30.2399997711182&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLK 300 @ 30.2399997711182&amp;quot;&#10;## [1] &amp;quot;2013-04-24 00:00:00 XLK -300 @ 29.9500007629395&amp;quot;&#10;## [1] &amp;quot;2013-04-24 00:00:00 XLK -300 @ 29.9500007629395&amp;quot;&#10;## [1] &amp;quot;2013-05-23 00:00:00 XLK 300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2013-05-23 00:00:00 XLK 300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2013-05-31 00:00:00 XLK -300 @ 31.6599998474121&amp;quot;&#10;## [1] &amp;quot;2013-05-31 00:00:00 XLK -300 @ 31.6599998474121&amp;quot;&#10;## [1] &amp;quot;2013-06-03 00:00:00 XLK 300 @ 31.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-06-03 00:00:00 XLK 300 @ 31.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLK -300 @ 31.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLK -300 @ 31.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLK 300 @ 31.2600002288818&amp;quot;&#10;## [1] &amp;quot;2013-06-12 00:00:00 XLK 300 @ 31.2600002288818&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 XLK -300 @ 31.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-19 00:00:00 XLK -300 @ 31.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLK 300 @ 30.5100002288818&amp;quot;&#10;## [1] &amp;quot;2013-06-21 00:00:00 XLK 300 @ 30.5100002288818&amp;quot;&#10;## [1] &amp;quot;2013-06-28 00:00:00 XLK -300 @ 30.5900001525879&amp;quot;&#10;## [1] &amp;quot;2013-06-28 00:00:00 XLK -300 @ 30.5900001525879&amp;quot;&#10;## [1] &amp;quot;2013-07-22 00:00:00 XLK 300 @ 31.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-07-22 00:00:00 XLK 300 @ 31.5400009155273&amp;quot;&#10;## [1] &amp;quot;2013-07-29 00:00:00 XLK -300 @ 31.6800003051758&amp;quot;&#10;## [1] &amp;quot;2013-07-29 00:00:00 XLK -300 @ 31.6800003051758&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 XLK 300 @ 32.1300010681152&amp;quot;&#10;## [1] &amp;quot;2013-08-08 00:00:00 XLK 300 @ 32.1300010681152&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 XLK -300 @ 32.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-08-13 00:00:00 XLK -300 @ 32.4000015258789&amp;quot;&#10;## [1] &amp;quot;2013-08-16 00:00:00 XLK 300 @ 31.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-08-16 00:00:00 XLK 300 @ 31.8199996948242&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLK -300 @ 32.0699996948242&amp;quot;&#10;## [1] &amp;quot;2013-08-23 00:00:00 XLK -300 @ 32.0699996948242&amp;quot;&#10;## [1] &amp;quot;2013-08-28 00:00:00 XLK 300 @ 31.3799991607666&amp;quot;&#10;## [1] &amp;quot;2013-08-28 00:00:00 XLK 300 @ 31.3799991607666&amp;quot;&#10;## [1] &amp;quot;2013-09-05 00:00:00 XLK -300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2013-09-05 00:00:00 XLK -300 @ 31.75&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLK 300 @ 32.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLK 300 @ 32.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLK -300 @ 32.4500007629395&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLK -300 @ 32.4500007629395&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLK 300 @ 33.9000015258789&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLK 300 @ 33.9000015258789&amp;quot;&#10;## [1] &amp;quot;2013-11-13 00:00:00 XLK -300 @ 34.3199996948242&amp;quot;&#10;## [1] &amp;quot;2013-11-13 00:00:00 XLK -300 @ 34.3199996948242&amp;quot;&#10;## [1] &amp;quot;2013-11-20 00:00:00 XLK 300 @ 33.939998626709&amp;quot;&#10;## [1] &amp;quot;2013-11-20 00:00:00 XLK 300 @ 33.939998626709&amp;quot;&#10;## [1] &amp;quot;2013-11-22 00:00:00 XLK -300 @ 34.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-11-22 00:00:00 XLK -300 @ 34.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLK 300 @ 34.310001373291&amp;quot;&#10;## [1] &amp;quot;2013-12-12 00:00:00 XLK 300 @ 34.310001373291&amp;quot;&#10;## [1] &amp;quot;2013-12-19 00:00:00 XLK -300 @ 34.8600006103516&amp;quot;&#10;## [1] &amp;quot;2013-12-19 00:00:00 XLK -300 @ 34.8600006103516&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLK 300 @ 35.2200012207031&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLK 300 @ 35.2200012207031&amp;quot;&#10;## [1] &amp;quot;2014-01-08 00:00:00 XLK -300 @ 35.4799995422363&amp;quot;&#10;## [1] &amp;quot;2014-01-08 00:00:00 XLK -300 @ 35.4799995422363&amp;quot;&#10;## [1] &amp;quot;2014-01-10 00:00:00 XLK 300 @ 35.3199996948242&amp;quot;&#10;## [1] &amp;quot;2014-01-10 00:00:00 XLK 300 @ 35.3199996948242&amp;quot;&#10;## [1] &amp;quot;2014-01-15 00:00:00 XLK -300 @ 35.9599990844727&amp;quot;&#10;## [1] &amp;quot;2014-01-15 00:00:00 XLK -300 @ 35.9599990844727&amp;quot;&#10;## [1] &amp;quot;2014-01-27 00:00:00 XLK 300 @ 34.7999992370605&amp;quot;&#10;## [1] &amp;quot;2014-01-27 00:00:00 XLK 300 @ 34.7999992370605&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLK -300 @ 35.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLK -300 @ 35.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-03-04 00:00:00 XLK 300 @ 36.4300003051758&amp;quot;&#10;## [1] &amp;quot;2014-03-04 00:00:00 XLK 300 @ 36.4300003051758&amp;quot;&#10;## [1] &amp;quot;2014-03-05 00:00:00 XLK -300 @ 36.4799995422363&amp;quot;&#10;## [1] &amp;quot;2014-03-05 00:00:00 XLK -300 @ 36.4799995422363&amp;quot;&#10;## [1] &amp;quot;2014-03-11 00:00:00 XLK 300 @ 36.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-03-11 00:00:00 XLK 300 @ 36.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-03-19 00:00:00 XLK -300 @ 36.3699989318848&amp;quot;&#10;## [1] &amp;quot;2014-03-19 00:00:00 XLK -300 @ 36.3699989318848&amp;quot;&#10;## [1] &amp;quot;2014-03-27 00:00:00 XLK 300 @ 35.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-03-27 00:00:00 XLK 300 @ 35.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 XLK -300 @ 36.7799987792969&amp;quot;&#10;## [1] &amp;quot;2014-04-01 00:00:00 XLK -300 @ 36.7799987792969&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLK 300 @ 35.6399993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLK 300 @ 35.6399993896484&amp;quot;&#10;## [1] &amp;quot;2014-04-10 00:00:00 XLK -300 @ 35.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-04-10 00:00:00 XLK -300 @ 35.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-04-11 00:00:00 XLK 300 @ 35.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-04-11 00:00:00 XLK 300 @ 35.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-04-17 00:00:00 XLK -300 @ 36.0299987792969&amp;quot;&#10;## [1] &amp;quot;2014-04-17 00:00:00 XLK -300 @ 36.0299987792969&amp;quot;&#10;## [1] &amp;quot;2014-04-24 00:00:00 XLK 300 @ 36.2099990844727&amp;quot;&#10;## [1] &amp;quot;2014-04-24 00:00:00 XLK 300 @ 36.2099990844727&amp;quot;&#10;## [1] &amp;quot;2014-04-30 00:00:00 XLK -300 @ 36.4500007629395&amp;quot;&#10;## [1] &amp;quot;2014-04-30 00:00:00 XLK -300 @ 36.4500007629395&amp;quot;&#10;## [1] &amp;quot;2014-05-07 00:00:00 XLK 300 @ 36.189998626709&amp;quot;&#10;## [1] &amp;quot;2014-05-07 00:00:00 XLK 300 @ 36.189998626709&amp;quot;&#10;## [1] &amp;quot;2014-05-13 00:00:00 XLK -300 @ 36.8400001525879&amp;quot;&#10;## [1] &amp;quot;2014-05-13 00:00:00 XLK -300 @ 36.8400001525879&amp;quot;&#10;## [1] &amp;quot;2014-05-16 00:00:00 XLK 300 @ 36.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-05-16 00:00:00 XLK 300 @ 36.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-05-20 00:00:00 XLK -300 @ 36.7099990844727&amp;quot;&#10;## [1] &amp;quot;2014-05-20 00:00:00 XLK -300 @ 36.7099990844727&amp;quot;&#10;## [1] &amp;quot;2014-06-13 00:00:00 XLK 300 @ 38.1300010681152&amp;quot;&#10;## [1] &amp;quot;2014-06-13 00:00:00 XLK 300 @ 38.1300010681152&amp;quot;&#10;## [1] &amp;quot;2014-06-18 00:00:00 XLK -300 @ 38.4199981689453&amp;quot;&#10;## [1] &amp;quot;2014-06-18 00:00:00 XLK -300 @ 38.4199981689453&amp;quot;&#10;## [1] &amp;quot;2014-06-23 00:00:00 XLK 300 @ 38.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-06-23 00:00:00 XLK 300 @ 38.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-06-30 00:00:00 XLK -300 @ 38.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-06-30 00:00:00 XLK -300 @ 38.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-07-09 00:00:00 XLK 300 @ 38.8300018310547&amp;quot;&#10;## [1] &amp;quot;2014-07-09 00:00:00 XLK 300 @ 38.8300018310547&amp;quot;&#10;## [1] &amp;quot;2014-07-14 00:00:00 XLK -300 @ 39.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-07-14 00:00:00 XLK -300 @ 39.2000007629395&amp;quot;&#10;## [1] &amp;quot;2014-08-01 00:00:00 XLK 300 @ 38.7900009155273&amp;quot;&#10;## [1] &amp;quot;2014-08-01 00:00:00 XLK 300 @ 38.7900009155273&amp;quot;&#10;## [1] &amp;quot;2014-08-12 00:00:00 XLK -300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2014-08-12 00:00:00 XLK -300 @ 38.8400001525879&amp;quot;&#10;## [1] &amp;quot;2014-08-29 00:00:00 XLK 300 @ 40.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-08-29 00:00:00 XLK 300 @ 40.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-09-02 00:00:00 XLK -300 @ 40.2900009155273&amp;quot;&#10;## [1] &amp;quot;2014-09-02 00:00:00 XLK -300 @ 40.2900009155273&amp;quot;&#10;## [1] &amp;quot;2014-09-04 00:00:00 XLK 300 @ 40.0499992370605&amp;quot;&#10;## [1] &amp;quot;2014-09-04 00:00:00 XLK 300 @ 40.0499992370605&amp;quot;&#10;## [1] &amp;quot;2014-09-08 00:00:00 XLK -300 @ 40.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-08 00:00:00 XLK -300 @ 40.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLK 300 @ 40.2999992370605&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLK 300 @ 40.2999992370605&amp;quot;&#10;## [1] &amp;quot;2014-09-12 00:00:00 XLK -300 @ 40.2200012207031&amp;quot;&#10;## [1] &amp;quot;2014-09-12 00:00:00 XLK -300 @ 40.2200012207031&amp;quot;&#10;## [1] &amp;quot;2014-09-16 00:00:00 XLK 300 @ 40.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-09-16 00:00:00 XLK 300 @ 40.2799987792969&amp;quot;&#10;## [1] &amp;quot;2014-09-18 00:00:00 XLK -300 @ 40.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-18 00:00:00 XLK -300 @ 40.5999984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-23 00:00:00 XLK 300 @ 39.9799995422363&amp;quot;&#10;## [1] &amp;quot;2014-09-23 00:00:00 XLK 300 @ 39.9799995422363&amp;quot;&#10;## [1] &amp;quot;2014-10-09 00:00:00 XLK -300 @ 39.0499992370605&amp;quot;&#10;## [1] &amp;quot;2014-10-09 00:00:00 XLK -300 @ 39.0499992370605&amp;quot;&#10;## [1] &amp;quot;2014-10-13 00:00:00 XLK 300 @ 37.6300010681152&amp;quot;&#10;## [1] &amp;quot;2014-10-13 00:00:00 XLK 300 @ 37.6300010681152&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 XLK -300 @ 38.6599998474121&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 XLK -300 @ 38.6599998474121&amp;quot;&#10;## [1] &amp;quot;2014-12-09 00:00:00 XLK 300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-12-09 00:00:00 XLK 300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2014-12-19 00:00:00 XLK -300 @ 41.5699996948242&amp;quot;&#10;## [1] &amp;quot;2014-12-19 00:00:00 XLK -300 @ 41.5699996948242&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLK 300 @ 41.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLK 300 @ 41.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLK -300 @ 41.25&amp;quot;&#10;## [1] &amp;quot;2015-01-09 00:00:00 XLK -300 @ 41.25&amp;quot;&#10;## [1] &amp;quot;2015-01-14 00:00:00 XLK 300 @ 40.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-01-14 00:00:00 XLK 300 @ 40.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-01-21 00:00:00 XLK -300 @ 40.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-01-21 00:00:00 XLK -300 @ 40.7900009155273&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLK 300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLK 300 @ 40.0200004577637&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLK -300 @ 40.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLK -300 @ 40.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-03-05 00:00:00 XLK 300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-03-05 00:00:00 XLK 300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLK -300 @ 41.9900016784668&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLK -300 @ 41.9900016784668&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLK 300 @ 41.3400001525879&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLK 300 @ 41.3400001525879&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLK -300 @ 41.439998626709&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLK -300 @ 41.439998626709&amp;quot;&#10;## [1] &amp;quot;2015-04-02 00:00:00 XLK 300 @ 41.3699989318848&amp;quot;&#10;## [1] &amp;quot;2015-04-02 00:00:00 XLK 300 @ 41.3699989318848&amp;quot;&#10;## [1] &amp;quot;2015-04-07 00:00:00 XLK -300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2015-04-07 00:00:00 XLK -300 @ 41.6800003051758&amp;quot;&#10;## [1] &amp;quot;2015-04-15 00:00:00 XLK 300 @ 42.2000007629395&amp;quot;&#10;## [1] &amp;quot;2015-04-15 00:00:00 XLK 300 @ 42.2000007629395&amp;quot;&#10;## [1] &amp;quot;2015-04-16 00:00:00 XLK -300 @ 42.0499992370605&amp;quot;&#10;## [1] &amp;quot;2015-04-16 00:00:00 XLK -300 @ 42.0499992370605&amp;quot;&#10;## [1] &amp;quot;2015-04-20 00:00:00 XLK 300 @ 42.1800003051758&amp;quot;&#10;## [1] &amp;quot;2015-04-20 00:00:00 XLK 300 @ 42.1800003051758&amp;quot;&#10;## [1] &amp;quot;2015-04-23 00:00:00 XLK -300 @ 42.7599983215332&amp;quot;&#10;## [1] &amp;quot;2015-04-23 00:00:00 XLK -300 @ 42.7599983215332&amp;quot;&#10;## [1] &amp;quot;2015-05-01 00:00:00 XLK 300 @ 43.0999984741211&amp;quot;&#10;## [1] &amp;quot;2015-05-01 00:00:00 XLK 300 @ 43.0999984741211&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLK -300 @ 42.810001373291&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLK -300 @ 42.810001373291&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLK 300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2015-05-27 00:00:00 XLK 300 @ 43.7799987792969&amp;quot;&#10;## [1] &amp;quot;2015-05-28 00:00:00 XLK -300 @ 43.689998626709&amp;quot;&#10;## [1] &amp;quot;2015-05-28 00:00:00 XLK -300 @ 43.689998626709&amp;quot;&#10;## [1] &amp;quot;2015-06-05 00:00:00 XLK 300 @ 42.9500007629395&amp;quot;&#10;## [1] &amp;quot;2015-06-05 00:00:00 XLK 300 @ 42.9500007629395&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLK -300 @ 43.0499992370605&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLK -300 @ 43.0499992370605&amp;quot;&#10;## [1] &amp;quot;2015-06-15 00:00:00 XLK 300 @ 42.4099998474121&amp;quot;&#10;## [1] &amp;quot;2015-06-15 00:00:00 XLK 300 @ 42.4099998474121&amp;quot;&#10;## [1] &amp;quot;2015-06-19 00:00:00 XLK -300 @ 42.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-06-19 00:00:00 XLK -300 @ 42.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-06-22 00:00:00 XLK 300 @ 42.8899993896484&amp;quot;&#10;## [1] &amp;quot;2015-06-22 00:00:00 XLK 300 @ 42.8899993896484&amp;quot;&#10;## [1] &amp;quot;2015-07-13 00:00:00 XLK -300 @ 42.0699996948242&amp;quot;&#10;## [1] &amp;quot;2015-07-13 00:00:00 XLK -300 @ 42.0699996948242&amp;quot;&#10;## [1] &amp;quot;2015-07-23 00:00:00 XLK 300 @ 42.5900001525879&amp;quot;&#10;## [1] &amp;quot;2015-07-23 00:00:00 XLK 300 @ 42.5900001525879&amp;quot;&#10;## [1] &amp;quot;2015-07-30 00:00:00 XLK -300 @ 42.7200012207031&amp;quot;&#10;## [1] &amp;quot;2015-07-30 00:00:00 XLK -300 @ 42.7200012207031&amp;quot;&#10;## [1] &amp;quot;2015-08-04 00:00:00 XLK 300 @ 42.0999984741211&amp;quot;&#10;## [1] &amp;quot;2015-08-04 00:00:00 XLK 300 @ 42.0999984741211&amp;quot;&#10;## [1] &amp;quot;2015-08-11 00:00:00 XLK -300 @ 42.1399993896484&amp;quot;&#10;## [1] &amp;quot;2015-08-11 00:00:00 XLK -300 @ 42.1399993896484&amp;quot;&#10;## [1] &amp;quot;2015-08-20 00:00:00 XLK 300 @ 41.1300010681152&amp;quot;&#10;## [1] &amp;quot;2015-08-20 00:00:00 XLK 300 @ 41.1300010681152&amp;quot;&#10;## [1] &amp;quot;2015-08-27 00:00:00 XLK -300 @ 40.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-08-27 00:00:00 XLK -300 @ 40.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-09-02 00:00:00 XLK 300 @ 39.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-09-02 00:00:00 XLK 300 @ 39.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-09-09 00:00:00 XLK -300 @ 39.8699989318848&amp;quot;&#10;## [1] &amp;quot;2015-09-09 00:00:00 XLK -300 @ 39.8699989318848&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLK 300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLK 300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-10-02 00:00:00 XLK -300 @ 40.0800018310547&amp;quot;&#10;## [1] &amp;quot;2015-10-02 00:00:00 XLK -300 @ 40.0800018310547&amp;quot;&#10;## [1] &amp;quot;2015-10-22 00:00:00 XLK 300 @ 42.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-10-22 00:00:00 XLK 300 @ 42.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-10-23 00:00:00 XLK -300 @ 43.8300018310547&amp;quot;&#10;## [1] &amp;quot;2015-10-23 00:00:00 XLK -300 @ 43.8300018310547&amp;quot;&#10;## [1] &amp;quot;2015-11-10 00:00:00 XLK 300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2015-11-10 00:00:00 XLK 300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2015-11-19 00:00:00 XLK -300 @ 43.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-11-19 00:00:00 XLK -300 @ 43.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-11-27 00:00:00 XLK 300 @ 43.9099998474121&amp;quot;&#10;## [1] &amp;quot;2015-11-27 00:00:00 XLK 300 @ 43.9099998474121&amp;quot;&#10;## [1] &amp;quot;2015-12-02 00:00:00 XLK -300 @ 44.0699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-02 00:00:00 XLK -300 @ 44.0699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-04 00:00:00 XLK 300 @ 44.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-04 00:00:00 XLK 300 @ 44.5699996948242&amp;quot;&#10;## [1] &amp;quot;2015-12-07 00:00:00 XLK -300 @ 44.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-12-07 00:00:00 XLK -300 @ 44.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-12-10 00:00:00 XLK 300 @ 43.7099990844727&amp;quot;&#10;## [1] &amp;quot;2015-12-10 00:00:00 XLK 300 @ 43.7099990844727&amp;quot;&#10;## [1] &amp;quot;2015-12-17 00:00:00 XLK -300 @ 43.2200012207031&amp;quot;&#10;## [1] &amp;quot;2015-12-17 00:00:00 XLK -300 @ 43.2200012207031&amp;quot;&#10;## [1] &amp;quot;2015-12-21 00:00:00 XLK 300 @ 42.5999984741211&amp;quot;&#10;## [1] &amp;quot;2015-12-21 00:00:00 XLK 300 @ 42.5999984741211&amp;quot;&#10;## [1] &amp;quot;2015-12-24 00:00:00 XLK -300 @ 43.25&amp;quot;&#10;## [1] 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39.9700012207031&amp;quot;&#10;## [1] &amp;quot;2016-03-09 00:00:00 XLK 300 @ 42.2599983215332&amp;quot;&#10;## [1] &amp;quot;2016-03-09 00:00:00 XLK 300 @ 42.2599983215332&amp;quot;&#10;## [1] &amp;quot;2016-03-14 00:00:00 XLK -300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-03-14 00:00:00 XLK -300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-03-24 00:00:00 XLK 300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2016-03-24 00:00:00 XLK 300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2016-03-30 00:00:00 XLK -300 @ 44.4500007629395&amp;quot;&#10;## [1] &amp;quot;2016-03-30 00:00:00 XLK -300 @ 44.4500007629395&amp;quot;&#10;## [1] &amp;quot;2016-04-06 00:00:00 XLK 300 @ 44.5299987792969&amp;quot;&#10;## [1] &amp;quot;2016-04-06 00:00:00 XLK 300 @ 44.5299987792969&amp;quot;&#10;## [1] &amp;quot;2016-04-14 00:00:00 XLK -300 @ 44.5099983215332&amp;quot;&#10;## [1] &amp;quot;2016-04-14 00:00:00 XLK -300 @ 44.5099983215332&amp;quot;&#10;## [1] &amp;quot;2016-04-22 00:00:00 XLK 300 @ 43.439998626709&amp;quot;&#10;## [1] &amp;quot;2016-04-22 00:00:00 XLK 300 @ 43.439998626709&amp;quot;&#10;## [1] &amp;quot;2016-05-09 00:00:00 XLK -300 @ 42.25&amp;quot;&#10;## [1] &amp;quot;2016-05-09 00:00:00 XLK -300 @ 42.25&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLK 300 @ 42.7999992370605&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLK 300 @ 42.7999992370605&amp;quot;&#10;## [1] &amp;quot;2016-05-17 00:00:00 XLK -300 @ 42.3699989318848&amp;quot;&#10;## [1] &amp;quot;2016-05-17 00:00:00 XLK -300 @ 42.3699989318848&amp;quot;&#10;## [1] &amp;quot;2016-05-20 00:00:00 XLK 300 @ 42.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-05-20 00:00:00 XLK 300 @ 42.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-05-23 00:00:00 XLK -300 @ 42.6500015258789&amp;quot;&#10;## [1] &amp;quot;2016-05-23 00:00:00 XLK -300 @ 42.6500015258789&amp;quot;&#10;## [1] &amp;quot;2016-06-06 00:00:00 XLK 300 @ 44.0200004577637&amp;quot;&#10;## [1] &amp;quot;2016-06-06 00:00:00 XLK 300 @ 44.0200004577637&amp;quot;&#10;## [1] &amp;quot;2016-06-08 00:00:00 XLK -300 @ 44.2900009155273&amp;quot;&#10;## [1] &amp;quot;2016-06-08 00:00:00 XLK -300 @ 44.2900009155273&amp;quot;&#10;## [1] &amp;quot;2016-06-13 00:00:00 XLK 300 @ 43.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-13 00:00:00 XLK 300 @ 43.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-22 00:00:00 XLK -300 @ 43.3800010681152&amp;quot;&#10;## [1] &amp;quot;2016-06-22 00:00:00 XLK -300 @ 43.3800010681152&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLK 300 @ 41.4300003051758&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLK 300 @ 41.4300003051758&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLK -300 @ 43.3699989318848&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLK -300 @ 43.3699989318848&amp;quot;&#10;## [1] &amp;quot;2016-08-03 00:00:00 XLK 300 @ 46.3499984741211&amp;quot;&#10;## [1] &amp;quot;2016-08-03 00:00:00 XLK 300 @ 46.3499984741211&amp;quot;&#10;## [1] 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00:00:00 XLK -300 @ 47.6199989318848&amp;quot;&#10;## [1] &amp;quot;2016-10-12 00:00:00 XLK 300 @ 47.4900016784668&amp;quot;&#10;## [1] &amp;quot;2016-10-12 00:00:00 XLK 300 @ 47.4900016784668&amp;quot;&#10;## [1] &amp;quot;2016-10-19 00:00:00 XLK -300 @ 47.6199989318848&amp;quot;&#10;## [1] &amp;quot;2016-10-19 00:00:00 XLK -300 @ 47.6199989318848&amp;quot;&#10;## [1] &amp;quot;2016-10-27 00:00:00 XLK 300 @ 47.4900016784668&amp;quot;&#10;## [1] &amp;quot;2016-10-27 00:00:00 XLK 300 @ 47.4900016784668&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLK -300 @ 47.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLK -300 @ 47.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-11-11 00:00:00 XLK 300 @ 46.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-11-11 00:00:00 XLK 300 @ 46.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-11-17 00:00:00 XLK -300 @ 47.4000015258789&amp;quot;&#10;## [1] &amp;quot;2016-11-17 00:00:00 XLK -300 @ 47.4000015258789&amp;quot;&#10;## [1] 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50.0800018310547&amp;quot;&#10;## [1] &amp;quot;2017-01-31 00:00:00 XLK 300 @ 50.0800018310547&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLK -300 @ 50.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLK -300 @ 50.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-03-01 00:00:00 XLK 300 @ 53.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-01 00:00:00 XLK 300 @ 53.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-02 00:00:00 XLK -300 @ 52.7400016784668&amp;quot;&#10;## [1] &amp;quot;2017-03-02 00:00:00 XLK -300 @ 52.7400016784668&amp;quot;&#10;## [1] &amp;quot;2017-03-22 00:00:00 XLK 300 @ 52.939998626709&amp;quot;&#10;## [1] &amp;quot;2017-03-22 00:00:00 XLK 300 @ 52.939998626709&amp;quot;&#10;## [1] &amp;quot;2017-03-29 00:00:00 XLK -300 @ 53.310001373291&amp;quot;&#10;## [1] &amp;quot;2017-03-29 00:00:00 XLK -300 @ 53.310001373291&amp;quot;&#10;## [1] &amp;quot;2017-04-06 00:00:00 XLK 300 @ 53.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-04-06 00:00:00 XLK 300 @ 53.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-04-18 00:00:00 XLK -300 @ 52.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-04-18 00:00:00 XLK -300 @ 52.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLK 300 @ 54.9199981689453&amp;quot;&#10;## [1] &amp;quot;2017-05-18 00:00:00 XLK 300 @ 54.9199981689453&amp;quot;&#10;## [1] &amp;quot;2017-05-23 00:00:00 XLK -300 @ 55.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-05-23 00:00:00 XLK -300 @ 55.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-06-12 00:00:00 XLK 300 @ 55.689998626709&amp;quot;&#10;## [1] &amp;quot;2017-06-12 00:00:00 XLK 300 @ 55.689998626709&amp;quot;&#10;## [1] &amp;quot;2017-06-20 00:00:00 XLK -300 @ 55.6199989318848&amp;quot;&#10;## [1] &amp;quot;2017-06-20 00:00:00 XLK -300 @ 55.6199989318848&amp;quot;&#10;## [1] &amp;quot;2017-06-28 00:00:00 XLK 300 @ 55.7700004577637&amp;quot;&#10;## [1] &amp;quot;2017-06-28 00:00:00 XLK 300 @ 55.7700004577637&amp;quot;&#10;## [1] 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00:00:00 XLK -300 @ 62.6800003051758&amp;quot;&#10;## [1] &amp;quot;2017-11-14 00:00:00 XLK 300 @ 63.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-11-14 00:00:00 XLK 300 @ 63.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-11-17 00:00:00 XLK -300 @ 63.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-11-17 00:00:00 XLK -300 @ 63.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-11-30 00:00:00 XLK 300 @ 63.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-11-30 00:00:00 XLK 300 @ 63.8400001525879&amp;quot;&#10;## [1] &amp;quot;2017-12-08 00:00:00 XLK -300 @ 63.5999984741211&amp;quot;&#10;## [1] &amp;quot;2017-12-08 00:00:00 XLK -300 @ 63.5999984741211&amp;quot;&#10;## [1] &amp;quot;2017-12-26 00:00:00 XLK 300 @ 64.1100006103516&amp;quot;&#10;## [1] &amp;quot;2017-12-26 00:00:00 XLK 300 @ 64.1100006103516&amp;quot;&#10;## [1] &amp;quot;2018-01-03 00:00:00 XLK -300 @ 65.2799987792969&amp;quot;&#10;## [1] &amp;quot;2018-01-03 00:00:00 XLK -300 @ 65.2799987792969&amp;quot;&#10;## [1] 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64.5500030517578&amp;quot;&#10;## [1] &amp;quot;2018-04-09 00:00:00 XLK 300 @ 64.5500030517578&amp;quot;&#10;## [1] &amp;quot;2018-04-11 00:00:00 XLK -300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2018-04-11 00:00:00 XLK -300 @ 65.75&amp;quot;&#10;## [1] &amp;quot;2018-04-23 00:00:00 XLK 300 @ 65.9700012207031&amp;quot;&#10;## [1] &amp;quot;2018-04-23 00:00:00 XLK 300 @ 65.9700012207031&amp;quot;&#10;## [1] &amp;quot;2018-04-27 00:00:00 XLK -300 @ 65.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-04-27 00:00:00 XLK -300 @ 65.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-05-16 00:00:00 XLK 300 @ 69.5199966430664&amp;quot;&#10;## [1] &amp;quot;2018-05-16 00:00:00 XLK 300 @ 69.5199966430664&amp;quot;&#10;## [1] &amp;quot;2018-05-22 00:00:00 XLK -300 @ 69.370002746582&amp;quot;&#10;## [1] &amp;quot;2018-05-22 00:00:00 XLK -300 @ 69.370002746582&amp;quot;&#10;## [1] &amp;quot;2018-05-30 00:00:00 XLK 300 @ 69.879997253418&amp;quot;&#10;## [1] &amp;quot;2018-05-30 00:00:00 XLK 300 @ 69.879997253418&amp;quot;&#10;## [1] &amp;quot;2018-05-31 00:00:00 XLK -300 @ 69.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-05-31 00:00:00 XLK -300 @ 69.9000015258789&amp;quot;&#10;## [1] &amp;quot;2018-06-20 00:00:00 XLK 300 @ 71.5800018310547&amp;quot;&#10;## [1] &amp;quot;2018-06-20 00:00:00 XLK 300 @ 71.5800018310547&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLK -300 @ 69.2600021362305&amp;quot;&#10;## [1] &amp;quot;2018-07-03 00:00:00 XLK -300 @ 69.2600021362305&amp;quot;&#10;## [1] &amp;quot;2018-07-30 00:00:00 XLK 300 @ 70.7300033569336&amp;quot;&#10;## [1] &amp;quot;2018-07-30 00:00:00 XLK 300 @ 70.7300033569336&amp;quot;&#10;## [1] &amp;quot;2018-08-03 00:00:00 XLK -300 @ 72.7200012207031&amp;quot;&#10;## [1] &amp;quot;2018-08-03 00:00:00 XLK -300 @ 72.7200012207031&amp;quot;&#10;## [1] &amp;quot;2018-08-13 00:00:00 XLK 300 @ 72.9300003051758&amp;quot;&#10;## [1] &amp;quot;2018-08-13 00:00:00 XLK 300 @ 72.9300003051758&amp;quot;&#10;## [1] &amp;quot;2018-08-15 00:00:00 XLK -300 @ 72.7200012207031&amp;quot;&#10;## [1] &amp;quot;2018-08-15 00:00:00 XLK -300 @ 72.7200012207031&amp;quot;&#10;## [1] &amp;quot;2018-08-16 00:00:00 XLK 300 @ 73.0400009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-16 00:00:00 XLK 300 @ 73.0400009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-23 00:00:00 XLK -300 @ 73.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-23 00:00:00 XLK -300 @ 73.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLK 300 @ 73.8300018310547&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLK 300 @ 73.8300018310547&amp;quot;&#10;## [1] &amp;quot;2018-09-12 00:00:00 XLK -300 @ 74.129997253418&amp;quot;&#10;## [1] &amp;quot;2018-09-12 00:00:00 XLK -300 @ 74.129997253418&amp;quot;&#10;## [1] &amp;quot;2018-09-18 00:00:00 XLK 300 @ 74.4700012207031&amp;quot;&#10;## [1] &amp;quot;2018-09-18 00:00:00 XLK 300 @ 74.4700012207031&amp;quot;&#10;## [1] &amp;quot;2018-09-21 00:00:00 XLK -300 @ 74.6100006103516&amp;quot;&#10;## [1] 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70.1100006103516&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLK 300 @ 67.4599990844727&amp;quot;&#10;## [1] &amp;quot;2018-11-13 00:00:00 XLK 300 @ 67.4599990844727&amp;quot;&#10;## [1] &amp;quot;2018-11-27 00:00:00 XLK -300 @ 65.6600036621094&amp;quot;&#10;## [1] &amp;quot;2018-11-27 00:00:00 XLK -300 @ 65.6600036621094&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLK 300 @ 66.9599990844727&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLK 300 @ 66.9599990844727&amp;quot;&#10;## [1] &amp;quot;2018-12-14 00:00:00 XLK -300 @ 64.5699996948242&amp;quot;&#10;## [1] &amp;quot;2018-12-14 00:00:00 XLK -300 @ 64.5699996948242&amp;quot;&#10;## [1] &amp;quot;2018-12-17 00:00:00 XLK 300 @ 63.2000007629395&amp;quot;&#10;## [1] &amp;quot;2018-12-17 00:00:00 XLK 300 @ 63.2000007629395&amp;quot;&#10;## [1] &amp;quot;2018-12-28 00:00:00 XLK -300 @ 61.4000015258789&amp;quot;&#10;## [1] &amp;quot;2018-12-28 00:00:00 XLK -300 @ 61.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLK 300 @ 61.5&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLK 300 @ 61.5&amp;quot;&#10;## [1] &amp;quot;2019-01-08 00:00:00 XLK -300 @ 62.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-01-08 00:00:00 XLK -300 @ 62.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-01-15 00:00:00 XLK 300 @ 63.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-01-15 00:00:00 XLK 300 @ 63.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-01-16 00:00:00 XLK -300 @ 63.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-01-16 00:00:00 XLK -300 @ 63.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-01-30 00:00:00 XLK 300 @ 66.3499984741211&amp;quot;&#10;## [1] &amp;quot;2019-01-30 00:00:00 XLK 300 @ 66.3499984741211&amp;quot;&#10;## [1] &amp;quot;2019-01-31 00:00:00 XLK -300 @ 66.2799987792969&amp;quot;&#10;## [1] &amp;quot;2019-01-31 00:00:00 XLK -300 @ 66.2799987792969&amp;quot;&#10;## [1] &amp;quot;2019-03-06 00:00:00 XLK 300 @ 70.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-03-06 00:00:00 XLK 300 @ 70.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLK -300 @ 71.7300033569336&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLK -300 @ 71.7300033569336&amp;quot;&#10;## [1] &amp;quot;2019-03-26 00:00:00 XLK 300 @ 73.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-03-26 00:00:00 XLK 300 @ 73.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-04-01 00:00:00 XLK -300 @ 75.0100021362305&amp;quot;&#10;## [1] &amp;quot;2019-04-01 00:00:00 XLK -300 @ 75.0100021362305&amp;quot;&#10;## [1] &amp;quot;2019-05-02 00:00:00 XLK 300 @ 78.0999984741211&amp;quot;&#10;## [1] &amp;quot;2019-05-02 00:00:00 XLK 300 @ 78.0999984741211&amp;quot;&#10;## [1] &amp;quot;2019-05-06 00:00:00 XLK -300 @ 78.2300033569336&amp;quot;&#10;## [1] &amp;quot;2019-05-06 00:00:00 XLK -300 @ 78.2300033569336&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLK 300 @ 76.4599990844727&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLK 300 @ 76.4599990844727&amp;quot;&#10;## [1] 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79.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-07-02 00:00:00 XLK -300 @ 79.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-07-09 00:00:00 XLK 300 @ 79.620002746582&amp;quot;&#10;## [1] &amp;quot;2019-07-09 00:00:00 XLK 300 @ 79.620002746582&amp;quot;&#10;## [1] &amp;quot;2019-07-11 00:00:00 XLK -300 @ 80.5500030517578&amp;quot;&#10;## [1] &amp;quot;2019-07-11 00:00:00 XLK -300 @ 80.5500030517578&amp;quot;&#10;## [1] &amp;quot;2019-07-18 00:00:00 XLK 300 @ 81.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-07-18 00:00:00 XLK 300 @ 81.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLK -300 @ 82.0699996948242&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLK -300 @ 82.0699996948242&amp;quot;&#10;## [1] &amp;quot;2019-07-31 00:00:00 XLK 300 @ 80.7699966430664&amp;quot;&#10;## [1] &amp;quot;2019-07-31 00:00:00 XLK 300 @ 80.7699966430664&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLK -300 @ 78.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLK -300 @ 78.4899978637695&amp;quot;&#10;## [1] &amp;quot;2019-08-13 00:00:00 XLK 300 @ 79.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-08-13 00:00:00 XLK 300 @ 79.4000015258789&amp;quot;&#10;## [1] &amp;quot;2019-08-14 00:00:00 XLK -300 @ 76.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-08-14 00:00:00 XLK -300 @ 76.9599990844727&amp;quot;&#10;## [1] &amp;quot;2019-08-15 00:00:00 XLK 300 @ 76.8199996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-15 00:00:00 XLK 300 @ 76.8199996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLK -300 @ 79.0699996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-20 00:00:00 XLK -300 @ 79.0699996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLK 300 @ 78.2399978637695&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLK 300 @ 78.2399978637695&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLK -300 @ 79.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-08-30 00:00:00 XLK -300 @ 79.5299987792969&amp;quot;&#10;## [1] 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80.5100021362305&amp;quot;&#10;## [1] &amp;quot;2019-09-23 00:00:00 XLK 300 @ 80.5100021362305&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLK -300 @ 80.2099990844727&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLK -300 @ 80.2099990844727&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLK 300 @ 79.9100036621094&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLK 300 @ 79.9100036621094&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLK -300 @ 81.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-10-11 00:00:00 XLK -300 @ 81.5699996948242&amp;quot;&#10;## [1] &amp;quot;2019-10-21 00:00:00 XLK 300 @ 81.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-10-21 00:00:00 XLK 300 @ 81.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-10-25 00:00:00 XLK -300 @ 82.9199981689453&amp;quot;&#10;## [1] &amp;quot;2019-10-25 00:00:00 XLK -300 @ 82.9199981689453&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLK 300 @ 86.5899963378906&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLK 300 @ 86.5899963378906&amp;quot;&#10;## [1] &amp;quot;2019-11-26 00:00:00 XLK -300 @ 87.9300003051758&amp;quot;&#10;## [1] &amp;quot;2019-11-26 00:00:00 XLK -300 @ 87.9300003051758&amp;quot;&#10;## [1] &amp;quot;2019-12-03 00:00:00 XLK 300 @ 86.129997253418&amp;quot;&#10;## [1] &amp;quot;2019-12-03 00:00:00 XLK 300 @ 86.129997253418&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLK -300 @ 87.3000030517578&amp;quot;&#10;## [1] &amp;quot;2019-12-09 00:00:00 XLK -300 @ 87.3000030517578&amp;quot;&#10;## [1] &amp;quot;2019-12-31 00:00:00 XLK 300 @ 91.6699981689453&amp;quot;&#10;## [1] &amp;quot;2019-12-31 00:00:00 XLK 300 @ 91.6699981689453&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLK -300 @ 92.3399963378906&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLK -300 @ 92.3399963378906&amp;quot;&#10;## [1] &amp;quot;2020-01-28 00:00:00 XLK 300 @ 96.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-01-28 00:00:00 XLK 300 @ 96.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLK -300 @ 95.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLK -300 @ 95.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-02-03 00:00:00 XLK 300 @ 96.5899963378906&amp;quot;&#10;## [1] &amp;quot;2020-02-03 00:00:00 XLK 300 @ 96.5899963378906&amp;quot;&#10;## [1] &amp;quot;2020-02-05 00:00:00 XLK -300 @ 99.6999969482422&amp;quot;&#10;## [1] &amp;quot;2020-02-05 00:00:00 XLK -300 @ 99.6999969482422&amp;quot;&#10;## [1] &amp;quot;2020-02-24 00:00:00 XLK 300 @ 95.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-02-24 00:00:00 XLK 300 @ 95.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-03-03 00:00:00 XLK -300 @ 89.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-03-03 00:00:00 XLK -300 @ 89.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-03-09 00:00:00 XLK 300 @ 82.1600036621094&amp;quot;&#10;## [1] &amp;quot;2020-03-09 00:00:00 XLK 300 @ 82.1600036621094&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLK -300 @ 77.5100021362305&amp;quot;&#10;## [1] &amp;quot;2020-03-25 00:00:00 XLK -300 @ 77.5100021362305&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLK 300 @ 78.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-04-02 00:00:00 XLK 300 @ 78.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-04-07 00:00:00 XLK -300 @ 82.9499969482422&amp;quot;&#10;## [1] &amp;quot;2020-04-07 00:00:00 XLK -300 @ 82.9499969482422&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLK 300 @ 87.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLK 300 @ 87.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-27 00:00:00 XLK -300 @ 89.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-04-27 00:00:00 XLK -300 @ 89.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLK 300 @ 90.0800018310547&amp;quot;&#10;## [1] &amp;quot;2020-05-04 00:00:00 XLK 300 @ 90.0800018310547&amp;quot;&#10;## [1] &amp;quot;2020-05-06 00:00:00 XLK -300 @ 92.0299987792969&amp;quot;&#10;## [1] &amp;quot;2020-05-06 00:00:00 XLK -300 @ 92.0299987792969&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLK 300 @ 93&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLK 300 @ 93&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLK -300 @ 95.4100036621094&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLK -300 @ 95.4100036621094&amp;quot;&#10;## [1] &amp;quot;2020-06-12 00:00:00 XLK 300 @ 99.4100036621094&amp;quot;&#10;## [1] &amp;quot;2020-06-12 00:00:00 XLK 300 @ 99.4100036621094&amp;quot;&#10;## [1] &amp;quot;2020-06-17 00:00:00 XLK -300 @ 102.48999786377&amp;quot;&#10;## [1] &amp;quot;2020-06-17 00:00:00 XLK -300 @ 102.48999786377&amp;quot;&#10;## [1] &amp;quot;2020-06-25 00:00:00 XLK 300 @ 103.580001831055&amp;quot;&#10;## [1] &amp;quot;2020-06-25 00:00:00 XLK 300 @ 103.580001831055&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLK -300 @ 104.660003662109&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLK -300 @ 104.660003662109&amp;quot;&#10;## [1] &amp;quot;2020-07-14 00:00:00 XLK 300 @ 107.059997558594&amp;quot;&#10;## [1] &amp;quot;2020-07-14 00:00:00 XLK 300 @ 107.059997558594&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLK -300 @ 108.459999084473&amp;quot;&#10;## [1] &amp;quot;2020-07-21 00:00:00 XLK -300 @ 108.459999084473&amp;quot;&#10;## [1] &amp;quot;2020-07-24 00:00:00 XLK 300 @ 105.199996948242&amp;quot;&#10;## [1] &amp;quot;2020-07-24 00:00:00 XLK 300 @ 105.199996948242&amp;quot;&#10;## [1] &amp;quot;2020-07-31 00:00:00 XLK -300 @ 110.430000305176&amp;quot;&#10;## [1] &amp;quot;2020-07-31 00:00:00 XLK -300 @ 110.430000305176&amp;quot;&#10;## [1] &amp;quot;2020-08-12 00:00:00 XLK 300 @ 113.910003662109&amp;quot;&#10;## [1] &amp;quot;2020-08-12 00:00:00 XLK 300 @ 113.910003662109&amp;quot;&#10;## [1] &amp;quot;2020-08-18 00:00:00 XLK -300 @ 115.069999694824&amp;quot;&#10;## [1] &amp;quot;2020-08-18 00:00:00 XLK -300 @ 115.069999694824&amp;quot;&#10;## [1] &amp;quot;2020-09-04 00:00:00 XLK 300 @ 118.120002746582&amp;quot;&#10;## [1] &amp;quot;2020-09-04 00:00:00 XLK 300 @ 118.120002746582&amp;quot;&#10;## [1] &amp;quot;2020-09-16 00:00:00 XLK -300 @ 114.669998168945&amp;quot;&#10;## [1] &amp;quot;2020-09-16 00:00:00 XLK -300 @ 114.669998168945&amp;quot;&#10;## [1] &amp;quot;2020-09-18 00:00:00 XLK 300 @ 111.76000213623&amp;quot;&#10;## [1] &amp;quot;2020-09-18 00:00:00 XLK 300 @ 111.76000213623&amp;quot;&#10;## [1] &amp;quot;2020-09-23 00:00:00 XLK -300 @ 110.660003662109&amp;quot;&#10;## [1] &amp;quot;2020-09-23 00:00:00 XLK -300 @ 110.660003662109&amp;quot;&#10;## [1] &amp;quot;2020-09-24 00:00:00 XLK 300 @ 111.279998779297&amp;quot;&#10;## [1] &amp;quot;2020-09-24 00:00:00 XLK 300 @ 111.279998779297&amp;quot;&#10;## [1] &amp;quot;2020-09-28 00:00:00 XLK -300 @ 116.120002746582&amp;quot;&#10;## [1] &amp;quot;2020-09-28 00:00:00 XLK -300 @ 116.120002746582&amp;quot;&#10;## [1] &amp;quot;2020-10-05 00:00:00 XLK 300 @ 117.459999084473&amp;quot;&#10;## [1] &amp;quot;2020-10-05 00:00:00 XLK 300 @ 117.459999084473&amp;quot;&#10;## [1] &amp;quot;2020-10-09 00:00:00 XLK -300 @ 120.180000305176&amp;quot;&#10;## [1] &amp;quot;2020-10-09 00:00:00 XLK -300 @ 120.180000305176&amp;quot;&#10;## [1] &amp;quot;2020-10-19 00:00:00 XLK 300 @ 118.900001525879&amp;quot;&#10;## [1] &amp;quot;2020-10-19 00:00:00 XLK 300 @ 118.900001525879&amp;quot;&#10;## [1] &amp;quot;2020-11-04 00:00:00 XLK -300 @ 117.5&amp;quot;&#10;## [1] &amp;quot;2020-11-04 00:00:00 XLK -300 @ 117.5&amp;quot;&#10;## [1] &amp;quot;2020-11-11 00:00:00 XLK 300 @ 121.26000213623&amp;quot;&#10;## [1] &amp;quot;2020-11-11 00:00:00 XLK 300 @ 121.26000213623&amp;quot;&#10;## [1] &amp;quot;2020-11-12 00:00:00 XLK -300 @ 120.180000305176&amp;quot;&#10;## [1] &amp;quot;2020-11-12 00:00:00 XLK -300 @ 120.180000305176&amp;quot;&#10;## [1] &amp;quot;2020-11-19 00:00:00 XLK 300 @ 121.360000610352&amp;quot;&#10;## [1] &amp;quot;2020-11-19 00:00:00 XLK 300 @ 121.360000610352&amp;quot;&#10;## [1] &amp;quot;2020-11-25 00:00:00 XLK -300 @ 122.01000213623&amp;quot;&#10;## [1] &amp;quot;2020-11-25 00:00:00 XLK -300 @ 122.01000213623&amp;quot;&#10;## [1] &amp;quot;2020-12-10 00:00:00 XLK 300 @ 124.559997558594&amp;quot;&#10;## [1] &amp;quot;2020-12-10 00:00:00 XLK 300 @ 124.559997558594&amp;quot;&#10;## [1] &amp;quot;2020-12-16 00:00:00 XLK -300 @ 127.690002441406&amp;quot;&#10;## [1] &amp;quot;2020-12-16 00:00:00 XLK -300 @ 127.690002441406&amp;quot;&#10;## [1] &amp;quot;2021-01-05 00:00:00 XLK 300 @ 128.729995727539&amp;quot;&#10;## [1] &amp;quot;2021-01-05 00:00:00 XLK 300 @ 128.729995727539&amp;quot;&#10;## [1] &amp;quot;2021-01-08 00:00:00 XLK -300 @ 130.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-01-08 00:00:00 XLK -300 @ 130.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-01-15 00:00:00 XLK 300 @ 127.419998168945&amp;quot;&#10;## [1] &amp;quot;2021-01-15 00:00:00 XLK 300 @ 127.419998168945&amp;quot;&#10;## [1] &amp;quot;2021-01-21 00:00:00 XLK -300 @ 133.339996337891&amp;quot;&#10;## [1] &amp;quot;2021-01-21 00:00:00 XLK -300 @ 133.339996337891&amp;quot;&#10;## [1] &amp;quot;2021-01-28 00:00:00 XLK 300 @ 132.039993286133&amp;quot;&#10;## [1] &amp;quot;2021-01-28 00:00:00 XLK 300 @ 132.039993286133&amp;quot;&#10;## [1] &amp;quot;2021-02-03 00:00:00 XLK -300 @ 133.490005493164&amp;quot;&#10;## [1] &amp;quot;2021-02-03 00:00:00 XLK -300 @ 133.490005493164&amp;quot;&#10;## [1] &amp;quot;2021-02-18 00:00:00 XLK 300 @ 136.25&amp;quot;&#10;## [1] &amp;quot;2021-02-18 00:00:00 XLK 300 @ 136.25&amp;quot;&#10;## [1] &amp;quot;2021-03-02 00:00:00 XLK -300 @ 132.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-03-02 00:00:00 XLK -300 @ 132.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-03-04 00:00:00 XLK 300 @ 126.559997558594&amp;quot;&#10;## [1] &amp;quot;2021-03-04 00:00:00 XLK 300 @ 126.559997558594&amp;quot;&#10;## [1] &amp;quot;2021-03-12 00:00:00 XLK -300 @ 131.410003662109&amp;quot;&#10;## [1] &amp;quot;2021-03-12 00:00:00 XLK -300 @ 131.410003662109&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLK 300 @ 129.600006103516&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLK 300 @ 129.600006103516&amp;quot;&#10;## [1] &amp;quot;2021-03-29 00:00:00 XLK -300 @ 131.979995727539&amp;quot;&#10;## [1] &amp;quot;2021-03-29 00:00:00 XLK -300 @ 131.979995727539&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLK 300 @ 142.270004272461&amp;quot;&#10;## [1] &amp;quot;2021-04-21 00:00:00 XLK 300 @ 142.270004272461&amp;quot;&#10;## [1] &amp;quot;2021-04-27 00:00:00 XLK -300 @ 143.080001831055&amp;quot;&#10;## [1] &amp;quot;2021-04-27 00:00:00 XLK -300 @ 143.080001831055&amp;quot;&#10;## [1] &amp;quot;2021-04-29 00:00:00 XLK 300 @ 141.630004882812&amp;quot;&#10;## [1] &amp;quot;2021-04-29 00:00:00 XLK 300 @ 141.630004882812&amp;quot;&#10;## [1] &amp;quot;2021-05-10 00:00:00 XLK -300 @ 135.520004272461&amp;quot;&#10;## [1] &amp;quot;2021-05-10 00:00:00 XLK -300 @ 135.520004272461&amp;quot;&#10;## [1] &amp;quot;2021-05-11 00:00:00 XLK 300 @ 135.110000610352&amp;quot;&#10;## [1] &amp;quot;2021-05-11 00:00:00 XLK 300 @ 135.110000610352&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLK -300 @ 134.979995727539&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLK -300 @ 134.979995727539&amp;quot;&#10;## [1] &amp;quot;2021-06-02 00:00:00 XLK 300 @ 138.669998168945&amp;quot;&#10;## [1] &amp;quot;2021-06-02 00:00:00 XLK 300 @ 138.669998168945&amp;quot;&#10;## [1] &amp;quot;2021-06-03 00:00:00 XLK -300 @ 137.380004882812&amp;quot;&#10;## [1] &amp;quot;2021-06-03 00:00:00 XLK -300 @ 137.380004882812&amp;quot;&#10;## [1] &amp;quot;2021-06-04 00:00:00 XLK 300 @ 140.020004272461&amp;quot;&#10;## [1] &amp;quot;2021-06-04 00:00:00 XLK 300 @ 140.020004272461&amp;quot;&#10;## [1] &amp;quot;2021-06-07 00:00:00 XLK -300 @ 139.990005493164&amp;quot;&#10;## [1] &amp;quot;2021-06-07 00:00:00 XLK -300 @ 139.990005493164&amp;quot;&#10;## [1] &amp;quot;2021-07-19 00:00:00 XLK 300 @ 148.229995727539&amp;quot;&#10;## [1] &amp;quot;2021-07-19 00:00:00 XLK 300 @ 148.229995727539&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLK -300 @ 153&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLK -300 @ 153&amp;quot;&#10;## [1] &amp;quot;2021-07-29 00:00:00 XLK 300 @ 153.5&amp;quot;&#10;## [1] &amp;quot;2021-07-29 00:00:00 XLK 300 @ 153.5&amp;quot;&#10;## [1] &amp;quot;2021-08-04 00:00:00 XLK -300 @ 154.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-08-04 00:00:00 XLK -300 @ 154.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-08-11 00:00:00 XLK 300 @ 153.270004272461&amp;quot;&#10;## [1] &amp;quot;2021-08-11 00:00:00 XLK 300 @ 153.270004272461&amp;quot;&#10;## [1] &amp;quot;2021-08-13 00:00:00 XLK -300 @ 154.990005493164&amp;quot;&#10;## [1] &amp;quot;2021-08-13 00:00:00 XLK -300 @ 154.990005493164&amp;quot;&#10;## [1] &amp;quot;2021-08-19 00:00:00 XLK 300 @ 153.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-08-19 00:00:00 XLK 300 @ 153.759994506836&amp;quot;&#10;## [1] &amp;quot;2021-08-23 00:00:00 XLK -300 @ 157.75&amp;quot;&#10;## [1] &amp;quot;2021-08-23 00:00:00 XLK -300 @ 157.75&amp;quot;&#10;## [1] &amp;quot;2021-08-27 00:00:00 XLK 300 @ 158&amp;quot;&#10;## [1] &amp;quot;2021-08-27 00:00:00 XLK 300 @ 158&amp;quot;&#10;## [1] &amp;quot;2021-08-30 00:00:00 XLK -300 @ 159.699996948242&amp;quot;&#10;## [1] &amp;quot;2021-08-30 00:00:00 XLK -300 @ 159.699996948242&amp;quot;&#10;## [1] &amp;quot;2021-09-09 00:00:00 XLK 300 @ 158.190002441406&amp;quot;&#10;## [1] &amp;quot;2021-09-09 00:00:00 XLK 300 @ 158.190002441406&amp;quot;&#10;## [1] &amp;quot;2021-09-16 00:00:00 XLK -300 @ 157.940002441406&amp;quot;&#10;## [1] &amp;quot;2021-09-16 00:00:00 XLK -300 @ 157.940002441406&amp;quot;&#10;## [1] &amp;quot;2021-09-20 00:00:00 XLK 300 @ 152.380004882812&amp;quot;&#10;## [1] &amp;quot;2021-09-20 00:00:00 XLK 300 @ 152.380004882812&amp;quot;&#10;## [1] &amp;quot;2021-09-24 00:00:00 XLK -300 @ 156.710006713867&amp;quot;&#10;## [1] &amp;quot;2021-09-24 00:00:00 XLK -300 @ 156.710006713867&amp;quot;&#10;## [1] &amp;quot;2021-09-29 00:00:00 XLK 300 @ 150.399993896484&amp;quot;&#10;## [1] &amp;quot;2021-09-29 00:00:00 XLK 300 @ 150.399993896484&amp;quot;&#10;## [1] &amp;quot;2021-10-08 00:00:00 XLK -300 @ 151.960006713867&amp;quot;&#10;## [1] &amp;quot;2021-10-08 00:00:00 XLK -300 @ 151.960006713867&amp;quot;&#10;## [1] &amp;quot;2021-10-13 00:00:00 XLK 300 @ 151.259994506836&amp;quot;&#10;## [1] &amp;quot;2021-10-13 00:00:00 XLK 300 @ 151.259994506836&amp;quot;&#10;## [1] &amp;quot;2021-10-15 00:00:00 XLK -300 @ 155.910003662109&amp;quot;&#10;## [1] &amp;quot;2021-10-15 00:00:00 XLK -300 @ 155.910003662109&amp;quot;&#10;## [1] &amp;quot;2021-11-11 00:00:00 XLK 300 @ 165.300003051758&amp;quot;&#10;## [1] &amp;quot;2021-11-11 00:00:00 XLK 300 @ 165.300003051758&amp;quot;&#10;## [1] &amp;quot;2021-11-15 00:00:00 XLK -300 @ 167.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-11-15 00:00:00 XLK -300 @ 167.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLK 300 @ 170.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLK 300 @ 170.139999389648&amp;quot;&#10;## [1] &amp;quot;2021-12-08 00:00:00 XLK -300 @ 173.309997558594&amp;quot;&#10;## [1] &amp;quot;2021-12-08 00:00:00 XLK -300 @ 173.309997558594&amp;quot;&#10;## [1] &amp;quot;2021-12-15 00:00:00 XLK 300 @ 173.940002441406&amp;quot;&#10;## [1] &amp;quot;2021-12-15 00:00:00 XLK 300 @ 173.940002441406&amp;quot;&#10;## [1] &amp;quot;2021-12-23 00:00:00 XLK -300 @ 172.940002441406&amp;quot;&#10;## [1] &amp;quot;2021-12-23 00:00:00 XLK -300 @ 172.940002441406&amp;quot;&#10;## [1] &amp;quot;2022-01-03 00:00:00 XLK 300 @ 175.520004272461&amp;quot;&#10;## [1] &amp;quot;2022-01-03 00:00:00 XLK 300 @ 175.520004272461&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLK -300 @ 173.660003662109&amp;quot;&#10;## [1] &amp;quot;2022-01-04 00:00:00 XLK -300 @ 173.660003662109&amp;quot;&#10;## [1] &amp;quot;2022-01-05 00:00:00 XLK 300 @ 168.320007324219&amp;quot;&#10;## [1] &amp;quot;2022-01-05 00:00:00 XLK 300 @ 168.320007324219&amp;quot;&#10;## [1] &amp;quot;2022-01-13 00:00:00 XLK -300 @ 164.369995117188&amp;quot;&#10;## [1] &amp;quot;2022-01-13 00:00:00 XLK -300 @ 164.369995117188&amp;quot;&#10;## [1] &amp;quot;2022-01-14 00:00:00 XLK 300 @ 165.759994506836&amp;quot;&#10;## [1] &amp;quot;2022-01-14 00:00:00 XLK 300 @ 165.759994506836&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLK -300 @ 161.970001220703&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLK -300 @ 161.970001220703&amp;quot;&#10;## [1] &amp;quot;2022-02-04 00:00:00 XLK 300 @ 159.600006103516&amp;quot;&#10;## [1] &amp;quot;2022-02-04 00:00:00 XLK 300 @ 159.600006103516&amp;quot;&#10;## [1] &amp;quot;2022-02-10 00:00:00 XLK -300 @ 159.770004272461&amp;quot;&#10;## [1] &amp;quot;2022-02-10 00:00:00 XLK -300 @ 159.770004272461&amp;quot;&#10;## [1] &amp;quot;2022-02-14 00:00:00 XLK 300 @ 154.839996337891&amp;quot;&#10;## [1] &amp;quot;2022-02-14 00:00:00 XLK 300 @ 154.839996337891&amp;quot;&#10;## [1] &amp;quot;2022-02-16 00:00:00 XLK -300 @ 158.75&amp;quot;&#10;## [1] &amp;quot;2022-02-16 00:00:00 XLK -300 @ 158.75&amp;quot;&#10;## [1] &amp;quot;2022-02-18 00:00:00 XLK 300 @ 152.440002441406&amp;quot;&#10;## [1] &amp;quot;2022-02-18 00:00:00 XLK 300 @ 152.440002441406&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLK -300 @ 154.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLK -300 @ 154.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-03-02 00:00:00 XLK 300 @ 154.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-03-02 00:00:00 XLK 300 @ 154.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-03-10 00:00:00 XLK -300 @ 146.639999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-10 00:00:00 XLK -300 @ 146.639999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-14 00:00:00 XLK 300 @ 141.389999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-14 00:00:00 XLK 300 @ 141.389999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-17 00:00:00 XLK -300 @ 151.960006713867&amp;quot;&#10;## [1] &amp;quot;2022-03-17 00:00:00 XLK -300 @ 151.960006713867&amp;quot;&#10;## [1] &amp;quot;2022-04-01 00:00:00 XLK 300 @ 158.460006713867&amp;quot;&#10;## [1] &amp;quot;2022-04-01 00:00:00 XLK 300 @ 158.460006713867&amp;quot;&#10;## [1] &amp;quot;2022-04-05 00:00:00 XLK -300 @ 158.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-04-05 00:00:00 XLK -300 @ 158.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-04-06 00:00:00 XLK 300 @ 154.330001831055&amp;quot;&#10;## [1] &amp;quot;2022-04-06 00:00:00 XLK 300 @ 154.330001831055&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLK -300 @ 149.740005493164&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLK -300 @ 149.740005493164&amp;quot;&#10;## [1] &amp;quot;2022-04-22 00:00:00 XLK 300 @ 143.080001831055&amp;quot;&#10;## [1] &amp;quot;2022-04-22 00:00:00 XLK 300 @ 143.080001831055&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLK -300 @ 141.419998168945&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLK -300 @ 141.419998168945&amp;quot;&#10;## [1] &amp;quot;2022-05-06 00:00:00 XLK 300 @ 140.570007324219&amp;quot;&#10;## [1] &amp;quot;2022-05-06 00:00:00 XLK 300 @ 140.570007324219&amp;quot;&#10;## [1] &amp;quot;2022-05-18 00:00:00 XLK -300 @ 132.220001220703&amp;quot;&#10;## [1] &amp;quot;2022-05-18 00:00:00 XLK -300 @ 132.220001220703&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLK 300 @ 130.770004272461&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLK 300 @ 130.770004272461&amp;quot;&#10;## [1] &amp;quot;2022-05-24 00:00:00 XLK -300 @ 132.080001831055&amp;quot;&#10;## [1] &amp;quot;2022-05-24 00:00:00 XLK -300 @ 132.080001831055&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLK 300 @ 131.089996337891&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLK 300 @ 131.089996337891&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLK -300 @ 126.919998168945&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLK -300 @ 126.919998168945&amp;quot;&#10;## [1] &amp;quot;2022-06-29 00:00:00 XLK 300 @ 128.839996337891&amp;quot;&#10;## [1] &amp;quot;2022-06-29 00:00:00 XLK 300 @ 128.839996337891&amp;quot;&#10;## [1] &amp;quot;2022-07-06 00:00:00 XLK -300 @ 130.119995117188&amp;quot;&#10;## [1] &amp;quot;2022-07-06 00:00:00 XLK -300 @ 130.119995117188&amp;quot;&#10;## [1] &amp;quot;2022-07-13 00:00:00 XLK 300 @ 128.910003662109&amp;quot;&#10;## [1] &amp;quot;2022-07-13 00:00:00 XLK 300 @ 128.910003662109&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLK -300 @ 131.100006103516&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLK -300 @ 131.100006103516&amp;quot;&#10;## [1] &amp;quot;2022-07-27 00:00:00 XLK 300 @ 139.910003662109&amp;quot;&#10;## [1] &amp;quot;2022-07-27 00:00:00 XLK 300 @ 139.910003662109&amp;quot;&#10;## [1] &amp;quot;2022-07-28 00:00:00 XLK -300 @ 142.039993286133&amp;quot;&#10;## [1] &amp;quot;2022-07-28 00:00:00 XLK -300 @ 142.039993286133&amp;quot;&#10;## [1] &amp;quot;2022-08-10 00:00:00 XLK 300 @ 148.25&amp;quot;&#10;## [1] &amp;quot;2022-08-10 00:00:00 XLK 300 @ 148.25&amp;quot;&#10;## [1] &amp;quot;2022-08-11 00:00:00 XLK -300 @ 147.669998168945&amp;quot;&#10;## [1] &amp;quot;2022-08-11 00:00:00 XLK -300 @ 147.669998168945&amp;quot;&#10;## [1] &amp;quot;2022-08-22 00:00:00 XLK 300 @ 143.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-08-22 00:00:00 XLK 300 @ 143.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-08-26 00:00:00 XLK -300 @ 139.880004882812&amp;quot;&#10;## [1] &amp;quot;2022-08-26 00:00:00 XLK -300 @ 139.880004882812&amp;quot;&#10;## [1] &amp;quot;2022-08-29 00:00:00 XLK 300 @ 138.029998779297&amp;quot;&#10;## [1] &amp;quot;2022-08-29 00:00:00 XLK 300 @ 138.029998779297&amp;quot;&#10;## [1] &amp;quot;2022-09-09 00:00:00 XLK -300 @ 137.199996948242&amp;quot;&#10;## [1] &amp;quot;2022-09-09 00:00:00 XLK -300 @ 137.199996948242&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLK 300 @ 132.479995727539&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLK 300 @ 132.479995727539&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLK -300 @ 121.099998474121&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLK -300 @ 121.099998474121&amp;quot;&#10;## [1] &amp;quot;2022-09-30 00:00:00 XLK 300 @ 118.779998779297&amp;quot;&#10;## [1] &amp;quot;2022-09-30 00:00:00 XLK 300 @ 118.779998779297&amp;quot;&#10;## [1] &amp;quot;2022-10-05 00:00:00 XLK -300 @ 126.98999786377&amp;quot;&#10;## [1] &amp;quot;2022-10-05 00:00:00 XLK -300 @ 126.98999786377&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLK 300 @ 118.73999786377&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLK 300 @ 118.73999786377&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLK -300 @ 116.800003051758&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLK -300 @ 116.800003051758&amp;quot;&#10;## [1] &amp;quot;2022-10-28 00:00:00 XLK 300 @ 129.580001831055&amp;quot;&#10;## [1] &amp;quot;2022-10-28 00:00:00 XLK 300 @ 129.580001831055&amp;quot;&#10;## [1] &amp;quot;2022-10-31 00:00:00 XLK -300 @ 127.870002746582&amp;quot;&#10;## [1] &amp;quot;2022-10-31 00:00:00 XLK -300 @ 127.870002746582&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLK 300 @ 118.819999694824&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLK 300 @ 118.819999694824&amp;quot;&#10;## [1] &amp;quot;2022-11-09 00:00:00 XLK -300 @ 120.959999084473&amp;quot;&#10;## [1] &amp;quot;2022-11-09 00:00:00 XLK -300 @ 120.959999084473&amp;quot;&#10;## [1] &amp;quot;2022-11-10 00:00:00 XLK 300 @ 130.899993896484&amp;quot;&#10;## [1] &amp;quot;2022-11-10 00:00:00 XLK 300 @ 130.899993896484&amp;quot;&#10;## [1] &amp;quot;2022-11-11 00:00:00 XLK -300 @ 133.139999389648&amp;quot;&#10;## [1] &amp;quot;2022-11-11 00:00:00 XLK -300 @ 133.139999389648&amp;quot;&#10;## [1] &amp;quot;2022-11-22 00:00:00 XLK 300 @ 133.199996948242&amp;quot;&#10;## [1] &amp;quot;2022-11-22 00:00:00 XLK 300 @ 133.199996948242&amp;quot;&#10;## [1] &amp;quot;2022-11-23 00:00:00 XLK -300 @ 134.380004882812&amp;quot;&#10;## [1] &amp;quot;2022-11-23 00:00:00 XLK -300 @ 134.380004882812&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLK 300 @ 129.460006713867&amp;quot;&#10;## [1] &amp;quot;2022-11-29 00:00:00 XLK 300 @ 129.460006713867&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLK -300 @ 136.149993896484&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLK -300 @ 136.149993896484&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLK 300 @ 130.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLK 300 @ 130.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-12-13 00:00:00 XLK -300 @ 135.350006103516&amp;quot;&#10;## [1] &amp;quot;2022-12-13 00:00:00 XLK -300 @ 135.350006103516&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLK 300 @ 127.480003356934&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLK 300 @ 127.480003356934&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLK -300 @ 126.180000305176&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLK -300 @ 126.180000305176&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLK 300 @ 127.879997253418&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLK 300 @ 127.879997253418&amp;quot;&#10;## [1] &amp;quot;2023-01-23 00:00:00 XLK -300 @ 134.330001831055&amp;quot;&#10;## [1] &amp;quot;2023-01-23 00:00:00 XLK -300 @ 134.330001831055&amp;quot;&#10;## [1] &amp;quot;2023-01-31 00:00:00 XLK 300 @ 135.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-01-31 00:00:00 XLK 300 @ 135.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-02-02 00:00:00 XLK -300 @ 142.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-02-02 00:00:00 XLK -300 @ 142.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-02-13 00:00:00 XLK 300 @ 142.809997558594&amp;quot;&#10;## [1] &amp;quot;2023-02-13 00:00:00 XLK 300 @ 142.809997558594&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLK -300 @ 143.419998168945&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLK -300 @ 143.419998168945&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLK 300 @ 139.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLK 300 @ 139.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-03-03 00:00:00 XLK -300 @ 140.139999389648&amp;quot;&#10;## [1] &amp;quot;2023-03-03 00:00:00 XLK -300 @ 140.139999389648&amp;quot;&#10;## [1] &amp;quot;2023-03-10 00:00:00 XLK 300 @ 135.770004272461&amp;quot;&#10;## [1] &amp;quot;2023-03-10 00:00:00 XLK 300 @ 135.770004272461&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLK -300 @ 139.740005493164&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLK -300 @ 139.740005493164&amp;quot;&#10;## [1] &amp;quot;2023-03-29 00:00:00 XLK 300 @ 147.169998168945&amp;quot;&#10;## [1] &amp;quot;2023-03-29 00:00:00 XLK 300 @ 147.169998168945&amp;quot;&#10;## [1] &amp;quot;2023-03-30 00:00:00 XLK -300 @ 148.880004882812&amp;quot;&#10;## [1] &amp;quot;2023-03-30 00:00:00 XLK -300 @ 148.880004882812&amp;quot;&#10;## [1] &amp;quot;2023-04-06 00:00:00 XLK 300 @ 149.070007324219&amp;quot;&#10;## [1] &amp;quot;2023-04-06 00:00:00 XLK 300 @ 149.070007324219&amp;quot;&#10;## [1] &amp;quot;2023-04-14 00:00:00 XLK -300 @ 148.649993896484&amp;quot;&#10;## [1] &amp;quot;2023-04-14 00:00:00 XLK -300 @ 148.649993896484&amp;quot;&#10;## [1] &amp;quot;2023-04-21 00:00:00 XLK 300 @ 147.759994506836&amp;quot;&#10;## [1] &amp;quot;2023-04-21 00:00:00 XLK 300 @ 147.759994506836&amp;quot;&#10;## [1] &amp;quot;2023-04-28 00:00:00 XLK -300 @ 150.830001831055&amp;quot;&#10;## [1] &amp;quot;2023-04-28 00:00:00 XLK -300 @ 150.830001831055&amp;quot;&#10;## [1] &amp;quot;2023-05-04 00:00:00 XLK 300 @ 147.539993286133&amp;quot;&#10;## [1] &amp;quot;2023-05-04 00:00:00 XLK 300 @ 147.539993286133&amp;quot;&#10;## [1] &amp;quot;2023-05-08 00:00:00 XLK -300 @ 151.160003662109&amp;quot;&#10;## [1] &amp;quot;2023-05-08 00:00:00 XLK -300 @ 151.160003662109&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLK 300 @ 154.309997558594&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLK 300 @ 154.309997558594&amp;quot;&#10;## [1] &amp;quot;2023-05-26 00:00:00 XLK -300 @ 164.779998779297&amp;quot;&#10;## [1] &amp;quot;2023-05-26 00:00:00 XLK -300 @ 164.779998779297&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLK 300 @ 165.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLK 300 @ 165.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-06-12 00:00:00 XLK -300 @ 169.619995117188&amp;quot;&#10;## [1] &amp;quot;2023-06-12 00:00:00 XLK -300 @ 169.619995117188&amp;quot;&#10;## [1] &amp;quot;2023-06-22 00:00:00 XLK 300 @ 170.5&amp;quot;&#10;## [1] &amp;quot;2023-06-22 00:00:00 XLK 300 @ 170.5&amp;quot;&#10;## [1] &amp;quot;2023-06-28 00:00:00 XLK -300 @ 170.839996337891&amp;quot;&#10;## [1] &amp;quot;2023-06-28 00:00:00 XLK -300 @ 170.839996337891&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLK 300 @ 171.210006713867&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLK 300 @ 171.210006713867&amp;quot;&#10;## [1] &amp;quot;2023-07-13 00:00:00 XLK -300 @ 176.25&amp;quot;&#10;## [1] &amp;quot;2023-07-13 00:00:00 XLK -300 @ 176.25&amp;quot;&#10;## [1] &amp;quot;2023-07-21 00:00:00 XLK 300 @ 176.130004882812&amp;quot;&#10;## [1] &amp;quot;2023-07-21 00:00:00 XLK 300 @ 176.130004882812&amp;quot;&#10;## [1] &amp;quot;2023-07-26 00:00:00 XLK -300 @ 176.059997558594&amp;quot;&#10;## [1] &amp;quot;2023-07-26 00:00:00 XLK -300 @ 176.059997558594&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLK 300 @ 177.940002441406&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLK 300 @ 177.940002441406&amp;quot;&#10;## [1] &amp;quot;2023-07-31 00:00:00 XLK -300 @ 178.350006103516&amp;quot;&#10;## [1] &amp;quot;2023-07-31 00:00:00 XLK -300 @ 178.350006103516&amp;quot;&#10;## [1] &amp;quot;2023-08-03 00:00:00 XLK 300 @ 173.520004272461&amp;quot;&#10;## [1] &amp;quot;2023-08-03 00:00:00 XLK 300 @ 173.520004272461&amp;quot;&#10;## [1] &amp;quot;2023-08-15 00:00:00 XLK -300 @ 167.889999389648&amp;quot;&#10;## [1] &amp;quot;2023-08-15 00:00:00 XLK -300 @ 167.889999389648&amp;quot;&#10;## [1] &amp;quot;2023-08-17 00:00:00 XLK 300 @ 164.710006713867&amp;quot;&#10;## [1] &amp;quot;2023-08-17 00:00:00 XLK 300 @ 164.710006713867&amp;quot;&#10;## [1] &amp;quot;2023-08-22 00:00:00 XLK -300 @ 167.919998168945&amp;quot;&#10;## [1] &amp;quot;2023-08-22 00:00:00 XLK -300 @ 167.919998168945&amp;quot;&#10;## [1] &amp;quot;2023-09-07 00:00:00 XLK 300 @ 172.429992675781&amp;quot;&#10;## [1] &amp;quot;2023-09-07 00:00:00 XLK 300 @ 172.429992675781&amp;quot;&#10;## [1] &amp;quot;2023-10-02 00:00:00 XLK -300 @ 165.690002441406&amp;quot;&#10;## [1] &amp;quot;2023-10-02 00:00:00 XLK -300 @ 165.690002441406&amp;quot;&#10;## [1] &amp;quot;2023-10-04 00:00:00 XLK 300 @ 164.910003662109&amp;quot;&#10;## [1] &amp;quot;2023-10-04 00:00:00 XLK 300 @ 164.910003662109&amp;quot;&#10;## [1] &amp;quot;2023-10-09 00:00:00 XLK -300 @ 169.089996337891&amp;quot;&#10;## [1] &amp;quot;2023-10-09 00:00:00 XLK -300 @ 169.089996337891&amp;quot;&#10;## [1] &amp;quot;2023-10-16 00:00:00 XLK 300 @ 170.25&amp;quot;&#10;## [1] &amp;quot;2023-10-16 00:00:00 XLK 300 @ 170.25&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLK -300 @ 167.179992675781&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLK -300 @ 167.179992675781&amp;quot;&#10;## [1] &amp;quot;2023-12-05 00:00:00 XLK 300 @ 184.419998168945&amp;quot;&#10;## [1] &amp;quot;2023-12-05 00:00:00 XLK 300 @ 184.419998168945&amp;quot;&#10;## [1] &amp;quot;2023-12-08 00:00:00 XLK -300 @ 186.660003662109&amp;quot;&#10;## [1] &amp;quot;2023-12-08 00:00:00 XLK -300 @ 186.660003662109&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLK 300 @ 191.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLK 300 @ 191.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLK -300 @ 192.839996337891&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLK -300 @ 192.839996337891&amp;quot;&#10;## [1] &amp;quot;2024-01-03 00:00:00 XLK 300 @ 185.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-01-03 00:00:00 XLK 300 @ 185.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLK -300 @ 189.039993286133&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLK -300 @ 189.039993286133&amp;quot;&#10;## [1] &amp;quot;2024-02-01 00:00:00 XLK 300 @ 200.169998168945&amp;quot;&#10;## [1] &amp;quot;2024-02-01 00:00:00 XLK 300 @ 200.169998168945&amp;quot;&#10;## [1] &amp;quot;2024-02-05 00:00:00 XLK -300 @ 202.699996948242&amp;quot;&#10;## [1] &amp;quot;2024-02-05 00:00:00 XLK -300 @ 202.699996948242&amp;quot;&#10;## [1] &amp;quot;2024-02-14 00:00:00 XLK 300 @ 204.880004882812&amp;quot;&#10;## [1] &amp;quot;2024-02-14 00:00:00 XLK 300 @ 204.880004882812&amp;quot;&#10;## [1] &amp;quot;2024-02-23 00:00:00 XLK -300 @ 205.289993286133&amp;quot;&#10;## [1] &amp;quot;2024-02-23 00:00:00 XLK -300 @ 205.289993286133&amp;quot;&#10;## [1] &amp;quot;2024-03-06 00:00:00 XLK 300 @ 207.210006713867&amp;quot;&#10;## [1] &amp;quot;2024-03-06 00:00:00 XLK 300 @ 207.210006713867&amp;quot;&#10;## [1] &amp;quot;2024-03-08 00:00:00 XLK -300 @ 207.350006103516&amp;quot;&#10;## [1] &amp;quot;2024-03-08 00:00:00 XLK -300 @ 207.350006103516&amp;quot;&#10;## [1] &amp;quot;2024-03-18 00:00:00 XLK 300 @ 206.300003051758&amp;quot;&#10;## [1] &amp;quot;2024-03-18 00:00:00 XLK 300 @ 206.300003051758&amp;quot;&#10;## [1] &amp;quot;2024-03-21 00:00:00 XLK -300 @ 209.839996337891&amp;quot;&#10;## [1] &amp;quot;2024-03-21 00:00:00 XLK -300 @ 209.839996337891&amp;quot;&#10;## [1] &amp;quot;2024-03-26 00:00:00 XLK 300 @ 207.660003662109&amp;quot;&#10;## [1] &amp;quot;2024-03-26 00:00:00 XLK 300 @ 207.660003662109&amp;quot;&#10;## [1] &amp;quot;2024-04-10 00:00:00 XLK -300 @ 204.710006713867&amp;quot;&#10;## [1] &amp;quot;2024-04-10 00:00:00 XLK -300 @ 204.710006713867&amp;quot;&#10;## [1] &amp;quot;2024-04-11 00:00:00 XLK 300 @ 208.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-04-11 00:00:00 XLK 300 @ 208.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-04-12 00:00:00 XLK -300 @ 205.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-04-12 00:00:00 XLK -300 @ 205.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-04-16 00:00:00 XLK 300 @ 201.759994506836&amp;quot;&#10;## [1] &amp;quot;2024-04-16 00:00:00 XLK 300 @ 201.759994506836&amp;quot;&#10;## [1] &amp;quot;2024-04-24 00:00:00 XLK -300 @ 198.029998779297&amp;quot;&#10;## [1] &amp;quot;2024-04-24 00:00:00 XLK -300 @ 198.029998779297&amp;quot;&#10;## [1] &amp;quot;2024-05-01 00:00:00 XLK 300 @ 194.259994506836&amp;quot;&#10;## [1] &amp;quot;2024-05-01 00:00:00 XLK 300 @ 194.259994506836&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLK -300 @ 204.929992675781&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLK -300 @ 204.929992675781&amp;quot;&#10;## [1] &amp;quot;2024-05-24 00:00:00 XLK 300 @ 215.190002441406&amp;quot;&#10;## [1] &amp;quot;2024-05-24 00:00:00 XLK 300 @ 215.190002441406&amp;quot;&#10;## [1] &amp;quot;2024-05-28 00:00:00 XLK -300 @ 216.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-05-28 00:00:00 XLK -300 @ 216.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-05-31 00:00:00 XLK 300 @ 210.160003662109&amp;quot;&#10;## [1] &amp;quot;2024-05-31 00:00:00 XLK 300 @ 210.160003662109&amp;quot;&#10;## [1] &amp;quot;2024-06-06 00:00:00 XLK -300 @ 215.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-06-06 00:00:00 XLK -300 @ 215.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-06-24 00:00:00 XLK 300 @ 222.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-06-24 00:00:00 XLK 300 @ 222.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-07-02 00:00:00 XLK -300 @ 229.080001831055&amp;quot;&#10;## [1] &amp;quot;2024-07-02 00:00:00 XLK -300 @ 229.080001831055&amp;quot;&#10;## [1] &amp;quot;2024-07-12 00:00:00 XLK 300 @ 233.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-07-12 00:00:00 XLK 300 @ 233.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-08-01 00:00:00 XLK -300 @ 210.639999389648&amp;quot;&#10;## [1] &amp;quot;2024-08-01 00:00:00 XLK -300 @ 210.639999389648&amp;quot;&#10;## [1] &amp;quot;2024-08-05 00:00:00 XLK 300 @ 197.899993896484&amp;quot;&#10;## [1] &amp;quot;2024-08-05 00:00:00 XLK 300 @ 197.899993896484&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLK -300 @ 205.630004882812&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLK -300 @ 205.630004882812&amp;quot;&#10;## [1] &amp;quot;2024-08-23 00:00:00 XLK 300 @ 223.960006713867&amp;quot;&#10;## [1] &amp;quot;2024-08-23 00:00:00 XLK 300 @ 223.960006713867&amp;quot;&#10;## [1] &amp;quot;2024-09-11 00:00:00 XLK -300 @ 217.539993286133&amp;quot;&#10;## [1] &amp;quot;2024-09-11 00:00:00 XLK -300 @ 217.539993286133&amp;quot;&#10;## [1] &amp;quot;2024-09-19 00:00:00 XLK 300 @ 223.619995117188&amp;quot;&#10;## [1] &amp;quot;2024-09-19 00:00:00 XLK 300 @ 223.619995117188&amp;quot;&#10;## [1] &amp;quot;2024-09-20 00:00:00 XLK -300 @ 222.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-09-20 00:00:00 XLK -300 @ 222.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLK 300 @ 221.889999389648&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLK 300 @ 221.889999389648&amp;quot;&#10;## [1] &amp;quot;2024-10-07 00:00:00 XLK -300 @ 223.740005493164&amp;quot;&#10;## [1] &amp;quot;2024-10-07 00:00:00 XLK -300 @ 223.740005493164&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLK 300 @ 229.389999389648&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLK 300 @ 229.389999389648&amp;quot;&#10;## [1] &amp;quot;2024-10-21 00:00:00 XLK -300 @ 231.990005493164&amp;quot;&#10;## [1] &amp;quot;2024-10-21 00:00:00 XLK -300 @ 231.990005493164&amp;quot;&#10;## [1] &amp;quot;2024-10-24 00:00:00 XLK 300 @ 229.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-10-24 00:00:00 XLK 300 @ 229.100006103516&amp;quot;&#10;## [1] &amp;quot;2024-10-30 00:00:00 XLK -300 @ 229.610000610352&amp;quot;&#10;## [1] &amp;quot;2024-10-30 00:00:00 XLK -300 @ 229.610000610352&amp;quot;&#10;## [1] &amp;quot;2024-11-01 00:00:00 XLK 300 @ 223.910003662109&amp;quot;&#10;## [1] &amp;quot;2024-11-01 00:00:00 XLK 300 @ 223.910003662109&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLK -300 @ 233.350006103516&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLK -300 @ 233.350006103516&amp;quot;&#10;## [1] &amp;quot;2024-11-15 00:00:00 XLK 300 @ 228.710006713867&amp;quot;&#10;## [1] &amp;quot;2024-11-15 00:00:00 XLK 300 @ 228.710006713867&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLK -300 @ 233.600006103516&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLK -300 @ 233.600006103516&amp;quot;&#10;## [1] &amp;quot;2024-11-29 00:00:00 XLK 300 @ 233.729995727539&amp;quot;&#10;## [1] &amp;quot;2024-11-29 00:00:00 XLK 300 @ 233.729995727539&amp;quot;&#10;## [1] &amp;quot;2024-12-03 00:00:00 XLK -300 @ 236.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-12-03 00:00:00 XLK -300 @ 236.800003051758&amp;quot;&#10;## [1] &amp;quot;2024-12-11 00:00:00 XLK 300 @ 239.369995117188&amp;quot;&#10;## [1] &amp;quot;2024-12-11 00:00:00 XLK 300 @ 239.369995117188&amp;quot;&#10;## [1] &amp;quot;2024-12-17 00:00:00 XLK -300 @ 239.979995727539&amp;quot;&#10;## [1] &amp;quot;2024-12-17 00:00:00 XLK -300 @ 239.979995727539&amp;quot;&#10;## [1] &amp;quot;2024-12-19 00:00:00 XLK 300 @ 232.490005493164&amp;quot;&#10;## [1] &amp;quot;2024-12-19 00:00:00 XLK 300 @ 232.490005493164&amp;quot;&#10;## [1] &amp;quot;2024-12-24 00:00:00 XLK -300 @ 240.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-12-24 00:00:00 XLK -300 @ 240.529998779297&amp;quot;&#10;## [1] &amp;quot;2024-12-30 00:00:00 XLK 300 @ 234.470001220703&amp;quot;&#10;## [1] &amp;quot;2024-12-30 00:00:00 XLK 300 @ 234.470001220703&amp;quot;&#10;## [1] &amp;quot;2025-01-06 00:00:00 XLK -300 @ 238.75&amp;quot;&#10;## [1] &amp;quot;2025-01-06 00:00:00 XLK -300 @ 238.75&amp;quot;&#10;## [1] &amp;quot;2025-01-13 00:00:00 XLK 300 @ 227.160003662109&amp;quot;&#10;## [1] &amp;quot;2025-01-13 00:00:00 XLK 300 @ 227.160003662109&amp;quot;&#10;## [1] &amp;quot;2025-01-16 00:00:00 XLK -300 @ 230.5&amp;quot;&#10;## [1] &amp;quot;2025-01-16 00:00:00 XLK -300 @ 230.5&amp;quot;&#10;## [1] &amp;quot;2025-01-28 00:00:00 XLK 300 @ 233.639999389648&amp;quot;&#10;## [1] &amp;quot;2025-01-28 00:00:00 XLK 300 @ 233.639999389648&amp;quot;&#10;## [1] &amp;quot;2025-02-06 00:00:00 XLK -300 @ 234.830001831055&amp;quot;&#10;## [1] &amp;quot;2025-02-06 00:00:00 XLK -300 @ 234.830001831055&amp;quot;&#10;## [1] &amp;quot;2025-02-24 00:00:00 XLK 300 @ 231.509994506836&amp;quot;&#10;## [1] &amp;quot;2025-02-24 00:00:00 XLK 300 @ 231.509994506836&amp;quot;&#10;## [1] &amp;quot;2025-03-17 00:00:00 XLK -300 @ 215.429992675781&amp;quot;&#10;## [1] &amp;quot;2025-03-17 00:00:00 XLK -300 @ 215.429992675781&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLK 300 @ 211.509994506836&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLK 300 @ 211.509994506836&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLK -300 @ 195.229995727539&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLK -300 @ 195.229995727539&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLK 300 @ 182.369995117188&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLK 300 @ 182.369995117188&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLK -300 @ 194.369995117188&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLK -300 @ 194.369995117188&amp;quot;&#10;## [1] &amp;quot;2025-04-17 00:00:00 XLK 300 @ 192.860000610352&amp;quot;&#10;## [1] &amp;quot;2025-04-17 00:00:00 XLK 300 @ 192.860000610352&amp;quot;&#10;## [1] &amp;quot;2025-04-24 00:00:00 XLK -300 @ 205.429992675781&amp;quot;&#10;## [1] &amp;quot;2025-04-24 00:00:00 XLK -300 @ 205.429992675781&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLK 300 @ 229.339996337891&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLK 300 @ 229.339996337891&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLK -300 @ 231.240005493164&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLK -300 @ 231.240005493164&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLK 300 @ 243.039993286133&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLK 300 @ 243.039993286133&amp;quot;&#10;## [1] &amp;quot;2025-06-17 00:00:00 XLK -300 @ 241.320007324219&amp;quot;&#10;## [1] &amp;quot;2025-06-17 00:00:00 XLK -300 @ 241.320007324219&amp;quot;&#10;## [1] &amp;quot;2025-06-23 00:00:00 XLK 300 @ 242.880004882812&amp;quot;&#10;## [1] &amp;quot;2025-06-23 00:00:00 XLK 300 @ 242.880004882812&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLK -300 @ 247.240005493164&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLK -300 @ 247.240005493164&amp;quot;&#10;## [1] &amp;quot;1998-12-30 00:00:00 XLP -300 @ 27.359375&amp;quot;&#10;## [1] &amp;quot;1999-01-05 00:00:00 XLP 300 @ 27.140625&amp;quot;&#10;## [1] &amp;quot;1999-01-05 00:00:00 XLP 300 @ 27.140625&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLP -300 @ 27.15625&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLP -300 @ 27.15625&amp;quot;&#10;## [1] &amp;quot;1999-01-11 00:00:00 XLP 300 @ 26.5&amp;quot;&#10;## [1] &amp;quot;1999-01-11 00:00:00 XLP 300 @ 26.5&amp;quot;&#10;## [1] &amp;quot;1999-01-27 00:00:00 XLP -300 @ 26.265625&amp;quot;&#10;## [1] &amp;quot;1999-01-27 00:00:00 XLP -300 @ 26.265625&amp;quot;&#10;## [1] &amp;quot;1999-02-08 00:00:00 XLP 300 @ 26.234375&amp;quot;&#10;## [1] &amp;quot;1999-02-08 00:00:00 XLP 300 @ 26.234375&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLP -300 @ 26.171875&amp;quot;&#10;## [1] &amp;quot;1999-02-12 00:00:00 XLP -300 @ 26.171875&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLP 300 @ 26.515625&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLP 300 @ 26.515625&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLP -300 @ 27.078125&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLP -300 @ 27.078125&amp;quot;&#10;## [1] &amp;quot;1999-03-11 00:00:00 XLP 300 @ 27.203125&amp;quot;&#10;## [1] &amp;quot;1999-03-11 00:00:00 XLP 300 @ 27.203125&amp;quot;&#10;## [1] &amp;quot;1999-03-15 00:00:00 XLP -300 @ 27.671875&amp;quot;&#10;## [1] &amp;quot;1999-03-15 00:00:00 XLP -300 @ 27.671875&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLP 300 @ 27.796875&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLP 300 @ 27.796875&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLP -300 @ 27.03125&amp;quot;&#10;## [1] &amp;quot;1999-03-30 00:00:00 XLP -300 @ 27.03125&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLP 300 @ 26.484375&amp;quot;&#10;## [1] &amp;quot;1999-04-01 00:00:00 XLP 300 @ 26.484375&amp;quot;&#10;## [1] &amp;quot;1999-04-09 00:00:00 XLP -300 @ 26.96875&amp;quot;&#10;## [1] &amp;quot;1999-04-09 00:00:00 XLP -300 @ 26.96875&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLP 300 @ 26.03125&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLP 300 @ 26.03125&amp;quot;&#10;## [1] &amp;quot;1999-04-22 00:00:00 XLP -300 @ 26.65625&amp;quot;&#10;## [1] &amp;quot;1999-04-22 00:00:00 XLP -300 @ 26.65625&amp;quot;&#10;## [1] &amp;quot;1999-04-29 00:00:00 XLP 300 @ 25.859375&amp;quot;&#10;## [1] &amp;quot;1999-04-29 00:00:00 XLP 300 @ 25.859375&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLP -300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLP -300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLP 300 @ 25.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLP 300 @ 25.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-21 00:00:00 XLP -300 @ 25.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-21 00:00:00 XLP -300 @ 25.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-25 00:00:00 XLP 300 @ 25&amp;quot;&#10;## [1] &amp;quot;1999-05-25 00:00:00 XLP 300 @ 25&amp;quot;&#10;## [1] &amp;quot;1999-06-01 00:00:00 XLP -300 @ 25.34375&amp;quot;&#10;## [1] &amp;quot;1999-06-01 00:00:00 XLP -300 @ 25.34375&amp;quot;&#10;## [1] &amp;quot;1999-06-03 00:00:00 XLP 300 @ 25.1875&amp;quot;&#10;## [1] &amp;quot;1999-06-03 00:00:00 XLP 300 @ 25.1875&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLP -300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLP -300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;1999-06-10 00:00:00 XLP 300 @ 24.875&amp;quot;&#10;## [1] &amp;quot;1999-06-10 00:00:00 XLP 300 @ 24.875&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLP -300 @ 25.15625&amp;quot;&#10;## [1] &amp;quot;1999-06-17 00:00:00 XLP -300 @ 25.15625&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLP 300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLP 300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-06-30 00:00:00 XLP -300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;1999-06-30 00:00:00 XLP -300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;1999-07-09 00:00:00 XLP 300 @ 25.671875&amp;quot;&#10;## [1] &amp;quot;1999-07-09 00:00:00 XLP 300 @ 25.671875&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLP -300 @ 25.875&amp;quot;&#10;## [1] &amp;quot;1999-07-16 00:00:00 XLP -300 @ 25.875&amp;quot;&#10;## [1] &amp;quot;1999-07-20 00:00:00 XLP 300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;1999-07-20 00:00:00 XLP 300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;1999-08-13 00:00:00 XLP -300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;1999-08-13 00:00:00 XLP -300 @ 24.25&amp;quot;&#10;## [1] &amp;quot;1999-08-19 00:00:00 XLP 300 @ 24.328125&amp;quot;&#10;## [1] &amp;quot;1999-08-19 00:00:00 XLP 300 @ 24.328125&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLP -300 @ 25.359375&amp;quot;&#10;## [1] &amp;quot;1999-08-23 00:00:00 XLP -300 @ 25.359375&amp;quot;&#10;## [1] &amp;quot;1999-09-01 00:00:00 XLP 300 @ 24.96875&amp;quot;&#10;## [1] &amp;quot;1999-09-01 00:00:00 XLP 300 @ 24.96875&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLP -300 @ 25.1875&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLP -300 @ 25.1875&amp;quot;&#10;## [1] &amp;quot;1999-09-10 00:00:00 XLP 300 @ 24.875&amp;quot;&#10;## [1] &amp;quot;1999-09-10 00:00:00 XLP 300 @ 24.875&amp;quot;&#10;## [1] &amp;quot;1999-10-04 00:00:00 XLP -300 @ 23.390625&amp;quot;&#10;## [1] &amp;quot;1999-10-04 00:00:00 XLP -300 @ 23.390625&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLP 300 @ 23.625&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLP 300 @ 23.625&amp;quot;&#10;## [1] &amp;quot;1999-10-20 00:00:00 XLP -300 @ 24.265625&amp;quot;&#10;## [1] &amp;quot;1999-10-20 00:00:00 XLP -300 @ 24.265625&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLP 300 @ 24.296875&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLP 300 @ 24.296875&amp;quot;&#10;## [1] &amp;quot;1999-10-29 00:00:00 XLP -300 @ 24.828125&amp;quot;&#10;## [1] &amp;quot;1999-10-29 00:00:00 XLP -300 @ 24.828125&amp;quot;&#10;## [1] &amp;quot;1999-11-03 00:00:00 XLP 300 @ 25.015625&amp;quot;&#10;## [1] &amp;quot;1999-11-03 00:00:00 XLP 300 @ 25.015625&amp;quot;&#10;## [1] &amp;quot;1999-11-04 00:00:00 XLP -300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-11-04 00:00:00 XLP -300 @ 24.90625&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLP 300 @ 24.640625&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLP 300 @ 24.640625&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLP -300 @ 24.703125&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLP -300 @ 24.703125&amp;quot;&#10;## [1] &amp;quot;1999-12-01 00:00:00 XLP 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-12-01 00:00:00 XLP 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLP -300 @ 24.390625&amp;quot;&#10;## [1] &amp;quot;1999-12-06 00:00:00 XLP -300 @ 24.390625&amp;quot;&#10;## [1] &amp;quot;1999-12-07 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;1999-12-07 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLP -300 @ 23&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLP -300 @ 23&amp;quot;&#10;## [1] &amp;quot;1999-12-17 00:00:00 XLP 300 @ 23&amp;quot;&#10;## [1] &amp;quot;1999-12-17 00:00:00 XLP 300 @ 23&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLP -300 @ 23.46875&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLP -300 @ 23.46875&amp;quot;&#10;## [1] &amp;quot;1999-12-30 00:00:00 XLP 300 @ 23.015625&amp;quot;&#10;## [1] &amp;quot;1999-12-30 00:00:00 XLP 300 @ 23.015625&amp;quot;&#10;## [1] &amp;quot;2000-01-07 00:00:00 XLP -300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;2000-01-07 00:00:00 XLP -300 @ 24.375&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLP 300 @ 23.921875&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLP 300 @ 23.921875&amp;quot;&#10;## [1] &amp;quot;2000-01-28 00:00:00 XLP -300 @ 22.8125&amp;quot;&#10;## [1] &amp;quot;2000-01-28 00:00:00 XLP -300 @ 22.8125&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLP 300 @ 22.71875&amp;quot;&#10;## [1] &amp;quot;2000-02-04 00:00:00 XLP 300 @ 22.71875&amp;quot;&#10;## [1] &amp;quot;2000-02-09 00:00:00 XLP -300 @ 22.765625&amp;quot;&#10;## [1] &amp;quot;2000-02-09 00:00:00 XLP -300 @ 22.765625&amp;quot;&#10;## [1] &amp;quot;2000-02-11 00:00:00 XLP 300 @ 21.578125&amp;quot;&#10;## [1] &amp;quot;2000-02-11 00:00:00 XLP 300 @ 21.578125&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLP -300 @ 21.859375&amp;quot;&#10;## [1] &amp;quot;2000-02-16 00:00:00 XLP -300 @ 21.859375&amp;quot;&#10;## [1] &amp;quot;2000-02-18 00:00:00 XLP 300 @ 21.28125&amp;quot;&#10;## [1] &amp;quot;2000-02-18 00:00:00 XLP 300 @ 21.28125&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLP -300 @ 19.578125&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLP -300 @ 19.578125&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLP 300 @ 19.15625&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLP 300 @ 19.15625&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLP -300 @ 21.25&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLP -300 @ 21.25&amp;quot;&#10;## [1] &amp;quot;2000-03-27 00:00:00 XLP 300 @ 20.3125&amp;quot;&#10;## [1] &amp;quot;2000-03-27 00:00:00 XLP 300 @ 20.3125&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLP -300 @ 21.328125&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLP -300 @ 21.328125&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLP 300 @ 22.359375&amp;quot;&#10;## [1] &amp;quot;2000-04-10 00:00:00 XLP 300 @ 22.359375&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLP -300 @ 23.015625&amp;quot;&#10;## [1] &amp;quot;2000-04-12 00:00:00 XLP -300 @ 23.015625&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLP 300 @ 22.359375&amp;quot;&#10;## [1] &amp;quot;2000-04-17 00:00:00 XLP 300 @ 22.359375&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLP -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLP -300 @ 22.75&amp;quot;&#10;## [1] &amp;quot;2000-05-01 00:00:00 XLP 300 @ 22.625&amp;quot;&#10;## [1] &amp;quot;2000-05-01 00:00:00 XLP 300 @ 22.625&amp;quot;&#10;## [1] &amp;quot;2000-05-08 00:00:00 XLP -300 @ 23.703125&amp;quot;&#10;## [1] &amp;quot;2000-05-08 00:00:00 XLP -300 @ 23.703125&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLP 300 @ 23.890625&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLP 300 @ 23.890625&amp;quot;&#10;## [1] &amp;quot;2000-05-16 00:00:00 XLP -300 @ 23.78125&amp;quot;&#10;## [1] &amp;quot;2000-05-16 00:00:00 XLP -300 @ 23.78125&amp;quot;&#10;## [1] &amp;quot;2000-05-24 00:00:00 XLP 300 @ 24.296875&amp;quot;&#10;## [1] &amp;quot;2000-05-24 00:00:00 XLP 300 @ 24.296875&amp;quot;&#10;## [1] &amp;quot;2000-05-25 00:00:00 XLP -300 @ 24.234375&amp;quot;&#10;## [1] &amp;quot;2000-05-25 00:00:00 XLP -300 @ 24.234375&amp;quot;&#10;## [1] &amp;quot;2000-06-01 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;2000-06-01 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;2000-06-08 00:00:00 XLP -300 @ 23.46875&amp;quot;&#10;## [1] &amp;quot;2000-06-08 00:00:00 XLP -300 @ 23.46875&amp;quot;&#10;## [1] &amp;quot;2000-06-21 00:00:00 XLP 300 @ 24.3125&amp;quot;&#10;## [1] &amp;quot;2000-06-21 00:00:00 XLP 300 @ 24.3125&amp;quot;&#10;## [1] &amp;quot;2000-06-27 00:00:00 XLP -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2000-06-27 00:00:00 XLP -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2000-07-10 00:00:00 XLP 300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;2000-07-10 00:00:00 XLP 300 @ 25.4375&amp;quot;&#10;## [1] &amp;quot;2000-07-11 00:00:00 XLP -300 @ 25.453125&amp;quot;&#10;## [1] &amp;quot;2000-07-11 00:00:00 XLP -300 @ 25.453125&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLP 300 @ 24.5625&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLP 300 @ 24.5625&amp;quot;&#10;## [1] &amp;quot;2000-07-25 00:00:00 XLP -300 @ 24.1875&amp;quot;&#10;## [1] &amp;quot;2000-07-25 00:00:00 XLP -300 @ 24.1875&amp;quot;&#10;## [1] &amp;quot;2000-08-08 00:00:00 XLP 300 @ 24.859375&amp;quot;&#10;## [1] &amp;quot;2000-08-08 00:00:00 XLP 300 @ 24.859375&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLP -300 @ 24.578125&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLP -300 @ 24.578125&amp;quot;&#10;## [1] &amp;quot;2000-08-21 00:00:00 XLP 300 @ 24.53125&amp;quot;&#10;## [1] &amp;quot;2000-08-21 00:00:00 XLP 300 @ 24.53125&amp;quot;&#10;## [1] &amp;quot;2000-08-24 00:00:00 XLP -300 @ 24.4375&amp;quot;&#10;## [1] &amp;quot;2000-08-24 00:00:00 XLP -300 @ 24.4375&amp;quot;&#10;## [1] &amp;quot;2000-08-30 00:00:00 XLP 300 @ 23.96875&amp;quot;&#10;## [1] &amp;quot;2000-08-30 00:00:00 XLP 300 @ 23.96875&amp;quot;&#10;## [1] &amp;quot;2000-09-12 00:00:00 XLP -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2000-09-12 00:00:00 XLP -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2000-09-15 00:00:00 XLP 300 @ 23.625&amp;quot;&#10;## [1] &amp;quot;2000-09-15 00:00:00 XLP 300 @ 23.625&amp;quot;&#10;## [1] &amp;quot;2000-09-22 00:00:00 XLP -300 @ 24.9375&amp;quot;&#10;## [1] &amp;quot;2000-09-22 00:00:00 XLP -300 @ 24.9375&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLP 300 @ 25.3125&amp;quot;&#10;## [1] &amp;quot;2000-10-05 00:00:00 XLP 300 @ 25.3125&amp;quot;&#10;## [1] &amp;quot;2000-10-06 00:00:00 XLP -300 @ 25.171875&amp;quot;&#10;## [1] &amp;quot;2000-10-06 00:00:00 XLP -300 @ 25.171875&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLP 300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;2000-10-16 00:00:00 XLP 300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;2000-10-17 00:00:00 XLP -300 @ 25.8125&amp;quot;&#10;## [1] &amp;quot;2000-10-17 00:00:00 XLP -300 @ 25.8125&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLP 300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;2000-10-20 00:00:00 XLP 300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;2000-10-24 00:00:00 XLP -300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;2000-10-24 00:00:00 XLP -300 @ 25.84375&amp;quot;&#10;## [1] &amp;quot;2000-11-03 00:00:00 XLP 300 @ 26.34375&amp;quot;&#10;## [1] &amp;quot;2000-11-03 00:00:00 XLP 300 @ 26.34375&amp;quot;&#10;## [1] &amp;quot;2000-11-07 00:00:00 XLP -300 @ 26.578125&amp;quot;&#10;## [1] &amp;quot;2000-11-07 00:00:00 XLP -300 @ 26.578125&amp;quot;&#10;## [1] &amp;quot;2000-11-14 00:00:00 XLP 300 @ 26.875&amp;quot;&#10;## [1] &amp;quot;2000-11-14 00:00:00 XLP 300 @ 26.875&amp;quot;&#10;## [1] &amp;quot;2000-11-22 00:00:00 XLP -300 @ 27.28125&amp;quot;&#10;## [1] &amp;quot;2000-11-22 00:00:00 XLP -300 @ 27.28125&amp;quot;&#10;## [1] &amp;quot;2000-11-27 00:00:00 XLP 300 @ 27.546875&amp;quot;&#10;## [1] &amp;quot;2000-11-27 00:00:00 XLP 300 @ 27.546875&amp;quot;&#10;## [1] &amp;quot;2000-11-28 00:00:00 XLP -300 @ 27.84375&amp;quot;&#10;## [1] &amp;quot;2000-11-28 00:00:00 XLP -300 @ 27.84375&amp;quot;&#10;## [1] &amp;quot;2000-12-04 00:00:00 XLP 300 @ 27.75&amp;quot;&#10;## [1] &amp;quot;2000-12-04 00:00:00 XLP 300 @ 27.75&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLP -300 @ 27.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLP -300 @ 27.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLP 300 @ 28.046875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLP 300 @ 28.046875&amp;quot;&#10;## [1] &amp;quot;2000-12-27 00:00:00 XLP -300 @ 28.234375&amp;quot;&#10;## [1] &amp;quot;2000-12-27 00:00:00 XLP -300 @ 28.234375&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLP 300 @ 26.890625&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLP 300 @ 26.890625&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLP -300 @ 26.046875&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLP -300 @ 26.046875&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLP 300 @ 26.4099998474121&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLP 300 @ 26.4099998474121&amp;quot;&#10;## [1] &amp;quot;2001-02-01 00:00:00 XLP -300 @ 26.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-02-01 00:00:00 XLP -300 @ 26.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLP 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-02-15 00:00:00 XLP 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2001-03-01 00:00:00 XLP -300 @ 26.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-01 00:00:00 XLP -300 @ 26.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-02 00:00:00 XLP 300 @ 26.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-02 00:00:00 XLP 300 @ 26.6399993896484&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLP -300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLP -300 @ 24.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-04-03 00:00:00 XLP 300 @ 23.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-04-03 00:00:00 XLP 300 @ 23.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLP -300 @ 24.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLP -300 @ 24.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-04-12 00:00:00 XLP 300 @ 24.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-04-12 00:00:00 XLP 300 @ 24.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-04-18 00:00:00 XLP -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2001-04-18 00:00:00 XLP -300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2001-04-23 00:00:00 XLP 300 @ 24.5&amp;quot;&#10;## [1] &amp;quot;2001-04-23 00:00:00 XLP 300 @ 24.5&amp;quot;&#10;## [1] &amp;quot;2001-04-26 00:00:00 XLP -300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2001-04-26 00:00:00 XLP -300 @ 24.9200000762939&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLP 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLP 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-05-17 00:00:00 XLP -300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-05-17 00:00:00 XLP -300 @ 26.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-05-23 00:00:00 XLP 300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;2001-05-23 00:00:00 XLP 300 @ 25.5&amp;quot;&#10;## [1] &amp;quot;2001-05-31 00:00:00 XLP -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-05-31 00:00:00 XLP -300 @ 25.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLP 300 @ 25.7700004577637&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLP 300 @ 25.7700004577637&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLP -300 @ 25.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLP -300 @ 25.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-06-25 00:00:00 XLP 300 @ 24.9899997711182&amp;quot;&#10;## [1] &amp;quot;2001-06-25 00:00:00 XLP 300 @ 24.9899997711182&amp;quot;&#10;## [1] &amp;quot;2001-07-18 00:00:00 XLP -300 @ 25.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-07-18 00:00:00 XLP -300 @ 25.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-07-25 00:00:00 XLP 300 @ 24.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-07-25 00:00:00 XLP 300 @ 24.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-07-31 00:00:00 XLP -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2001-07-31 00:00:00 XLP -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2001-08-03 00:00:00 XLP 300 @ 25.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-08-03 00:00:00 XLP 300 @ 25.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-08-06 00:00:00 XLP -300 @ 24.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-08-06 00:00:00 XLP -300 @ 24.9500007629395&amp;quot;&#10;## [1] &amp;quot;2001-08-09 00:00:00 XLP 300 @ 24.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-08-09 00:00:00 XLP 300 @ 24.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-08-13 00:00:00 XLP -300 @ 25.2900009155273&amp;quot;&#10;## [1] &amp;quot;2001-08-13 00:00:00 XLP -300 @ 25.2900009155273&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLP 300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLP 300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLP -300 @ 25.2999992370605&amp;quot;&#10;## [1] &amp;quot;2001-09-06 00:00:00 XLP -300 @ 25.2999992370605&amp;quot;&#10;## [1] &amp;quot;2001-09-10 00:00:00 XLP 300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-09-10 00:00:00 XLP 300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-09-27 00:00:00 XLP -300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-09-27 00:00:00 XLP -300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLP 300 @ 25.2999992370605&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLP 300 @ 25.2999992370605&amp;quot;&#10;## [1] &amp;quot;2001-10-22 00:00:00 XLP -300 @ 25.8500003814697&amp;quot;&#10;## [1] &amp;quot;2001-10-22 00:00:00 XLP -300 @ 25.8500003814697&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLP 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLP 300 @ 25.1900005340576&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLP -300 @ 25.4400005340576&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLP -300 @ 25.4400005340576&amp;quot;&#10;## [1] &amp;quot;2001-11-09 00:00:00 XLP 300 @ 25.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-11-09 00:00:00 XLP 300 @ 25.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-11-19 00:00:00 XLP -300 @ 25.75&amp;quot;&#10;## [1] &amp;quot;2001-11-19 00:00:00 XLP -300 @ 25.75&amp;quot;&#10;## [1] &amp;quot;2001-11-28 00:00:00 XLP 300 @ 25.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-11-28 00:00:00 XLP 300 @ 25.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-12-18 00:00:00 XLP -300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2001-12-18 00:00:00 XLP -300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2001-12-31 00:00:00 XLP 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-12-31 00:00:00 XLP 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2002-01-14 00:00:00 XLP -300 @ 25.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-01-14 00:00:00 XLP -300 @ 25.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-01-17 00:00:00 XLP 300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2002-01-17 00:00:00 XLP 300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2002-01-23 00:00:00 XLP -300 @ 25.5200004577637&amp;quot;&#10;## [1] &amp;quot;2002-01-23 00:00:00 XLP -300 @ 25.5200004577637&amp;quot;&#10;## [1] &amp;quot;2002-01-25 00:00:00 XLP 300 @ 25.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-25 00:00:00 XLP 300 @ 25.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-02-01 00:00:00 XLP -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2002-02-01 00:00:00 XLP -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2002-02-05 00:00:00 XLP 300 @ 25.2700004577637&amp;quot;&#10;## [1] &amp;quot;2002-02-05 00:00:00 XLP 300 @ 25.2700004577637&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLP -300 @ 25.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-02-12 00:00:00 XLP -300 @ 25.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLP 300 @ 25.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-02-20 00:00:00 XLP 300 @ 25.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-02-21 00:00:00 XLP -300 @ 25.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-02-21 00:00:00 XLP -300 @ 25.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-03-06 00:00:00 XLP 300 @ 26.0100002288818&amp;quot;&#10;## [1] &amp;quot;2002-03-06 00:00:00 XLP 300 @ 26.0100002288818&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLP -300 @ 26.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-03-14 00:00:00 XLP -300 @ 26.0300006866455&amp;quot;&#10;## [1] &amp;quot;2002-03-21 00:00:00 XLP 300 @ 26.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-03-21 00:00:00 XLP 300 @ 26.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-04-11 00:00:00 XLP -300 @ 25.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-04-11 00:00:00 XLP -300 @ 25.5100002288818&amp;quot;&#10;## [1] &amp;quot;2002-04-18 00:00:00 XLP 300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2002-04-18 00:00:00 XLP 300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLP -300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2002-05-02 00:00:00 XLP -300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2002-05-06 00:00:00 XLP 300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-05-06 00:00:00 XLP 300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-05-14 00:00:00 XLP -300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2002-05-14 00:00:00 XLP -300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2002-05-16 00:00:00 XLP 300 @ 24.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-05-16 00:00:00 XLP 300 @ 24.8700008392334&amp;quot;&#10;## [1] &amp;quot;2002-05-20 00:00:00 XLP -300 @ 25.0400009155273&amp;quot;&#10;## [1] &amp;quot;2002-05-20 00:00:00 XLP -300 @ 25.0400009155273&amp;quot;&#10;## [1] &amp;quot;2002-05-22 00:00:00 XLP 300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-05-22 00:00:00 XLP 300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLP -300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-05-24 00:00:00 XLP -300 @ 24.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-05-28 00:00:00 XLP 300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2002-05-28 00:00:00 XLP 300 @ 24.75&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLP -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2002-06-18 00:00:00 XLP -300 @ 24&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLP 300 @ 22.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-06-21 00:00:00 XLP 300 @ 22.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLP -300 @ 22.4200000762939&amp;quot;&#10;## [1] &amp;quot;2002-07-08 00:00:00 XLP -300 @ 22.4200000762939&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLP 300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-07-10 00:00:00 XLP 300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2002-07-25 00:00:00 XLP -300 @ 20.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-07-25 00:00:00 XLP -300 @ 20.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-08-06 00:00:00 XLP 300 @ 20.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-08-06 00:00:00 XLP 300 @ 20.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-08-08 00:00:00 XLP -300 @ 21.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-08-08 00:00:00 XLP -300 @ 21.7600002288818&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLP 300 @ 21.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-08-26 00:00:00 XLP 300 @ 21.8400001525879&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLP -300 @ 21.5699996948242&amp;quot;&#10;## [1] &amp;quot;2002-09-10 00:00:00 XLP -300 @ 21.5699996948242&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLP 300 @ 21.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-09-13 00:00:00 XLP 300 @ 21.3700008392334&amp;quot;&#10;## [1] &amp;quot;2002-09-17 00:00:00 XLP -300 @ 21.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-09-17 00:00:00 XLP -300 @ 21.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-09-18 00:00:00 XLP 300 @ 21.1399993896484&amp;quot;&#10;## [1] &amp;quot;2002-09-18 00:00:00 XLP 300 @ 21.1399993896484&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLP -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2002-09-27 00:00:00 XLP -300 @ 20&amp;quot;&#10;## [1] &amp;quot;2002-09-30 00:00:00 XLP 300 @ 19.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-09-30 00:00:00 XLP 300 @ 19.7900009155273&amp;quot;&#10;## [1] &amp;quot;2002-10-02 00:00:00 XLP -300 @ 20.2700004577637&amp;quot;&#10;## [1] &amp;quot;2002-10-02 00:00:00 XLP -300 @ 20.2700004577637&amp;quot;&#10;## [1] &amp;quot;2002-10-07 00:00:00 XLP 300 @ 19.9599990844727&amp;quot;&#10;## [1] &amp;quot;2002-10-07 00:00:00 XLP 300 @ 19.9599990844727&amp;quot;&#10;## [1] &amp;quot;2002-10-09 00:00:00 XLP -300 @ 20.1200008392334&amp;quot;&#10;## [1] &amp;quot;2002-10-09 00:00:00 XLP -300 @ 20.1200008392334&amp;quot;&#10;## [1] &amp;quot;2002-10-25 00:00:00 XLP 300 @ 20.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-10-25 00:00:00 XLP 300 @ 20.8299999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-04 00:00:00 XLP -300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2002-11-04 00:00:00 XLP -300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2002-11-05 00:00:00 XLP 300 @ 20.5499992370605&amp;quot;&#10;## [1] &amp;quot;2002-11-05 00:00:00 XLP 300 @ 20.5499992370605&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLP -300 @ 20.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLP -300 @ 20.3299999237061&amp;quot;&#10;## [1] &amp;quot;2002-11-22 00:00:00 XLP 300 @ 20.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-11-22 00:00:00 XLP 300 @ 20.0900001525879&amp;quot;&#10;## [1] &amp;quot;2002-11-29 00:00:00 XLP -300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-11-29 00:00:00 XLP -300 @ 19.9899997711182&amp;quot;&#10;## [1] &amp;quot;2002-12-03 00:00:00 XLP 300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2002-12-03 00:00:00 XLP 300 @ 19.9500007629395&amp;quot;&#10;## [1] &amp;quot;2002-12-05 00:00:00 XLP -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-05 00:00:00 XLP -300 @ 20.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-12-13 00:00:00 XLP 300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2002-12-13 00:00:00 XLP 300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLP -300 @ 20.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-12-17 00:00:00 XLP -300 @ 20.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-12-18 00:00:00 XLP 300 @ 20.0400009155273&amp;quot;&#10;## [1] &amp;quot;2002-12-18 00:00:00 XLP 300 @ 20.0400009155273&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLP -300 @ 20.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLP -300 @ 20.2999992370605&amp;quot;&#10;## [1] &amp;quot;2003-01-09 00:00:00 XLP 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-01-09 00:00:00 XLP 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-01-13 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-01-13 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLP 300 @ 20.6200008392334&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLP 300 @ 20.6200008392334&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLP -300 @ 20.5&amp;quot;&#10;## [1] &amp;quot;2003-01-17 00:00:00 XLP -300 @ 20.5&amp;quot;&#10;## [1] &amp;quot;2003-01-22 00:00:00 XLP 300 @ 20.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-01-22 00:00:00 XLP 300 @ 20.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-02-04 00:00:00 XLP -300 @ 19.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-02-04 00:00:00 XLP -300 @ 19.3400001525879&amp;quot;&#10;## [1] &amp;quot;2003-02-07 00:00:00 XLP 300 @ 18.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-02-07 00:00:00 XLP 300 @ 18.9200000762939&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLP -300 @ 19.1800003051758&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLP -300 @ 19.1800003051758&amp;quot;&#10;## [1] &amp;quot;2003-02-21 00:00:00 XLP 300 @ 18.9500007629395&amp;quot;&#10;## [1] &amp;quot;2003-02-21 00:00:00 XLP 300 @ 18.9500007629395&amp;quot;&#10;## [1] &amp;quot;2003-03-13 00:00:00 XLP -300 @ 18.5400009155273&amp;quot;&#10;## [1] &amp;quot;2003-03-13 00:00:00 XLP -300 @ 18.5400009155273&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLP 300 @ 18.9799995422363&amp;quot;&#10;## [1] &amp;quot;2003-03-25 00:00:00 XLP 300 @ 18.9799995422363&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLP -300 @ 18.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-04-03 00:00:00 XLP -300 @ 18.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-04-17 00:00:00 XLP 300 @ 19.1000003814697&amp;quot;&#10;## [1] &amp;quot;2003-04-17 00:00:00 XLP 300 @ 19.1000003814697&amp;quot;&#10;## [1] &amp;quot;2003-04-23 00:00:00 XLP -300 @ 19.2600002288818&amp;quot;&#10;## [1] &amp;quot;2003-04-23 00:00:00 XLP -300 @ 19.2600002288818&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLP 300 @ 19.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-04-28 00:00:00 XLP 300 @ 19.1100006103516&amp;quot;&#10;## [1] &amp;quot;2003-04-30 00:00:00 XLP -300 @ 19.1200008392334&amp;quot;&#10;## [1] &amp;quot;2003-04-30 00:00:00 XLP -300 @ 19.1200008392334&amp;quot;&#10;## [1] &amp;quot;2003-05-15 00:00:00 XLP 300 @ 19.5100002288818&amp;quot;&#10;## [1] &amp;quot;2003-05-15 00:00:00 XLP 300 @ 19.5100002288818&amp;quot;&#10;## [1] &amp;quot;2003-05-22 00:00:00 XLP -300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2003-05-22 00:00:00 XLP -300 @ 19.7399997711182&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLP 300 @ 20.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-06-16 00:00:00 XLP 300 @ 20.7700004577637&amp;quot;&#10;## [1] &amp;quot;2003-06-17 00:00:00 XLP -300 @ 20.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-06-17 00:00:00 XLP -300 @ 20.6399993896484&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLP 300 @ 20.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLP 300 @ 20.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-02 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-10 00:00:00 XLP 300 @ 20.1599998474121&amp;quot;&#10;## [1] &amp;quot;2003-07-10 00:00:00 XLP 300 @ 20.1599998474121&amp;quot;&#10;## [1] &amp;quot;2003-07-16 00:00:00 XLP -300 @ 20.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-07-16 00:00:00 XLP -300 @ 20.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-07-17 00:00:00 XLP 300 @ 20.0799999237061&amp;quot;&#10;## [1] &amp;quot;2003-07-17 00:00:00 XLP 300 @ 20.0799999237061&amp;quot;&#10;## [1] &amp;quot;2003-07-23 00:00:00 XLP -300 @ 20.2099990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-23 00:00:00 XLP -300 @ 20.2099990844727&amp;quot;&#10;## [1] &amp;quot;2003-07-25 00:00:00 XLP 300 @ 20.2299995422363&amp;quot;&#10;## [1] &amp;quot;2003-07-25 00:00:00 XLP 300 @ 20.2299995422363&amp;quot;&#10;## [1] &amp;quot;2003-08-08 00:00:00 XLP -300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2003-08-08 00:00:00 XLP -300 @ 20.1800003051758&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLP 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-08-21 00:00:00 XLP 300 @ 20.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-08-28 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-08-28 00:00:00 XLP -300 @ 20.4599990844727&amp;quot;&#10;## [1] &amp;quot;2003-09-10 00:00:00 XLP 300 @ 20.4500007629395&amp;quot;&#10;## [1] 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21.1499996185303&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLP -300 @ 21.4400005340576&amp;quot;&#10;## [1] &amp;quot;2003-11-25 00:00:00 XLP -300 @ 21.4400005340576&amp;quot;&#10;## [1] &amp;quot;2003-12-03 00:00:00 XLP 300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-12-03 00:00:00 XLP 300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLP -300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2003-12-15 00:00:00 XLP -300 @ 21.2700004577637&amp;quot;&#10;## [1] &amp;quot;2004-01-05 00:00:00 XLP 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2004-01-05 00:00:00 XLP 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2004-01-15 00:00:00 XLP -300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-01-15 00:00:00 XLP -300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLP 300 @ 21.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLP 300 @ 21.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-01-22 00:00:00 XLP -300 @ 21.5400009155273&amp;quot;&#10;## [1] &amp;quot;2004-01-22 00:00:00 XLP -300 @ 21.5400009155273&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLP 300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-29 00:00:00 XLP 300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-30 00:00:00 XLP -300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2004-01-30 00:00:00 XLP -300 @ 21.7800006866455&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLP 300 @ 22.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLP 300 @ 22.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLP -300 @ 22.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLP -300 @ 22.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-03-11 00:00:00 XLP 300 @ 22.6200008392334&amp;quot;&#10;## [1] &amp;quot;2004-03-11 00:00:00 XLP 300 @ 22.6200008392334&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLP -300 @ 22.7000007629395&amp;quot;&#10;## [1] 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23.2199993133545&amp;quot;&#10;## [1] &amp;quot;2004-05-07 00:00:00 XLP 300 @ 22.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-05-07 00:00:00 XLP 300 @ 22.9400005340576&amp;quot;&#10;## [1] &amp;quot;2004-05-26 00:00:00 XLP -300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2004-05-26 00:00:00 XLP -300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLP 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2004-06-15 00:00:00 XLP 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2004-07-01 00:00:00 XLP -300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2004-07-01 00:00:00 XLP -300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2004-07-02 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2004-07-12 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-07-12 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-07-16 00:00:00 XLP 300 @ 22.8099994659424&amp;quot;&#10;## [1] &amp;quot;2004-07-16 00:00:00 XLP 300 @ 22.8099994659424&amp;quot;&#10;## [1] &amp;quot;2004-08-03 00:00:00 XLP -300 @ 22.0799999237061&amp;quot;&#10;## [1] &amp;quot;2004-08-03 00:00:00 XLP -300 @ 22.0799999237061&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLP 300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-06 00:00:00 XLP 300 @ 21.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-12 00:00:00 XLP -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2004-08-12 00:00:00 XLP -300 @ 21.9699993133545&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLP 300 @ 22.3400001525879&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLP 300 @ 22.3400001525879&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLP -300 @ 22.7000007629395&amp;quot;&#10;## [1] &amp;quot;2004-09-03 00:00:00 XLP -300 @ 22.7000007629395&amp;quot;&#10;## [1] &amp;quot;2004-09-09 00:00:00 XLP 300 @ 22.3700008392334&amp;quot;&#10;## [1] 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22.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-12-03 00:00:00 XLP -300 @ 22.8099994659424&amp;quot;&#10;## [1] &amp;quot;2004-12-03 00:00:00 XLP -300 @ 22.8099994659424&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLP 300 @ 22.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-12-08 00:00:00 XLP 300 @ 22.6100006103516&amp;quot;&#10;## [1] &amp;quot;2004-12-10 00:00:00 XLP -300 @ 22.9099998474121&amp;quot;&#10;## [1] &amp;quot;2004-12-10 00:00:00 XLP -300 @ 22.9099998474121&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLP 300 @ 22.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-12-20 00:00:00 XLP 300 @ 22.8400001525879&amp;quot;&#10;## [1] &amp;quot;2004-12-23 00:00:00 XLP -300 @ 23.0400009155273&amp;quot;&#10;## [1] &amp;quot;2004-12-23 00:00:00 XLP -300 @ 23.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-01-05 00:00:00 XLP 300 @ 22.8799991607666&amp;quot;&#10;## [1] &amp;quot;2005-01-05 00:00:00 XLP 300 @ 22.8799991607666&amp;quot;&#10;## [1] &amp;quot;2005-01-10 00:00:00 XLP -300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-01-10 00:00:00 XLP -300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2005-01-14 00:00:00 XLP 300 @ 23.1900005340576&amp;quot;&#10;## [1] &amp;quot;2005-01-14 00:00:00 XLP 300 @ 23.1900005340576&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLP -300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2005-01-19 00:00:00 XLP -300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2005-01-24 00:00:00 XLP 300 @ 23.0799999237061&amp;quot;&#10;## [1] &amp;quot;2005-01-24 00:00:00 XLP 300 @ 23.0799999237061&amp;quot;&#10;## [1] &amp;quot;2005-01-28 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-01-28 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLP 300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2005-02-10 00:00:00 XLP 300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2005-02-14 00:00:00 XLP -300 @ 23.5499992370605&amp;quot;&#10;## [1] 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23.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-04-15 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-04-15 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-05-03 00:00:00 XLP -300 @ 23.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-05-03 00:00:00 XLP -300 @ 23.0499992370605&amp;quot;&#10;## [1] &amp;quot;2005-05-13 00:00:00 XLP 300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-05-13 00:00:00 XLP 300 @ 22.8500003814697&amp;quot;&#10;## [1] &amp;quot;2005-05-18 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-05-18 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLP 300 @ 23.4599990844727&amp;quot;&#10;## [1] &amp;quot;2005-05-26 00:00:00 XLP 300 @ 23.4599990844727&amp;quot;&#10;## [1] &amp;quot;2005-06-02 00:00:00 XLP -300 @ 23.5300006866455&amp;quot;&#10;## [1] &amp;quot;2005-06-02 00:00:00 XLP -300 @ 23.5300006866455&amp;quot;&#10;## [1] &amp;quot;2005-06-06 00:00:00 XLP 300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2005-06-06 00:00:00 XLP 300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2005-06-14 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-06-14 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2005-06-17 00:00:00 XLP 300 @ 23.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-06-17 00:00:00 XLP 300 @ 23.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-06-29 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-06-29 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-07-01 00:00:00 XLP 300 @ 22.8299999237061&amp;quot;&#10;## [1] &amp;quot;2005-07-01 00:00:00 XLP 300 @ 22.8299999237061&amp;quot;&#10;## [1] &amp;quot;2005-07-06 00:00:00 XLP -300 @ 22.7399997711182&amp;quot;&#10;## [1] &amp;quot;2005-07-06 00:00:00 XLP -300 @ 22.7399997711182&amp;quot;&#10;## [1] &amp;quot;2005-07-07 00:00:00 XLP 300 @ 22.7000007629395&amp;quot;&#10;## [1] &amp;quot;2005-07-07 00:00:00 XLP 300 @ 22.7000007629395&amp;quot;&#10;## [1] &amp;quot;2005-07-11 00:00:00 XLP -300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2005-07-11 00:00:00 XLP -300 @ 23.1299991607666&amp;quot;&#10;## [1] &amp;quot;2005-07-20 00:00:00 XLP 300 @ 23.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-20 00:00:00 XLP 300 @ 23.2999992370605&amp;quot;&#10;## [1] &amp;quot;2005-07-27 00:00:00 XLP -300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-07-27 00:00:00 XLP -300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-08-02 00:00:00 XLP 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2005-08-02 00:00:00 XLP 300 @ 23.4400005340576&amp;quot;&#10;## [1] &amp;quot;2005-08-04 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-08-04 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2005-08-05 00:00:00 XLP 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2005-08-05 00:00:00 XLP 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2005-08-16 00:00:00 XLP -300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2005-08-16 00:00:00 XLP -300 @ 22.9599990844727&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLP 300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-08-17 00:00:00 XLP 300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2005-08-19 00:00:00 XLP -300 @ 23.1800003051758&amp;quot;&#10;## [1] &amp;quot;2005-08-19 00:00:00 XLP -300 @ 23.1800003051758&amp;quot;&#10;## [1] &amp;quot;2005-08-25 00:00:00 XLP 300 @ 23.0100002288818&amp;quot;&#10;## [1] &amp;quot;2005-08-25 00:00:00 XLP 300 @ 23.0100002288818&amp;quot;&#10;## [1] &amp;quot;2005-08-30 00:00:00 XLP -300 @ 22.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-08-30 00:00:00 XLP -300 @ 22.9899997711182&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLP 300 @ 23.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-09-14 00:00:00 XLP 300 @ 23.0400009155273&amp;quot;&#10;## [1] &amp;quot;2005-09-28 00:00:00 XLP -300 @ 22.9200000762939&amp;quot;&#10;## [1] &amp;quot;2005-09-28 00:00:00 XLP -300 @ 22.9200000762939&amp;quot;&#10;## [1] &amp;quot;2005-10-06 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-10-06 00:00:00 XLP 300 @ 22.8600006103516&amp;quot;&#10;## [1] &amp;quot;2005-10-18 00:00:00 XLP -300 @ 22.8299999237061&amp;quot;&#10;## [1] &amp;quot;2005-10-18 00:00:00 XLP -300 @ 22.8299999237061&amp;quot;&#10;## [1] &amp;quot;2005-10-28 00:00:00 XLP 300 @ 23.0799999237061&amp;quot;&#10;## [1] &amp;quot;2005-10-28 00:00:00 XLP 300 @ 23.0799999237061&amp;quot;&#10;## [1] &amp;quot;2005-10-31 00:00:00 XLP -300 @ 23.1700000762939&amp;quot;&#10;## [1] &amp;quot;2005-10-31 00:00:00 XLP -300 @ 23.1700000762939&amp;quot;&#10;## [1] &amp;quot;2005-11-16 00:00:00 XLP 300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2005-11-16 00:00:00 XLP 300 @ 23.3500003814697&amp;quot;&#10;## [1] &amp;quot;2005-11-21 00:00:00 XLP -300 @ 23.4300003051758&amp;quot;&#10;## [1] &amp;quot;2005-11-21 00:00:00 XLP -300 @ 23.4300003051758&amp;quot;&#10;## [1] &amp;quot;2005-11-30 00:00:00 XLP 300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-11-30 00:00:00 XLP 300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2005-12-13 00:00:00 XLP -300 @ 23.7000007629395&amp;quot;&#10;## [1] &amp;quot;2005-12-13 00:00:00 XLP -300 @ 23.7000007629395&amp;quot;&#10;## [1] &amp;quot;2005-12-21 00:00:00 XLP 300 @ 23.6900005340576&amp;quot;&#10;## [1] &amp;quot;2005-12-21 00:00:00 XLP 300 @ 23.6900005340576&amp;quot;&#10;## [1] &amp;quot;2006-01-05 00:00:00 XLP -300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2006-01-05 00:00:00 XLP -300 @ 23.3999996185303&amp;quot;&#10;## [1] &amp;quot;2006-01-13 00:00:00 XLP 300 @ 23.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-01-13 00:00:00 XLP 300 @ 23.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLP -300 @ 23.5300006866455&amp;quot;&#10;## [1] &amp;quot;2006-01-27 00:00:00 XLP -300 @ 23.5300006866455&amp;quot;&#10;## [1] &amp;quot;2006-02-01 00:00:00 XLP 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-02-01 00:00:00 XLP 300 @ 23.3899993896484&amp;quot;&#10;## [1] &amp;quot;2006-02-10 00:00:00 XLP -300 @ 23.2099990844727&amp;quot;&#10;## [1] &amp;quot;2006-02-10 00:00:00 XLP -300 @ 23.2099990844727&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLP 300 @ 23.6200008392334&amp;quot;&#10;## [1] &amp;quot;2006-03-01 00:00:00 XLP 300 @ 23.6200008392334&amp;quot;&#10;## [1] &amp;quot;2006-03-08 00:00:00 XLP -300 @ 23.8899993896484&amp;quot;&#10;## [1] &amp;quot;2006-03-08 00:00:00 XLP -300 @ 23.8899993896484&amp;quot;&#10;## [1] &amp;quot;2006-03-16 00:00:00 XLP 300 @ 24.1000003814697&amp;quot;&#10;## [1] &amp;quot;2006-03-16 00:00:00 XLP 300 @ 24.1000003814697&amp;quot;&#10;## [1] &amp;quot;2006-03-23 00:00:00 XLP -300 @ 23.9799995422363&amp;quot;&#10;## [1] &amp;quot;2006-03-23 00:00:00 XLP -300 @ 23.9799995422363&amp;quot;&#10;## [1] &amp;quot;2006-03-28 00:00:00 XLP 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-03-28 00:00:00 XLP 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLP -300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2006-04-19 00:00:00 XLP -300 @ 23.3799991607666&amp;quot;&#10;## [1] &amp;quot;2006-05-12 00:00:00 XLP 300 @ 23.6700000762939&amp;quot;&#10;## [1] &amp;quot;2006-05-12 00:00:00 XLP 300 @ 23.6700000762939&amp;quot;&#10;## [1] &amp;quot;2006-05-17 00:00:00 XLP -300 @ 23.7199993133545&amp;quot;&#10;## [1] &amp;quot;2006-05-17 00:00:00 XLP -300 @ 23.7199993133545&amp;quot;&#10;## [1] &amp;quot;2006-05-18 00:00:00 XLP 300 @ 23.6000003814697&amp;quot;&#10;## [1] &amp;quot;2006-05-18 00:00:00 XLP 300 @ 23.6000003814697&amp;quot;&#10;## [1] &amp;quot;2006-05-25 00:00:00 XLP -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2006-05-25 00:00:00 XLP -300 @ 24.0900001525879&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLP 300 @ 23.8799991607666&amp;quot;&#10;## [1] &amp;quot;2006-05-31 00:00:00 XLP 300 @ 23.8799991607666&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLP -300 @ 23.9599990844727&amp;quot;&#10;## [1] &amp;quot;2006-06-02 00:00:00 XLP -300 @ 23.9599990844727&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLP 300 @ 23.6900005340576&amp;quot;&#10;## [1] &amp;quot;2006-06-06 00:00:00 XLP 300 @ 23.6900005340576&amp;quot;&#10;## [1] &amp;quot;2006-06-12 00:00:00 XLP -300 @ 23.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-06-12 00:00:00 XLP -300 @ 23.6399993896484&amp;quot;&#10;## [1] &amp;quot;2006-06-13 00:00:00 XLP 300 @ 23.5599994659424&amp;quot;&#10;## [1] &amp;quot;2006-06-13 00:00:00 XLP 300 @ 23.5599994659424&amp;quot;&#10;## [1] &amp;quot;2006-06-16 00:00:00 XLP -300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2006-06-16 00:00:00 XLP -300 @ 23.75&amp;quot;&#10;## [1] &amp;quot;2006-06-20 00:00:00 XLP 300 @ 23.8299999237061&amp;quot;&#10;## [1] &amp;quot;2006-06-20 00:00:00 XLP 300 @ 23.8299999237061&amp;quot;&#10;## [1] 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25.4599990844727&amp;quot;&#10;## [1] &amp;quot;2006-09-22 00:00:00 XLP 300 @ 25.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-09-22 00:00:00 XLP 300 @ 25.4799995422363&amp;quot;&#10;## [1] &amp;quot;2006-09-28 00:00:00 XLP -300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-09-28 00:00:00 XLP -300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-10-02 00:00:00 XLP 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2006-10-02 00:00:00 XLP 300 @ 25.2099990844727&amp;quot;&#10;## [1] &amp;quot;2006-10-05 00:00:00 XLP -300 @ 25.4099998474121&amp;quot;&#10;## [1] &amp;quot;2006-10-05 00:00:00 XLP -300 @ 25.4099998474121&amp;quot;&#10;## [1] &amp;quot;2006-10-09 00:00:00 XLP 300 @ 25.3600006103516&amp;quot;&#10;## [1] &amp;quot;2006-10-09 00:00:00 XLP 300 @ 25.3600006103516&amp;quot;&#10;## [1] &amp;quot;2006-10-19 00:00:00 XLP -300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-10-19 00:00:00 XLP -300 @ 25.4500007629395&amp;quot;&#10;## [1] &amp;quot;2006-11-01 00:00:00 XLP 300 @ 25.6299991607666&amp;quot;&#10;## [1] &amp;quot;2006-11-01 00:00:00 XLP 300 @ 25.6299991607666&amp;quot;&#10;## [1] &amp;quot;2006-11-09 00:00:00 XLP -300 @ 25.5400009155273&amp;quot;&#10;## [1] &amp;quot;2006-11-09 00:00:00 XLP -300 @ 25.5400009155273&amp;quot;&#10;## [1] &amp;quot;2006-11-10 00:00:00 XLP 300 @ 25.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-11-10 00:00:00 XLP 300 @ 25.5499992370605&amp;quot;&#10;## [1] &amp;quot;2006-11-16 00:00:00 XLP -300 @ 25.8500003814697&amp;quot;&#10;## [1] &amp;quot;2006-11-16 00:00:00 XLP -300 @ 25.8500003814697&amp;quot;&#10;## [1] &amp;quot;2006-11-27 00:00:00 XLP 300 @ 25.4099998474121&amp;quot;&#10;## [1] &amp;quot;2006-11-27 00:00:00 XLP 300 @ 25.4099998474121&amp;quot;&#10;## [1] &amp;quot;2006-11-30 00:00:00 XLP -300 @ 25.6100006103516&amp;quot;&#10;## [1] &amp;quot;2006-11-30 00:00:00 XLP -300 @ 25.6100006103516&amp;quot;&#10;## [1] &amp;quot;2006-12-04 00:00:00 XLP 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-12-04 00:00:00 XLP 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLP -300 @ 26.0400009155273&amp;quot;&#10;## [1] &amp;quot;2006-12-05 00:00:00 XLP -300 @ 26.0400009155273&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLP 300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2006-12-19 00:00:00 XLP 300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2006-12-22 00:00:00 XLP -300 @ 26.0699996948242&amp;quot;&#10;## [1] &amp;quot;2006-12-22 00:00:00 XLP -300 @ 26.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLP 300 @ 26.2900009155273&amp;quot;&#10;## [1] &amp;quot;2007-01-03 00:00:00 XLP 300 @ 26.2900009155273&amp;quot;&#10;## [1] &amp;quot;2007-01-04 00:00:00 XLP -300 @ 26.3299999237061&amp;quot;&#10;## [1] &amp;quot;2007-01-04 00:00:00 XLP -300 @ 26.3299999237061&amp;quot;&#10;## [1] &amp;quot;2007-01-08 00:00:00 XLP 300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2007-01-08 00:00:00 XLP 300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2007-01-11 00:00:00 XLP -300 @ 26.5499992370605&amp;quot;&#10;## [1] &amp;quot;2007-01-11 00:00:00 XLP -300 @ 26.5499992370605&amp;quot;&#10;## [1] &amp;quot;2007-01-26 00:00:00 XLP 300 @ 26.4899997711182&amp;quot;&#10;## [1] &amp;quot;2007-01-26 00:00:00 XLP 300 @ 26.4899997711182&amp;quot;&#10;## [1] &amp;quot;2007-02-01 00:00:00 XLP -300 @ 26.75&amp;quot;&#10;## [1] &amp;quot;2007-02-01 00:00:00 XLP -300 @ 26.75&amp;quot;&#10;## [1] &amp;quot;2007-02-07 00:00:00 XLP 300 @ 26.6100006103516&amp;quot;&#10;## [1] &amp;quot;2007-02-07 00:00:00 XLP 300 @ 26.6100006103516&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLP -300 @ 26.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-02-15 00:00:00 XLP -300 @ 26.8700008392334&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLP 300 @ 26.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-02-23 00:00:00 XLP 300 @ 26.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-03-09 00:00:00 XLP -300 @ 26.2199993133545&amp;quot;&#10;## [1] &amp;quot;2007-03-09 00:00:00 XLP -300 @ 26.2199993133545&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLP 300 @ 25.7999992370605&amp;quot;&#10;## [1] &amp;quot;2007-03-14 00:00:00 XLP 300 @ 25.7999992370605&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 XLP -300 @ 25.9300003051758&amp;quot;&#10;## [1] &amp;quot;2007-03-16 00:00:00 XLP -300 @ 25.9300003051758&amp;quot;&#10;## [1] &amp;quot;2007-03-28 00:00:00 XLP 300 @ 26.4300003051758&amp;quot;&#10;## [1] &amp;quot;2007-03-28 00:00:00 XLP 300 @ 26.4300003051758&amp;quot;&#10;## [1] &amp;quot;2007-04-02 00:00:00 XLP -300 @ 26.7199993133545&amp;quot;&#10;## [1] &amp;quot;2007-04-02 00:00:00 XLP -300 @ 26.7199993133545&amp;quot;&#10;## [1] &amp;quot;2007-04-30 00:00:00 XLP 300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-04-30 00:00:00 XLP 300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-05-08 00:00:00 XLP -300 @ 27.2600002288818&amp;quot;&#10;## [1] &amp;quot;2007-05-08 00:00:00 XLP -300 @ 27.2600002288818&amp;quot;&#10;## [1] &amp;quot;2007-05-09 00:00:00 XLP 300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-05-09 00:00:00 XLP 300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-05-16 00:00:00 XLP -300 @ 27.5599994659424&amp;quot;&#10;## [1] &amp;quot;2007-05-16 00:00:00 XLP -300 @ 27.5599994659424&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLP 300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2007-05-25 00:00:00 XLP 300 @ 27.5&amp;quot;&#10;## [1] &amp;quot;2007-05-30 00:00:00 XLP -300 @ 27.7299995422363&amp;quot;&#10;## [1] &amp;quot;2007-05-30 00:00:00 XLP -300 @ 27.7299995422363&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLP 300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-06-07 00:00:00 XLP 300 @ 27.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLP -300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLP -300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLP 300 @ 27.2800006866455&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLP 300 @ 27.2800006866455&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLP -300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLP -300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2007-07-23 00:00:00 XLP 300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-07-23 00:00:00 XLP 300 @ 27.3999996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-03 00:00:00 XLP -300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-03 00:00:00 XLP -300 @ 26.6499996185303&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLP 300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-08-13 00:00:00 XLP 300 @ 27.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 XLP -300 @ 26.8500003814697&amp;quot;&#10;## [1] &amp;quot;2007-08-21 00:00:00 XLP -300 @ 26.8500003814697&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLP 300 @ 26.9200000762939&amp;quot;&#10;## [1] &amp;quot;2007-08-29 00:00:00 XLP 300 @ 26.9200000762939&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 XLP -300 @ 26.9400005340576&amp;quot;&#10;## [1] &amp;quot;2007-09-05 00:00:00 XLP -300 @ 26.9400005340576&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLP 300 @ 26.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-09-10 00:00:00 XLP 300 @ 26.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-09-12 00:00:00 XLP -300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2007-09-12 00:00:00 XLP -300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2007-09-26 00:00:00 XLP 300 @ 27.7900009155273&amp;quot;&#10;## [1] &amp;quot;2007-09-26 00:00:00 XLP 300 @ 27.7900009155273&amp;quot;&#10;## [1] &amp;quot;2007-09-27 00:00:00 XLP -300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2007-09-27 00:00:00 XLP -300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLP 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2007-10-04 00:00:00 XLP 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLP -300 @ 27.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-08 00:00:00 XLP -300 @ 27.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-10-09 00:00:00 XLP 300 @ 27.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-10-09 00:00:00 XLP 300 @ 27.9799995422363&amp;quot;&#10;## [1] &amp;quot;2007-10-11 00:00:00 XLP -300 @ 28.1700000762939&amp;quot;&#10;## [1] &amp;quot;2007-10-11 00:00:00 XLP -300 @ 28.1700000762939&amp;quot;&#10;## [1] &amp;quot;2007-10-17 00:00:00 XLP 300 @ 28.1200008392334&amp;quot;&#10;## [1] &amp;quot;2007-10-17 00:00:00 XLP 300 @ 28.1200008392334&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLP -300 @ 28.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-10-26 00:00:00 XLP -300 @ 28.3400001525879&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLP 300 @ 28.0300006866455&amp;quot;&#10;## [1] &amp;quot;2007-11-02 00:00:00 XLP 300 @ 28.0300006866455&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLP -300 @ 27.9500007629395&amp;quot;&#10;## [1] &amp;quot;2007-11-07 00:00:00 XLP -300 @ 27.9500007629395&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-11-08 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-11-14 00:00:00 XLP -300 @ 28.4599990844727&amp;quot;&#10;## [1] &amp;quot;2007-11-14 00:00:00 XLP -300 @ 28.4599990844727&amp;quot;&#10;## [1] &amp;quot;2007-11-23 00:00:00 XLP 300 @ 28.5400009155273&amp;quot;&#10;## [1] &amp;quot;2007-11-23 00:00:00 XLP 300 @ 28.5400009155273&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLP -300 @ 29.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-11-29 00:00:00 XLP -300 @ 29.1499996185303&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLP 300 @ 29.25&amp;quot;&#10;## [1] &amp;quot;2007-12-12 00:00:00 XLP 300 @ 29.25&amp;quot;&#10;## [1] &amp;quot;2007-12-14 00:00:00 XLP -300 @ 29.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-12-14 00:00:00 XLP -300 @ 29.0200004577637&amp;quot;&#10;## [1] &amp;quot;2007-12-17 00:00:00 XLP 300 @ 28.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-12-17 00:00:00 XLP 300 @ 28.8199996948242&amp;quot;&#10;## [1] &amp;quot;2007-12-24 00:00:00 XLP -300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-12-24 00:00:00 XLP -300 @ 29.2999992370605&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLP 300 @ 29.0300006866455&amp;quot;&#10;## [1] &amp;quot;2007-12-28 00:00:00 XLP 300 @ 29.0300006866455&amp;quot;&#10;## [1] &amp;quot;2008-01-10 00:00:00 XLP -300 @ 28.6700000762939&amp;quot;&#10;## [1] &amp;quot;2008-01-10 00:00:00 XLP -300 @ 28.6700000762939&amp;quot;&#10;## [1] &amp;quot;2008-01-14 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-01-14 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-02-01 00:00:00 XLP -300 @ 27.4699993133545&amp;quot;&#10;## [1] &amp;quot;2008-02-01 00:00:00 XLP -300 @ 27.4699993133545&amp;quot;&#10;## [1] 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27.9699993133545&amp;quot;&#10;## [1] &amp;quot;2008-04-10 00:00:00 XLP 300 @ 27.9699993133545&amp;quot;&#10;## [1] &amp;quot;2008-04-16 00:00:00 XLP -300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2008-04-16 00:00:00 XLP -300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2008-04-21 00:00:00 XLP 300 @ 28.0400009155273&amp;quot;&#10;## [1] &amp;quot;2008-04-21 00:00:00 XLP 300 @ 28.0400009155273&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLP -300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-04-25 00:00:00 XLP -300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-04-28 00:00:00 XLP 300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2008-04-28 00:00:00 XLP 300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2008-04-30 00:00:00 XLP -300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2008-04-30 00:00:00 XLP -300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-01 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-01 00:00:00 XLP 300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2008-05-07 00:00:00 XLP -300 @ 27.9200000762939&amp;quot;&#10;## [1] &amp;quot;2008-05-07 00:00:00 XLP -300 @ 27.9200000762939&amp;quot;&#10;## [1] &amp;quot;2008-05-08 00:00:00 XLP 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2008-05-08 00:00:00 XLP 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2008-05-13 00:00:00 XLP -300 @ 28.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-05-13 00:00:00 XLP -300 @ 28.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-05-21 00:00:00 XLP 300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-05-21 00:00:00 XLP 300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2008-05-30 00:00:00 XLP -300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2008-05-30 00:00:00 XLP -300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLP 300 @ 28.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-06-09 00:00:00 XLP 300 @ 28.0499992370605&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 XLP -300 @ 26.8400001525879&amp;quot;&#10;## [1] &amp;quot;2008-06-26 00:00:00 XLP -300 @ 26.8400001525879&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 XLP 300 @ 26.5599994659424&amp;quot;&#10;## [1] &amp;quot;2008-06-27 00:00:00 XLP 300 @ 26.5599994659424&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 XLP -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-07-08 00:00:00 XLP -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-07-16 00:00:00 XLP 300 @ 27.2399997711182&amp;quot;&#10;## [1] &amp;quot;2008-07-16 00:00:00 XLP 300 @ 27.2399997711182&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLP -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-07-17 00:00:00 XLP -300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-07-21 00:00:00 XLP 300 @ 26.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-07-21 00:00:00 XLP 300 @ 26.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-07-23 00:00:00 XLP -300 @ 27.4300003051758&amp;quot;&#10;## [1] 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28.1399993896484&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 XLP 300 @ 28.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-02 00:00:00 XLP 300 @ 28.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 XLP -300 @ 28.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-09-09 00:00:00 XLP -300 @ 28.7700004577637&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLP 300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-16 00:00:00 XLP 300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2008-09-26 00:00:00 XLP -300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-26 00:00:00 XLP -300 @ 27.7000007629395&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLP 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2008-09-30 00:00:00 XLP 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2008-10-02 00:00:00 XLP -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-02 00:00:00 XLP -300 @ 27.4500007629395&amp;quot;&#10;## [1] &amp;quot;2008-10-06 00:00:00 XLP 300 @ 26.4400005340576&amp;quot;&#10;## [1] &amp;quot;2008-10-06 00:00:00 XLP 300 @ 26.4400005340576&amp;quot;&#10;## [1] &amp;quot;2008-10-15 00:00:00 XLP -300 @ 23.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-10-15 00:00:00 XLP -300 @ 23.8999996185303&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLP 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2008-10-16 00:00:00 XLP 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLP -300 @ 24.2800006866455&amp;quot;&#10;## [1] &amp;quot;2008-10-21 00:00:00 XLP -300 @ 24.2800006866455&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;2008-10-23 00:00:00 XLP 300 @ 24&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-10-29 00:00:00 XLP -300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-11-07 00:00:00 XLP 300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2008-11-07 00:00:00 XLP 300 @ 24.2600002288818&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2008-11-25 00:00:00 XLP -300 @ 23.4099998474121&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLP 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2008-12-02 00:00:00 XLP 300 @ 23.0699996948242&amp;quot;&#10;## [1] &amp;quot;2008-12-08 00:00:00 XLP -300 @ 23.8400001525879&amp;quot;&#10;## [1] &amp;quot;2008-12-08 00:00:00 XLP -300 @ 23.8400001525879&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLP 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2008-12-12 00:00:00 XLP 300 @ 23.1399993896484&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLP -300 @ 23.5400009155273&amp;quot;&#10;## [1] &amp;quot;2008-12-17 00:00:00 XLP -300 @ 23.5400009155273&amp;quot;&#10;## [1] &amp;quot;2008-12-22 00:00:00 XLP 300 @ 23.2900009155273&amp;quot;&#10;## [1] &amp;quot;2008-12-22 00:00:00 XLP 300 @ 23.2900009155273&amp;quot;&#10;## [1] 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21.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-02-20 00:00:00 XLP -300 @ 21.2999992370605&amp;quot;&#10;## [1] &amp;quot;2009-02-24 00:00:00 XLP 300 @ 21.1499996185303&amp;quot;&#10;## [1] &amp;quot;2009-02-24 00:00:00 XLP 300 @ 21.1499996185303&amp;quot;&#10;## [1] &amp;quot;2009-03-13 00:00:00 XLP -300 @ 20.5599994659424&amp;quot;&#10;## [1] &amp;quot;2009-03-13 00:00:00 XLP -300 @ 20.5599994659424&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 XLP 300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2009-03-23 00:00:00 XLP 300 @ 21.4699993133545&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 XLP -300 @ 21.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-03-24 00:00:00 XLP -300 @ 21.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLP 300 @ 21.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-03-31 00:00:00 XLP 300 @ 21.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLP -300 @ 21.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-03 00:00:00 XLP -300 @ 21.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLP 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-04-08 00:00:00 XLP 300 @ 21.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-04-17 00:00:00 XLP -300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-04-17 00:00:00 XLP -300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLP 300 @ 21.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLP 300 @ 21.8799991607666&amp;quot;&#10;## [1] &amp;quot;2009-04-29 00:00:00 XLP -300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-04-29 00:00:00 XLP -300 @ 22.0900001525879&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLP 300 @ 22.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLP 300 @ 22.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLP -300 @ 22.9699993133545&amp;quot;&#10;## [1] &amp;quot;2009-05-19 00:00:00 XLP -300 @ 22.9699993133545&amp;quot;&#10;## [1] &amp;quot;2009-05-28 00:00:00 XLP 300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2009-05-28 00:00:00 XLP 300 @ 22.8700008392334&amp;quot;&#10;## [1] &amp;quot;2009-06-01 00:00:00 XLP -300 @ 23.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-06-01 00:00:00 XLP -300 @ 23.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-06-10 00:00:00 XLP 300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-06-10 00:00:00 XLP 300 @ 23.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-06-15 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2009-06-15 00:00:00 XLP -300 @ 22.9500007629395&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLP 300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2009-06-16 00:00:00 XLP 300 @ 22.6499996185303&amp;quot;&#10;## [1] &amp;quot;2009-06-19 00:00:00 XLP -300 @ 22.8899993896484&amp;quot;&#10;## [1] &amp;quot;2009-06-19 00:00:00 XLP -300 @ 22.8899993896484&amp;quot;&#10;## [1] &amp;quot;2009-06-23 00:00:00 XLP 300 @ 22.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-06-23 00:00:00 XLP 300 @ 22.6599998474121&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLP -300 @ 23.0300006866455&amp;quot;&#10;## [1] &amp;quot;2009-06-26 00:00:00 XLP -300 @ 23.0300006866455&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLP 300 @ 23.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-07-06 00:00:00 XLP 300 @ 23.3600006103516&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLP -300 @ 23.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-07-14 00:00:00 XLP -300 @ 23.3700008392334&amp;quot;&#10;## [1] &amp;quot;2009-08-06 00:00:00 XLP 300 @ 24.1800003051758&amp;quot;&#10;## [1] &amp;quot;2009-08-06 00:00:00 XLP 300 @ 24.1800003051758&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLP -300 @ 24.3999996185303&amp;quot;&#10;## [1] &amp;quot;2009-08-14 00:00:00 XLP -300 @ 24.3999996185303&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLP 300 @ 24.1900005340576&amp;quot;&#10;## [1] &amp;quot;2009-08-18 00:00:00 XLP 300 @ 24.1900005340576&amp;quot;&#10;## [1] &amp;quot;2009-08-20 00:00:00 XLP -300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2009-08-20 00:00:00 XLP -300 @ 24.4699993133545&amp;quot;&#10;## [1] &amp;quot;2009-08-31 00:00:00 XLP 300 @ 24.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-08-31 00:00:00 XLP 300 @ 24.8199996948242&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLP -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-09-08 00:00:00 XLP -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-09-16 00:00:00 XLP 300 @ 25.3400001525879&amp;quot;&#10;## [1] &amp;quot;2009-09-16 00:00:00 XLP 300 @ 25.3400001525879&amp;quot;&#10;## [1] &amp;quot;2009-09-17 00:00:00 XLP -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2009-09-17 00:00:00 XLP -300 @ 25.25&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLP 300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-09-25 00:00:00 XLP 300 @ 25.2399997711182&amp;quot;&#10;## [1] &amp;quot;2009-09-30 00:00:00 XLP -300 @ 25.4599990844727&amp;quot;&#10;## [1] &amp;quot;2009-09-30 00:00:00 XLP -300 @ 25.4599990844727&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLP 300 @ 25.3099994659424&amp;quot;&#10;## [1] &amp;quot;2009-10-02 00:00:00 XLP 300 @ 25.3099994659424&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLP -300 @ 25.7099990844727&amp;quot;&#10;## [1] &amp;quot;2009-10-07 00:00:00 XLP -300 @ 25.7099990844727&amp;quot;&#10;## [1] &amp;quot;2009-10-22 00:00:00 XLP 300 @ 26.3299999237061&amp;quot;&#10;## [1] &amp;quot;2009-10-22 00:00:00 XLP 300 @ 26.3299999237061&amp;quot;&#10;## [1] &amp;quot;2009-10-30 00:00:00 XLP -300 @ 25.8299999237061&amp;quot;&#10;## [1] &amp;quot;2009-10-30 00:00:00 XLP -300 @ 25.8299999237061&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLP 300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-11-30 00:00:00 XLP 300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-12-02 00:00:00 XLP -300 @ 27.1200008392334&amp;quot;&#10;## [1] &amp;quot;2009-12-02 00:00:00 XLP -300 @ 27.1200008392334&amp;quot;&#10;## [1] &amp;quot;2009-12-04 00:00:00 XLP 300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-12-04 00:00:00 XLP 300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLP -300 @ 27.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-12-14 00:00:00 XLP -300 @ 27.1000003814697&amp;quot;&#10;## [1] &amp;quot;2009-12-17 00:00:00 XLP 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2009-12-17 00:00:00 XLP 300 @ 26.5400009155273&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 XLP -300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2009-12-28 00:00:00 XLP -300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLP 300 @ 26.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-01-04 00:00:00 XLP 300 @ 26.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLP -300 @ 26.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-01-13 00:00:00 XLP -300 @ 26.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-01-19 00:00:00 XLP 300 @ 26.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-01-19 00:00:00 XLP 300 @ 26.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLP -300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2010-02-02 00:00:00 XLP -300 @ 26.7800006866455&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLP 300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-02-05 00:00:00 XLP 300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 XLP -300 @ 26.2299995422363&amp;quot;&#10;## [1] &amp;quot;2010-02-10 00:00:00 XLP -300 @ 26.2299995422363&amp;quot;&#10;## [1] &amp;quot;2010-02-24 00:00:00 XLP 300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2010-02-24 00:00:00 XLP 300 @ 27.1399993896484&amp;quot;&#10;## [1] &amp;quot;2010-02-25 00:00:00 XLP -300 @ 27.1599998474121&amp;quot;&#10;## [1] &amp;quot;2010-02-25 00:00:00 XLP -300 @ 27.1599998474121&amp;quot;&#10;## [1] &amp;quot;2010-03-01 00:00:00 XLP 300 @ 27.2199993133545&amp;quot;&#10;## [1] &amp;quot;2010-03-01 00:00:00 XLP 300 @ 27.2199993133545&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLP -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-02 00:00:00 XLP -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2010-03-11 00:00:00 XLP 300 @ 27.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-03-11 00:00:00 XLP 300 @ 27.4599990844727&amp;quot;&#10;## [1] &amp;quot;2010-03-15 00:00:00 XLP -300 @ 27.6900005340576&amp;quot;&#10;## [1] &amp;quot;2010-03-15 00:00:00 XLP -300 @ 27.6900005340576&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLP 300 @ 27.9099998474121&amp;quot;&#10;## [1] &amp;quot;2010-03-22 00:00:00 XLP 300 @ 27.9099998474121&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLP -300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-03-24 00:00:00 XLP -300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-04-01 00:00:00 XLP 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-04-01 00:00:00 XLP 300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-04-05 00:00:00 XLP -300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-04-05 00:00:00 XLP -300 @ 28.1100006103516&amp;quot;&#10;## [1] &amp;quot;2010-04-08 00:00:00 XLP 300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-04-08 00:00:00 XLP 300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2010-04-12 00:00:00 XLP -300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2010-04-12 00:00:00 XLP -300 @ 28.1299991607666&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLP 300 @ 28.0200004577637&amp;quot;&#10;## [1] &amp;quot;2010-04-19 00:00:00 XLP 300 @ 28.0200004577637&amp;quot;&#10;## [1] &amp;quot;2010-04-21 00:00:00 XLP -300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2010-04-21 00:00:00 XLP -300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2010-04-26 00:00:00 XLP 300 @ 27.9699993133545&amp;quot;&#10;## [1] &amp;quot;2010-04-26 00:00:00 XLP 300 @ 27.9699993133545&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLP -300 @ 27.5100002288818&amp;quot;&#10;## [1] &amp;quot;2010-05-11 00:00:00 XLP -300 @ 27.5100002288818&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLP 300 @ 27.5599994659424&amp;quot;&#10;## [1] &amp;quot;2010-05-17 00:00:00 XLP 300 @ 27.5599994659424&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLP -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2010-05-28 00:00:00 XLP -300 @ 26.3500003814697&amp;quot;&#10;## [1] &amp;quot;2010-06-07 00:00:00 XLP 300 @ 25.8700008392334&amp;quot;&#10;## [1] &amp;quot;2010-06-07 00:00:00 XLP 300 @ 25.8700008392334&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLP -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2010-06-11 00:00:00 XLP -300 @ 26.4699993133545&amp;quot;&#10;## [1] &amp;quot;2010-06-22 00:00:00 XLP 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2010-06-22 00:00:00 XLP 300 @ 26.2999992370605&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLP -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-07-08 00:00:00 XLP -300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLP 300 @ 26.5699996948242&amp;quot;&#10;## [1] &amp;quot;2010-07-19 00:00:00 XLP 300 @ 26.5699996948242&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLP -300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2010-07-21 00:00:00 XLP -300 @ 26.6000003814697&amp;quot;&#10;## [1] &amp;quot;2010-07-30 00:00:00 XLP 300 @ 26.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-07-30 00:00:00 XLP 300 @ 26.9799995422363&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 XLP -300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-03 00:00:00 XLP -300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-12 00:00:00 XLP 300 @ 26.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-08-12 00:00:00 XLP 300 @ 26.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLP -300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-18 00:00:00 XLP -300 @ 27.0499992370605&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLP 300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2010-08-20 00:00:00 XLP 300 @ 26.7299995422363&amp;quot;&#10;## [1] &amp;quot;2010-09-02 00:00:00 XLP -300 @ 27.1200008392334&amp;quot;&#10;## [1] &amp;quot;2010-09-02 00:00:00 XLP -300 @ 27.1200008392334&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLP 300 @ 27.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-09-20 00:00:00 XLP 300 @ 27.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLP -300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2010-09-21 00:00:00 XLP -300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2010-09-24 00:00:00 XLP 300 @ 28.0400009155273&amp;quot;&#10;## [1] &amp;quot;2010-09-24 00:00:00 XLP 300 @ 28.0400009155273&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLP -300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLP -300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLP 300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLP 300 @ 27.9300003051758&amp;quot;&#10;## [1] &amp;quot;2010-10-06 00:00:00 XLP -300 @ 28.2299995422363&amp;quot;&#10;## [1] &amp;quot;2010-10-06 00:00:00 XLP -300 @ 28.2299995422363&amp;quot;&#10;## [1] &amp;quot;2010-10-20 00:00:00 XLP 300 @ 28.6100006103516&amp;quot;&#10;## [1] &amp;quot;2010-10-20 00:00:00 XLP 300 @ 28.6100006103516&amp;quot;&#10;## [1] &amp;quot;2010-10-22 00:00:00 XLP -300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-10-22 00:00:00 XLP -300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-10-28 00:00:00 XLP 300 @ 28.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-10-28 00:00:00 XLP 300 @ 28.6700000762939&amp;quot;&#10;## [1] &amp;quot;2010-11-01 00:00:00 XLP -300 @ 28.6499996185303&amp;quot;&#10;## [1] &amp;quot;2010-11-01 00:00:00 XLP -300 @ 28.6499996185303&amp;quot;&#10;## [1] &amp;quot;2010-11-10 00:00:00 XLP 300 @ 28.8199996948242&amp;quot;&#10;## [1] &amp;quot;2010-11-10 00:00:00 XLP 300 @ 28.8199996948242&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLP -300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-11-19 00:00:00 XLP -300 @ 28.8099994659424&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLP 300 @ 28.6900005340576&amp;quot;&#10;## [1] &amp;quot;2010-11-24 00:00:00 XLP 300 @ 28.6900005340576&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLP -300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2010-12-02 00:00:00 XLP -300 @ 28.7999992370605&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLP 300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2010-12-22 00:00:00 XLP 300 @ 29.3899993896484&amp;quot;&#10;## [1] &amp;quot;2010-12-27 00:00:00 XLP -300 @ 29.2600002288818&amp;quot;&#10;## [1] &amp;quot;2010-12-27 00:00:00 XLP -300 @ 29.2600002288818&amp;quot;&#10;## [1] &amp;quot;2010-12-28 00:00:00 XLP 300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2010-12-28 00:00:00 XLP 300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLP -300 @ 29.2700004577637&amp;quot;&#10;## [1] &amp;quot;2011-01-04 00:00:00 XLP -300 @ 29.2700004577637&amp;quot;&#10;## [1] &amp;quot;2011-01-05 00:00:00 XLP 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2011-01-05 00:00:00 XLP 300 @ 29.2800006866455&amp;quot;&#10;## [1] &amp;quot;2011-01-13 00:00:00 XLP -300 @ 29.3299999237061&amp;quot;&#10;## [1] &amp;quot;2011-01-13 00:00:00 XLP -300 @ 29.3299999237061&amp;quot;&#10;## [1] &amp;quot;2011-01-28 00:00:00 XLP 300 @ 28.9799995422363&amp;quot;&#10;## [1] &amp;quot;2011-01-28 00:00:00 XLP 300 @ 28.9799995422363&amp;quot;&#10;## [1] &amp;quot;2011-02-07 00:00:00 XLP -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2011-02-07 00:00:00 XLP -300 @ 29.3400001525879&amp;quot;&#10;## [1] &amp;quot;2011-02-24 00:00:00 XLP 300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2011-02-24 00:00:00 XLP 300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLP -300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLP -300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2011-03-03 00:00:00 XLP 300 @ 29.7099990844727&amp;quot;&#10;## [1] &amp;quot;2011-03-03 00:00:00 XLP 300 @ 29.7099990844727&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLP -300 @ 29.5799999237061&amp;quot;&#10;## [1] &amp;quot;2011-03-04 00:00:00 XLP -300 @ 29.5799999237061&amp;quot;&#10;## [1] &amp;quot;2011-03-15 00:00:00 XLP 300 @ 29.2600002288818&amp;quot;&#10;## [1] &amp;quot;2011-03-15 00:00:00 XLP 300 @ 29.2600002288818&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 XLP -300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-03-22 00:00:00 XLP -300 @ 29.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 XLP 300 @ 31.4400005340576&amp;quot;&#10;## [1] &amp;quot;2011-05-06 00:00:00 XLP 300 @ 31.4400005340576&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLP -300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2011-05-10 00:00:00 XLP -300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 XLP 300 @ 32.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-05-24 00:00:00 XLP 300 @ 32.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-06-01 00:00:00 XLP -300 @ 31.9799995422363&amp;quot;&#10;## [1] &amp;quot;2011-06-01 00:00:00 XLP -300 @ 31.9799995422363&amp;quot;&#10;## [1] &amp;quot;2011-06-03 00:00:00 XLP 300 @ 31.3099994659424&amp;quot;&#10;## [1] &amp;quot;2011-06-03 00:00:00 XLP 300 @ 31.3099994659424&amp;quot;&#10;## [1] &amp;quot;2011-06-10 00:00:00 XLP -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-10 00:00:00 XLP -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 XLP 300 @ 31.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-06-13 00:00:00 XLP 300 @ 31.0499992370605&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 XLP -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-15 00:00:00 XLP -300 @ 30.9099998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLP 300 @ 31.1599998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-16 00:00:00 XLP 300 @ 31.1599998474121&amp;quot;&#10;## [1] &amp;quot;2011-06-21 00:00:00 XLP -300 @ 31.3400001525879&amp;quot;&#10;## [1] &amp;quot;2011-06-21 00:00:00 XLP -300 @ 31.3400001525879&amp;quot;&#10;## [1] &amp;quot;2011-06-23 00:00:00 XLP 300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2011-06-23 00:00:00 XLP 300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2011-06-30 00:00:00 XLP -300 @ 31.2299995422363&amp;quot;&#10;## [1] &amp;quot;2011-06-30 00:00:00 XLP -300 @ 31.2299995422363&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLP 300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLP 300 @ 31.4099998474121&amp;quot;&#10;## [1] &amp;quot;2011-07-20 00:00:00 XLP -300 @ 31.5400009155273&amp;quot;&#10;## [1] &amp;quot;2011-07-20 00:00:00 XLP -300 @ 31.5400009155273&amp;quot;&#10;## [1] &amp;quot;2011-07-26 00:00:00 XLP 300 @ 31.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-07-26 00:00:00 XLP 300 @ 31.3700008392334&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLP -300 @ 29.9599990844727&amp;quot;&#10;## [1] &amp;quot;2011-08-15 00:00:00 XLP -300 @ 29.9599990844727&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLP 300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2011-08-19 00:00:00 XLP 300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLP -300 @ 30.3799991607666&amp;quot;&#10;## [1] &amp;quot;2011-08-24 00:00:00 XLP -300 @ 30.3799991607666&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLP 300 @ 30.2199993133545&amp;quot;&#10;## [1] &amp;quot;2011-09-06 00:00:00 XLP 300 @ 30.2199993133545&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLP -300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2011-09-08 00:00:00 XLP -300 @ 30.6800003051758&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLP 300 @ 30.0300006866455&amp;quot;&#10;## [1] &amp;quot;2011-09-12 00:00:00 XLP 300 @ 30.0300006866455&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLP -300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2011-09-15 00:00:00 XLP -300 @ 30.8600006103516&amp;quot;&#10;## [1] &amp;quot;2011-09-22 00:00:00 XLP 300 @ 29.4400005340576&amp;quot;&#10;## [1] &amp;quot;2011-09-22 00:00:00 XLP 300 @ 29.4400005340576&amp;quot;&#10;## [1] &amp;quot;2011-09-27 00:00:00 XLP -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2011-09-27 00:00:00 XLP -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLP 300 @ 29.9699993133545&amp;quot;&#10;## [1] &amp;quot;2011-09-29 00:00:00 XLP 300 @ 29.9699993133545&amp;quot;&#10;## [1] &amp;quot;2011-10-07 00:00:00 XLP -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-10-07 00:00:00 XLP -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2011-10-26 00:00:00 XLP 300 @ 31.1900005340576&amp;quot;&#10;## [1] &amp;quot;2011-10-26 00:00:00 XLP 300 @ 31.1900005340576&amp;quot;&#10;## [1] &amp;quot;2011-10-28 00:00:00 XLP -300 @ 31.5100002288818&amp;quot;&#10;## [1] &amp;quot;2011-10-28 00:00:00 XLP -300 @ 31.5100002288818&amp;quot;&#10;## [1] &amp;quot;2011-11-01 00:00:00 XLP 300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2011-11-01 00:00:00 XLP 300 @ 30.5&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLP -300 @ 30.9899997711182&amp;quot;&#10;## [1] &amp;quot;2011-11-04 00:00:00 XLP -300 @ 30.9899997711182&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLP 300 @ 31.1200008392334&amp;quot;&#10;## [1] &amp;quot;2011-11-10 00:00:00 XLP 300 @ 31.1200008392334&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLP -300 @ 31.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-14 00:00:00 XLP -300 @ 31.2099990844727&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 XLP 300 @ 30.9699993133545&amp;quot;&#10;## [1] &amp;quot;2011-11-17 00:00:00 XLP 300 @ 30.9699993133545&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLP -300 @ 31.1700000762939&amp;quot;&#10;## [1] &amp;quot;2011-11-29 00:00:00 XLP -300 @ 31.1700000762939&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLP 300 @ 32.0099983215332&amp;quot;&#10;## [1] &amp;quot;2011-12-09 00:00:00 XLP 300 @ 32.0099983215332&amp;quot;&#10;## [1] &amp;quot;2011-12-16 00:00:00 XLP -300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2011-12-16 00:00:00 XLP -300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2011-12-20 00:00:00 XLP 300 @ 32.0099983215332&amp;quot;&#10;## [1] &amp;quot;2011-12-20 00:00:00 XLP 300 @ 32.0099983215332&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLP -300 @ 32.3499984741211&amp;quot;&#10;## [1] &amp;quot;2011-12-21 00:00:00 XLP -300 @ 32.3499984741211&amp;quot;&#10;## [1] &amp;quot;2012-01-05 00:00:00 XLP 300 @ 32.3699989318848&amp;quot;&#10;## [1] &amp;quot;2012-01-05 00:00:00 XLP 300 @ 32.3699989318848&amp;quot;&#10;## [1] &amp;quot;2012-01-18 00:00:00 XLP -300 @ 32.3300018310547&amp;quot;&#10;## [1] 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33.060001373291&amp;quot;&#10;## [1] &amp;quot;2012-03-07 00:00:00 XLP 300 @ 33.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-03-07 00:00:00 XLP 300 @ 33.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLP -300 @ 33.4700012207031&amp;quot;&#10;## [1] &amp;quot;2012-03-09 00:00:00 XLP -300 @ 33.4700012207031&amp;quot;&#10;## [1] &amp;quot;2012-03-19 00:00:00 XLP 300 @ 33.6199989318848&amp;quot;&#10;## [1] &amp;quot;2012-03-19 00:00:00 XLP 300 @ 33.6199989318848&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLP -300 @ 33.7599983215332&amp;quot;&#10;## [1] &amp;quot;2012-03-23 00:00:00 XLP -300 @ 33.7599983215332&amp;quot;&#10;## [1] &amp;quot;2012-04-10 00:00:00 XLP 300 @ 33.439998626709&amp;quot;&#10;## [1] &amp;quot;2012-04-10 00:00:00 XLP 300 @ 33.439998626709&amp;quot;&#10;## [1] &amp;quot;2012-04-17 00:00:00 XLP -300 @ 34.1100006103516&amp;quot;&#10;## [1] &amp;quot;2012-04-17 00:00:00 XLP -300 @ 34.1100006103516&amp;quot;&#10;## [1] &amp;quot;2012-04-24 00:00:00 XLP 300 @ 33.7900009155273&amp;quot;&#10;## [1] &amp;quot;2012-04-24 00:00:00 XLP 300 @ 33.7900009155273&amp;quot;&#10;## [1] &amp;quot;2012-04-27 00:00:00 XLP -300 @ 34.2700004577637&amp;quot;&#10;## [1] &amp;quot;2012-04-27 00:00:00 XLP -300 @ 34.2700004577637&amp;quot;&#10;## [1] &amp;quot;2012-05-07 00:00:00 XLP 300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-05-07 00:00:00 XLP 300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-05-25 00:00:00 XLP -300 @ 33.8899993896484&amp;quot;&#10;## [1] &amp;quot;2012-05-25 00:00:00 XLP -300 @ 33.8899993896484&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 XLP 300 @ 33.1599998474121&amp;quot;&#10;## [1] &amp;quot;2012-06-01 00:00:00 XLP 300 @ 33.1599998474121&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLP -300 @ 33.7999992370605&amp;quot;&#10;## [1] &amp;quot;2012-06-07 00:00:00 XLP -300 @ 33.7999992370605&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 XLP 300 @ 33.810001373291&amp;quot;&#10;## [1] &amp;quot;2012-06-21 00:00:00 XLP 300 @ 33.810001373291&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLP -300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-06-28 00:00:00 XLP -300 @ 34.1300010681152&amp;quot;&#10;## [1] &amp;quot;2012-07-23 00:00:00 XLP 300 @ 34.7400016784668&amp;quot;&#10;## [1] &amp;quot;2012-07-23 00:00:00 XLP 300 @ 34.7400016784668&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLP -300 @ 35.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-07-27 00:00:00 XLP -300 @ 35.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLP 300 @ 35.75&amp;quot;&#10;## [1] &amp;quot;2012-08-03 00:00:00 XLP 300 @ 35.75&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLP -300 @ 35.7299995422363&amp;quot;&#10;## [1] &amp;quot;2012-08-06 00:00:00 XLP -300 @ 35.7299995422363&amp;quot;&#10;## [1] &amp;quot;2012-08-22 00:00:00 XLP 300 @ 35.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-08-22 00:00:00 XLP 300 @ 35.5699996948242&amp;quot;&#10;## [1] &amp;quot;2012-08-29 00:00:00 XLP -300 @ 35.5900001525879&amp;quot;&#10;## [1] &amp;quot;2012-08-29 00:00:00 XLP -300 @ 35.5900001525879&amp;quot;&#10;## [1] &amp;quot;2012-08-31 00:00:00 XLP 300 @ 35.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-08-31 00:00:00 XLP 300 @ 35.4599990844727&amp;quot;&#10;## [1] &amp;quot;2012-09-05 00:00:00 XLP -300 @ 35.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-09-05 00:00:00 XLP -300 @ 35.6100006103516&amp;quot;&#10;## [1] &amp;quot;2012-09-12 00:00:00 XLP 300 @ 35.4199981689453&amp;quot;&#10;## [1] &amp;quot;2012-09-12 00:00:00 XLP 300 @ 35.4199981689453&amp;quot;&#10;## [1] &amp;quot;2012-09-14 00:00:00 XLP -300 @ 35.7799987792969&amp;quot;&#10;## [1] &amp;quot;2012-09-14 00:00:00 XLP -300 @ 35.7799987792969&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLP 300 @ 36.0800018310547&amp;quot;&#10;## [1] &amp;quot;2012-09-24 00:00:00 XLP 300 @ 36.0800018310547&amp;quot;&#10;## [1] &amp;quot;2012-10-02 00:00:00 XLP -300 @ 36.0900001525879&amp;quot;&#10;## [1] &amp;quot;2012-10-02 00:00:00 XLP -300 @ 36.0900001525879&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLP 300 @ 35.9000015258789&amp;quot;&#10;## [1] &amp;quot;2012-10-10 00:00:00 XLP 300 @ 35.9000015258789&amp;quot;&#10;## [1] &amp;quot;2012-10-16 00:00:00 XLP -300 @ 36.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-10-16 00:00:00 XLP -300 @ 36.1800003051758&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLP 300 @ 35.7299995422363&amp;quot;&#10;## [1] &amp;quot;2012-10-22 00:00:00 XLP 300 @ 35.7299995422363&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 XLP -300 @ 34.9799995422363&amp;quot;&#10;## [1] &amp;quot;2012-11-07 00:00:00 XLP -300 @ 34.9799995422363&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLP 300 @ 34.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-08 00:00:00 XLP 300 @ 34.5999984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLP -300 @ 35.0999984741211&amp;quot;&#10;## [1] &amp;quot;2012-11-20 00:00:00 XLP -300 @ 35.0999984741211&amp;quot;&#10;## [1] &amp;quot;2012-12-14 00:00:00 XLP 300 @ 35.9599990844727&amp;quot;&#10;## [1] &amp;quot;2012-12-14 00:00:00 XLP 300 @ 35.9599990844727&amp;quot;&#10;## [1] &amp;quot;2013-01-03 00:00:00 XLP -300 @ 35.7099990844727&amp;quot;&#10;## [1] &amp;quot;2013-01-03 00:00:00 XLP -300 @ 35.7099990844727&amp;quot;&#10;## [1] &amp;quot;2013-01-09 00:00:00 XLP 300 @ 35.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-01-09 00:00:00 XLP 300 @ 35.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-01-11 00:00:00 XLP -300 @ 35.9199981689453&amp;quot;&#10;## [1] &amp;quot;2013-01-11 00:00:00 XLP -300 @ 35.9199981689453&amp;quot;&#10;## [1] &amp;quot;2013-02-26 00:00:00 XLP 300 @ 37.8300018310547&amp;quot;&#10;## [1] &amp;quot;2013-02-26 00:00:00 XLP 300 @ 37.8300018310547&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLP -300 @ 38.0900001525879&amp;quot;&#10;## [1] &amp;quot;2013-02-28 00:00:00 XLP -300 @ 38.0900001525879&amp;quot;&#10;## [1] &amp;quot;2013-03-18 00:00:00 XLP 300 @ 38.3699989318848&amp;quot;&#10;## [1] &amp;quot;2013-03-18 00:00:00 XLP 300 @ 38.3699989318848&amp;quot;&#10;## [1] &amp;quot;2013-03-21 00:00:00 XLP -300 @ 38.939998626709&amp;quot;&#10;## [1] &amp;quot;2013-03-21 00:00:00 XLP -300 @ 38.939998626709&amp;quot;&#10;## [1] &amp;quot;2013-04-08 00:00:00 XLP 300 @ 40.1100006103516&amp;quot;&#10;## [1] &amp;quot;2013-04-08 00:00:00 XLP 300 @ 40.1100006103516&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLP -300 @ 40.0699996948242&amp;quot;&#10;## [1] &amp;quot;2013-04-09 00:00:00 XLP -300 @ 40.0699996948242&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLP 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2013-04-16 00:00:00 XLP 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2013-04-17 00:00:00 XLP -300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-04-17 00:00:00 XLP -300 @ 40.4599990844727&amp;quot;&#10;## [1] &amp;quot;2013-04-25 00:00:00 XLP 300 @ 40.9000015258789&amp;quot;&#10;## [1] &amp;quot;2013-04-25 00:00:00 XLP 300 @ 40.9000015258789&amp;quot;&#10;## [1] &amp;quot;2013-05-03 00:00:00 XLP -300 @ 41.2299995422363&amp;quot;&#10;## [1] &amp;quot;2013-05-03 00:00:00 XLP -300 @ 41.2299995422363&amp;quot;&#10;## [1] &amp;quot;2013-05-07 00:00:00 XLP 300 @ 41.2400016784668&amp;quot;&#10;## [1] &amp;quot;2013-05-07 00:00:00 XLP 300 @ 41.2400016784668&amp;quot;&#10;## [1] &amp;quot;2013-05-08 00:00:00 XLP -300 @ 41.2900009155273&amp;quot;&#10;## [1] &amp;quot;2013-05-08 00:00:00 XLP -300 @ 41.2900009155273&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 XLP 300 @ 41.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-05-10 00:00:00 XLP 300 @ 41.1599998474121&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 XLP -300 @ 42.1300010681152&amp;quot;&#10;## [1] &amp;quot;2013-05-15 00:00:00 XLP -300 @ 42.1300010681152&amp;quot;&#10;## [1] &amp;quot;2013-05-21 00:00:00 XLP 300 @ 41.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-05-21 00:00:00 XLP 300 @ 41.5499992370605&amp;quot;&#10;## [1] &amp;quot;2013-05-28 00:00:00 XLP -300 @ 41.7700004577637&amp;quot;&#10;## [1] &amp;quot;2013-05-28 00:00:00 XLP -300 @ 41.7700004577637&amp;quot;&#10;## [1] &amp;quot;2013-05-30 00:00:00 XLP 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2013-05-30 00:00:00 XLP 300 @ 40.810001373291&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLP -300 @ 40.6800003051758&amp;quot;&#10;## [1] &amp;quot;2013-06-10 00:00:00 XLP -300 @ 40.6800003051758&amp;quot;&#10;## [1] &amp;quot;2013-06-13 00:00:00 XLP 300 @ 40.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-13 00:00:00 XLP 300 @ 40.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-06-14 00:00:00 XLP -300 @ 40.7000007629395&amp;quot;&#10;## [1] &amp;quot;2013-06-14 00:00:00 XLP -300 @ 40.7000007629395&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 XLP 300 @ 39.1699981689453&amp;quot;&#10;## [1] &amp;quot;2013-06-20 00:00:00 XLP 300 @ 39.1699981689453&amp;quot;&#10;## [1] 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00:00:00 XLP -300 @ 39.6699981689453&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLP 300 @ 40.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-09-23 00:00:00 XLP 300 @ 40.7999992370605&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLP -300 @ 40.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-10-11 00:00:00 XLP -300 @ 40.5699996948242&amp;quot;&#10;## [1] &amp;quot;2013-11-01 00:00:00 XLP 300 @ 42.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-11-01 00:00:00 XLP 300 @ 42.5099983215332&amp;quot;&#10;## [1] &amp;quot;2013-11-06 00:00:00 XLP -300 @ 43.0900001525879&amp;quot;&#10;## [1] &amp;quot;2013-11-06 00:00:00 XLP -300 @ 43.0900001525879&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLP 300 @ 42.6699981689453&amp;quot;&#10;## [1] &amp;quot;2013-11-08 00:00:00 XLP 300 @ 42.6699981689453&amp;quot;&#10;## [1] &amp;quot;2013-11-14 00:00:00 XLP -300 @ 43.2799987792969&amp;quot;&#10;## [1] &amp;quot;2013-11-14 00:00:00 XLP -300 @ 43.2799987792969&amp;quot;&#10;## [1] 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42.3699989318848&amp;quot;&#10;## [1] &amp;quot;2014-01-03 00:00:00 XLP 300 @ 42.3699989318848&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLP -300 @ 40.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-02-07 00:00:00 XLP -300 @ 40.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-03-14 00:00:00 XLP 300 @ 42.5800018310547&amp;quot;&#10;## [1] &amp;quot;2014-03-14 00:00:00 XLP 300 @ 42.5800018310547&amp;quot;&#10;## [1] &amp;quot;2014-03-18 00:00:00 XLP -300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2014-03-18 00:00:00 XLP -300 @ 42.9199981689453&amp;quot;&#10;## [1] &amp;quot;2014-03-20 00:00:00 XLP 300 @ 42.7400016784668&amp;quot;&#10;## [1] &amp;quot;2014-03-20 00:00:00 XLP 300 @ 42.7400016784668&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 XLP -300 @ 42.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-03-26 00:00:00 XLP -300 @ 42.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLP 300 @ 42.9900016784668&amp;quot;&#10;## [1] &amp;quot;2014-04-07 00:00:00 XLP 300 @ 42.9900016784668&amp;quot;&#10;## [1] &amp;quot;2014-04-09 00:00:00 XLP -300 @ 43.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-04-09 00:00:00 XLP -300 @ 43.4000015258789&amp;quot;&#10;## [1] &amp;quot;2014-04-11 00:00:00 XLP 300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2014-04-11 00:00:00 XLP 300 @ 42.75&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 XLP -300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2014-04-16 00:00:00 XLP -300 @ 43.6199989318848&amp;quot;&#10;## [1] &amp;quot;2014-05-06 00:00:00 XLP 300 @ 43.8199996948242&amp;quot;&#10;## [1] &amp;quot;2014-05-06 00:00:00 XLP 300 @ 43.8199996948242&amp;quot;&#10;## [1] &amp;quot;2014-05-08 00:00:00 XLP -300 @ 44.2999992370605&amp;quot;&#10;## [1] &amp;quot;2014-05-08 00:00:00 XLP -300 @ 44.2999992370605&amp;quot;&#10;## [1] &amp;quot;2014-05-15 00:00:00 XLP 300 @ 44.0099983215332&amp;quot;&#10;## [1] &amp;quot;2014-05-15 00:00:00 XLP 300 @ 44.0099983215332&amp;quot;&#10;## [1] &amp;quot;2014-05-28 00:00:00 XLP -300 @ 44.3400001525879&amp;quot;&#10;## [1] &amp;quot;2014-05-28 00:00:00 XLP -300 @ 44.3400001525879&amp;quot;&#10;## [1] &amp;quot;2014-06-12 00:00:00 XLP 300 @ 44.7200012207031&amp;quot;&#10;## [1] &amp;quot;2014-06-12 00:00:00 XLP 300 @ 44.7200012207031&amp;quot;&#10;## [1] &amp;quot;2014-06-19 00:00:00 XLP -300 @ 45.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-06-19 00:00:00 XLP -300 @ 45.6699981689453&amp;quot;&#10;## [1] &amp;quot;2014-06-24 00:00:00 XLP 300 @ 44.810001373291&amp;quot;&#10;## [1] &amp;quot;2014-06-24 00:00:00 XLP 300 @ 44.810001373291&amp;quot;&#10;## [1] &amp;quot;2014-07-03 00:00:00 XLP -300 @ 45.0900001525879&amp;quot;&#10;## [1] &amp;quot;2014-07-03 00:00:00 XLP -300 @ 45.0900001525879&amp;quot;&#10;## [1] &amp;quot;2014-07-16 00:00:00 XLP 300 @ 45.0299987792969&amp;quot;&#10;## [1] &amp;quot;2014-07-16 00:00:00 XLP 300 @ 45.0299987792969&amp;quot;&#10;## [1] &amp;quot;2014-07-21 00:00:00 XLP -300 @ 44.9900016784668&amp;quot;&#10;## [1] &amp;quot;2014-07-21 00:00:00 XLP -300 @ 44.9900016784668&amp;quot;&#10;## [1] &amp;quot;2014-07-24 00:00:00 XLP 300 @ 44.9700012207031&amp;quot;&#10;## [1] &amp;quot;2014-07-24 00:00:00 XLP 300 @ 44.9700012207031&amp;quot;&#10;## [1] &amp;quot;2014-08-07 00:00:00 XLP -300 @ 43.4300003051758&amp;quot;&#10;## [1] &amp;quot;2014-08-07 00:00:00 XLP -300 @ 43.4300003051758&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLP 300 @ 45.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-10 00:00:00 XLP 300 @ 45.3499984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 XLP -300 @ 45.5099983215332&amp;quot;&#10;## [1] &amp;quot;2014-09-17 00:00:00 XLP -300 @ 45.5099983215332&amp;quot;&#10;## [1] &amp;quot;2014-09-23 00:00:00 XLP 300 @ 44.9500007629395&amp;quot;&#10;## [1] &amp;quot;2014-09-23 00:00:00 XLP 300 @ 44.9500007629395&amp;quot;&#10;## [1] &amp;quot;2014-09-25 00:00:00 XLP -300 @ 44.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-09-25 00:00:00 XLP -300 @ 44.9300003051758&amp;quot;&#10;## [1] &amp;quot;2014-09-26 00:00:00 XLP 300 @ 45.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-09-26 00:00:00 XLP 300 @ 45.0999984741211&amp;quot;&#10;## [1] &amp;quot;2014-10-06 00:00:00 XLP -300 @ 45.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-06 00:00:00 XLP -300 @ 45.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-14 00:00:00 XLP 300 @ 44.9599990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-14 00:00:00 XLP 300 @ 44.9599990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 XLP -300 @ 45.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-10-21 00:00:00 XLP -300 @ 45.4599990844727&amp;quot;&#10;## [1] &amp;quot;2014-11-17 00:00:00 XLP 300 @ 48.0800018310547&amp;quot;&#10;## [1] &amp;quot;2014-11-17 00:00:00 XLP 300 @ 48.0800018310547&amp;quot;&#10;## [1] &amp;quot;2014-11-18 00:00:00 XLP -300 @ 48.2599983215332&amp;quot;&#10;## [1] &amp;quot;2014-11-18 00:00:00 XLP -300 @ 48.2599983215332&amp;quot;&#10;## [1] &amp;quot;2014-12-04 00:00:00 XLP 300 @ 48.7599983215332&amp;quot;&#10;## [1] &amp;quot;2014-12-04 00:00:00 XLP 300 @ 48.7599983215332&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 XLP -300 @ 49.0200004577637&amp;quot;&#10;## [1] &amp;quot;2014-12-18 00:00:00 XLP -300 @ 49.0200004577637&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLP 300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2014-12-31 00:00:00 XLP 300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2015-01-08 00:00:00 XLP -300 @ 49.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-01-08 00:00:00 XLP -300 @ 49.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-01-15 00:00:00 XLP 300 @ 48.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-01-15 00:00:00 XLP 300 @ 48.8800010681152&amp;quot;&#10;## [1] &amp;quot;2015-01-20 00:00:00 XLP -300 @ 49.4700012207031&amp;quot;&#10;## [1] &amp;quot;2015-01-20 00:00:00 XLP -300 @ 49.4700012207031&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLP 300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-01-28 00:00:00 XLP 300 @ 48.5099983215332&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLP -300 @ 49.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-04 00:00:00 XLP -300 @ 49.0400009155273&amp;quot;&#10;## [1] &amp;quot;2015-02-10 00:00:00 XLP 300 @ 49.2700004577637&amp;quot;&#10;## [1] &amp;quot;2015-02-10 00:00:00 XLP 300 @ 49.2700004577637&amp;quot;&#10;## [1] &amp;quot;2015-02-11 00:00:00 XLP -300 @ 49.5&amp;quot;&#10;## [1] &amp;quot;2015-02-11 00:00:00 XLP -300 @ 49.5&amp;quot;&#10;## [1] &amp;quot;2015-03-05 00:00:00 XLP 300 @ 49.7299995422363&amp;quot;&#10;## [1] &amp;quot;2015-03-05 00:00:00 XLP 300 @ 49.7299995422363&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLP -300 @ 48.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-03-17 00:00:00 XLP -300 @ 48.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLP 300 @ 48.4099998474121&amp;quot;&#10;## [1] &amp;quot;2015-03-26 00:00:00 XLP 300 @ 48.4099998474121&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLP -300 @ 48.7400016784668&amp;quot;&#10;## [1] &amp;quot;2015-03-31 00:00:00 XLP -300 @ 48.7400016784668&amp;quot;&#10;## [1] &amp;quot;2015-04-16 00:00:00 XLP 300 @ 49.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-04-16 00:00:00 XLP 300 @ 49.5200004577637&amp;quot;&#10;## [1] &amp;quot;2015-05-05 00:00:00 XLP -300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2015-05-05 00:00:00 XLP -300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2015-05-06 00:00:00 XLP 300 @ 48.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-05-06 00:00:00 XLP 300 @ 48.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLP -300 @ 48.9700012207031&amp;quot;&#10;## [1] &amp;quot;2015-05-11 00:00:00 XLP -300 @ 48.9700012207031&amp;quot;&#10;## [1] &amp;quot;2015-05-21 00:00:00 XLP 300 @ 49.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-05-21 00:00:00 XLP 300 @ 49.4599990844727&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLP -300 @ 48.25&amp;quot;&#10;## [1] &amp;quot;2015-06-11 00:00:00 XLP -300 @ 48.25&amp;quot;&#10;## [1] &amp;quot;2015-06-16 00:00:00 XLP 300 @ 48.2299995422363&amp;quot;&#10;## [1] &amp;quot;2015-06-16 00:00:00 XLP 300 @ 48.2299995422363&amp;quot;&#10;## [1] &amp;quot;2015-06-17 00:00:00 XLP -300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2015-06-17 00:00:00 XLP -300 @ 48.4900016784668&amp;quot;&#10;## [1] &amp;quot;2015-06-25 00:00:00 XLP 300 @ 48.3300018310547&amp;quot;&#10;## [1] &amp;quot;2015-06-25 00:00:00 XLP 300 @ 48.3300018310547&amp;quot;&#10;## [1] &amp;quot;2015-07-02 00:00:00 XLP -300 @ 48.1699981689453&amp;quot;&#10;## [1] &amp;quot;2015-07-02 00:00:00 XLP -300 @ 48.1699981689453&amp;quot;&#10;## [1] &amp;quot;2015-07-24 00:00:00 XLP 300 @ 49.6800003051758&amp;quot;&#10;## [1] &amp;quot;2015-07-24 00:00:00 XLP 300 @ 49.6800003051758&amp;quot;&#10;## [1] &amp;quot;2015-07-29 00:00:00 XLP -300 @ 50.3800010681152&amp;quot;&#10;## [1] &amp;quot;2015-07-29 00:00:00 XLP -300 @ 50.3800010681152&amp;quot;&#10;## [1] &amp;quot;2015-08-10 00:00:00 XLP 300 @ 50.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-08-10 00:00:00 XLP 300 @ 50.3499984741211&amp;quot;&#10;## [1] &amp;quot;2015-08-28 00:00:00 XLP -300 @ 47.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-08-28 00:00:00 XLP -300 @ 47.6399993896484&amp;quot;&#10;## [1] &amp;quot;2015-09-02 00:00:00 XLP 300 @ 46.9700012207031&amp;quot;&#10;## [1] &amp;quot;2015-09-02 00:00:00 XLP 300 @ 46.9700012207031&amp;quot;&#10;## [1] &amp;quot;2015-09-09 00:00:00 XLP -300 @ 46.7099990844727&amp;quot;&#10;## [1] &amp;quot;2015-09-09 00:00:00 XLP -300 @ 46.7099990844727&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLP 300 @ 47.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-09-21 00:00:00 XLP 300 @ 47.5400009155273&amp;quot;&#10;## [1] &amp;quot;2015-09-28 00:00:00 XLP -300 @ 46.7799987792969&amp;quot;&#10;## [1] &amp;quot;2015-09-28 00:00:00 XLP -300 @ 46.7799987792969&amp;quot;&#10;## [1] &amp;quot;2015-09-29 00:00:00 XLP 300 @ 46.7599983215332&amp;quot;&#10;## [1] &amp;quot;2015-09-29 00:00:00 XLP 300 @ 46.7599983215332&amp;quot;&#10;## [1] &amp;quot;2015-10-01 00:00:00 XLP -300 @ 47.189998626709&amp;quot;&#10;## [1] &amp;quot;2015-10-01 00:00:00 XLP -300 @ 47.189998626709&amp;quot;&#10;## [1] &amp;quot;2015-10-15 00:00:00 XLP 300 @ 49.1599998474121&amp;quot;&#10;## [1] &amp;quot;2015-10-15 00:00:00 XLP 300 @ 49.1599998474121&amp;quot;&#10;## [1] &amp;quot;2015-10-19 00:00:00 XLP -300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-10-19 00:00:00 XLP -300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2015-10-29 00:00:00 XLP 300 @ 50.439998626709&amp;quot;&#10;## [1] &amp;quot;2015-10-29 00:00:00 XLP 300 @ 50.439998626709&amp;quot;&#10;## [1] &amp;quot;2015-11-19 00:00:00 XLP -300 @ 49.4300003051758&amp;quot;&#10;## [1] &amp;quot;2015-11-19 00:00:00 XLP -300 @ 49.4300003051758&amp;quot;&#10;## [1] &amp;quot;2015-12-01 00:00:00 XLP 300 @ 49.8400001525879&amp;quot;&#10;## [1] 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49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2016-01-13 00:00:00 XLP -300 @ 48.8400001525879&amp;quot;&#10;## [1] &amp;quot;2016-01-13 00:00:00 XLP -300 @ 48.8400001525879&amp;quot;&#10;## [1] &amp;quot;2016-01-14 00:00:00 XLP 300 @ 49.0699996948242&amp;quot;&#10;## [1] &amp;quot;2016-01-14 00:00:00 XLP 300 @ 49.0699996948242&amp;quot;&#10;## [1] &amp;quot;2016-01-25 00:00:00 XLP -300 @ 48.8499984741211&amp;quot;&#10;## [1] &amp;quot;2016-01-25 00:00:00 XLP -300 @ 48.8499984741211&amp;quot;&#10;## [1] &amp;quot;2016-02-05 00:00:00 XLP 300 @ 49.6300010681152&amp;quot;&#10;## [1] &amp;quot;2016-02-05 00:00:00 XLP 300 @ 49.6300010681152&amp;quot;&#10;## [1] &amp;quot;2016-02-16 00:00:00 XLP -300 @ 50.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-02-16 00:00:00 XLP -300 @ 50.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-03-01 00:00:00 XLP 300 @ 51.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-03-01 00:00:00 XLP 300 @ 51.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-03-03 00:00:00 XLP -300 @ 51.8199996948242&amp;quot;&#10;## [1] &amp;quot;2016-03-03 00:00:00 XLP -300 @ 51.8199996948242&amp;quot;&#10;## [1] &amp;quot;2016-03-23 00:00:00 XLP 300 @ 52.3800010681152&amp;quot;&#10;## [1] &amp;quot;2016-03-23 00:00:00 XLP 300 @ 52.3800010681152&amp;quot;&#10;## [1] &amp;quot;2016-03-29 00:00:00 XLP -300 @ 52.9900016784668&amp;quot;&#10;## [1] &amp;quot;2016-03-29 00:00:00 XLP -300 @ 52.9900016784668&amp;quot;&#10;## [1] &amp;quot;2016-04-08 00:00:00 XLP 300 @ 53.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-04-08 00:00:00 XLP 300 @ 53.4099998474121&amp;quot;&#10;## [1] &amp;quot;2016-04-19 00:00:00 XLP -300 @ 53.310001373291&amp;quot;&#10;## [1] &amp;quot;2016-04-19 00:00:00 XLP -300 @ 53.310001373291&amp;quot;&#10;## [1] &amp;quot;2016-04-21 00:00:00 XLP 300 @ 51.7700004577637&amp;quot;&#10;## [1] &amp;quot;2016-04-21 00:00:00 XLP 300 @ 51.7700004577637&amp;quot;&#10;## [1] &amp;quot;2016-04-29 00:00:00 XLP -300 @ 52.2999992370605&amp;quot;&#10;## [1] &amp;quot;2016-04-29 00:00:00 XLP -300 @ 52.2999992370605&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLP 300 @ 53.5800018310547&amp;quot;&#10;## [1] &amp;quot;2016-05-16 00:00:00 XLP 300 @ 53.5800018310547&amp;quot;&#10;## [1] &amp;quot;2016-05-25 00:00:00 XLP -300 @ 52.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-05-25 00:00:00 XLP -300 @ 52.7299995422363&amp;quot;&#10;## [1] &amp;quot;2016-06-01 00:00:00 XLP 300 @ 53.2000007629395&amp;quot;&#10;## [1] &amp;quot;2016-06-01 00:00:00 XLP 300 @ 53.2000007629395&amp;quot;&#10;## [1] &amp;quot;2016-06-02 00:00:00 XLP -300 @ 53.2200012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-02 00:00:00 XLP -300 @ 53.2200012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-14 00:00:00 XLP 300 @ 53.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-14 00:00:00 XLP 300 @ 53.8899993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-17 00:00:00 XLP -300 @ 53.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-17 00:00:00 XLP -300 @ 53.4700012207031&amp;quot;&#10;## [1] &amp;quot;2016-06-20 00:00:00 XLP 300 @ 53.6399993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-20 00:00:00 XLP 300 @ 53.6399993896484&amp;quot;&#10;## [1] &amp;quot;2016-06-24 00:00:00 XLP -300 @ 53.0999984741211&amp;quot;&#10;## [1] &amp;quot;2016-06-24 00:00:00 XLP -300 @ 53.0999984741211&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLP 300 @ 52.9900016784668&amp;quot;&#10;## [1] &amp;quot;2016-06-27 00:00:00 XLP 300 @ 52.9900016784668&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLP -300 @ 55.1500015258789&amp;quot;&#10;## [1] &amp;quot;2016-06-30 00:00:00 XLP -300 @ 55.1500015258789&amp;quot;&#10;## [1] &amp;quot;2016-07-20 00:00:00 XLP 300 @ 55.4000015258789&amp;quot;&#10;## [1] &amp;quot;2016-07-20 00:00:00 XLP 300 @ 55.4000015258789&amp;quot;&#10;## [1] &amp;quot;2016-08-10 00:00:00 XLP -300 @ 54.9000015258789&amp;quot;&#10;## [1] &amp;quot;2016-08-10 00:00:00 XLP -300 @ 54.9000015258789&amp;quot;&#10;## [1] &amp;quot;2016-08-17 00:00:00 XLP 300 @ 54.8600006103516&amp;quot;&#10;## [1] &amp;quot;2016-08-17 00:00:00 XLP 300 @ 54.8600006103516&amp;quot;&#10;## [1] &amp;quot;2016-08-19 00:00:00 XLP -300 @ 54.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-08-19 00:00:00 XLP -300 @ 54.9199981689453&amp;quot;&#10;## [1] &amp;quot;2016-08-25 00:00:00 XLP 300 @ 54.5900001525879&amp;quot;&#10;## [1] &amp;quot;2016-08-25 00:00:00 XLP 300 @ 54.5900001525879&amp;quot;&#10;## [1] &amp;quot;2016-09-06 00:00:00 XLP -300 @ 54.939998626709&amp;quot;&#10;## [1] &amp;quot;2016-09-06 00:00:00 XLP -300 @ 54.939998626709&amp;quot;&#10;## [1] &amp;quot;2016-09-08 00:00:00 XLP 300 @ 54.1599998474121&amp;quot;&#10;## [1] &amp;quot;2016-09-08 00:00:00 XLP 300 @ 54.1599998474121&amp;quot;&#10;## [1] &amp;quot;2016-09-22 00:00:00 XLP -300 @ 53.5800018310547&amp;quot;&#10;## [1] &amp;quot;2016-09-22 00:00:00 XLP -300 @ 53.5800018310547&amp;quot;&#10;## [1] &amp;quot;2016-09-27 00:00:00 XLP 300 @ 53.1100006103516&amp;quot;&#10;## [1] &amp;quot;2016-09-27 00:00:00 XLP 300 @ 53.1100006103516&amp;quot;&#10;## [1] &amp;quot;2016-10-24 00:00:00 XLP -300 @ 52.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-10-24 00:00:00 XLP -300 @ 52.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-10-28 00:00:00 XLP 300 @ 52.6699981689453&amp;quot;&#10;## [1] &amp;quot;2016-10-28 00:00:00 XLP 300 @ 52.6699981689453&amp;quot;&#10;## [1] &amp;quot;2016-11-01 00:00:00 XLP -300 @ 52.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-01 00:00:00 XLP -300 @ 52.5699996948242&amp;quot;&#10;## [1] &amp;quot;2016-11-03 00:00:00 XLP 300 @ 52.0800018310547&amp;quot;&#10;## [1] &amp;quot;2016-11-03 00:00:00 XLP 300 @ 52.0800018310547&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLP -300 @ 52.7000007629395&amp;quot;&#10;## [1] &amp;quot;2016-11-08 00:00:00 XLP -300 @ 52.7000007629395&amp;quot;&#10;## [1] &amp;quot;2016-11-10 00:00:00 XLP 300 @ 50.5900001525879&amp;quot;&#10;## [1] &amp;quot;2016-11-10 00:00:00 XLP 300 @ 50.5900001525879&amp;quot;&#10;## [1] &amp;quot;2016-11-22 00:00:00 XLP -300 @ 51.0999984741211&amp;quot;&#10;## [1] &amp;quot;2016-11-22 00:00:00 XLP -300 @ 51.0999984741211&amp;quot;&#10;## [1] &amp;quot;2016-12-01 00:00:00 XLP 300 @ 50.25&amp;quot;&#10;## [1] &amp;quot;2016-12-01 00:00:00 XLP 300 @ 50.25&amp;quot;&#10;## [1] &amp;quot;2016-12-07 00:00:00 XLP -300 @ 51.5099983215332&amp;quot;&#10;## [1] &amp;quot;2016-12-07 00:00:00 XLP -300 @ 51.5099983215332&amp;quot;&#10;## [1] &amp;quot;2016-12-23 00:00:00 XLP 300 @ 52.060001373291&amp;quot;&#10;## [1] &amp;quot;2016-12-23 00:00:00 XLP 300 @ 52.060001373291&amp;quot;&#10;## [1] &amp;quot;2017-01-06 00:00:00 XLP -300 @ 52.1199989318848&amp;quot;&#10;## [1] &amp;quot;2017-01-06 00:00:00 XLP -300 @ 52.1199989318848&amp;quot;&#10;## [1] &amp;quot;2017-01-10 00:00:00 XLP 300 @ 51.439998626709&amp;quot;&#10;## [1] &amp;quot;2017-01-10 00:00:00 XLP 300 @ 51.439998626709&amp;quot;&#10;## [1] &amp;quot;2017-01-18 00:00:00 XLP -300 @ 52.4300003051758&amp;quot;&#10;## [1] &amp;quot;2017-01-18 00:00:00 XLP -300 @ 52.4300003051758&amp;quot;&#10;## [1] &amp;quot;2017-01-30 00:00:00 XLP 300 @ 52.3400001525879&amp;quot;&#10;## [1] &amp;quot;2017-01-30 00:00:00 XLP 300 @ 52.3400001525879&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLP -300 @ 52.7099990844727&amp;quot;&#10;## [1] &amp;quot;2017-02-06 00:00:00 XLP -300 @ 52.7099990844727&amp;quot;&#10;## [1] &amp;quot;2017-03-06 00:00:00 XLP 300 @ 54.9000015258789&amp;quot;&#10;## [1] &amp;quot;2017-03-06 00:00:00 XLP 300 @ 54.9000015258789&amp;quot;&#10;## [1] &amp;quot;2017-03-13 00:00:00 XLP -300 @ 55.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-13 00:00:00 XLP -300 @ 55.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-20 00:00:00 XLP 300 @ 55.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-20 00:00:00 XLP 300 @ 55.0900001525879&amp;quot;&#10;## [1] &amp;quot;2017-03-30 00:00:00 XLP -300 @ 54.7400016784668&amp;quot;&#10;## [1] &amp;quot;2017-03-30 00:00:00 XLP -300 @ 54.7400016784668&amp;quot;&#10;## [1] &amp;quot;2017-04-03 00:00:00 XLP 300 @ 54.4900016784668&amp;quot;&#10;## [1] &amp;quot;2017-04-03 00:00:00 XLP 300 @ 54.4900016784668&amp;quot;&#10;## [1] &amp;quot;2017-04-10 00:00:00 XLP -300 @ 54.8600006103516&amp;quot;&#10;## [1] &amp;quot;2017-04-10 00:00:00 XLP -300 @ 54.8600006103516&amp;quot;&#10;## [1] &amp;quot;2017-04-24 00:00:00 XLP 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2017-04-24 00:00:00 XLP 300 @ 55.5&amp;quot;&#10;## [1] &amp;quot;2017-04-25 00:00:00 XLP -300 @ 55.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-04-25 00:00:00 XLP -300 @ 55.7200012207031&amp;quot;&#10;## [1] &amp;quot;2017-04-28 00:00:00 XLP 300 @ 55.1800003051758&amp;quot;&#10;## [1] &amp;quot;2017-04-28 00:00:00 XLP 300 @ 55.1800003051758&amp;quot;&#10;## [1] &amp;quot;2017-05-05 00:00:00 XLP -300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-05-05 00:00:00 XLP -300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-05-10 00:00:00 XLP 300 @ 55.0400009155273&amp;quot;&#10;## [1] &amp;quot;2017-05-10 00:00:00 XLP 300 @ 55.0400009155273&amp;quot;&#10;## [1] &amp;quot;2017-05-22 00:00:00 XLP -300 @ 55.6599998474121&amp;quot;&#10;## [1] &amp;quot;2017-05-22 00:00:00 XLP -300 @ 55.6599998474121&amp;quot;&#10;## [1] &amp;quot;2017-06-09 00:00:00 XLP 300 @ 56.6699981689453&amp;quot;&#10;## [1] &amp;quot;2017-06-09 00:00:00 XLP 300 @ 56.6699981689453&amp;quot;&#10;## [1] &amp;quot;2017-06-15 00:00:00 XLP -300 @ 56.9799995422363&amp;quot;&#10;## [1] &amp;quot;2017-06-15 00:00:00 XLP -300 @ 56.9799995422363&amp;quot;&#10;## [1] &amp;quot;2017-06-19 00:00:00 XLP 300 @ 56.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-06-19 00:00:00 XLP 300 @ 56.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-07-17 00:00:00 XLP -300 @ 54.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-07-17 00:00:00 XLP -300 @ 54.7799987792969&amp;quot;&#10;## [1] &amp;quot;2017-08-02 00:00:00 XLP 300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-08-02 00:00:00 XLP 300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-08-08 00:00:00 XLP -300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-08-08 00:00:00 XLP -300 @ 55.2200012207031&amp;quot;&#10;## [1] &amp;quot;2017-08-11 00:00:00 XLP 300 @ 55.1199989318848&amp;quot;&#10;## [1] &amp;quot;2017-08-11 00:00:00 XLP 300 @ 55.1199989318848&amp;quot;&#10;## [1] &amp;quot;2017-08-15 00:00:00 XLP -300 @ 55.6699981689453&amp;quot;&#10;## [1] &amp;quot;2017-08-15 00:00:00 XLP -300 @ 55.6699981689453&amp;quot;&#10;## [1] &amp;quot;2017-08-18 00:00:00 XLP 300 @ 55.2000007629395&amp;quot;&#10;## [1] &amp;quot;2017-08-18 00:00:00 XLP 300 @ 55.2000007629395&amp;quot;&#10;## [1] &amp;quot;2017-09-05 00:00:00 XLP -300 @ 55.0499992370605&amp;quot;&#10;## [1] &amp;quot;2017-09-05 00:00:00 XLP -300 @ 55.0499992370605&amp;quot;&#10;## [1] &amp;quot;2017-09-18 00:00:00 XLP 300 @ 55.2999992370605&amp;quot;&#10;## [1] &amp;quot;2017-09-18 00:00:00 XLP 300 @ 55.2999992370605&amp;quot;&#10;## [1] &amp;quot;2017-10-05 00:00:00 XLP -300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-10-05 00:00:00 XLP -300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2017-10-09 00:00:00 XLP 300 @ 53.6599998474121&amp;quot;&#10;## [1] &amp;quot;2017-10-09 00:00:00 XLP 300 @ 53.6599998474121&amp;quot;&#10;## [1] &amp;quot;2017-10-11 00:00:00 XLP -300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2017-10-11 00:00:00 XLP -300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2017-10-18 00:00:00 XLP 300 @ 54.3199996948242&amp;quot;&#10;## [1] &amp;quot;2017-10-18 00:00:00 XLP 300 @ 54.3199996948242&amp;quot;&#10;## [1] &amp;quot;2017-11-09 00:00:00 XLP -300 @ 53.7299995422363&amp;quot;&#10;## [1] &amp;quot;2017-11-09 00:00:00 XLP -300 @ 53.7299995422363&amp;quot;&#10;## [1] &amp;quot;2017-12-22 00:00:00 XLP 300 @ 56.8699989318848&amp;quot;&#10;## [1] &amp;quot;2017-12-22 00:00:00 XLP 300 @ 56.8699989318848&amp;quot;&#10;## [1] &amp;quot;2017-12-27 00:00:00 XLP -300 @ 56.9900016784668&amp;quot;&#10;## [1] &amp;quot;2017-12-27 00:00:00 XLP -300 @ 56.9900016784668&amp;quot;&#10;## [1] &amp;quot;2018-01-02 00:00:00 XLP 300 @ 56.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-01-02 00:00:00 XLP 300 @ 56.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-01-08 00:00:00 XLP -300 @ 57.0699996948242&amp;quot;&#10;## [1] &amp;quot;2018-01-08 00:00:00 XLP -300 @ 57.0699996948242&amp;quot;&#10;## [1] &amp;quot;2018-01-11 00:00:00 XLP 300 @ 56.6300010681152&amp;quot;&#10;## [1] &amp;quot;2018-01-11 00:00:00 XLP 300 @ 56.6300010681152&amp;quot;&#10;## [1] &amp;quot;2018-01-17 00:00:00 XLP -300 @ 57.560001373291&amp;quot;&#10;## [1] &amp;quot;2018-01-17 00:00:00 XLP -300 @ 57.560001373291&amp;quot;&#10;## [1] &amp;quot;2018-01-31 00:00:00 XLP 300 @ 57.8199996948242&amp;quot;&#10;## [1] &amp;quot;2018-01-31 00:00:00 XLP 300 @ 57.8199996948242&amp;quot;&#10;## [1] &amp;quot;2018-02-14 00:00:00 XLP -300 @ 54.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-02-14 00:00:00 XLP -300 @ 54.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-02-21 00:00:00 XLP 300 @ 53.689998626709&amp;quot;&#10;## [1] &amp;quot;2018-02-21 00:00:00 XLP 300 @ 53.689998626709&amp;quot;&#10;## [1] &amp;quot;2018-02-27 00:00:00 XLP -300 @ 53.9700012207031&amp;quot;&#10;## [1] &amp;quot;2018-02-27 00:00:00 XLP -300 @ 53.9700012207031&amp;quot;&#10;## [1] &amp;quot;2018-02-28 00:00:00 XLP 300 @ 53.4099998474121&amp;quot;&#10;## [1] &amp;quot;2018-02-28 00:00:00 XLP 300 @ 53.4099998474121&amp;quot;&#10;## [1] &amp;quot;2018-03-06 00:00:00 XLP -300 @ 54.25&amp;quot;&#10;## [1] &amp;quot;2018-03-06 00:00:00 XLP -300 @ 54.25&amp;quot;&#10;## [1] &amp;quot;2018-03-08 00:00:00 XLP 300 @ 54.25&amp;quot;&#10;## [1] &amp;quot;2018-03-08 00:00:00 XLP 300 @ 54.25&amp;quot;&#10;## [1] &amp;quot;2018-03-12 00:00:00 XLP -300 @ 54.5&amp;quot;&#10;## [1] &amp;quot;2018-03-12 00:00:00 XLP -300 @ 54.5&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLP 300 @ 53.5299987792969&amp;quot;&#10;## [1] &amp;quot;2018-03-15 00:00:00 XLP 300 @ 53.5299987792969&amp;quot;&#10;## [1] &amp;quot;2018-03-29 00:00:00 XLP -300 @ 52.6300010681152&amp;quot;&#10;## [1] &amp;quot;2018-03-29 00:00:00 XLP -300 @ 52.6300010681152&amp;quot;&#10;## [1] &amp;quot;2018-04-03 00:00:00 XLP 300 @ 52.0200004577637&amp;quot;&#10;## [1] &amp;quot;2018-04-03 00:00:00 XLP 300 @ 52.0200004577637&amp;quot;&#10;## [1] &amp;quot;2018-04-05 00:00:00 XLP -300 @ 52.9599990844727&amp;quot;&#10;## [1] &amp;quot;2018-04-05 00:00:00 XLP -300 @ 52.9599990844727&amp;quot;&#10;## [1] &amp;quot;2018-04-13 00:00:00 XLP 300 @ 52.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-04-13 00:00:00 XLP 300 @ 52.5900001525879&amp;quot;&#10;## [1] &amp;quot;2018-04-16 00:00:00 XLP -300 @ 53.1599998474121&amp;quot;&#10;## [1] &amp;quot;2018-04-16 00:00:00 XLP -300 @ 53.1599998474121&amp;quot;&#10;## [1] &amp;quot;2018-04-20 00:00:00 XLP 300 @ 50.4900016784668&amp;quot;&#10;## [1] &amp;quot;2018-04-20 00:00:00 XLP 300 @ 50.4900016784668&amp;quot;&#10;## [1] &amp;quot;2018-04-30 00:00:00 XLP -300 @ 50.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-04-30 00:00:00 XLP -300 @ 50.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-05-02 00:00:00 XLP 300 @ 49.0299987792969&amp;quot;&#10;## [1] &amp;quot;2018-05-02 00:00:00 XLP 300 @ 49.0299987792969&amp;quot;&#10;## [1] &amp;quot;2018-05-11 00:00:00 XLP -300 @ 49.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-05-11 00:00:00 XLP -300 @ 49.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-05-16 00:00:00 XLP 300 @ 49.6800003051758&amp;quot;&#10;## [1] &amp;quot;2018-05-16 00:00:00 XLP 300 @ 49.6800003051758&amp;quot;&#10;## [1] &amp;quot;2018-05-17 00:00:00 XLP -300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2018-05-17 00:00:00 XLP -300 @ 49.8499984741211&amp;quot;&#10;## [1] &amp;quot;2018-06-19 00:00:00 XLP 300 @ 51.060001373291&amp;quot;&#10;## [1] &amp;quot;2018-06-19 00:00:00 XLP 300 @ 51.060001373291&amp;quot;&#10;## [1] &amp;quot;2018-06-25 00:00:00 XLP -300 @ 51.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-06-25 00:00:00 XLP -300 @ 51.8899993896484&amp;quot;&#10;## [1] &amp;quot;2018-07-02 00:00:00 XLP 300 @ 51.2299995422363&amp;quot;&#10;## [1] &amp;quot;2018-07-02 00:00:00 XLP 300 @ 51.2299995422363&amp;quot;&#10;## [1] &amp;quot;2018-07-06 00:00:00 XLP -300 @ 52.2200012207031&amp;quot;&#10;## [1] &amp;quot;2018-07-06 00:00:00 XLP -300 @ 52.2200012207031&amp;quot;&#10;## [1] &amp;quot;2018-08-02 00:00:00 XLP 300 @ 53.6599998474121&amp;quot;&#10;## [1] &amp;quot;2018-08-02 00:00:00 XLP 300 @ 53.6599998474121&amp;quot;&#10;## [1] &amp;quot;2018-08-03 00:00:00 XLP -300 @ 54.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-03 00:00:00 XLP -300 @ 54.2900009155273&amp;quot;&#10;## [1] &amp;quot;2018-08-09 00:00:00 XLP 300 @ 53.439998626709&amp;quot;&#10;## [1] &amp;quot;2018-08-09 00:00:00 XLP 300 @ 53.439998626709&amp;quot;&#10;## [1] &amp;quot;2018-08-15 00:00:00 XLP -300 @ 53.8300018310547&amp;quot;&#10;## [1] &amp;quot;2018-08-15 00:00:00 XLP -300 @ 53.8300018310547&amp;quot;&#10;## [1] &amp;quot;2018-08-23 00:00:00 XLP 300 @ 54.1300010681152&amp;quot;&#10;## [1] &amp;quot;2018-08-23 00:00:00 XLP 300 @ 54.1300010681152&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLP -300 @ 54.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-09-06 00:00:00 XLP -300 @ 54.4799995422363&amp;quot;&#10;## [1] &amp;quot;2018-09-20 00:00:00 XLP 300 @ 55.3199996948242&amp;quot;&#10;## [1] &amp;quot;2018-09-20 00:00:00 XLP 300 @ 55.3199996948242&amp;quot;&#10;## [1] &amp;quot;2018-09-21 00:00:00 XLP -300 @ 55.0200004577637&amp;quot;&#10;## [1] &amp;quot;2018-09-21 00:00:00 XLP -300 @ 55.0200004577637&amp;quot;&#10;## [1] &amp;quot;2018-09-25 00:00:00 XLP 300 @ 53.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-09-25 00:00:00 XLP 300 @ 53.8600006103516&amp;quot;&#10;## [1] &amp;quot;2018-10-03 00:00:00 XLP -300 @ 53.6199989318848&amp;quot;&#10;## [1] &amp;quot;2018-10-03 00:00:00 XLP -300 @ 53.6199989318848&amp;quot;&#10;## [1] &amp;quot;2018-10-04 00:00:00 XLP 300 @ 53.4900016784668&amp;quot;&#10;## [1] &amp;quot;2018-10-04 00:00:00 XLP 300 @ 53.4900016784668&amp;quot;&#10;## [1] &amp;quot;2018-10-09 00:00:00 XLP -300 @ 54.060001373291&amp;quot;&#10;## [1] &amp;quot;2018-10-09 00:00:00 XLP -300 @ 54.060001373291&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLP 300 @ 52.0900001525879&amp;quot;&#10;## [1] &amp;quot;2018-10-11 00:00:00 XLP 300 @ 52.0900001525879&amp;quot;&#10;## [1] &amp;quot;2018-10-17 00:00:00 XLP -300 @ 53.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-10-17 00:00:00 XLP -300 @ 53.5400009155273&amp;quot;&#10;## [1] &amp;quot;2018-10-29 00:00:00 XLP 300 @ 54.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-10-29 00:00:00 XLP 300 @ 54.4500007629395&amp;quot;&#10;## [1] &amp;quot;2018-10-31 00:00:00 XLP -300 @ 55.0099983215332&amp;quot;&#10;## [1] &amp;quot;2018-10-31 00:00:00 XLP -300 @ 55.0099983215332&amp;quot;&#10;## [1] &amp;quot;2018-11-15 00:00:00 XLP 300 @ 55.9199981689453&amp;quot;&#10;## [1] &amp;quot;2018-11-15 00:00:00 XLP 300 @ 55.9199981689453&amp;quot;&#10;## [1] &amp;quot;2018-11-28 00:00:00 XLP -300 @ 55.810001373291&amp;quot;&#10;## [1] &amp;quot;2018-11-28 00:00:00 XLP -300 @ 55.810001373291&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLP 300 @ 55.4199981689453&amp;quot;&#10;## [1] &amp;quot;2018-12-06 00:00:00 XLP 300 @ 55.4199981689453&amp;quot;&#10;## [1] &amp;quot;2018-12-14 00:00:00 XLP -300 @ 54.5&amp;quot;&#10;## [1] &amp;quot;2018-12-14 00:00:00 XLP -300 @ 54.5&amp;quot;&#10;## [1] &amp;quot;2018-12-17 00:00:00 XLP 300 @ 53.2400016784668&amp;quot;&#10;## [1] &amp;quot;2018-12-17 00:00:00 XLP 300 @ 53.2400016784668&amp;quot;&#10;## [1] &amp;quot;2019-01-02 00:00:00 XLP -300 @ 50.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-01-02 00:00:00 XLP -300 @ 50.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLP 300 @ 51.2599983215332&amp;quot;&#10;## [1] &amp;quot;2019-01-04 00:00:00 XLP 300 @ 51.2599983215332&amp;quot;&#10;## [1] &amp;quot;2019-01-07 00:00:00 XLP -300 @ 51.189998626709&amp;quot;&#10;## [1] &amp;quot;2019-01-07 00:00:00 XLP -300 @ 51.189998626709&amp;quot;&#10;## [1] &amp;quot;2019-01-28 00:00:00 XLP 300 @ 51.9500007629395&amp;quot;&#10;## [1] &amp;quot;2019-01-28 00:00:00 XLP 300 @ 51.9500007629395&amp;quot;&#10;## [1] &amp;quot;2019-01-31 00:00:00 XLP -300 @ 53.3899993896484&amp;quot;&#10;## [1] &amp;quot;2019-01-31 00:00:00 XLP -300 @ 53.3899993896484&amp;quot;&#10;## [1] &amp;quot;2019-02-15 00:00:00 XLP 300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2019-02-15 00:00:00 XLP 300 @ 54.3499984741211&amp;quot;&#10;## [1] &amp;quot;2019-02-20 00:00:00 XLP -300 @ 54.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-02-20 00:00:00 XLP -300 @ 54.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-02-26 00:00:00 XLP 300 @ 54.1599998474121&amp;quot;&#10;## [1] &amp;quot;2019-02-26 00:00:00 XLP 300 @ 54.1599998474121&amp;quot;&#10;## [1] &amp;quot;2019-03-01 00:00:00 XLP -300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2019-03-01 00:00:00 XLP -300 @ 54.2400016784668&amp;quot;&#10;## [1] &amp;quot;2019-03-05 00:00:00 XLP 300 @ 54.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-03-05 00:00:00 XLP 300 @ 54.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLP -300 @ 54.4300003051758&amp;quot;&#10;## [1] &amp;quot;2019-03-12 00:00:00 XLP -300 @ 54.4300003051758&amp;quot;&#10;## [1] &amp;quot;2019-03-21 00:00:00 XLP 300 @ 55.1500015258789&amp;quot;&#10;## [1] &amp;quot;2019-03-21 00:00:00 XLP 300 @ 55.1500015258789&amp;quot;&#10;## [1] &amp;quot;2019-03-22 00:00:00 XLP -300 @ 55.0800018310547&amp;quot;&#10;## [1] &amp;quot;2019-03-22 00:00:00 XLP -300 @ 55.0800018310547&amp;quot;&#10;## [1] &amp;quot;2019-04-03 00:00:00 XLP 300 @ 55.189998626709&amp;quot;&#10;## [1] &amp;quot;2019-04-03 00:00:00 XLP 300 @ 55.189998626709&amp;quot;&#10;## [1] &amp;quot;2019-04-09 00:00:00 XLP -300 @ 55.75&amp;quot;&#10;## [1] &amp;quot;2019-04-09 00:00:00 XLP -300 @ 55.75&amp;quot;&#10;## [1] &amp;quot;2019-04-24 00:00:00 XLP 300 @ 56.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-04-24 00:00:00 XLP 300 @ 56.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-04-29 00:00:00 XLP -300 @ 57.0499992370605&amp;quot;&#10;## [1] &amp;quot;2019-04-29 00:00:00 XLP -300 @ 57.0499992370605&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLP 300 @ 56.7400016784668&amp;quot;&#10;## [1] &amp;quot;2019-05-08 00:00:00 XLP 300 @ 56.7400016784668&amp;quot;&#10;## [1] &amp;quot;2019-05-13 00:00:00 XLP -300 @ 56.7700004577637&amp;quot;&#10;## [1] &amp;quot;2019-05-13 00:00:00 XLP -300 @ 56.7700004577637&amp;quot;&#10;## [1] &amp;quot;2019-05-22 00:00:00 XLP 300 @ 57.75&amp;quot;&#10;## [1] &amp;quot;2019-05-22 00:00:00 XLP 300 @ 57.75&amp;quot;&#10;## [1] &amp;quot;2019-05-23 00:00:00 XLP -300 @ 57.7299995422363&amp;quot;&#10;## [1] &amp;quot;2019-05-23 00:00:00 XLP -300 @ 57.7299995422363&amp;quot;&#10;## [1] &amp;quot;2019-05-28 00:00:00 XLP 300 @ 56.5800018310547&amp;quot;&#10;## [1] &amp;quot;2019-05-28 00:00:00 XLP 300 @ 56.5800018310547&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLP -300 @ 57.4700012207031&amp;quot;&#10;## [1] &amp;quot;2019-06-05 00:00:00 XLP -300 @ 57.4700012207031&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLP 300 @ 58.8400001525879&amp;quot;&#10;## [1] &amp;quot;2019-06-19 00:00:00 XLP 300 @ 58.8400001525879&amp;quot;&#10;## [1] &amp;quot;2019-06-21 00:00:00 XLP -300 @ 58.7200012207031&amp;quot;&#10;## [1] &amp;quot;2019-06-21 00:00:00 XLP -300 @ 58.7200012207031&amp;quot;&#10;## [1] &amp;quot;2019-06-27 00:00:00 XLP 300 @ 58.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-06-27 00:00:00 XLP 300 @ 58.1100006103516&amp;quot;&#10;## [1] &amp;quot;2019-07-02 00:00:00 XLP -300 @ 58.9300003051758&amp;quot;&#10;## [1] &amp;quot;2019-07-02 00:00:00 XLP -300 @ 58.9300003051758&amp;quot;&#10;## [1] &amp;quot;2019-07-10 00:00:00 XLP 300 @ 59.5099983215332&amp;quot;&#10;## [1] &amp;quot;2019-07-10 00:00:00 XLP 300 @ 59.5099983215332&amp;quot;&#10;## [1] &amp;quot;2019-07-12 00:00:00 XLP -300 @ 59.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-07-12 00:00:00 XLP -300 @ 59.8300018310547&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLP 300 @ 60.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-07-23 00:00:00 XLP 300 @ 60.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-07-29 00:00:00 XLP -300 @ 60.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-07-29 00:00:00 XLP -300 @ 60.4799995422363&amp;quot;&#10;## [1] &amp;quot;2019-08-01 00:00:00 XLP 300 @ 59.2200012207031&amp;quot;&#10;## [1] &amp;quot;2019-08-01 00:00:00 XLP 300 @ 59.2200012207031&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLP -300 @ 59.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-09 00:00:00 XLP -300 @ 59.3199996948242&amp;quot;&#10;## [1] &amp;quot;2019-08-15 00:00:00 XLP 300 @ 59.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-08-15 00:00:00 XLP 300 @ 59.5299987792969&amp;quot;&#10;## [1] &amp;quot;2019-08-19 00:00:00 XLP -300 @ 60.810001373291&amp;quot;&#10;## [1] &amp;quot;2019-08-19 00:00:00 XLP -300 @ 60.810001373291&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLP 300 @ 60.3600006103516&amp;quot;&#10;## [1] &amp;quot;2019-08-26 00:00:00 XLP 300 @ 60.3600006103516&amp;quot;&#10;## [1] &amp;quot;2019-08-29 00:00:00 XLP -300 @ 60.7999992370605&amp;quot;&#10;## [1] &amp;quot;2019-08-29 00:00:00 XLP -300 @ 60.7999992370605&amp;quot;&#10;## [1] &amp;quot;2019-09-11 00:00:00 XLP 300 @ 61.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-09-11 00:00:00 XLP 300 @ 61.1399993896484&amp;quot;&#10;## [1] &amp;quot;2019-09-13 00:00:00 XLP -300 @ 61.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-09-13 00:00:00 XLP -300 @ 61.0400009155273&amp;quot;&#10;## [1] &amp;quot;2019-09-17 00:00:00 XLP 300 @ 60.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-09-17 00:00:00 XLP 300 @ 60.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-09-25 00:00:00 XLP -300 @ 60.8499984741211&amp;quot;&#10;## [1] &amp;quot;2019-09-25 00:00:00 XLP -300 @ 60.8499984741211&amp;quot;&#10;## [1] &amp;quot;2019-10-03 00:00:00 XLP 300 @ 60.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-10-03 00:00:00 XLP 300 @ 60.4500007629395&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLP -300 @ 60.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-10-07 00:00:00 XLP -300 @ 60.9000015258789&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLP 300 @ 60.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-10-09 00:00:00 XLP 300 @ 60.7799987792969&amp;quot;&#10;## [1] &amp;quot;2019-10-18 00:00:00 XLP -300 @ 60.7400016784668&amp;quot;&#10;## [1] &amp;quot;2019-10-18 00:00:00 XLP -300 @ 60.7400016784668&amp;quot;&#10;## [1] &amp;quot;2019-10-29 00:00:00 XLP 300 @ 60.9700012207031&amp;quot;&#10;## [1] &amp;quot;2019-10-29 00:00:00 XLP 300 @ 60.9700012207031&amp;quot;&#10;## [1] &amp;quot;2019-10-31 00:00:00 XLP -300 @ 61.1599998474121&amp;quot;&#10;## [1] &amp;quot;2019-10-31 00:00:00 XLP -300 @ 61.1599998474121&amp;quot;&#10;## [1] &amp;quot;2019-11-05 00:00:00 XLP 300 @ 60.7599983215332&amp;quot;&#10;## [1] &amp;quot;2019-11-05 00:00:00 XLP 300 @ 60.7599983215332&amp;quot;&#10;## [1] &amp;quot;2019-11-13 00:00:00 XLP -300 @ 61.3300018310547&amp;quot;&#10;## [1] &amp;quot;2019-11-13 00:00:00 XLP -300 @ 61.3300018310547&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLP 300 @ 61.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-11-22 00:00:00 XLP 300 @ 61.2999992370605&amp;quot;&#10;## [1] &amp;quot;2019-11-27 00:00:00 XLP -300 @ 62.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-11-27 00:00:00 XLP -300 @ 62.0200004577637&amp;quot;&#10;## [1] &amp;quot;2019-12-24 00:00:00 XLP 300 @ 62.9099998474121&amp;quot;&#10;## [1] &amp;quot;2019-12-24 00:00:00 XLP 300 @ 62.9099998474121&amp;quot;&#10;## [1] &amp;quot;2019-12-30 00:00:00 XLP -300 @ 62.9199981689453&amp;quot;&#10;## [1] &amp;quot;2019-12-30 00:00:00 XLP -300 @ 62.9199981689453&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLP 300 @ 62.3800010681152&amp;quot;&#10;## [1] &amp;quot;2020-01-03 00:00:00 XLP 300 @ 62.3800010681152&amp;quot;&#10;## [1] &amp;quot;2020-01-10 00:00:00 XLP -300 @ 62.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-01-10 00:00:00 XLP -300 @ 62.6599998474121&amp;quot;&#10;## [1] &amp;quot;2020-01-27 00:00:00 XLP 300 @ 63.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-01-27 00:00:00 XLP 300 @ 63.3899993896484&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLP -300 @ 63.1800003051758&amp;quot;&#10;## [1] &amp;quot;2020-01-31 00:00:00 XLP -300 @ 63.1800003051758&amp;quot;&#10;## [1] &amp;quot;2020-02-25 00:00:00 XLP 300 @ 62.0200004577637&amp;quot;&#10;## [1] &amp;quot;2020-02-25 00:00:00 XLP 300 @ 62.0200004577637&amp;quot;&#10;## [1] &amp;quot;2020-03-05 00:00:00 XLP -300 @ 62.0299987792969&amp;quot;&#10;## [1] &amp;quot;2020-03-05 00:00:00 XLP -300 @ 62.0299987792969&amp;quot;&#10;## [1] &amp;quot;2020-03-10 00:00:00 XLP 300 @ 60.5499992370605&amp;quot;&#10;## [1] &amp;quot;2020-03-10 00:00:00 XLP 300 @ 60.5499992370605&amp;quot;&#10;## [1] &amp;quot;2020-03-27 00:00:00 XLP -300 @ 53.5099983215332&amp;quot;&#10;## [1] &amp;quot;2020-03-27 00:00:00 XLP -300 @ 53.5099983215332&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLP 300 @ 58.6100006103516&amp;quot;&#10;## [1] &amp;quot;2020-04-22 00:00:00 XLP 300 @ 58.6100006103516&amp;quot;&#10;## [1] &amp;quot;2020-04-29 00:00:00 XLP -300 @ 58.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-04-29 00:00:00 XLP -300 @ 58.9599990844727&amp;quot;&#10;## [1] &amp;quot;2020-05-01 00:00:00 XLP 300 @ 57.6199989318848&amp;quot;&#10;## [1] &amp;quot;2020-05-01 00:00:00 XLP 300 @ 57.6199989318848&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLP -300 @ 58.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-05-11 00:00:00 XLP -300 @ 58.0400009155273&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLP 300 @ 56.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-05-14 00:00:00 XLP 300 @ 56.8899993896484&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLP -300 @ 57.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-05-19 00:00:00 XLP -300 @ 57.2299995422363&amp;quot;&#10;## [1] &amp;quot;2020-06-12 00:00:00 XLP 300 @ 58.1199989318848&amp;quot;&#10;## [1] &amp;quot;2020-06-12 00:00:00 XLP 300 @ 58.1199989318848&amp;quot;&#10;## [1] &amp;quot;2020-06-17 00:00:00 XLP -300 @ 59.6199989318848&amp;quot;&#10;## [1] &amp;quot;2020-06-17 00:00:00 XLP -300 @ 59.6199989318848&amp;quot;&#10;## [1] &amp;quot;2020-06-23 00:00:00 XLP 300 @ 58.9000015258789&amp;quot;&#10;## [1] &amp;quot;2020-06-23 00:00:00 XLP 300 @ 58.9000015258789&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLP -300 @ 58.689998626709&amp;quot;&#10;## [1] &amp;quot;2020-07-01 00:00:00 XLP -300 @ 58.689998626709&amp;quot;&#10;## [1] &amp;quot;2020-07-10 00:00:00 XLP 300 @ 60.2900009155273&amp;quot;&#10;## [1] &amp;quot;2020-07-10 00:00:00 XLP 300 @ 60.2900009155273&amp;quot;&#10;## [1] &amp;quot;2020-07-13 00:00:00 XLP -300 @ 60.2000007629395&amp;quot;&#10;## [1] &amp;quot;2020-07-13 00:00:00 XLP -300 @ 60.2000007629395&amp;quot;&#10;## [1] &amp;quot;2020-08-04 00:00:00 XLP 300 @ 63.310001373291&amp;quot;&#10;## [1] &amp;quot;2020-08-04 00:00:00 XLP 300 @ 63.310001373291&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLP -300 @ 63.1800003051758&amp;quot;&#10;## [1] &amp;quot;2020-08-05 00:00:00 XLP -300 @ 63.1800003051758&amp;quot;&#10;## [1] &amp;quot;2020-08-21 00:00:00 XLP 300 @ 64.3000030517578&amp;quot;&#10;## [1] &amp;quot;2020-08-21 00:00:00 XLP 300 @ 64.3000030517578&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLP -300 @ 64.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-08-25 00:00:00 XLP -300 @ 64.7099990844727&amp;quot;&#10;## [1] &amp;quot;2020-09-09 00:00:00 XLP 300 @ 65.0899963378906&amp;quot;&#10;## [1] &amp;quot;2020-09-09 00:00:00 XLP 300 @ 65.0899963378906&amp;quot;&#10;## [1] &amp;quot;2020-09-15 00:00:00 XLP -300 @ 64.9800033569336&amp;quot;&#10;## [1] &amp;quot;2020-09-15 00:00:00 XLP -300 @ 64.9800033569336&amp;quot;&#10;## [1] &amp;quot;2020-09-18 00:00:00 XLP 300 @ 63.689998626709&amp;quot;&#10;## [1] &amp;quot;2020-09-18 00:00:00 XLP 300 @ 63.689998626709&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLP -300 @ 63.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-09-29 00:00:00 XLP -300 @ 63.3300018310547&amp;quot;&#10;## [1] &amp;quot;2020-10-20 00:00:00 XLP 300 @ 65.2399978637695&amp;quot;&#10;## [1] &amp;quot;2020-10-20 00:00:00 XLP 300 @ 65.2399978637695&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLP -300 @ 64.2900009155273&amp;quot;&#10;## [1] &amp;quot;2020-11-03 00:00:00 XLP -300 @ 64.2900009155273&amp;quot;&#10;## [1] &amp;quot;2020-11-19 00:00:00 XLP 300 @ 66.9199981689453&amp;quot;&#10;## [1] &amp;quot;2020-11-19 00:00:00 XLP 300 @ 66.9199981689453&amp;quot;&#10;## [1] &amp;quot;2020-11-25 00:00:00 XLP -300 @ 66.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-11-25 00:00:00 XLP -300 @ 66.9300003051758&amp;quot;&#10;## [1] &amp;quot;2020-12-11 00:00:00 XLP 300 @ 67.3199996948242&amp;quot;&#10;## [1] &amp;quot;2020-12-11 00:00:00 XLP 300 @ 67.3199996948242&amp;quot;&#10;## [1] &amp;quot;2020-12-17 00:00:00 XLP -300 @ 67.7799987792969&amp;quot;&#10;## [1] &amp;quot;2020-12-17 00:00:00 XLP -300 @ 67.7799987792969&amp;quot;&#10;## [1] &amp;quot;2020-12-22 00:00:00 XLP 300 @ 66.1699981689453&amp;quot;&#10;## [1] &amp;quot;2020-12-22 00:00:00 XLP 300 @ 66.1699981689453&amp;quot;&#10;## [1] &amp;quot;2020-12-29 00:00:00 XLP -300 @ 67.0500030517578&amp;quot;&#10;## [1] &amp;quot;2020-12-29 00:00:00 XLP -300 @ 67.0500030517578&amp;quot;&#10;## [1] &amp;quot;2021-01-05 00:00:00 XLP 300 @ 66.7200012207031&amp;quot;&#10;## [1] &amp;quot;2021-01-05 00:00:00 XLP 300 @ 66.7200012207031&amp;quot;&#10;## [1] &amp;quot;2021-01-11 00:00:00 XLP -300 @ 66.3300018310547&amp;quot;&#10;## [1] &amp;quot;2021-01-11 00:00:00 XLP -300 @ 66.3300018310547&amp;quot;&#10;## [1] &amp;quot;2021-01-12 00:00:00 XLP 300 @ 66.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-01-12 00:00:00 XLP 300 @ 66.1100006103516&amp;quot;&#10;## [1] &amp;quot;2021-01-26 00:00:00 XLP -300 @ 66.3099975585938&amp;quot;&#10;## [1] &amp;quot;2021-01-26 00:00:00 XLP -300 @ 66.3099975585938&amp;quot;&#10;## [1] &amp;quot;2021-01-28 00:00:00 XLP 300 @ 65.4400024414062&amp;quot;&#10;## [1] &amp;quot;2021-01-28 00:00:00 XLP 300 @ 65.4400024414062&amp;quot;&#10;## [1] &amp;quot;2021-02-05 00:00:00 XLP -300 @ 65.7600021362305&amp;quot;&#10;## [1] &amp;quot;2021-02-05 00:00:00 XLP -300 @ 65.7600021362305&amp;quot;&#10;## [1] &amp;quot;2021-02-12 00:00:00 XLP 300 @ 65.6900024414062&amp;quot;&#10;## [1] &amp;quot;2021-02-12 00:00:00 XLP 300 @ 65.6900024414062&amp;quot;&#10;## [1] &amp;quot;2021-02-18 00:00:00 XLP -300 @ 65.7699966430664&amp;quot;&#10;## [1] &amp;quot;2021-02-18 00:00:00 XLP -300 @ 65.7699966430664&amp;quot;&#10;## [1] &amp;quot;2021-02-22 00:00:00 XLP 300 @ 65&amp;quot;&#10;## [1] &amp;quot;2021-02-22 00:00:00 XLP 300 @ 65&amp;quot;&#10;## [1] &amp;quot;2021-03-08 00:00:00 XLP -300 @ 64.9800033569336&amp;quot;&#10;## [1] &amp;quot;2021-03-08 00:00:00 XLP -300 @ 64.9800033569336&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLP 300 @ 66.379997253418&amp;quot;&#10;## [1] &amp;quot;2021-03-19 00:00:00 XLP 300 @ 66.379997253418&amp;quot;&#10;## [1] &amp;quot;2021-03-23 00:00:00 XLP -300 @ 67&amp;quot;&#10;## [1] &amp;quot;2021-03-23 00:00:00 XLP -300 @ 67&amp;quot;&#10;## [1] &amp;quot;2021-04-05 00:00:00 XLP 300 @ 68.8499984741211&amp;quot;&#10;## [1] &amp;quot;2021-04-05 00:00:00 XLP 300 @ 68.8499984741211&amp;quot;&#10;## [1] &amp;quot;2021-04-06 00:00:00 XLP -300 @ 69.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-04-06 00:00:00 XLP -300 @ 69.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-04-15 00:00:00 XLP 300 @ 69.4100036621094&amp;quot;&#10;## [1] &amp;quot;2021-04-15 00:00:00 XLP 300 @ 69.4100036621094&amp;quot;&#10;## [1] &amp;quot;2021-04-16 00:00:00 XLP -300 @ 69.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-04-16 00:00:00 XLP -300 @ 69.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-04-26 00:00:00 XLP 300 @ 68.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-04-26 00:00:00 XLP 300 @ 68.7900009155273&amp;quot;&#10;## [1] &amp;quot;2021-04-30 00:00:00 XLP -300 @ 69.5800018310547&amp;quot;&#10;## [1] &amp;quot;2021-04-30 00:00:00 XLP -300 @ 69.5800018310547&amp;quot;&#10;## [1] &amp;quot;2021-05-13 00:00:00 XLP 300 @ 70.5999984741211&amp;quot;&#10;## [1] &amp;quot;2021-05-13 00:00:00 XLP 300 @ 70.5999984741211&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLP -300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-05-17 00:00:00 XLP -300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLP 300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2021-05-20 00:00:00 XLP 300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2021-05-21 00:00:00 XLP -300 @ 71.0199966430664&amp;quot;&#10;## [1] &amp;quot;2021-05-21 00:00:00 XLP -300 @ 71.0199966430664&amp;quot;&#10;## [1] &amp;quot;2021-05-28 00:00:00 XLP 300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-05-28 00:00:00 XLP 300 @ 70.8099975585938&amp;quot;&#10;## [1] &amp;quot;2021-06-04 00:00:00 XLP -300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2021-06-04 00:00:00 XLP -300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2021-06-09 00:00:00 XLP 300 @ 70.4599990844727&amp;quot;&#10;## [1] &amp;quot;2021-06-09 00:00:00 XLP 300 @ 70.4599990844727&amp;quot;&#10;## [1] &amp;quot;2021-06-28 00:00:00 XLP -300 @ 69.7399978637695&amp;quot;&#10;## [1] &amp;quot;2021-06-28 00:00:00 XLP -300 @ 69.7399978637695&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLP 300 @ 70.5500030517578&amp;quot;&#10;## [1] &amp;quot;2021-07-22 00:00:00 XLP 300 @ 70.5500030517578&amp;quot;&#10;## [1] &amp;quot;2021-07-26 00:00:00 XLP -300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2021-07-26 00:00:00 XLP -300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2021-07-29 00:00:00 XLP 300 @ 71.3899993896484&amp;quot;&#10;## [1] &amp;quot;2021-07-29 00:00:00 XLP 300 @ 71.3899993896484&amp;quot;&#10;## [1] &amp;quot;2021-08-10 00:00:00 XLP -300 @ 71.7099990844727&amp;quot;&#10;## [1] &amp;quot;2021-08-10 00:00:00 XLP -300 @ 71.7099990844727&amp;quot;&#10;## [1] &amp;quot;2021-08-19 00:00:00 XLP 300 @ 72.6399993896484&amp;quot;&#10;## [1] &amp;quot;2021-08-19 00:00:00 XLP 300 @ 72.6399993896484&amp;quot;&#10;## [1] &amp;quot;2021-08-31 00:00:00 XLP -300 @ 72.2600021362305&amp;quot;&#10;## [1] &amp;quot;2021-08-31 00:00:00 XLP -300 @ 72.2600021362305&amp;quot;&#10;## [1] &amp;quot;2021-09-08 00:00:00 XLP 300 @ 72.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-09-08 00:00:00 XLP 300 @ 72.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-10-07 00:00:00 XLP -300 @ 70.129997253418&amp;quot;&#10;## [1] &amp;quot;2021-10-07 00:00:00 XLP -300 @ 70.129997253418&amp;quot;&#10;## [1] &amp;quot;2021-11-17 00:00:00 XLP 300 @ 72.5699996948242&amp;quot;&#10;## [1] &amp;quot;2021-11-17 00:00:00 XLP 300 @ 72.5699996948242&amp;quot;&#10;## [1] &amp;quot;2021-11-23 00:00:00 XLP -300 @ 73.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-11-23 00:00:00 XLP -300 @ 73.0999984741211&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLP 300 @ 72.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-11-29 00:00:00 XLP 300 @ 72.1399993896484&amp;quot;&#10;## [1] &amp;quot;2021-12-06 00:00:00 XLP -300 @ 72.8300018310547&amp;quot;&#10;## [1] &amp;quot;2021-12-06 00:00:00 XLP -300 @ 72.8300018310547&amp;quot;&#10;## [1] &amp;quot;2021-12-21 00:00:00 XLP 300 @ 74.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-12-21 00:00:00 XLP 300 @ 74.6100006103516&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLP -300 @ 76.0500030517578&amp;quot;&#10;## [1] &amp;quot;2021-12-27 00:00:00 XLP -300 @ 76.0500030517578&amp;quot;&#10;## [1] &amp;quot;2022-01-11 00:00:00 XLP 300 @ 76.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-01-11 00:00:00 XLP 300 @ 76.7200012207031&amp;quot;&#10;## [1] &amp;quot;2022-01-18 00:00:00 XLP -300 @ 75.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-01-18 00:00:00 XLP -300 @ 75.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-01-19 00:00:00 XLP 300 @ 76.4000015258789&amp;quot;&#10;## [1] &amp;quot;2022-01-19 00:00:00 XLP 300 @ 76.4000015258789&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLP -300 @ 75.9700012207031&amp;quot;&#10;## [1] &amp;quot;2022-01-31 00:00:00 XLP -300 @ 75.9700012207031&amp;quot;&#10;## [1] &amp;quot;2022-02-07 00:00:00 XLP 300 @ 76.0299987792969&amp;quot;&#10;## [1] &amp;quot;2022-02-07 00:00:00 XLP 300 @ 76.0299987792969&amp;quot;&#10;## [1] &amp;quot;2022-02-18 00:00:00 XLP -300 @ 76.0299987792969&amp;quot;&#10;## [1] &amp;quot;2022-02-18 00:00:00 XLP -300 @ 76.0299987792969&amp;quot;&#10;## [1] &amp;quot;2022-02-23 00:00:00 XLP 300 @ 74.8300018310547&amp;quot;&#10;## [1] &amp;quot;2022-02-23 00:00:00 XLP 300 @ 74.8300018310547&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLP -300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLP -300 @ 74.9000015258789&amp;quot;&#10;## [1] &amp;quot;2022-03-08 00:00:00 XLP 300 @ 72.4800033569336&amp;quot;&#10;## [1] &amp;quot;2022-03-08 00:00:00 XLP 300 @ 72.4800033569336&amp;quot;&#10;## [1] &amp;quot;2022-03-16 00:00:00 XLP -300 @ 73.5100021362305&amp;quot;&#10;## [1] &amp;quot;2022-03-16 00:00:00 XLP -300 @ 73.5100021362305&amp;quot;&#10;## [1] &amp;quot;2022-04-19 00:00:00 XLP 300 @ 79.379997253418&amp;quot;&#10;## [1] &amp;quot;2022-04-19 00:00:00 XLP 300 @ 79.379997253418&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLP -300 @ 80.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-04-20 00:00:00 XLP -300 @ 80.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLP 300 @ 79.5899963378906&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLP 300 @ 79.5899963378906&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLP -300 @ 77.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-04-29 00:00:00 XLP -300 @ 77.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-05-02 00:00:00 XLP 300 @ 76.620002746582&amp;quot;&#10;## [1] &amp;quot;2022-05-02 00:00:00 XLP 300 @ 76.620002746582&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLP -300 @ 76.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLP -300 @ 76.6399993896484&amp;quot;&#10;## [1] &amp;quot;2022-05-11 00:00:00 XLP 300 @ 75.8300018310547&amp;quot;&#10;## [1] &amp;quot;2022-05-11 00:00:00 XLP 300 @ 75.8300018310547&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLP -300 @ 77.3000030517578&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLP -300 @ 77.3000030517578&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLP 300 @ 70.5500030517578&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLP 300 @ 70.5500030517578&amp;quot;&#10;## [1] &amp;quot;2022-05-25 00:00:00 XLP -300 @ 73.3600006103516&amp;quot;&#10;## [1] &amp;quot;2022-05-25 00:00:00 XLP -300 @ 73.3600006103516&amp;quot;&#10;## [1] &amp;quot;2022-06-02 00:00:00 XLP 300 @ 74.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-06-02 00:00:00 XLP 300 @ 74.5699996948242&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLP -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLP -300 @ 70.0899963378906&amp;quot;&#10;## [1] &amp;quot;2022-07-12 00:00:00 XLP 300 @ 72.5899963378906&amp;quot;&#10;## [1] &amp;quot;2022-07-12 00:00:00 XLP 300 @ 72.5899963378906&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLP -300 @ 72.2300033569336&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLP -300 @ 72.2300033569336&amp;quot;&#10;## [1] &amp;quot;2022-07-19 00:00:00 XLP 300 @ 72.9899978637695&amp;quot;&#10;## [1] &amp;quot;2022-07-19 00:00:00 XLP 300 @ 72.9899978637695&amp;quot;&#10;## [1] &amp;quot;2022-07-25 00:00:00 XLP -300 @ 73.5599975585938&amp;quot;&#10;## [1] &amp;quot;2022-07-25 00:00:00 XLP -300 @ 73.5599975585938&amp;quot;&#10;## [1] &amp;quot;2022-08-08 00:00:00 XLP 300 @ 74.5999984741211&amp;quot;&#10;## [1] &amp;quot;2022-08-08 00:00:00 XLP 300 @ 74.5999984741211&amp;quot;&#10;## [1] &amp;quot;2022-08-11 00:00:00 XLP -300 @ 74.8600006103516&amp;quot;&#10;## [1] &amp;quot;2022-08-11 00:00:00 XLP -300 @ 74.8600006103516&amp;quot;&#10;## [1] &amp;quot;2022-08-23 00:00:00 XLP 300 @ 75.8000030517578&amp;quot;&#10;## [1] &amp;quot;2022-08-23 00:00:00 XLP 300 @ 75.8000030517578&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLP -300 @ 73.2600021362305&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLP -300 @ 73.2600021362305&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLP 300 @ 71.7600021362305&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLP 300 @ 71.7600021362305&amp;quot;&#10;## [1] &amp;quot;2022-10-05 00:00:00 XLP -300 @ 68.5100021362305&amp;quot;&#10;## [1] &amp;quot;2022-10-05 00:00:00 XLP -300 @ 68.5100021362305&amp;quot;&#10;## [1] &amp;quot;2022-10-07 00:00:00 XLP 300 @ 66.5&amp;quot;&#10;## [1] &amp;quot;2022-10-07 00:00:00 XLP 300 @ 66.5&amp;quot;&#10;## [1] &amp;quot;2022-10-13 00:00:00 XLP -300 @ 68.7699966430664&amp;quot;&#10;## [1] &amp;quot;2022-10-13 00:00:00 XLP -300 @ 68.7699966430664&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLP 300 @ 68.9100036621094&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLP 300 @ 68.9100036621094&amp;quot;&#10;## [1] &amp;quot;2022-10-25 00:00:00 XLP -300 @ 71.0699996948242&amp;quot;&#10;## [1] &amp;quot;2022-10-25 00:00:00 XLP -300 @ 71.0699996948242&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLP 300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLP 300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLP -300 @ 72.6999969482422&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLP -300 @ 72.6999969482422&amp;quot;&#10;## [1] &amp;quot;2022-11-30 00:00:00 XLP 300 @ 77.1900024414062&amp;quot;&#10;## [1] &amp;quot;2022-11-30 00:00:00 XLP 300 @ 77.1900024414062&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLP -300 @ 76.8399963378906&amp;quot;&#10;## [1] &amp;quot;2022-12-01 00:00:00 XLP -300 @ 76.8399963378906&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLP 300 @ 75.75&amp;quot;&#10;## [1] &amp;quot;2022-12-06 00:00:00 XLP 300 @ 75.75&amp;quot;&#10;## [1] &amp;quot;2022-12-09 00:00:00 XLP -300 @ 75.8899993896484&amp;quot;&#10;## [1] &amp;quot;2022-12-09 00:00:00 XLP -300 @ 75.8899993896484&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLP 300 @ 74.8600006103516&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLP 300 @ 74.8600006103516&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLP -300 @ 74.7900009155273&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLP -300 @ 74.7900009155273&amp;quot;&#10;## [1] &amp;quot;2022-12-29 00:00:00 XLP 300 @ 74.9199981689453&amp;quot;&#10;## [1] &amp;quot;2022-12-29 00:00:00 XLP 300 @ 74.9199981689453&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLP -300 @ 75.0400009155273&amp;quot;&#10;## [1] &amp;quot;2023-01-09 00:00:00 XLP -300 @ 75.0400009155273&amp;quot;&#10;## [1] &amp;quot;2023-01-13 00:00:00 XLP 300 @ 74.7399978637695&amp;quot;&#10;## [1] &amp;quot;2023-01-13 00:00:00 XLP 300 @ 74.7399978637695&amp;quot;&#10;## [1] &amp;quot;2023-01-25 00:00:00 XLP -300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2023-01-25 00:00:00 XLP -300 @ 73.3300018310547&amp;quot;&#10;## [1] &amp;quot;2023-01-30 00:00:00 XLP 300 @ 72.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-01-30 00:00:00 XLP 300 @ 72.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-02-01 00:00:00 XLP -300 @ 74.3300018310547&amp;quot;&#10;## [1] &amp;quot;2023-02-01 00:00:00 XLP -300 @ 74.3300018310547&amp;quot;&#10;## [1] &amp;quot;2023-02-06 00:00:00 XLP 300 @ 73.4899978637695&amp;quot;&#10;## [1] &amp;quot;2023-02-06 00:00:00 XLP 300 @ 73.4899978637695&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLP -300 @ 73.129997253418&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLP -300 @ 73.129997253418&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLP 300 @ 73.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-02-17 00:00:00 XLP 300 @ 73.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-02-21 00:00:00 XLP -300 @ 73.4000015258789&amp;quot;&#10;## [1] &amp;quot;2023-02-21 00:00:00 XLP -300 @ 73.4000015258789&amp;quot;&#10;## [1] &amp;quot;2023-02-27 00:00:00 XLP 300 @ 72.629997253418&amp;quot;&#10;## [1] &amp;quot;2023-02-27 00:00:00 XLP 300 @ 72.629997253418&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLP -300 @ 72.7300033569336&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLP -300 @ 72.7300033569336&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLP 300 @ 72.129997253418&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLP 300 @ 72.129997253418&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLP -300 @ 72.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLP -300 @ 72.5899963378906&amp;quot;&#10;## [1] &amp;quot;2023-03-23 00:00:00 XLP 300 @ 71.75&amp;quot;&#10;## [1] &amp;quot;2023-03-23 00:00:00 XLP 300 @ 71.75&amp;quot;&#10;## [1] &amp;quot;2023-03-27 00:00:00 XLP -300 @ 73.3600006103516&amp;quot;&#10;## [1] &amp;quot;2023-03-27 00:00:00 XLP -300 @ 73.3600006103516&amp;quot;&#10;## [1] &amp;quot;2023-04-27 00:00:00 XLP 300 @ 77.0299987792969&amp;quot;&#10;## [1] &amp;quot;2023-04-27 00:00:00 XLP 300 @ 77.0299987792969&amp;quot;&#10;## [1] &amp;quot;2023-04-28 00:00:00 XLP -300 @ 77.4400024414062&amp;quot;&#10;## [1] &amp;quot;2023-04-28 00:00:00 XLP -300 @ 77.4400024414062&amp;quot;&#10;## [1] &amp;quot;2023-05-04 00:00:00 XLP 300 @ 76.4700012207031&amp;quot;&#10;## [1] &amp;quot;2023-05-04 00:00:00 XLP 300 @ 76.4700012207031&amp;quot;&#10;## [1] &amp;quot;2023-05-08 00:00:00 XLP -300 @ 76.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-05-08 00:00:00 XLP -300 @ 76.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-05-11 00:00:00 XLP 300 @ 76.8199996948242&amp;quot;&#10;## [1] &amp;quot;2023-05-11 00:00:00 XLP 300 @ 76.8199996948242&amp;quot;&#10;## [1] &amp;quot;2023-05-15 00:00:00 XLP -300 @ 76.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-05-15 00:00:00 XLP -300 @ 76.9300003051758&amp;quot;&#10;## [1] &amp;quot;2023-05-17 00:00:00 XLP 300 @ 76.2399978637695&amp;quot;&#10;## [1] &amp;quot;2023-05-17 00:00:00 XLP 300 @ 76.2399978637695&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLP -300 @ 73.3399963378906&amp;quot;&#10;## [1] &amp;quot;2023-06-05 00:00:00 XLP -300 @ 73.3399963378906&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLP 300 @ 73.2300033569336&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLP 300 @ 73.2300033569336&amp;quot;&#10;## [1] &amp;quot;2023-06-14 00:00:00 XLP -300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2023-06-14 00:00:00 XLP -300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2023-06-21 00:00:00 XLP 300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2023-06-21 00:00:00 XLP 300 @ 73.8399963378906&amp;quot;&#10;## [1] &amp;quot;2023-07-03 00:00:00 XLP -300 @ 74.75&amp;quot;&#10;## [1] &amp;quot;2023-07-03 00:00:00 XLP -300 @ 74.75&amp;quot;&#10;## [1] &amp;quot;2023-07-10 00:00:00 XLP 300 @ 73.4400024414062&amp;quot;&#10;## [1] &amp;quot;2023-07-10 00:00:00 XLP 300 @ 73.4400024414062&amp;quot;&#10;## [1] &amp;quot;2023-07-14 00:00:00 XLP -300 @ 74.2799987792969&amp;quot;&#10;## [1] &amp;quot;2023-07-14 00:00:00 XLP -300 @ 74.2799987792969&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLP 300 @ 76.0999984741211&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLP 300 @ 76.0999984741211&amp;quot;&#10;## [1] &amp;quot;2023-07-31 00:00:00 XLP -300 @ 75.75&amp;quot;&#10;## [1] &amp;quot;2023-07-31 00:00:00 XLP -300 @ 75.75&amp;quot;&#10;## [1] &amp;quot;2023-08-02 00:00:00 XLP 300 @ 75.6100006103516&amp;quot;&#10;## [1] &amp;quot;2023-08-02 00:00:00 XLP 300 @ 75.6100006103516&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLP -300 @ 73.0100021362305&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLP -300 @ 73.0100021362305&amp;quot;&#10;## [1] &amp;quot;2023-09-05 00:00:00 XLP 300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2023-09-05 00:00:00 XLP 300 @ 71.5199966430664&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLP -300 @ 71.6999969482422&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLP -300 @ 71.6999969482422&amp;quot;&#10;## [1] &amp;quot;2023-09-19 00:00:00 XLP 300 @ 71.370002746582&amp;quot;&#10;## [1] &amp;quot;2023-09-19 00:00:00 XLP 300 @ 71.370002746582&amp;quot;&#10;## [1] &amp;quot;2023-10-11 00:00:00 XLP -300 @ 66.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-10-11 00:00:00 XLP -300 @ 66.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-10-13 00:00:00 XLP 300 @ 66.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-10-13 00:00:00 XLP 300 @ 66.8000030517578&amp;quot;&#10;## [1] &amp;quot;2023-10-17 00:00:00 XLP -300 @ 67.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-10-17 00:00:00 XLP -300 @ 67.7799987792969&amp;quot;&#10;## [1] &amp;quot;2023-10-23 00:00:00 XLP 300 @ 67.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-10-23 00:00:00 XLP 300 @ 67.1399993896484&amp;quot;&#10;## [1] &amp;quot;2023-10-25 00:00:00 XLP -300 @ 67.9400024414062&amp;quot;&#10;## [1] &amp;quot;2023-10-25 00:00:00 XLP -300 @ 67.9400024414062&amp;quot;&#10;## [1] &amp;quot;2023-10-30 00:00:00 XLP 300 @ 67.620002746582&amp;quot;&#10;## [1] &amp;quot;2023-10-30 00:00:00 XLP 300 @ 67.620002746582&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLP -300 @ 67.7900009155273&amp;quot;&#10;## [1] &amp;quot;2023-11-01 00:00:00 XLP -300 @ 67.7900009155273&amp;quot;&#10;## [1] &amp;quot;2023-11-10 00:00:00 XLP 300 @ 68.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-11-10 00:00:00 XLP 300 @ 68.9599990844727&amp;quot;&#10;## [1] &amp;quot;2023-11-13 00:00:00 XLP -300 @ 69.1800003051758&amp;quot;&#10;## [1] &amp;quot;2023-11-13 00:00:00 XLP -300 @ 69.1800003051758&amp;quot;&#10;## [1] &amp;quot;2023-11-21 00:00:00 XLP 300 @ 69.6500015258789&amp;quot;&#10;## [1] &amp;quot;2023-11-21 00:00:00 XLP 300 @ 69.6500015258789&amp;quot;&#10;## [1] &amp;quot;2023-11-24 00:00:00 XLP -300 @ 70.4100036621094&amp;quot;&#10;## [1] &amp;quot;2023-11-24 00:00:00 XLP -300 @ 70.4100036621094&amp;quot;&#10;## [1] &amp;quot;2023-11-30 00:00:00 XLP 300 @ 70.6600036621094&amp;quot;&#10;## [1] &amp;quot;2023-11-30 00:00:00 XLP 300 @ 70.6600036621094&amp;quot;&#10;## [1] &amp;quot;2023-12-01 00:00:00 XLP -300 @ 70.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-12-01 00:00:00 XLP -300 @ 70.9499969482422&amp;quot;&#10;## [1] &amp;quot;2023-12-06 00:00:00 XLP 300 @ 70.3000030517578&amp;quot;&#10;## [1] &amp;quot;2023-12-06 00:00:00 XLP 300 @ 70.3000030517578&amp;quot;&#10;## [1] &amp;quot;2023-12-12 00:00:00 XLP -300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2023-12-12 00:00:00 XLP -300 @ 71.0100021362305&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLP 300 @ 70.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-12-21 00:00:00 XLP 300 @ 70.6800003051758&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLP -300 @ 71.8499984741211&amp;quot;&#10;## [1] &amp;quot;2023-12-27 00:00:00 XLP -300 @ 71.8499984741211&amp;quot;&#10;## [1] &amp;quot;2024-01-08 00:00:00 XLP 300 @ 72.5400009155273&amp;quot;&#10;## [1] &amp;quot;2024-01-08 00:00:00 XLP 300 @ 72.5400009155273&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLP -300 @ 72.7300033569336&amp;quot;&#10;## [1] &amp;quot;2024-01-09 00:00:00 XLP -300 @ 72.7300033569336&amp;quot;&#10;## [1] &amp;quot;2024-01-17 00:00:00 XLP 300 @ 72.3499984741211&amp;quot;&#10;## [1] &amp;quot;2024-01-17 00:00:00 XLP 300 @ 72.3499984741211&amp;quot;&#10;## [1] &amp;quot;2024-01-24 00:00:00 XLP -300 @ 71.5899963378906&amp;quot;&#10;## [1] &amp;quot;2024-01-24 00:00:00 XLP -300 @ 71.5899963378906&amp;quot;&#10;## [1] &amp;quot;2024-01-25 00:00:00 XLP 300 @ 72.2799987792969&amp;quot;&#10;## [1] &amp;quot;2024-01-25 00:00:00 XLP 300 @ 72.2799987792969&amp;quot;&#10;## [1] &amp;quot;2024-01-29 00:00:00 XLP -300 @ 73.0500030517578&amp;quot;&#10;## [1] &amp;quot;2024-01-29 00:00:00 XLP -300 @ 73.0500030517578&amp;quot;&#10;## [1] &amp;quot;2024-02-12 00:00:00 XLP 300 @ 73.629997253418&amp;quot;&#10;## [1] &amp;quot;2024-02-12 00:00:00 XLP 300 @ 73.629997253418&amp;quot;&#10;## [1] &amp;quot;2024-02-20 00:00:00 XLP -300 @ 74.0500030517578&amp;quot;&#10;## [1] &amp;quot;2024-02-20 00:00:00 XLP -300 @ 74.0500030517578&amp;quot;&#10;## [1] &amp;quot;2024-03-15 00:00:00 XLP 300 @ 75.5299987792969&amp;quot;&#10;## [1] &amp;quot;2024-03-15 00:00:00 XLP 300 @ 75.5299987792969&amp;quot;&#10;## [1] &amp;quot;2024-03-20 00:00:00 XLP -300 @ 75.9700012207031&amp;quot;&#10;## [1] &amp;quot;2024-03-20 00:00:00 XLP -300 @ 75.9700012207031&amp;quot;&#10;## [1] &amp;quot;2024-03-25 00:00:00 XLP 300 @ 75.4300003051758&amp;quot;&#10;## [1] &amp;quot;2024-03-25 00:00:00 XLP 300 @ 75.4300003051758&amp;quot;&#10;## [1] &amp;quot;2024-03-28 00:00:00 XLP -300 @ 76.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-03-28 00:00:00 XLP -300 @ 76.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-04-02 00:00:00 XLP 300 @ 75.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-04-02 00:00:00 XLP 300 @ 75.3600006103516&amp;quot;&#10;## [1] &amp;quot;2024-04-19 00:00:00 XLP -300 @ 74.4400024414062&amp;quot;&#10;## [1] &amp;quot;2024-04-19 00:00:00 XLP -300 @ 74.4400024414062&amp;quot;&#10;## [1] &amp;quot;2024-05-02 00:00:00 XLP 300 @ 75.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-05-02 00:00:00 XLP 300 @ 75.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLP -300 @ 75.9199981689453&amp;quot;&#10;## [1] &amp;quot;2024-05-06 00:00:00 XLP -300 @ 75.9199981689453&amp;quot;&#10;## [1] &amp;quot;2024-05-24 00:00:00 XLP 300 @ 77.0999984741211&amp;quot;&#10;## [1] &amp;quot;2024-05-24 00:00:00 XLP 300 @ 77.0999984741211&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLP -300 @ 77.3099975585938&amp;quot;&#10;## [1] &amp;quot;2024-06-03 00:00:00 XLP -300 @ 77.3099975585938&amp;quot;&#10;## [1] &amp;quot;2024-06-12 00:00:00 XLP 300 @ 76.7099990844727&amp;quot;&#10;## [1] &amp;quot;2024-06-12 00:00:00 XLP 300 @ 76.7099990844727&amp;quot;&#10;## [1] &amp;quot;2024-06-18 00:00:00 XLP -300 @ 77.7799987792969&amp;quot;&#10;## [1] &amp;quot;2024-06-18 00:00:00 XLP -300 @ 77.7799987792969&amp;quot;&#10;## [1] &amp;quot;2024-06-26 00:00:00 XLP 300 @ 77.25&amp;quot;&#10;## [1] &amp;quot;2024-06-26 00:00:00 XLP 300 @ 77.25&amp;quot;&#10;## [1] &amp;quot;2024-07-08 00:00:00 XLP -300 @ 77.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-07-08 00:00:00 XLP -300 @ 77.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-07-16 00:00:00 XLP 300 @ 77.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-07-16 00:00:00 XLP 300 @ 77.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-07-17 00:00:00 XLP -300 @ 78.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-07-17 00:00:00 XLP -300 @ 78.7399978637695&amp;quot;&#10;## [1] &amp;quot;2024-07-24 00:00:00 XLP 300 @ 77.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-07-24 00:00:00 XLP 300 @ 77.7900009155273&amp;quot;&#10;## [1] &amp;quot;2024-07-29 00:00:00 XLP -300 @ 78.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-07-29 00:00:00 XLP -300 @ 78.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-07-31 00:00:00 XLP 300 @ 77.8499984741211&amp;quot;&#10;## [1] &amp;quot;2024-07-31 00:00:00 XLP 300 @ 77.8499984741211&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLP -300 @ 79.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-08-02 00:00:00 XLP -300 @ 79.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-08-06 00:00:00 XLP 300 @ 78.2399978637695&amp;quot;&#10;## [1] &amp;quot;2024-08-06 00:00:00 XLP 300 @ 78.2399978637695&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLP -300 @ 79.1500015258789&amp;quot;&#10;## [1] &amp;quot;2024-08-09 00:00:00 XLP -300 @ 79.1500015258789&amp;quot;&#10;## [1] &amp;quot;2024-08-30 00:00:00 XLP 300 @ 82.5100021362305&amp;quot;&#10;## [1] &amp;quot;2024-08-30 00:00:00 XLP 300 @ 82.5100021362305&amp;quot;&#10;## [1] &amp;quot;2024-09-03 00:00:00 XLP -300 @ 83.0899963378906&amp;quot;&#10;## [1] &amp;quot;2024-09-03 00:00:00 XLP -300 @ 83.0899963378906&amp;quot;&#10;## [1] &amp;quot;2024-09-12 00:00:00 XLP 300 @ 83.3399963378906&amp;quot;&#10;## [1] &amp;quot;2024-09-12 00:00:00 XLP 300 @ 83.3399963378906&amp;quot;&#10;## [1] &amp;quot;2024-09-16 00:00:00 XLP -300 @ 84.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-09-16 00:00:00 XLP -300 @ 84.2600021362305&amp;quot;&#10;## [1] &amp;quot;2024-09-19 00:00:00 XLP 300 @ 82.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-09-19 00:00:00 XLP 300 @ 82.6500015258789&amp;quot;&#10;## [1] &amp;quot;2024-09-30 00:00:00 XLP -300 @ 83&amp;quot;&#10;## [1] &amp;quot;2024-09-30 00:00:00 XLP -300 @ 83&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLP 300 @ 82.0199966430664&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLP 300 @ 82.0199966430664&amp;quot;&#10;## [1] &amp;quot;2024-10-10 00:00:00 XLP -300 @ 81.1900024414062&amp;quot;&#10;## [1] &amp;quot;2024-10-10 00:00:00 XLP -300 @ 81.1900024414062&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLP 300 @ 82.0100021362305&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLP 300 @ 82.0100021362305&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLP -300 @ 79.5599975585938&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLP -300 @ 79.5599975585938&amp;quot;&#10;## [1] &amp;quot;2024-11-07 00:00:00 XLP 300 @ 79.8499984741211&amp;quot;&#10;## [1] &amp;quot;2024-11-07 00:00:00 XLP 300 @ 79.8499984741211&amp;quot;&#10;## [1] &amp;quot;2024-11-11 00:00:00 XLP -300 @ 80.5400009155273&amp;quot;&#10;## [1] &amp;quot;2024-11-11 00:00:00 XLP -300 @ 80.5400009155273&amp;quot;&#10;## [1] &amp;quot;2024-11-18 00:00:00 XLP 300 @ 80.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-11-18 00:00:00 XLP 300 @ 80.5199966430664&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLP -300 @ 81.8399963378906&amp;quot;&#10;## [1] &amp;quot;2024-11-22 00:00:00 XLP -300 @ 81.8399963378906&amp;quot;&#10;## [1] &amp;quot;2024-12-04 00:00:00 XLP 300 @ 82.4599990844727&amp;quot;&#10;## [1] &amp;quot;2024-12-04 00:00:00 XLP 300 @ 82.4599990844727&amp;quot;&#10;## [1] &amp;quot;2025-01-17 00:00:00 XLP -300 @ 77.2399978637695&amp;quot;&#10;## [1] &amp;quot;2025-01-17 00:00:00 XLP -300 @ 77.2399978637695&amp;quot;&#10;## [1] &amp;quot;2025-02-05 00:00:00 XLP 300 @ 79.1100006103516&amp;quot;&#10;## [1] &amp;quot;2025-02-05 00:00:00 XLP 300 @ 79.1100006103516&amp;quot;&#10;## [1] &amp;quot;2025-02-07 00:00:00 XLP -300 @ 79.3499984741211&amp;quot;&#10;## [1] &amp;quot;2025-02-07 00:00:00 XLP -300 @ 79.3499984741211&amp;quot;&#10;## [1] &amp;quot;2025-03-05 00:00:00 XLP 300 @ 82.4400024414062&amp;quot;&#10;## [1] &amp;quot;2025-03-05 00:00:00 XLP 300 @ 82.4400024414062&amp;quot;&#10;## [1] &amp;quot;2025-03-10 00:00:00 XLP -300 @ 82.6800003051758&amp;quot;&#10;## [1] &amp;quot;2025-03-10 00:00:00 XLP -300 @ 82.6800003051758&amp;quot;&#10;## [1] &amp;quot;2025-03-12 00:00:00 XLP 300 @ 79.6999969482422&amp;quot;&#10;## [1] &amp;quot;2025-03-12 00:00:00 XLP 300 @ 79.6999969482422&amp;quot;&#10;## [1] &amp;quot;2025-03-18 00:00:00 XLP -300 @ 79.75&amp;quot;&#10;## [1] &amp;quot;2025-03-18 00:00:00 XLP -300 @ 79.75&amp;quot;&#10;## [1] &amp;quot;2025-03-21 00:00:00 XLP 300 @ 79.3300018310547&amp;quot;&#10;## [1] &amp;quot;2025-03-21 00:00:00 XLP 300 @ 79.3300018310547&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLP -300 @ 80.8099975585938&amp;quot;&#10;## [1] &amp;quot;2025-03-27 00:00:00 XLP -300 @ 80.8099975585938&amp;quot;&#10;## [1] &amp;quot;2025-04-07 00:00:00 XLP 300 @ 77.5500030517578&amp;quot;&#10;## [1] &amp;quot;2025-04-07 00:00:00 XLP 300 @ 77.5500030517578&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLP -300 @ 79.3499984741211&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLP -300 @ 79.3499984741211&amp;quot;&#10;## [1] &amp;quot;2025-04-25 00:00:00 XLP 300 @ 80.8399963378906&amp;quot;&#10;## [1] &amp;quot;2025-04-25 00:00:00 XLP 300 @ 80.8399963378906&amp;quot;&#10;## [1] &amp;quot;2025-05-01 00:00:00 XLP -300 @ 81.120002746582&amp;quot;&#10;## [1] &amp;quot;2025-05-01 00:00:00 XLP -300 @ 81.120002746582&amp;quot;&#10;## [1] &amp;quot;2025-05-12 00:00:00 XLP 300 @ 81.0299987792969&amp;quot;&#10;## [1] &amp;quot;2025-05-12 00:00:00 XLP 300 @ 81.0299987792969&amp;quot;&#10;## [1] &amp;quot;2025-05-16 00:00:00 XLP -300 @ 82.0699996948242&amp;quot;&#10;## [1] &amp;quot;2025-05-16 00:00:00 XLP -300 @ 82.0699996948242&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLP 300 @ 81.3000030517578&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLP 300 @ 81.3000030517578&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLP -300 @ 81.7799987792969&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLP -300 @ 81.7799987792969&amp;quot;&#10;## [1] &amp;quot;2025-06-05 00:00:00 XLP 300 @ 81.4300003051758&amp;quot;&#10;## [1] &amp;quot;2025-06-05 00:00:00 XLP 300 @ 81.4300003051758&amp;quot;&#10;## [1] &amp;quot;2025-06-13 00:00:00 XLP -300 @ 80.9599990844727&amp;quot;&#10;## [1] &amp;quot;2025-06-13 00:00:00 XLP -300 @ 80.9599990844727&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLP 300 @ 81.2200012207031&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLP 300 @ 81.2200012207031&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLP -300 @ 81.3300018310547&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLP -300 @ 81.3300018310547&amp;quot;&#10;## [1] &amp;quot;2025-06-26 00:00:00 XLP 300 @ 80.1699981689453&amp;quot;&#10;## [1] &amp;quot;2025-06-26 00:00:00 XLP 300 @ 80.1699981689453&amp;quot;&#10;## [1] &amp;quot;2025-07-01 00:00:00 XLP -300 @ 81.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-07-01 00:00:00 XLP -300 @ 81.9800033569336&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLP 300 @ 80.8199996948242&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLP 300 @ 80.8199996948242&amp;quot;&#10;## [1] &amp;quot;1998-12-30 00:00:00 XLU -300 @ 30.34375&amp;quot;&#10;## [1] &amp;quot;1999-01-05 00:00:00 XLU 300 @ 30.109375&amp;quot;&#10;## [1] &amp;quot;1999-01-05 00:00:00 XLU 300 @ 30.109375&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLU -300 @ 30.3125&amp;quot;&#10;## [1] &amp;quot;1999-01-07 00:00:00 XLU -300 @ 30.3125&amp;quot;&#10;## [1] &amp;quot;1999-01-12 00:00:00 XLU 300 @ 29.6875&amp;quot;&#10;## [1] &amp;quot;1999-01-12 00:00:00 XLU 300 @ 29.6875&amp;quot;&#10;## [1] &amp;quot;1999-01-20 00:00:00 XLU -300 @ 30.40625&amp;quot;&#10;## [1] &amp;quot;1999-01-20 00:00:00 XLU -300 @ 30.40625&amp;quot;&#10;## [1] &amp;quot;1999-01-26 00:00:00 XLU 300 @ 29.9375&amp;quot;&#10;## [1] &amp;quot;1999-01-26 00:00:00 XLU 300 @ 29.9375&amp;quot;&#10;## [1] &amp;quot;1999-02-19 00:00:00 XLU -300 @ 28.859375&amp;quot;&#10;## [1] &amp;quot;1999-02-19 00:00:00 XLU -300 @ 28.859375&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLU 300 @ 28.671875&amp;quot;&#10;## [1] &amp;quot;1999-02-26 00:00:00 XLU 300 @ 28.671875&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLU -300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-03-05 00:00:00 XLU -300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-03-11 00:00:00 XLU 300 @ 28.484375&amp;quot;&#10;## [1] &amp;quot;1999-03-11 00:00:00 XLU 300 @ 28.484375&amp;quot;&#10;## [1] &amp;quot;1999-03-15 00:00:00 XLU -300 @ 28.875&amp;quot;&#10;## [1] &amp;quot;1999-03-15 00:00:00 XLU -300 @ 28.875&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLU 300 @ 28.921875&amp;quot;&#10;## [1] &amp;quot;1999-03-18 00:00:00 XLU 300 @ 28.921875&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLU -300 @ 28.203125&amp;quot;&#10;## [1] &amp;quot;1999-03-19 00:00:00 XLU -300 @ 28.203125&amp;quot;&#10;## [1] &amp;quot;1999-03-22 00:00:00 XLU 300 @ 28.296875&amp;quot;&#10;## [1] &amp;quot;1999-03-22 00:00:00 XLU 300 @ 28.296875&amp;quot;&#10;## [1] &amp;quot;1999-04-05 00:00:00 XLU -300 @ 27.46875&amp;quot;&#10;## [1] &amp;quot;1999-04-05 00:00:00 XLU -300 @ 27.46875&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLU 300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-04-15 00:00:00 XLU 300 @ 28.03125&amp;quot;&#10;## [1] &amp;quot;1999-04-19 00:00:00 XLU -300 @ 28.625&amp;quot;&#10;## [1] &amp;quot;1999-04-19 00:00:00 XLU -300 @ 28.625&amp;quot;&#10;## [1] &amp;quot;1999-05-07 00:00:00 XLU 300 @ 29.421875&amp;quot;&#10;## [1] &amp;quot;1999-05-07 00:00:00 XLU 300 @ 29.421875&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLU -300 @ 29.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-13 00:00:00 XLU -300 @ 29.921875&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLU 300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;1999-05-17 00:00:00 XLU 300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;1999-05-18 00:00:00 XLU -300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;1999-05-18 00:00:00 XLU -300 @ 29.3125&amp;quot;&#10;## [1] &amp;quot;1999-05-28 00:00:00 XLU 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;1999-05-28 00:00:00 XLU 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLU -300 @ 30&amp;quot;&#10;## [1] &amp;quot;1999-06-07 00:00:00 XLU -300 @ 30&amp;quot;&#10;## [1] &amp;quot;1999-06-14 00:00:00 XLU 300 @ 30.609375&amp;quot;&#10;## [1] &amp;quot;1999-06-14 00:00:00 XLU 300 @ 30.609375&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLU -300 @ 30.640625&amp;quot;&#10;## [1] &amp;quot;1999-06-15 00:00:00 XLU -300 @ 30.640625&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLU 300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;1999-06-22 00:00:00 XLU 300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLU -300 @ 30.53125&amp;quot;&#10;## [1] &amp;quot;1999-07-01 00:00:00 XLU -300 @ 30.53125&amp;quot;&#10;## [1] &amp;quot;1999-07-13 00:00:00 XLU 300 @ 30.21875&amp;quot;&#10;## 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00:00:00 XLU 300 @ 26.0599994659424&amp;quot;&#10;## [1] &amp;quot;2009-04-09 00:00:00 XLU -300 @ 26.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-09 00:00:00 XLU -300 @ 26.0699996948242&amp;quot;&#10;## [1] &amp;quot;2009-04-14 00:00:00 XLU 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2009-04-14 00:00:00 XLU 300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2009-04-17 00:00:00 XLU -300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-04-17 00:00:00 XLU -300 @ 25.7800006866455&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLU 300 @ 25.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-04-21 00:00:00 XLU 300 @ 25.5799999237061&amp;quot;&#10;## [1] &amp;quot;2009-04-28 00:00:00 XLU -300 @ 25.6399993896484&amp;quot;&#10;## [1] &amp;quot;2009-04-28 00:00:00 XLU -300 @ 25.6399993896484&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLU 300 @ 26.5699996948242&amp;quot;&#10;## [1] &amp;quot;2009-05-14 00:00:00 XLU 300 @ 26.5699996948242&amp;quot;&#10;## [1] 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00:00:00 XLU -300 @ 31.4400005340576&amp;quot;&#10;## [1] &amp;quot;2010-09-10 00:00:00 XLU -300 @ 31.4400005340576&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 XLU 300 @ 31.2199993133545&amp;quot;&#10;## [1] &amp;quot;2010-09-16 00:00:00 XLU 300 @ 31.2199993133545&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLU -300 @ 31.5200004577637&amp;quot;&#10;## [1] &amp;quot;2010-09-27 00:00:00 XLU -300 @ 31.5200004577637&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLU 300 @ 31.5499992370605&amp;quot;&#10;## [1] &amp;quot;2010-10-01 00:00:00 XLU 300 @ 31.5499992370605&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLU -300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-10-04 00:00:00 XLU -300 @ 31.4899997711182&amp;quot;&#10;## [1] &amp;quot;2010-10-13 00:00:00 XLU 300 @ 31.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-10-13 00:00:00 XLU 300 @ 31.8500003814697&amp;quot;&#10;## [1] &amp;quot;2010-10-18 00:00:00 XLU -300 @ 31.8999996185303&amp;quot;&#10;## [1] 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00:00:00 XLU 300 @ 32.0800018310547&amp;quot;&#10;## [1] &amp;quot;2011-01-27 00:00:00 XLU 300 @ 32.0800018310547&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLU -300 @ 31.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-02-02 00:00:00 XLU -300 @ 31.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLU 300 @ 31.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-02-15 00:00:00 XLU 300 @ 31.8700008392334&amp;quot;&#10;## [1] &amp;quot;2011-02-22 00:00:00 XLU -300 @ 31.7700004577637&amp;quot;&#10;## [1] &amp;quot;2011-02-22 00:00:00 XLU -300 @ 31.7700004577637&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLU 300 @ 31.7000007629395&amp;quot;&#10;## [1] &amp;quot;2011-02-23 00:00:00 XLU 300 @ 31.7000007629395&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLU -300 @ 31.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-03-01 00:00:00 XLU -300 @ 31.7900009155273&amp;quot;&#10;## [1] &amp;quot;2011-03-15 00:00:00 XLU 300 @ 31.4799995422363&amp;quot;&#10;## [1] 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00:00:00 XLU -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2011-06-21 00:00:00 XLU -300 @ 33.2000007629395&amp;quot;&#10;## [1] &amp;quot;2011-06-23 00:00:00 XLU 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2011-06-23 00:00:00 XLU 300 @ 32.7000007629395&amp;quot;&#10;## [1] &amp;quot;2011-06-28 00:00:00 XLU -300 @ 33.189998626709&amp;quot;&#10;## [1] &amp;quot;2011-06-28 00:00:00 XLU -300 @ 33.189998626709&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLU 300 @ 33.5499992370605&amp;quot;&#10;## [1] &amp;quot;2011-07-12 00:00:00 XLU 300 @ 33.5499992370605&amp;quot;&#10;## [1] &amp;quot;2011-07-21 00:00:00 XLU -300 @ 34.0299987792969&amp;quot;&#10;## [1] &amp;quot;2011-07-21 00:00:00 XLU -300 @ 34.0299987792969&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLU 300 @ 33.5099983215332&amp;quot;&#10;## [1] &amp;quot;2011-07-28 00:00:00 XLU 300 @ 33.5099983215332&amp;quot;&#10;## [1] &amp;quot;2011-08-12 00:00:00 XLU -300 @ 31.7000007629395&amp;quot;&#10;## [1] 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&amp;quot;1999-08-26 00:00:00 XLV -300 @ 28.15625&amp;quot;&#10;## [1] &amp;quot;1999-08-31 00:00:00 XLV 300 @ 27.1875&amp;quot;&#10;## [1] &amp;quot;1999-08-31 00:00:00 XLV 300 @ 27.1875&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLV -300 @ 28.125&amp;quot;&#10;## [1] &amp;quot;1999-09-07 00:00:00 XLV -300 @ 28.125&amp;quot;&#10;## [1] &amp;quot;1999-09-15 00:00:00 XLV 300 @ 27.375&amp;quot;&#10;## [1] &amp;quot;1999-09-15 00:00:00 XLV 300 @ 27.375&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLV -300 @ 27.828125&amp;quot;&#10;## [1] &amp;quot;1999-09-20 00:00:00 XLV -300 @ 27.828125&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLV 300 @ 27.265625&amp;quot;&#10;## [1] &amp;quot;1999-09-22 00:00:00 XLV 300 @ 27.265625&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLV -300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLV -300 @ 26.71875&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLV 300 @ 26.34375&amp;quot;&#10;## [1] &amp;quot;1999-10-13 00:00:00 XLV 300 @ 26.34375&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLV -300 @ 26.359375&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLV -300 @ 26.359375&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLV 300 @ 28.171875&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLV 300 @ 28.171875&amp;quot;&#10;## [1] &amp;quot;1999-11-12 00:00:00 XLV -300 @ 29.0625&amp;quot;&#10;## [1] &amp;quot;1999-11-12 00:00:00 XLV -300 @ 29.0625&amp;quot;&#10;## [1] &amp;quot;1999-11-23 00:00:00 XLV 300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;1999-11-23 00:00:00 XLV 300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLV -300 @ 29.25&amp;quot;&#10;## [1] &amp;quot;1999-12-03 00:00:00 XLV -300 @ 29.25&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLV 300 @ 29.734375&amp;quot;&#10;## [1] &amp;quot;1999-12-16 00:00:00 XLV 300 @ 29.734375&amp;quot;&#10;## [1] &amp;quot;1999-12-20 00:00:00 XLV -300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;1999-12-20 00:00:00 XLV -300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLV 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLV 300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-01-11 00:00:00 XLV -300 @ 31.96875&amp;quot;&#10;## [1] &amp;quot;2000-01-11 00:00:00 XLV -300 @ 31.96875&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLV 300 @ 32.25&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLV 300 @ 32.25&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLV -300 @ 31.53125&amp;quot;&#10;## [1] &amp;quot;2000-02-03 00:00:00 XLV -300 @ 31.53125&amp;quot;&#10;## [1] &amp;quot;2000-02-10 00:00:00 XLV 300 @ 30.640625&amp;quot;&#10;## [1] &amp;quot;2000-02-10 00:00:00 XLV 300 @ 30.640625&amp;quot;&#10;## [1] &amp;quot;2000-03-02 00:00:00 XLV -300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;2000-03-02 00:00:00 XLV -300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;2000-03-07 00:00:00 XLV 300 @ 27.5625&amp;quot;&#10;## [1] &amp;quot;2000-03-07 00:00:00 XLV 300 @ 27.5625&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLV -300 @ 27.828125&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLV -300 @ 27.828125&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLV 300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-03-30 00:00:00 XLV 300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-04-07 00:00:00 XLV -300 @ 30.765625&amp;quot;&#10;## [1] &amp;quot;2000-04-07 00:00:00 XLV -300 @ 30.765625&amp;quot;&#10;## [1] &amp;quot;2000-04-13 00:00:00 XLV 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-04-13 00:00:00 XLV 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLV -300 @ 29.59375&amp;quot;&#10;## [1] &amp;quot;2000-04-20 00:00:00 XLV -300 @ 29.59375&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLV 300 @ 28.96875&amp;quot;&#10;## [1] &amp;quot;2000-05-03 00:00:00 XLV 300 @ 28.96875&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLV -300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-05-15 00:00:00 XLV -300 @ 29.609375&amp;quot;&#10;## [1] &amp;quot;2000-05-22 00:00:00 XLV 300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;2000-05-22 00:00:00 XLV 300 @ 28.515625&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLV -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-05-31 00:00:00 XLV -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-06-09 00:00:00 XLV 300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;2000-06-09 00:00:00 XLV 300 @ 29.8125&amp;quot;&#10;## [1] &amp;quot;2000-06-12 00:00:00 XLV -300 @ 29.53125&amp;quot;&#10;## [1] &amp;quot;2000-06-12 00:00:00 XLV -300 @ 29.53125&amp;quot;&#10;## [1] &amp;quot;2000-06-14 00:00:00 XLV 300 @ 29.625&amp;quot;&#10;## [1] &amp;quot;2000-06-14 00:00:00 XLV 300 @ 29.625&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLV -300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-06-16 00:00:00 XLV -300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLV 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-06-23 00:00:00 XLV 300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-06-30 00:00:00 XLV -300 @ 29.5625&amp;quot;&#10;## [1] &amp;quot;2000-06-30 00:00:00 XLV -300 @ 29.5625&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLV 300 @ 29.84375&amp;quot;&#10;## [1] &amp;quot;2000-07-12 00:00:00 XLV 300 @ 29.84375&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLV -300 @ 29.9375&amp;quot;&#10;## [1] &amp;quot;2000-07-13 00:00:00 XLV -300 @ 29.9375&amp;quot;&#10;## [1] &amp;quot;2000-07-19 00:00:00 XLV 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2000-07-19 00:00:00 XLV 300 @ 29.75&amp;quot;&#10;## [1] &amp;quot;2000-07-21 00:00:00 XLV -300 @ 29.46875&amp;quot;&#10;## [1] &amp;quot;2000-07-21 00:00:00 XLV -300 @ 29.46875&amp;quot;&#10;## [1] &amp;quot;2000-07-24 00:00:00 XLV 300 @ 29.1875&amp;quot;&#10;## [1] &amp;quot;2000-07-24 00:00:00 XLV 300 @ 29.1875&amp;quot;&#10;## [1] &amp;quot;2000-08-02 00:00:00 XLV -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-08-02 00:00:00 XLV -300 @ 29.5&amp;quot;&#10;## [1] &amp;quot;2000-08-10 00:00:00 XLV 300 @ 29.90625&amp;quot;&#10;## [1] &amp;quot;2000-08-10 00:00:00 XLV 300 @ 29.90625&amp;quot;&#10;## [1] &amp;quot;2000-08-14 00:00:00 XLV -300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-08-14 00:00:00 XLV -300 @ 30.4375&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLV 300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-08-17 00:00:00 XLV 300 @ 30.125&amp;quot;&#10;## [1] &amp;quot;2000-08-22 00:00:00 XLV -300 @ 29.84375&amp;quot;&#10;## [1] &amp;quot;2000-08-22 00:00:00 XLV -300 @ 29.84375&amp;quot;&#10;## [1] &amp;quot;2000-08-23 00:00:00 XLV 300 @ 29.875&amp;quot;&#10;## [1] &amp;quot;2000-08-23 00:00:00 XLV 300 @ 29.875&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLV -300 @ 30&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLV -300 @ 30&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLV 300 @ 29.40625&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLV 300 @ 29.40625&amp;quot;&#10;## [1] &amp;quot;2000-09-14 00:00:00 XLV -300 @ 29.28125&amp;quot;&#10;## [1] &amp;quot;2000-09-14 00:00:00 XLV -300 @ 29.28125&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLV 300 @ 29.109375&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLV 300 @ 29.109375&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLV -300 @ 29.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLV -300 @ 29.0625&amp;quot;&#10;## [1] &amp;quot;2000-10-09 00:00:00 XLV 300 @ 29.15625&amp;quot;&#10;## [1] &amp;quot;2000-10-09 00:00:00 XLV 300 @ 29.15625&amp;quot;&#10;## [1] &amp;quot;2000-10-23 00:00:00 XLV -300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;2000-10-23 00:00:00 XLV -300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;2000-11-10 00:00:00 XLV 300 @ 28.453125&amp;quot;&#10;## [1] &amp;quot;2000-11-10 00:00:00 XLV 300 @ 28.453125&amp;quot;&#10;## [1] &amp;quot;2000-12-06 00:00:00 XLV -300 @ 28.015625&amp;quot;&#10;## [1] &amp;quot;2000-12-06 00:00:00 XLV -300 @ 28.015625&amp;quot;&#10;## [1] &amp;quot;2000-12-18 00:00:00 XLV 300 @ 27.53125&amp;quot;&#10;## [1] &amp;quot;2000-12-18 00:00:00 XLV 300 @ 27.53125&amp;quot;&#10;## [1] &amp;quot;2000-12-28 00:00:00 XLV -300 @ 27.5625&amp;quot;&#10;## [1] &amp;quot;2000-12-28 00:00:00 XLV -300 @ 27.5625&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLV 300 @ 28.203125&amp;quot;&#10;## [1] &amp;quot;2001-01-03 00:00:00 XLV 300 @ 28.203125&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLV -300 @ 29.03125&amp;quot;&#10;## [1] &amp;quot;2001-01-04 00:00:00 XLV -300 @ 29.03125&amp;quot;&#10;## [1] &amp;quot;2001-01-22 00:00:00 XLV 300 @ 28.9375&amp;quot;&#10;## [1] &amp;quot;2001-01-22 00:00:00 XLV 300 @ 28.9375&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLV -300 @ 29.328125&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLV -300 @ 29.328125&amp;quot;&#10;## [1] &amp;quot;2001-01-29 00:00:00 XLV 300 @ 29.4599990844727&amp;quot;&#10;## [1] &amp;quot;2001-01-29 00:00:00 XLV 300 @ 29.4599990844727&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLV -300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-01-30 00:00:00 XLV -300 @ 29.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-02-12 00:00:00 XLV 300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-02-12 00:00:00 XLV 300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-02-28 00:00:00 XLV -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-02-28 00:00:00 XLV -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-03-06 00:00:00 XLV 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-06 00:00:00 XLV 300 @ 28.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-03-08 00:00:00 XLV -300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-03-08 00:00:00 XLV -300 @ 28.8400001525879&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLV 300 @ 27.1700000762939&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLV 300 @ 27.1700000762939&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLV -300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLV -300 @ 27.0300006866455&amp;quot;&#10;## [1] &amp;quot;2001-04-03 00:00:00 XLV 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-04-03 00:00:00 XLV 300 @ 25.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLV -300 @ 26.5900001525879&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLV -300 @ 26.5900001525879&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLV 300 @ 28.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-24 00:00:00 XLV 300 @ 28.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-26 00:00:00 XLV -300 @ 29.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-04-26 00:00:00 XLV -300 @ 29.0799999237061&amp;quot;&#10;## [1] &amp;quot;2001-05-04 00:00:00 XLV 300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-05-04 00:00:00 XLV 300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLV -300 @ 28.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-05-14 00:00:00 XLV -300 @ 28.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLV 300 @ 30.4599990844727&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLV 300 @ 30.4599990844727&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLV -300 @ 29.8899993896484&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLV -300 @ 29.8899993896484&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLV 300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLV 300 @ 29.6800003051758&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLV -300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLV -300 @ 29.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-06-27 00:00:00 XLV 300 @ 29.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-06-27 00:00:00 XLV 300 @ 29.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-06-29 00:00:00 XLV -300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-06-29 00:00:00 XLV -300 @ 29.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLV 300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLV 300 @ 28.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLV -300 @ 29.1599998474121&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLV -300 @ 29.1599998474121&amp;quot;&#10;## [1] &amp;quot;2001-07-20 00:00:00 XLV 300 @ 28.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-07-20 00:00:00 XLV 300 @ 28.8299999237061&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLV -300 @ 29.1700000762939&amp;quot;&#10;## [1] &amp;quot;2001-07-27 00:00:00 XLV -300 @ 29.1700000762939&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLV 300 @ 28.8799991607666&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLV 300 @ 28.8799991607666&amp;quot;&#10;## [1] &amp;quot;2001-08-14 00:00:00 XLV -300 @ 28.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-08-14 00:00:00 XLV -300 @ 28.4500007629395&amp;quot;&#10;## [1] &amp;quot;2001-08-15 00:00:00 XLV 300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-08-15 00:00:00 XLV 300 @ 28.0599994659424&amp;quot;&#10;## [1] &amp;quot;2001-08-22 00:00:00 XLV -300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-22 00:00:00 XLV -300 @ 28.1499996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLV 300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-08-29 00:00:00 XLV 300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLV -300 @ 23.5&amp;quot;&#10;## [1] &amp;quot;2001-09-28 00:00:00 XLV -300 @ 23.5&amp;quot;&#10;## [1] &amp;quot;2001-10-09 00:00:00 XLV 300 @ 23.5&amp;quot;&#10;## [1] &amp;quot;2001-10-09 00:00:00 XLV 300 @ 23.5&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLV -300 @ 24.5799999237061&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLV -300 @ 24.5799999237061&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLV 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLV 300 @ 23.5699996948242&amp;quot;&#10;## [1] &amp;quot;2001-10-23 00:00:00 XLV -300 @ 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[1] &amp;quot;2007-05-17 00:00:00 XLV -300 @ 36.439998626709&amp;quot;&#10;## [1] &amp;quot;2007-06-06 00:00:00 XLV 300 @ 36.2700004577637&amp;quot;&#10;## [1] &amp;quot;2007-06-06 00:00:00 XLV 300 @ 36.2700004577637&amp;quot;&#10;## [1] &amp;quot;2007-06-15 00:00:00 XLV -300 @ 36.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-06-15 00:00:00 XLV -300 @ 36.0699996948242&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLV 300 @ 35.5099983215332&amp;quot;&#10;## [1] &amp;quot;2007-06-21 00:00:00 XLV 300 @ 35.5099983215332&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLV -300 @ 35.4099998474121&amp;quot;&#10;## [1] &amp;quot;2007-06-28 00:00:00 XLV -300 @ 35.4099998474121&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLV 300 @ 35.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-07-11 00:00:00 XLV 300 @ 35.3499984741211&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLV -300 @ 35.9199981689453&amp;quot;&#10;## [1] &amp;quot;2007-07-13 00:00:00 XLV -300 @ 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129.960006713867&amp;quot;&#10;## [1] &amp;quot;2022-02-28 00:00:00 XLV -300 @ 129.960006713867&amp;quot;&#10;## [1] &amp;quot;2022-03-08 00:00:00 XLV 300 @ 127.550003051758&amp;quot;&#10;## [1] &amp;quot;2022-03-08 00:00:00 XLV 300 @ 127.550003051758&amp;quot;&#10;## [1] &amp;quot;2022-03-16 00:00:00 XLV -300 @ 134.029998779297&amp;quot;&#10;## [1] &amp;quot;2022-03-16 00:00:00 XLV -300 @ 134.029998779297&amp;quot;&#10;## [1] &amp;quot;2022-03-24 00:00:00 XLV 300 @ 135.639999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-24 00:00:00 XLV 300 @ 135.639999389648&amp;quot;&#10;## [1] &amp;quot;2022-03-28 00:00:00 XLV -300 @ 137.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-03-28 00:00:00 XLV -300 @ 137.259994506836&amp;quot;&#10;## [1] &amp;quot;2022-04-01 00:00:00 XLV 300 @ 138.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-04-01 00:00:00 XLV 300 @ 138.070007324219&amp;quot;&#10;## [1] &amp;quot;2022-04-07 00:00:00 XLV -300 @ 141.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-04-07 00:00:00 XLV -300 @ 141.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-04-13 00:00:00 XLV 300 @ 139.309997558594&amp;quot;&#10;## [1] &amp;quot;2022-04-13 00:00:00 XLV 300 @ 139.309997558594&amp;quot;&#10;## [1] &amp;quot;2022-04-21 00:00:00 XLV -300 @ 138.729995727539&amp;quot;&#10;## [1] &amp;quot;2022-04-21 00:00:00 XLV -300 @ 138.729995727539&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLV 300 @ 134.570007324219&amp;quot;&#10;## [1] &amp;quot;2022-04-25 00:00:00 XLV 300 @ 134.570007324219&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLV -300 @ 130.190002441406&amp;quot;&#10;## [1] &amp;quot;2022-05-05 00:00:00 XLV -300 @ 130.190002441406&amp;quot;&#10;## [1] &amp;quot;2022-05-09 00:00:00 XLV 300 @ 126.419998168945&amp;quot;&#10;## [1] &amp;quot;2022-05-09 00:00:00 XLV 300 @ 126.419998168945&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLV -300 @ 129.550003051758&amp;quot;&#10;## [1] &amp;quot;2022-05-16 00:00:00 XLV -300 @ 129.550003051758&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLV 300 @ 128.220001220703&amp;quot;&#10;## [1] &amp;quot;2022-05-19 00:00:00 XLV 300 @ 128.220001220703&amp;quot;&#10;## [1] &amp;quot;2022-05-23 00:00:00 XLV -300 @ 130.919998168945&amp;quot;&#10;## [1] &amp;quot;2022-05-23 00:00:00 XLV -300 @ 130.919998168945&amp;quot;&#10;## [1] &amp;quot;2022-06-02 00:00:00 XLV 300 @ 131.360000610352&amp;quot;&#10;## [1] &amp;quot;2022-06-02 00:00:00 XLV 300 @ 131.360000610352&amp;quot;&#10;## [1] &amp;quot;2022-06-08 00:00:00 XLV -300 @ 130.490005493164&amp;quot;&#10;## [1] &amp;quot;2022-06-08 00:00:00 XLV -300 @ 130.490005493164&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLV 300 @ 125.48999786377&amp;quot;&#10;## [1] &amp;quot;2022-06-10 00:00:00 XLV 300 @ 125.48999786377&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLV -300 @ 124.300003051758&amp;quot;&#10;## [1] &amp;quot;2022-06-22 00:00:00 XLV -300 @ 124.300003051758&amp;quot;&#10;## [1] &amp;quot;2022-07-13 00:00:00 XLV 300 @ 127.5&amp;quot;&#10;## [1] &amp;quot;2022-07-13 00:00:00 XLV 300 @ 127.5&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLV -300 @ 127.449996948242&amp;quot;&#10;## [1] &amp;quot;2022-07-18 00:00:00 XLV -300 @ 127.449996948242&amp;quot;&#10;## [1] &amp;quot;2022-08-02 00:00:00 XLV 300 @ 130.949996948242&amp;quot;&#10;## [1] &amp;quot;2022-08-02 00:00:00 XLV 300 @ 130.949996948242&amp;quot;&#10;## [1] &amp;quot;2022-08-04 00:00:00 XLV -300 @ 131.5&amp;quot;&#10;## [1] &amp;quot;2022-08-04 00:00:00 XLV -300 @ 131.5&amp;quot;&#10;## [1] &amp;quot;2022-08-18 00:00:00 XLV 300 @ 132.559997558594&amp;quot;&#10;## [1] &amp;quot;2022-08-18 00:00:00 XLV 300 @ 132.559997558594&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLV -300 @ 129.360000610352&amp;quot;&#10;## [1] &amp;quot;2022-09-08 00:00:00 XLV -300 @ 129.360000610352&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLV 300 @ 127.099998474121&amp;quot;&#10;## [1] &amp;quot;2022-09-14 00:00:00 XLV 300 @ 127.099998474121&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLV -300 @ 122.800003051758&amp;quot;&#10;## [1] &amp;quot;2022-09-29 00:00:00 XLV -300 @ 122.800003051758&amp;quot;&#10;## [1] &amp;quot;2022-10-03 00:00:00 XLV 300 @ 123.599998474121&amp;quot;&#10;## [1] &amp;quot;2022-10-03 00:00:00 XLV 300 @ 123.599998474121&amp;quot;&#10;## [1] &amp;quot;2022-10-04 00:00:00 XLV -300 @ 126.470001220703&amp;quot;&#10;## [1] &amp;quot;2022-10-04 00:00:00 XLV -300 @ 126.470001220703&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLV 300 @ 121.849998474121&amp;quot;&#10;## [1] &amp;quot;2022-10-10 00:00:00 XLV 300 @ 121.849998474121&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLV -300 @ 123.900001525879&amp;quot;&#10;## [1] &amp;quot;2022-10-14 00:00:00 XLV -300 @ 123.900001525879&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLV 300 @ 126.540000915527&amp;quot;&#10;## [1] &amp;quot;2022-10-21 00:00:00 XLV 300 @ 126.540000915527&amp;quot;&#10;## [1] &amp;quot;2022-10-24 00:00:00 XLV -300 @ 128.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-10-24 00:00:00 XLV -300 @ 128.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLV 300 @ 130.020004272461&amp;quot;&#10;## [1] &amp;quot;2022-11-03 00:00:00 XLV 300 @ 130.020004272461&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLV -300 @ 132.869995117188&amp;quot;&#10;## [1] &amp;quot;2022-11-08 00:00:00 XLV -300 @ 132.869995117188&amp;quot;&#10;## [1] &amp;quot;2022-12-07 00:00:00 XLV 300 @ 138.520004272461&amp;quot;&#10;## [1] &amp;quot;2022-12-07 00:00:00 XLV 300 @ 138.520004272461&amp;quot;&#10;## [1] &amp;quot;2022-12-09 00:00:00 XLV -300 @ 137.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-12-09 00:00:00 XLV -300 @ 137.979995727539&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLV 300 @ 135.529998779297&amp;quot;&#10;## [1] &amp;quot;2022-12-16 00:00:00 XLV 300 @ 135.529998779297&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLV -300 @ 136.020004272461&amp;quot;&#10;## [1] &amp;quot;2022-12-22 00:00:00 XLV -300 @ 136.020004272461&amp;quot;&#10;## [1] &amp;quot;2022-12-29 00:00:00 XLV 300 @ 136.339996337891&amp;quot;&#10;## [1] &amp;quot;2022-12-29 00:00:00 XLV 300 @ 136.339996337891&amp;quot;&#10;## [1] &amp;quot;2022-12-30 00:00:00 XLV -300 @ 135.850006103516&amp;quot;&#10;## [1] &amp;quot;2022-12-30 00:00:00 XLV -300 @ 135.850006103516&amp;quot;&#10;## [1] &amp;quot;2023-01-06 00:00:00 XLV 300 @ 135.669998168945&amp;quot;&#10;## [1] &amp;quot;2023-01-06 00:00:00 XLV 300 @ 135.669998168945&amp;quot;&#10;## [1] &amp;quot;2023-01-17 00:00:00 XLV -300 @ 134.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-01-17 00:00:00 XLV -300 @ 134.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLV 300 @ 133.240005493164&amp;quot;&#10;## [1] &amp;quot;2023-01-19 00:00:00 XLV 300 @ 133.240005493164&amp;quot;&#10;## [1] &amp;quot;2023-01-24 00:00:00 XLV -300 @ 133.479995727539&amp;quot;&#10;## [1] &amp;quot;2023-01-24 00:00:00 XLV -300 @ 133.479995727539&amp;quot;&#10;## [1] &amp;quot;2023-01-30 00:00:00 XLV 300 @ 131.660003662109&amp;quot;&#10;## [1] &amp;quot;2023-01-30 00:00:00 XLV 300 @ 131.660003662109&amp;quot;&#10;## [1] &amp;quot;2023-02-02 00:00:00 XLV -300 @ 133.080001831055&amp;quot;&#10;## [1] &amp;quot;2023-02-02 00:00:00 XLV -300 @ 133.080001831055&amp;quot;&#10;## [1] &amp;quot;2023-02-06 00:00:00 XLV 300 @ 131.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-02-06 00:00:00 XLV 300 @ 131.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLV -300 @ 132.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-02-14 00:00:00 XLV -300 @ 132.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-02-16 00:00:00 XLV 300 @ 130.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-02-16 00:00:00 XLV 300 @ 130.820007324219&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLV -300 @ 129.110000610352&amp;quot;&#10;## [1] &amp;quot;2023-03-06 00:00:00 XLV -300 @ 129.110000610352&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLV 300 @ 126.349998474121&amp;quot;&#10;## [1] &amp;quot;2023-03-08 00:00:00 XLV 300 @ 126.349998474121&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLV -300 @ 126.319999694824&amp;quot;&#10;## [1] &amp;quot;2023-03-15 00:00:00 XLV -300 @ 126.319999694824&amp;quot;&#10;## [1] &amp;quot;2023-03-23 00:00:00 XLV 300 @ 125.559997558594&amp;quot;&#10;## [1] &amp;quot;2023-03-23 00:00:00 XLV 300 @ 125.559997558594&amp;quot;&#10;## [1] &amp;quot;2023-03-27 00:00:00 XLV -300 @ 127.819999694824&amp;quot;&#10;## [1] &amp;quot;2023-03-27 00:00:00 XLV -300 @ 127.819999694824&amp;quot;&#10;## [1] &amp;quot;2023-04-19 00:00:00 XLV 300 @ 133.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-04-19 00:00:00 XLV 300 @ 133.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-04-24 00:00:00 XLV -300 @ 135.050003051758&amp;quot;&#10;## [1] &amp;quot;2023-04-24 00:00:00 XLV -300 @ 135.050003051758&amp;quot;&#10;## [1] &amp;quot;2023-04-26 00:00:00 XLV 300 @ 131.710006713867&amp;quot;&#10;## [1] &amp;quot;2023-04-26 00:00:00 XLV 300 @ 131.710006713867&amp;quot;&#10;## [1] &amp;quot;2023-05-02 00:00:00 XLV -300 @ 133.639999389648&amp;quot;&#10;## [1] &amp;quot;2023-05-02 00:00:00 XLV -300 @ 133.639999389648&amp;quot;&#10;## [1] &amp;quot;2023-05-05 00:00:00 XLV 300 @ 133.589996337891&amp;quot;&#10;## [1] &amp;quot;2023-05-05 00:00:00 XLV 300 @ 133.589996337891&amp;quot;&#10;## [1] &amp;quot;2023-05-23 00:00:00 XLV -300 @ 130&amp;quot;&#10;## [1] &amp;quot;2023-05-23 00:00:00 XLV -300 @ 130&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLV 300 @ 129.110000610352&amp;quot;&#10;## [1] &amp;quot;2023-05-24 00:00:00 XLV 300 @ 129.110000610352&amp;quot;&#10;## [1] &amp;quot;2023-06-02 00:00:00 XLV -300 @ 130.320007324219&amp;quot;&#10;## [1] &amp;quot;2023-06-02 00:00:00 XLV -300 @ 130.320007324219&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLV 300 @ 130.020004272461&amp;quot;&#10;## [1] &amp;quot;2023-06-08 00:00:00 XLV 300 @ 130.020004272461&amp;quot;&#10;## [1] &amp;quot;2023-06-12 00:00:00 XLV -300 @ 130.889999389648&amp;quot;&#10;## [1] &amp;quot;2023-06-12 00:00:00 XLV -300 @ 130.889999389648&amp;quot;&#10;## [1] &amp;quot;2023-06-15 00:00:00 XLV 300 @ 132.220001220703&amp;quot;&#10;## [1] &amp;quot;2023-06-15 00:00:00 XLV 300 @ 132.220001220703&amp;quot;&#10;## [1] &amp;quot;2023-06-16 00:00:00 XLV -300 @ 132.210006713867&amp;quot;&#10;## [1] &amp;quot;2023-06-16 00:00:00 XLV -300 @ 132.210006713867&amp;quot;&#10;## [1] &amp;quot;2023-06-27 00:00:00 XLV 300 @ 130.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-06-27 00:00:00 XLV 300 @ 130.949996948242&amp;quot;&#10;## [1] &amp;quot;2023-07-03 00:00:00 XLV -300 @ 131.639999389648&amp;quot;&#10;## [1] &amp;quot;2023-07-03 00:00:00 XLV -300 @ 131.639999389648&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLV 300 @ 129&amp;quot;&#10;## [1] &amp;quot;2023-07-07 00:00:00 XLV 300 @ 129&amp;quot;&#10;## [1] &amp;quot;2023-07-17 00:00:00 XLV -300 @ 131.100006103516&amp;quot;&#10;## [1] &amp;quot;2023-07-17 00:00:00 XLV -300 @ 131.100006103516&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLV 300 @ 135.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-07-28 00:00:00 XLV 300 @ 135.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLV -300 @ 134.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-08-08 00:00:00 XLV -300 @ 134.960006713867&amp;quot;&#10;## [1] &amp;quot;2023-08-17 00:00:00 XLV 300 @ 133.479995727539&amp;quot;&#10;## [1] &amp;quot;2023-08-17 00:00:00 XLV 300 @ 133.479995727539&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLV -300 @ 134.919998168945&amp;quot;&#10;## [1] &amp;quot;2023-08-29 00:00:00 XLV -300 @ 134.919998168945&amp;quot;&#10;## [1] &amp;quot;2023-09-01 00:00:00 XLV 300 @ 133.570007324219&amp;quot;&#10;## [1] &amp;quot;2023-09-01 00:00:00 XLV 300 @ 133.570007324219&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLV -300 @ 132.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-09-12 00:00:00 XLV -300 @ 132.800003051758&amp;quot;&#10;## [1] &amp;quot;2023-09-18 00:00:00 XLV 300 @ 131.449996948242&amp;quot;&#10;## [1] &amp;quot;2023-09-18 00:00:00 XLV 300 @ 131.449996948242&amp;quot;&#10;## [1] &amp;quot;2023-10-06 00:00:00 XLV -300 @ 130.009994506836&amp;quot;&#10;## [1] &amp;quot;2023-10-06 00:00:00 XLV -300 @ 130.009994506836&amp;quot;&#10;## [1] &amp;quot;2023-10-13 00:00:00 XLV 300 @ 130.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-10-13 00:00:00 XLV 300 @ 130.190002441406&amp;quot;&#10;## [1] &amp;quot;2023-10-17 00:00:00 XLV -300 @ 130.990005493164&amp;quot;&#10;## [1] &amp;quot;2023-10-17 00:00:00 XLV -300 @ 130.990005493164&amp;quot;&#10;## [1] &amp;quot;2023-10-19 00:00:00 XLV 300 @ 128.570007324219&amp;quot;&#10;## [1] &amp;quot;2023-10-19 00:00:00 XLV 300 @ 128.570007324219&amp;quot;&#10;## [1] &amp;quot;2023-11-03 00:00:00 XLV -300 @ 127.410003662109&amp;quot;&#10;## [1] &amp;quot;2023-11-03 00:00:00 XLV -300 @ 127.410003662109&amp;quot;&#10;## [1] &amp;quot;2023-11-10 00:00:00 XLV 300 @ 126.269996643066&amp;quot;&#10;## [1] &amp;quot;2023-11-10 00:00:00 XLV 300 @ 126.269996643066&amp;quot;&#10;## [1] &amp;quot;2023-11-15 00:00:00 XLV -300 @ 127.959999084473&amp;quot;&#10;## [1] &amp;quot;2023-11-15 00:00:00 XLV -300 @ 127.959999084473&amp;quot;&#10;## [1] &amp;quot;2023-11-29 00:00:00 XLV 300 @ 129.679992675781&amp;quot;&#10;## [1] &amp;quot;2023-11-29 00:00:00 XLV 300 @ 129.679992675781&amp;quot;&#10;## [1] &amp;quot;2023-12-01 00:00:00 XLV -300 @ 131.830001831055&amp;quot;&#10;## [1] &amp;quot;2023-12-01 00:00:00 XLV -300 @ 131.830001831055&amp;quot;&#10;## [1] &amp;quot;2023-12-19 00:00:00 XLV 300 @ 134.679992675781&amp;quot;&#10;## [1] &amp;quot;2023-12-19 00:00:00 XLV 300 @ 134.679992675781&amp;quot;&#10;## [1] &amp;quot;2023-12-26 00:00:00 XLV -300 @ 135.320007324219&amp;quot;&#10;## [1] &amp;quot;2023-12-26 00:00:00 XLV -300 @ 135.320007324219&amp;quot;&#10;## [1] &amp;quot;2024-01-17 00:00:00 XLV 300 @ 139.399993896484&amp;quot;&#10;## [1] 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&amp;quot;1999-09-16 00:00:00 XLY 300 @ 25.953125&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLY -300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;1999-10-01 00:00:00 XLY -300 @ 26.21875&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLY 300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;1999-10-14 00:00:00 XLY 300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLY -300 @ 27&amp;quot;&#10;## [1] &amp;quot;1999-10-21 00:00:00 XLY -300 @ 27&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLY 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;1999-10-27 00:00:00 XLY 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;1999-10-29 00:00:00 XLY -300 @ 28.390625&amp;quot;&#10;## [1] &amp;quot;1999-10-29 00:00:00 XLY -300 @ 28.390625&amp;quot;&#10;## [1] &amp;quot;1999-11-04 00:00:00 XLY 300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;1999-11-04 00:00:00 XLY 300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;1999-11-08 00:00:00 XLY -300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-11-08 00:00:00 XLY -300 @ 28.1875&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLY 300 @ 28&amp;quot;&#10;## [1] &amp;quot;1999-11-10 00:00:00 XLY 300 @ 28&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLY -300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-11-15 00:00:00 XLY -300 @ 28.765625&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLY 300 @ 28.171875&amp;quot;&#10;## [1] &amp;quot;1999-11-22 00:00:00 XLY 300 @ 28.171875&amp;quot;&#10;## [1] &amp;quot;1999-11-29 00:00:00 XLY -300 @ 28.8125&amp;quot;&#10;## [1] &amp;quot;1999-11-29 00:00:00 XLY -300 @ 28.8125&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLY 300 @ 28.359375&amp;quot;&#10;## [1] &amp;quot;1999-12-08 00:00:00 XLY 300 @ 28.359375&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLY -300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;1999-12-13 00:00:00 XLY -300 @ 29.96875&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLY 300 @ 29.4375&amp;quot;&#10;## [1] &amp;quot;1999-12-21 00:00:00 XLY 300 @ 29.4375&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLY -300 @ 30.375&amp;quot;&#10;## [1] &amp;quot;1999-12-27 00:00:00 XLY -300 @ 30.375&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLY 300 @ 29.21875&amp;quot;&#10;## [1] &amp;quot;2000-01-04 00:00:00 XLY 300 @ 29.21875&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLY -300 @ 30.40625&amp;quot;&#10;## [1] &amp;quot;2000-01-10 00:00:00 XLY -300 @ 30.40625&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLY 300 @ 29.90625&amp;quot;&#10;## [1] &amp;quot;2000-01-19 00:00:00 XLY 300 @ 29.90625&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLY -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-02-02 00:00:00 XLY -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-02-08 00:00:00 XLY 300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;2000-02-08 00:00:00 XLY 300 @ 28.09375&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLY -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;2000-02-29 00:00:00 XLY -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLY 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-08 00:00:00 XLY 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLY -300 @ 24.96875&amp;quot;&#10;## [1] &amp;quot;2000-03-10 00:00:00 XLY -300 @ 24.96875&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLY 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-14 00:00:00 XLY 300 @ 24.8125&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLY -300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;2000-03-16 00:00:00 XLY -300 @ 28.25&amp;quot;&#10;## [1] &amp;quot;2000-04-14 00:00:00 XLY 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-04-14 00:00:00 XLY 300 @ 28&amp;quot;&#10;## [1] &amp;quot;2000-04-24 00:00:00 XLY -300 @ 29.53125&amp;quot;&#10;## [1] &amp;quot;2000-04-24 00:00:00 XLY -300 @ 29.53125&amp;quot;&#10;## [1] &amp;quot;2000-04-28 00:00:00 XLY 300 @ 28.65625&amp;quot;&#10;## [1] &amp;quot;2000-04-28 00:00:00 XLY 300 @ 28.65625&amp;quot;&#10;## [1] &amp;quot;2000-05-12 00:00:00 XLY -300 @ 28.6875&amp;quot;&#10;## [1] &amp;quot;2000-05-12 00:00:00 XLY -300 @ 28.6875&amp;quot;&#10;## [1] &amp;quot;2000-05-18 00:00:00 XLY 300 @ 28.875&amp;quot;&#10;## [1] &amp;quot;2000-05-18 00:00:00 XLY 300 @ 28.875&amp;quot;&#10;## [1] &amp;quot;2000-06-01 00:00:00 XLY -300 @ 27.3125&amp;quot;&#10;## [1] &amp;quot;2000-06-01 00:00:00 XLY -300 @ 27.3125&amp;quot;&#10;## [1] &amp;quot;2000-06-07 00:00:00 XLY 300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;2000-06-07 00:00:00 XLY 300 @ 27.015625&amp;quot;&#10;## [1] &amp;quot;2000-06-28 00:00:00 XLY -300 @ 25.75&amp;quot;&#10;## [1] &amp;quot;2000-06-28 00:00:00 XLY -300 @ 25.75&amp;quot;&#10;## [1] &amp;quot;2000-06-30 00:00:00 XLY 300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;2000-06-30 00:00:00 XLY 300 @ 25.59375&amp;quot;&#10;## [1] &amp;quot;2000-07-05 00:00:00 XLY -300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2000-07-05 00:00:00 XLY -300 @ 26.25&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLY 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-07-20 00:00:00 XLY 300 @ 27.6875&amp;quot;&#10;## [1] &amp;quot;2000-08-08 00:00:00 XLY -300 @ 27.640625&amp;quot;&#10;## [1] &amp;quot;2000-08-08 00:00:00 XLY -300 @ 27.640625&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLY 300 @ 26.75&amp;quot;&#10;## [1] &amp;quot;2000-08-11 00:00:00 XLY 300 @ 26.75&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLY -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;2000-08-28 00:00:00 XLY -300 @ 25.6875&amp;quot;&#10;## [1] &amp;quot;2000-08-29 00:00:00 XLY 300 @ 25.578125&amp;quot;&#10;## [1] &amp;quot;2000-08-29 00:00:00 XLY 300 @ 25.578125&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLY -300 @ 26.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-06 00:00:00 XLY -300 @ 26.0625&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLY 300 @ 25.828125&amp;quot;&#10;## [1] &amp;quot;2000-09-18 00:00:00 XLY 300 @ 25.828125&amp;quot;&#10;## [1] &amp;quot;2000-09-29 00:00:00 XLY -300 @ 24.890625&amp;quot;&#10;## [1] 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&amp;quot;2000-11-10 00:00:00 XLY 300 @ 22.921875&amp;quot;&#10;## [1] &amp;quot;2000-11-15 00:00:00 XLY -300 @ 24.5&amp;quot;&#10;## [1] &amp;quot;2000-11-15 00:00:00 XLY -300 @ 24.5&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLY 300 @ 23.4375&amp;quot;&#10;## [1] &amp;quot;2000-11-21 00:00:00 XLY 300 @ 23.4375&amp;quot;&#10;## [1] &amp;quot;2000-11-28 00:00:00 XLY -300 @ 24.09375&amp;quot;&#10;## [1] &amp;quot;2000-11-28 00:00:00 XLY -300 @ 24.09375&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLY 300 @ 24.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-14 00:00:00 XLY 300 @ 24.421875&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLY -300 @ 24.03125&amp;quot;&#10;## [1] &amp;quot;2000-12-26 00:00:00 XLY -300 @ 24.03125&amp;quot;&#10;## [1] &amp;quot;2001-01-10 00:00:00 XLY 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;2001-01-10 00:00:00 XLY 300 @ 26.625&amp;quot;&#10;## [1] &amp;quot;2001-01-17 00:00:00 XLY -300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;2001-01-17 00:00:00 XLY -300 @ 27.09375&amp;quot;&#10;## [1] &amp;quot;2001-01-19 00:00:00 XLY 300 @ 25.625&amp;quot;&#10;## [1] &amp;quot;2001-01-19 00:00:00 XLY 300 @ 25.625&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLY -300 @ 26.9375&amp;quot;&#10;## [1] &amp;quot;2001-01-24 00:00:00 XLY -300 @ 26.9375&amp;quot;&#10;## [1] &amp;quot;2001-02-06 00:00:00 XLY 300 @ 27.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-02-06 00:00:00 XLY 300 @ 27.8600006103516&amp;quot;&#10;## [1] &amp;quot;2001-02-14 00:00:00 XLY -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-14 00:00:00 XLY -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-20 00:00:00 XLY 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-20 00:00:00 XLY 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLY -300 @ 27.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-02-27 00:00:00 XLY -300 @ 27.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-03-01 00:00:00 XLY 300 @ 26.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-03-01 00:00:00 XLY 300 @ 26.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-03-07 00:00:00 XLY -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2001-03-07 00:00:00 XLY -300 @ 27.3400001525879&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLY 300 @ 26.3600006103516&amp;quot;&#10;## [1] &amp;quot;2001-03-13 00:00:00 XLY 300 @ 26.3600006103516&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLY -300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-03-27 00:00:00 XLY -300 @ 26.1800003051758&amp;quot;&#10;## [1] &amp;quot;2001-04-04 00:00:00 XLY 300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-04-04 00:00:00 XLY 300 @ 25.4899997711182&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLY -300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-04-06 00:00:00 XLY -300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-04-16 00:00:00 XLY 300 @ 25.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-16 00:00:00 XLY 300 @ 25.3899993896484&amp;quot;&#10;## [1] &amp;quot;2001-04-18 00:00:00 XLY -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-04-18 00:00:00 XLY -300 @ 27.3199996948242&amp;quot;&#10;## [1] &amp;quot;2001-04-25 00:00:00 XLY 300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2001-04-25 00:00:00 XLY 300 @ 26.4799995422363&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLY -300 @ 27.7900009155273&amp;quot;&#10;## [1] &amp;quot;2001-04-27 00:00:00 XLY -300 @ 27.7900009155273&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLY 300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2001-05-10 00:00:00 XLY 300 @ 27.8799991607666&amp;quot;&#10;## [1] &amp;quot;2001-05-11 00:00:00 XLY -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2001-05-11 00:00:00 XLY -300 @ 28&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLY 300 @ 28.3799991607666&amp;quot;&#10;## [1] &amp;quot;2001-05-24 00:00:00 XLY 300 @ 28.3799991607666&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLY -300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-06-06 00:00:00 XLY -300 @ 27.7999992370605&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLY 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-06-12 00:00:00 XLY 300 @ 27.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLY -300 @ 28.2600002288818&amp;quot;&#10;## [1] &amp;quot;2001-06-21 00:00:00 XLY -300 @ 28.2600002288818&amp;quot;&#10;## [1] &amp;quot;2001-06-26 00:00:00 XLY 300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2001-06-26 00:00:00 XLY 300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2001-07-02 00:00:00 XLY -300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-07-02 00:00:00 XLY -300 @ 27.9400005340576&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLY 300 @ 26.6700000762939&amp;quot;&#10;## [1] &amp;quot;2001-07-06 00:00:00 XLY 300 @ 26.6700000762939&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLY -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-07-13 00:00:00 XLY -300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-07-24 00:00:00 XLY 300 @ 28.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-07-24 00:00:00 XLY 300 @ 28.2000007629395&amp;quot;&#10;## [1] &amp;quot;2001-07-31 00:00:00 XLY -300 @ 28.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-07-31 00:00:00 XLY -300 @ 28.8999996185303&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLY 300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-08-07 00:00:00 XLY 300 @ 28.6599998474121&amp;quot;&#10;## [1] &amp;quot;2001-08-27 00:00:00 XLY -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2001-08-27 00:00:00 XLY -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2001-08-30 00:00:00 XLY 300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-08-30 00:00:00 XLY 300 @ 25.9799995422363&amp;quot;&#10;## [1] &amp;quot;2001-09-25 00:00:00 XLY -300 @ 22.2700004577637&amp;quot;&#10;## [1] &amp;quot;2001-09-25 00:00:00 XLY -300 @ 22.2700004577637&amp;quot;&#10;## [1] &amp;quot;2001-10-09 00:00:00 XLY 300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2001-10-09 00:00:00 XLY 300 @ 23.6299991607666&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLY -300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-10-11 00:00:00 XLY -300 @ 25.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLY 300 @ 24.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-10-18 00:00:00 XLY 300 @ 24.3999996185303&amp;quot;&#10;## [1] &amp;quot;2001-10-24 00:00:00 XLY -300 @ 24.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-10-24 00:00:00 XLY -300 @ 24.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLY 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-10-30 00:00:00 XLY 300 @ 23.7099990844727&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLY -300 @ 25&amp;quot;&#10;## [1] &amp;quot;2001-11-02 00:00:00 XLY -300 @ 25&amp;quot;&#10;## [1] &amp;quot;2001-11-28 00:00:00 XLY 300 @ 27&amp;quot;&#10;## [1] &amp;quot;2001-11-28 00:00:00 XLY 300 @ 27&amp;quot;&#10;## [1] &amp;quot;2001-12-03 00:00:00 XLY -300 @ 27&amp;quot;&#10;## [1] &amp;quot;2001-12-03 00:00:00 XLY -300 @ 27&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLY 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-12-04 00:00:00 XLY 300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2001-12-05 00:00:00 XLY -300 @ 28.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-12-05 00:00:00 XLY -300 @ 28.4200000762939&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLY 300 @ 27.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-12-11 00:00:00 XLY 300 @ 27.5499992370605&amp;quot;&#10;## [1] &amp;quot;2001-12-18 00:00:00 XLY -300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2001-12-18 00:00:00 XLY -300 @ 28.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-01-02 00:00:00 XLY 300 @ 28.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-01-02 00:00:00 XLY 300 @ 28.6900005340576&amp;quot;&#10;## [1] &amp;quot;2002-01-07 00:00:00 XLY -300 @ 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00:00:00 XLY 300 @ 30.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-04-19 00:00:00 XLY 300 @ 30.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-05-03 00:00:00 XLY -300 @ 29.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-03 00:00:00 XLY -300 @ 29.2299995422363&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLY 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2002-05-07 00:00:00 XLY 300 @ 29.1200008392334&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLY -300 @ 29.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-05-09 00:00:00 XLY -300 @ 29.1000003814697&amp;quot;&#10;## [1] &amp;quot;2002-05-13 00:00:00 XLY 300 @ 28.9300003051758&amp;quot;&#10;## [1] &amp;quot;2002-05-13 00:00:00 XLY 300 @ 28.9300003051758&amp;quot;&#10;## [1] &amp;quot;2002-05-15 00:00:00 XLY -300 @ 29.7800006866455&amp;quot;&#10;## [1] &amp;quot;2002-05-15 00:00:00 XLY -300 @ 29.7800006866455&amp;quot;&#10;## [1] &amp;quot;2002-05-22 00:00:00 XLY 300 @ 29.2700004577637&amp;quot;&#10;## [1] 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25.0599994659424&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLY 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-11-08 00:00:00 XLY 300 @ 24.1299991607666&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLY -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-11-15 00:00:00 XLY -300 @ 25.0499992370605&amp;quot;&#10;## [1] &amp;quot;2002-11-20 00:00:00 XLY 300 @ 24.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-11-20 00:00:00 XLY 300 @ 24.3600006103516&amp;quot;&#10;## [1] &amp;quot;2002-11-22 00:00:00 XLY -300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-11-22 00:00:00 XLY -300 @ 25.0699996948242&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLY 300 @ 25.5599994659424&amp;quot;&#10;## [1] &amp;quot;2002-11-27 00:00:00 XLY 300 @ 25.5599994659424&amp;quot;&#10;## [1] &amp;quot;2002-11-29 00:00:00 XLY -300 @ 25.3199996948242&amp;quot;&#10;## [1] &amp;quot;2002-11-29 00:00:00 XLY -300 @ 25.3199996948242&amp;quot;&#10;## [1] &amp;quot;2002-12-04 00:00:00 XLY 300 @ 24.7000007629395&amp;quot;&#10;## [1] &amp;quot;2002-12-04 00:00:00 XLY 300 @ 24.7000007629395&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLY -300 @ 23.4300003051758&amp;quot;&#10;## [1] &amp;quot;2003-01-03 00:00:00 XLY -300 @ 23.4300003051758&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLY 300 @ 23.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-01-16 00:00:00 XLY 300 @ 23.9899997711182&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLY -300 @ 22.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-02-18 00:00:00 XLY -300 @ 22.3500003814697&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLY 300 @ 21.9799995422363&amp;quot;&#10;## [1] &amp;quot;2003-02-25 00:00:00 XLY 300 @ 21.9799995422363&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLY -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-03-03 00:00:00 XLY -300 @ 21.8999996185303&amp;quot;&#10;## [1] &amp;quot;2003-03-05 00:00:00 XLY 300 @ 21.5599994659424&amp;quot;&#10;## [1] 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00:00:00 XLY -300 @ 25.6100006103516&amp;quot;&#10;## [1] &amp;quot;2003-05-23 00:00:00 XLY -300 @ 25.6100006103516&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLY 300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-06-10 00:00:00 XLY 300 @ 27.2900009155273&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLY -300 @ 27.7600002288818&amp;quot;&#10;## [1] &amp;quot;2003-06-12 00:00:00 XLY -300 @ 27.7600002288818&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLY 300 @ 27.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-06-20 00:00:00 XLY 300 @ 27.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-07-03 00:00:00 XLY -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2003-07-03 00:00:00 XLY -300 @ 27.25&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLY 300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-11 00:00:00 XLY 300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-15 00:00:00 XLY -300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2003-07-15 00:00:00 XLY -300 @ 27.8700008392334&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLY 300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-07-18 00:00:00 XLY 300 @ 27.6499996185303&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLY -300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-28 00:00:00 XLY -300 @ 27.8899993896484&amp;quot;&#10;## [1] &amp;quot;2003-07-31 00:00:00 XLY 300 @ 27.5900001525879&amp;quot;&#10;## [1] &amp;quot;2003-07-31 00:00:00 XLY 300 @ 27.5900001525879&amp;quot;&#10;## [1] &amp;quot;2003-08-11 00:00:00 XLY -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-08-11 00:00:00 XLY -300 @ 27.6000003814697&amp;quot;&#10;## [1] &amp;quot;2003-08-26 00:00:00 XLY 300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2003-08-26 00:00:00 XLY 300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2003-08-29 00:00:00 XLY -300 @ 29&amp;quot;&#10;## [1] &amp;quot;2003-08-29 00:00:00 XLY -300 @ 29&amp;quot;&#10;## [1] &amp;quot;2003-09-08 00:00:00 XLY 300 @ 29.2000007629395&amp;quot;&#10;## [1] &amp;quot;2003-09-08 00:00:00 XLY 300 @ 29.2000007629395&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLY -300 @ 28.9099998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-17 00:00:00 XLY -300 @ 28.9099998474121&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLY 300 @ 28.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-09-23 00:00:00 XLY 300 @ 28.7099990844727&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLY -300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2003-10-02 00:00:00 XLY -300 @ 28.4899997711182&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLY 300 @ 29.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-10-20 00:00:00 XLY 300 @ 29.3799991607666&amp;quot;&#10;## [1] &amp;quot;2003-10-28 00:00:00 XLY -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2003-10-28 00:00:00 XLY -300 @ 30.0699996948242&amp;quot;&#10;## [1] &amp;quot;2003-11-11 00:00:00 XLY 300 @ 30&amp;quot;&#10;## [1] 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31.4500007629395&amp;quot;&#10;## [1] &amp;quot;2004-01-15 00:00:00 XLY -300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2004-01-15 00:00:00 XLY -300 @ 31.7399997711182&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLY 300 @ 31.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-21 00:00:00 XLY 300 @ 31.8999996185303&amp;quot;&#10;## [1] &amp;quot;2004-01-22 00:00:00 XLY -300 @ 32.1500015258789&amp;quot;&#10;## [1] &amp;quot;2004-01-22 00:00:00 XLY -300 @ 32.1500015258789&amp;quot;&#10;## [1] &amp;quot;2004-01-28 00:00:00 XLY 300 @ 31.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-01-28 00:00:00 XLY 300 @ 31.1299991607666&amp;quot;&#10;## [1] &amp;quot;2004-02-06 00:00:00 XLY -300 @ 31.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-02-06 00:00:00 XLY -300 @ 31.5799999237061&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLY 300 @ 32.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-02-17 00:00:00 XLY 300 @ 32.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLY -300 @ 31.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-02-18 00:00:00 XLY -300 @ 31.9500007629395&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLY 300 @ 31.5100002288818&amp;quot;&#10;## [1] &amp;quot;2004-02-23 00:00:00 XLY 300 @ 31.5100002288818&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLY -300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2004-02-27 00:00:00 XLY -300 @ 31.9899997711182&amp;quot;&#10;## [1] &amp;quot;2004-03-09 00:00:00 XLY 300 @ 31.8299999237061&amp;quot;&#10;## [1] &amp;quot;2004-03-09 00:00:00 XLY 300 @ 31.8299999237061&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLY -300 @ 31.3600006103516&amp;quot;&#10;## [1] &amp;quot;2004-03-18 00:00:00 XLY -300 @ 31.3600006103516&amp;quot;&#10;## [1] &amp;quot;2004-03-23 00:00:00 XLY 300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-03-23 00:00:00 XLY 300 @ 30.6000003814697&amp;quot;&#10;## [1] &amp;quot;2004-03-26 00:00:00 XLY -300 @ 31.2600002288818&amp;quot;&#10;## [1] 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31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-06-29 00:00:00 XLY 300 @ 31.5699996948242&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLY -300 @ 30.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-07-14 00:00:00 XLY -300 @ 30.7999992370605&amp;quot;&#10;## [1] &amp;quot;2004-07-16 00:00:00 XLY 300 @ 30.3099994659424&amp;quot;&#10;## [1] &amp;quot;2004-07-16 00:00:00 XLY 300 @ 30.3099994659424&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLY -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2004-07-28 00:00:00 XLY -300 @ 30.25&amp;quot;&#10;## [1] &amp;quot;2004-08-04 00:00:00 XLY 300 @ 30.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-08-04 00:00:00 XLY 300 @ 30.1399993896484&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLY -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-17 00:00:00 XLY -300 @ 30.1000003814697&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLY 300 @ 30.3700008392334&amp;quot;&#10;## [1] &amp;quot;2004-08-31 00:00:00 XLY 300 @ 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&amp;quot;2024-09-11 00:00:00 XLY -300 @ 189.050003051758&amp;quot;&#10;## [1] &amp;quot;2024-09-11 00:00:00 XLY -300 @ 189.050003051758&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLY 300 @ 197.869995117188&amp;quot;&#10;## [1] &amp;quot;2024-10-02 00:00:00 XLY 300 @ 197.869995117188&amp;quot;&#10;## [1] &amp;quot;2024-10-10 00:00:00 XLY -300 @ 197.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-10-10 00:00:00 XLY -300 @ 197.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-10-14 00:00:00 XLY 300 @ 197.440002441406&amp;quot;&#10;## [1] &amp;quot;2024-10-14 00:00:00 XLY 300 @ 197.440002441406&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLY -300 @ 198.910003662109&amp;quot;&#10;## [1] &amp;quot;2024-10-16 00:00:00 XLY -300 @ 198.910003662109&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLY 300 @ 197.160003662109&amp;quot;&#10;## [1] &amp;quot;2024-10-22 00:00:00 XLY 300 @ 197.160003662109&amp;quot;&#10;## [1] &amp;quot;2024-10-25 00:00:00 XLY -300 @ 200.809997558594&amp;quot;&#10;## [1] &amp;quot;2024-10-25 00:00:00 XLY -300 @ 200.809997558594&amp;quot;&#10;## [1] &amp;quot;2024-11-01 00:00:00 XLY 300 @ 200.089996337891&amp;quot;&#10;## [1] &amp;quot;2024-11-01 00:00:00 XLY 300 @ 200.089996337891&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLY -300 @ 209.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-11-06 00:00:00 XLY -300 @ 209.419998168945&amp;quot;&#10;## [1] &amp;quot;2024-11-18 00:00:00 XLY 300 @ 215.410003662109&amp;quot;&#10;## [1] &amp;quot;2024-11-18 00:00:00 XLY 300 @ 215.410003662109&amp;quot;&#10;## [1] &amp;quot;2024-11-25 00:00:00 XLY -300 @ 220.330001831055&amp;quot;&#10;## [1] &amp;quot;2024-11-25 00:00:00 XLY -300 @ 220.330001831055&amp;quot;&#10;## [1] &amp;quot;2024-12-19 00:00:00 XLY 300 @ 228.330001831055&amp;quot;&#10;## [1] &amp;quot;2024-12-19 00:00:00 XLY 300 @ 228.330001831055&amp;quot;&#10;## [1] &amp;quot;2024-12-26 00:00:00 XLY -300 @ 233.600006103516&amp;quot;&#10;## [1] &amp;quot;2024-12-26 00:00:00 XLY -300 @ 233.600006103516&amp;quot;&#10;## [1] &amp;quot;2024-12-30 00:00:00 XLY 300 @ 226.050003051758&amp;quot;&#10;## [1] &amp;quot;2024-12-30 00:00:00 XLY 300 @ 226.050003051758&amp;quot;&#10;## [1] &amp;quot;2025-01-07 00:00:00 XLY -300 @ 222.380004882812&amp;quot;&#10;## [1] &amp;quot;2025-01-07 00:00:00 XLY -300 @ 222.380004882812&amp;quot;&#10;## [1] &amp;quot;2025-01-08 00:00:00 XLY 300 @ 223.009994506836&amp;quot;&#10;## [1] &amp;quot;2025-01-08 00:00:00 XLY 300 @ 223.009994506836&amp;quot;&#10;## [1] &amp;quot;2025-01-16 00:00:00 XLY -300 @ 226.050003051758&amp;quot;&#10;## [1] &amp;quot;2025-01-16 00:00:00 XLY -300 @ 226.050003051758&amp;quot;&#10;## [1] &amp;quot;2025-02-04 00:00:00 XLY 300 @ 231.800003051758&amp;quot;&#10;## [1] &amp;quot;2025-02-04 00:00:00 XLY 300 @ 231.800003051758&amp;quot;&#10;## [1] &amp;quot;2025-02-14 00:00:00 XLY -300 @ 227&amp;quot;&#10;## [1] &amp;quot;2025-02-14 00:00:00 XLY -300 @ 227&amp;quot;&#10;## [1] &amp;quot;2025-02-21 00:00:00 XLY 300 @ 218.389999389648&amp;quot;&#10;## [1] &amp;quot;2025-02-21 00:00:00 XLY 300 @ 218.389999389648&amp;quot;&#10;## [1] &amp;quot;2025-03-25 00:00:00 XLY -300 @ 205.919998168945&amp;quot;&#10;## [1] &amp;quot;2025-03-25 00:00:00 XLY -300 @ 205.919998168945&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLY 300 @ 197.460006713867&amp;quot;&#10;## [1] &amp;quot;2025-03-31 00:00:00 XLY 300 @ 197.460006713867&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLY -300 @ 191.029998779297&amp;quot;&#10;## [1] &amp;quot;2025-04-03 00:00:00 XLY -300 @ 191.029998779297&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLY 300 @ 182.789993286133&amp;quot;&#10;## [1] &amp;quot;2025-04-04 00:00:00 XLY 300 @ 182.789993286133&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLY -300 @ 187.899993896484&amp;quot;&#10;## [1] &amp;quot;2025-04-10 00:00:00 XLY -300 @ 187.899993896484&amp;quot;&#10;## [1] &amp;quot;2025-04-17 00:00:00 XLY 300 @ 185.399993896484&amp;quot;&#10;## [1] &amp;quot;2025-04-17 00:00:00 XLY 300 @ 185.399993896484&amp;quot;&#10;## [1] &amp;quot;2025-04-24 00:00:00 XLY -300 @ 194.110000610352&amp;quot;&#10;## [1] &amp;quot;2025-04-24 00:00:00 XLY -300 @ 194.110000610352&amp;quot;&#10;## [1] &amp;quot;2025-05-07 00:00:00 XLY 300 @ 199.089996337891&amp;quot;&#10;## [1] &amp;quot;2025-05-07 00:00:00 XLY 300 @ 199.089996337891&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLY -300 @ 202.410003662109&amp;quot;&#10;## [1] &amp;quot;2025-05-09 00:00:00 XLY -300 @ 202.410003662109&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLY 300 @ 212.559997558594&amp;quot;&#10;## [1] &amp;quot;2025-05-22 00:00:00 XLY 300 @ 212.559997558594&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLY -300 @ 214.880004882812&amp;quot;&#10;## [1] &amp;quot;2025-05-28 00:00:00 XLY -300 @ 214.880004882812&amp;quot;&#10;## [1] &amp;quot;2025-06-06 00:00:00 XLY 300 @ 212.169998168945&amp;quot;&#10;## [1] &amp;quot;2025-06-06 00:00:00 XLY 300 @ 212.169998168945&amp;quot;&#10;## [1] &amp;quot;2025-06-11 00:00:00 XLY -300 @ 214.720001220703&amp;quot;&#10;## [1] &amp;quot;2025-06-11 00:00:00 XLY -300 @ 214.720001220703&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLY 300 @ 214.020004272461&amp;quot;&#10;## [1] &amp;quot;2025-06-16 00:00:00 XLY 300 @ 214.020004272461&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLY -300 @ 215.589996337891&amp;quot;&#10;## [1] &amp;quot;2025-06-24 00:00:00 XLY -300 @ 215.589996337891&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLY 300 @ 218.949996948242&amp;quot;&#10;## [1] &amp;quot;2025-07-09 00:00:00 XLY 300 @ 218.949996948242&amp;quot;&#10;## [1] &amp;quot;2025-07-11 00:00:00 XLY -300 @ 221.429992675781&amp;quot;&#10;## [1] &amp;quot;2025-07-11 00:00:00 XLY -300 @ 221.429992675781&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time()&#10;print(&amp;quot;Strategy Loop:&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;Strategy Loop:&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(end_t - start_t) # 输出策略执行时间&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 53.60858 mins&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 查看订单簿（调试用）&#10;# print(getOrderBook(port.st))&#10;&#10;# 更新组合数据&#10;start_t &amp;lt;- Sys.time()&#10;updatePortf(&#10; Portfolio = port.st,&#10; Dates = paste(&amp;#39;::&amp;#39;, as.Date(Sys.time()), sep = &amp;#39;&amp;#39;) # 更新至最新日期&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&#10;## Warning in .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), :&#10;## Could not parse ::2025-07-13 as ISO8601 string, or one/bothends of the range&#10;## were outside the available prices: 1998-12-22/2025-07-11. Using all data&#10;## instead.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;end_t &amp;lt;- Sys.time()&#10;print(&amp;quot;trade blotter portfolio update:&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;trade blotter portfolio update:&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;print(end_t - start_t) # 输出更新时间&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Time difference of 0.434164 secs&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;##############################&#10;### 可视化与绩效分析&#10;##############################&#10;# 自定义图表主题&#10;themelist &amp;lt;- chart_theme()&#10;themelist$col$up.col &amp;lt;- &amp;#39;lightgreen&amp;#39; # 上涨颜色&#10;themelist$col$dn.col &amp;lt;- &amp;#39;pink&amp;#39; # 下跌颜色&#10;&#10;# 绘制各品种持仓图&#10;for(symbol in symbols){&#10; dev.new() # 新建图形窗口&#10; chart.Posn(&#10; Portfolio = port.st,&#10; Symbol = symbol,&#10; theme = themelist # 应用自定义主题&#10; )&#10; plot(add_RSI(n = 2)) # 在图中叠加RSI指标&#10;}&#10;&#10;# 计算组合收益&#10;ret1 &amp;lt;- PortfReturns(port.st) # 各品种收益&#10;ret1$total &amp;lt;- rowSums(ret1) # 组合总收益&#10;#ret1&#10;&#10;# 可视化绩效摘要&#10;if(&amp;quot;package:PerformanceAnalytics&amp;quot; %in% search() || &#10; require(&amp;quot;PerformanceAnalytics&amp;quot;, quietly = TRUE)) {&#10; dev.new()&#10; charts.PerformanceSummary(&#10; ret1$total,&#10; geometric = FALSE, # 使用算术收益计算&#10; wealth.index = TRUE # 显示财富指数曲线&#10; )&#10;}&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;不过，该策略仍存在一定局限性。例如，默认的 2 日 RSI 参数可能因过于敏感导致频繁交易，增加交易成本；在强趋势市场中，基于超买超卖的逆势交易逻辑可能失效，产生持续亏损；固定仓位大小的设计也缺乏对资金管理的动态调整。对此，代码预留了改进空间，可通过优化 RSI 周期、引入趋势过滤器避免逆势操作、实现动态仓位管理等方式，提升策略的适应性与稳定性。&lt;/p&gt;&#10;&lt;p&gt;总体而言，这套基于 RSI 的双向交易策略为量化交易者提供了一个可扩展的框架。通过参数调整与功能拓展，它能够适应不同的市场环境，为交易决策提供数据支持，是量化策略开发与验证的典型范例。&lt;/p&gt;&#10;</description></item><item><title>技术指标在量化投资中的应用：以RSI指标为例</title><link>https://gewutang.cn/2015/02/09/rsi-cross-strategy-with-signal-analysis/</link><pubDate>Mon, 09 Feb 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/02/09/rsi-cross-strategy-with-signal-analysis/</guid><description>&#10;&#10;&#10;&lt;pre class="r"&gt;&lt;code&gt;# ===================== 工作流程说明 =====================&#10;# 本代码演示如何使用Quantstrat进行信号有效性分析，通过扫描RSI参数评估超卖信号（RSI&amp;lt;30）的未来收益表现&#10;&#10;# ===================== 包加载与初始化 =====================&#10;# 加载所需R包&#10;require(iterators) # 迭代器工具（用于参数扫描循环）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: iterators&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;require(quantstrat) # 量化策略框架核心包&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantstrat&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;zoo&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## as.Date, as.Date.numeric&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by &amp;#39;quantmod&amp;#39;:&#10;## method from&#10;## as.zoo.data.frame zoo&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: foreach&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;require(gamlss.util) # 统计分布可视化工具（用于箱线图）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.util&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.dist&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;gamlss.dist&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:TTR&amp;#39;:&#10;## &#10;## DPO&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: splines&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.data&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;gamlss.data&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:datasets&amp;#39;:&#10;## &#10;## sleep&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: nlme&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: parallel&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ********** GAMLSS Version 5.4-22 **********&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## For more on GAMLSS look at https://www.gamlss.com/&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Type gamlssNews() to see new features/changes/bug fixes.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 清理策略环境残留数据（防止旧数据干扰）&#10;suppressWarnings(rm(&amp;quot;order_book.RSI&amp;quot;, pos = .strategy)) # 删除策略订单记录&#10;suppressWarnings(rm(&amp;quot;account.RSI&amp;quot;, &amp;quot;portfolio.RSI&amp;quot;, pos = .blotter)) # 删除账户组合记录&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;, &amp;quot;portfolio.st&amp;quot;, &amp;quot;stock.str&amp;quot;, &amp;quot;stratRSI&amp;quot;, &amp;quot;startDate&amp;quot;, &amp;quot;initEq&amp;quot;, &amp;#39;start_t&amp;#39;, &amp;#39;end_t&amp;#39;)) # 清除临时变量&#10;&#10;# ===================== 参数设置 =====================&#10;n = 2 # RSI指标的默认计算周期（日）&#10;&#10;# ===================== 数据准备阶段 =====================&#10;# 设置货币类型和交易标的&#10;currency(&amp;quot;USD&amp;quot;) # 设置基础货币为美元&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;currency(&amp;quot;EUR&amp;quot;) # 其他货币类型（示例用）&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;EUR&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;symbols = c(&amp;quot;SPY&amp;quot;) # 交易标的为标普500 ETF&#10;&#10;# 初始化金融工具并下载历史数据&#10;for(symbol in symbols){&#10; stock(symbol, currency = &amp;quot;USD&amp;quot;, multiplier = 1) # 定义标的属性（货币/乘数）&#10; getSymbols(symbol, src = &amp;#39;yahoo&amp;#39;) # 从雅虎财经下载OHLC数据&#10;}&#10;&#10;# ===================== 账户/组合/策略初始化 =====================&#10;stratRSI &amp;lt;- strategy(&amp;quot;RSI&amp;quot;) # 创建策略对象&#10;&#10;# 回测参数设置&#10;startDate = &amp;#39;1997-12-31&amp;#39; # 回测起始日期&#10;initEq = 100000 # 初始资金10万美元&#10;port.st &amp;lt;- &amp;#39;RSI&amp;#39; # 组合命名（便于参数调整后重复运行）&#10;&#10;# 初始化组合、账户和订单系统&#10;initPortf(port.st, symbols = symbols) # 创建投资组合对象&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initAcct(port.st, portfolios = port.st, initEq = initEq) # 创建账户对象&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;RSI&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;initOrders(portfolio = port.st) # 初始化订单簿&#10;&#10;# 设置头寸限制规则（风险控制）&#10;for(symbol in symbols){&#10; # 参数说明：组合名称, 标的, 生效日, 最大持仓量, 最大交易次数&#10; addPosLimit(port.st, symbol, startDate, 300, 3) &#10;}&#10;&#10;# ===================== 技术指标配置 =====================&#10;# 添加RSI指标到策略中&#10;stratRSI &amp;lt;- add.indicator(&#10; strategy = stratRSI, &#10; name = &amp;quot;RSI&amp;quot;, # 使用TTR包的RSI函数&#10; arguments = list(&#10; price = quote(getPrice(mktdata)), # 使用收盘价计算&#10; n = n # RSI计算周期&#10; ), &#10; label = &amp;quot;RSI&amp;quot; # 指标标签（用于后续信号引用）&#10;)&#10;&#10;# ===================== 交易信号定义 =====================&#10;# 信号1：RSI上穿70（超买信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;, # 阈值型信号生成器&#10; arguments = list(&#10; threshold = 70, # 阈值水平&#10; column = &amp;quot;RSI&amp;quot;, # 作用于RSI指标列&#10; relationship = &amp;quot;gt&amp;quot;, # 大于关系（greater than）&#10; cross = TRUE # 需要穿越阈值（避免持续触发）&#10; ),&#10; label = &amp;quot;RSI.gt.70&amp;quot; # 信号标签&#10;)&#10;&#10;# 信号2：RSI下穿30（超卖信号）&#10;stratRSI &amp;lt;- add.signal(&#10; strategy = stratRSI, &#10; name = &amp;quot;sigThreshold&amp;quot;,&#10; arguments = list(&#10; threshold = 30, # 阈值水平 &#10; column = &amp;quot;RSI&amp;quot;,&#10; relationship = &amp;quot;lt&amp;quot;, # 小于关系（less than）&#10; cross = TRUE&#10; ),&#10; label = &amp;quot;RSI.lt.30&amp;quot; # 信号标签&#10;)&#10;&#10;# ===================== 信号分析模块 =====================&#10;signal.label = &amp;#39;RSI.lt.30&amp;#39; # 选择分析的信号（此处分析超卖信号）&#10;&#10;.n = seq(2, 10, 1) # 创建RSI参数的扫描范围（2到10日，步长1）&#10;&#10;# 将参数扫描配置添加到策略对象&#10;strategy.st &amp;lt;- add.distribution(&#10; stratRSI,&#10; paramset.label = &amp;#39;RSI&amp;#39;, # 参数集名称&#10; component.type = &amp;#39;indicator&amp;#39;, # 组件类型（指标）&#10; component.label = &amp;#39;RSI&amp;#39;, # 对应指标标签&#10; variable = list(n = .n), # 要扫描的参数变量（n值）&#10; label = &amp;#39;nRSI&amp;#39; # 参数集标签&#10;)&#10;&#10;# ===================== 执行参数研究 =====================&#10;results &amp;lt;- apply.paramset.signal.analysis(&#10; strategy.st, # 策略对象&#10; paramset.label = &amp;#39;RSI&amp;#39;, # 参数集标签&#10; port.st, # 组合名称&#10; sigcol = signal.label, # 分析的目标信号列&#10; sigval = 1, # 信号触发值（1=激活状态）&#10; on = NULL, # 分析频率（NULL表示事件驱动）&#10; forward.days = 10, # 向前分析天数（信号触发后10日）&#10; cum.sum = TRUE, # 计算累计收益&#10; include.day.of.signal = F, # 排除信号触发当日&#10; obj.fun = signal.obj.slope, # 目标函数（收益曲线斜率）&#10; decreasing = T, # 结果降序排列&#10; mktdata = NULL, # 使用默认市场数据&#10; verbose = TRUE # 显示详细运行信息&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Applying Parameter Set: 2 &#10;## Applying Parameter Set: 3 &#10;## Applying Parameter Set: 4 &#10;## Applying Parameter Set: 5 &#10;## Applying Parameter Set: 6 &#10;## Applying Parameter Set: 7 &#10;## Applying Parameter Set: 8 &#10;## Applying Parameter Set: 9 &#10;## Applying Parameter Set: 10&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# ===================== 可视化分析结果 =====================&#10;# 绘制不同参数收益柱状图&#10;signal.plot(&#10; results$sigret.by.asset$SPY, # 选择SPY的信号收益数据&#10; rows = 2, # 图形分2行显示&#10; columns = 5 # 每行5列（共显示10个参数组合）&#10;)&#10;&#10;# 绘制参数集2的收益分布箱线图&#10;distributional.boxplot(&#10; results$sigret.by.asset$SPY$paramset.2 # 指定参数集数据&#10;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GAMLSS-RS iteration 1: Global Deviance = 41038.77 &#10;## GAMLSS-RS iteration 2: Global Deviance = 41038.77&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## gamlss package currently doesnt &#10;## support encapsulation of their &#10;## plotting function. Pending Patch.&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/02/09/rsi-cross-strategy-with-signal-analysis/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;div id="核心逻辑流程图解" class="section level2"&gt;&#10;&lt;h2&gt;核心逻辑流程图解&lt;/h2&gt;&#10;&lt;p&gt;graph TD&#10;A[环境初始化] –&amp;gt; B[加载历史数据]&#10;B –&amp;gt; C[定义RSI策略]&#10;C –&amp;gt; D[设置信号规则]&#10;D –&amp;gt; E[参数扫描配置]&#10;E –&amp;gt; F[执行信号分析]&#10;F –&amp;gt; G[可视化收益表现]&lt;/p&gt;&#10;&lt;p&gt;##关键参数说明表&lt;/p&gt;&#10;&lt;p&gt;参数 含义 推荐调整方法&#10;forward.days=10 信号触发后跟踪天数 根据策略持仓周期调整&#10;n=seq(2,10,1) RSI参数扫描范围 扩大范围可探索更多可能性&#10;threshold=30/70 超买超卖阈值 根据资产波动性调整&#10;obj.fun=slope 优化目标函数（收益曲线斜率） 可改为夏普比率等指标&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="代码运行结果解读" class="section level2"&gt;&#10;&lt;h2&gt;代码运行结果解读&lt;/h2&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;柱状图：展示不同RSI参数对应的10日累计收益，柱体越高表示该参数效果越好&lt;/li&gt;&#10;&lt;li&gt;箱线图：显示特定参数下收益的分布情况，箱体越紧凑说明策略稳定性越高&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;建议优先选择 高收益柱体且箱线图波动小的参数组合作为最终策略参数。可通过修改.n序列扩大参数扫描范围，例如seq(5,20,5)测试更长周期的RSI效果。&lt;/p&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>技术指标在量化投资中的应用：以SMA指标为例</title><link>https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/</link><pubDate>Thu, 08 Jan 2015 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/</guid><description>&lt;h2 id="引言"&gt;&lt;a href="#%e5%bc%95%e8%a8%80" class="header-anchor"&gt;&lt;/a&gt;引言&#10;&lt;/h2&gt;&lt;p&gt;在量化投资领域，技术指标是构建自动化交易策略的核心工具。通过对历史价格、成交量等数据的数学建模，技术指标能够将市场行为转化为可量化的信号，为程序化交易提供决策依据。简单移动平均线（Simple Moving Average,SMA）作为最经典的技术指标之一，凭借其简洁的逻辑和广泛适用性，在量化策略开发中占据重要地位。&lt;/p&gt;&#10;&lt;h3 id="技术指标的核心作用"&gt;&lt;a href="#%e6%8a%80%e6%9c%af%e6%8c%87%e6%a0%87%e7%9a%84%e6%a0%b8%e5%bf%83%e4%bd%9c%e7%94%a8" class="header-anchor"&gt;&lt;/a&gt;技术指标的核心作用&#10;&lt;/h3&gt;&lt;p&gt;技术指标通过三种典型方式驱动量化交易：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;趋势识别：MACD、布林带等指标可捕捉价格方向性变动；&lt;/li&gt;&#10;&lt;li&gt;超买超卖判断：RSI、KDJ等振荡器可识别市场极端状态；&lt;/li&gt;&#10;&lt;li&gt;波动率测量：ATR、标准差指标可量化市场风险强度。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;这些指标通过参数优化、多周期组合、跨指标协同等方式构建数学模型，在沪深300股指期货、加密货币等不同市场展现出稳定收益特征。研究表明，技术指标驱动的策略在趋势性市场中夏普比率可达1.5以上。&lt;/p&gt;&#10;&lt;h3 id="sma指标的量化应用"&gt;&lt;a href="#sma%e6%8c%87%e6%a0%87%e7%9a%84%e9%87%8f%e5%8c%96%e5%ba%94%e7%94%a8" class="header-anchor"&gt;&lt;/a&gt;SMA指标的量化应用&#10;&lt;/h3&gt;&lt;p&gt;SMA的计算公式为：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;SMA_{t} = \frac{1}{n}\sum_{i=1}^{n} P_{t-i+1} \&#10;=\frac{P_t+P_{t-1}+\cdots+P_{t-n+1}}{n}&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其在量化策略中的典型应用包括：&lt;/p&gt;&#10;&lt;h4 id="趋势跟踪策略"&gt;&lt;a href="#%e8%b6%8b%e5%8a%bf%e8%b7%9f%e8%b8%aa%e7%ad%96%e7%95%a5" class="header-anchor"&gt;&lt;/a&gt;趋势跟踪策略&#10;&lt;/h4&gt;&lt;ul&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;双均线系统：结合5日SMA与20日SMA，当短周期线上穿长周期线时生成买入信号（黄金交叉），反之为卖出信号（死亡交叉）。回测显示该策略在A股市场年化收益可达12%-18%[2]。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;价格偏离策略：当现价突破100日SMA时视为牛市启动，跌破则触发止损。该策略在美股ETF轮动中成功降低28%的最大回撤[3]。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="风险控制模块"&gt;&lt;a href="#%e9%a3%8e%e9%99%a9%e6%8e%a7%e5%88%b6%e6%a8%a1%e5%9d%97" class="header-anchor"&gt;&lt;/a&gt;风险控制模块&#10;&lt;/h4&gt;&lt;ul&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;动态止盈：当持仓盈利超过200日SMA的3倍标准差时自动减仓；&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;波动过滤：仅在价格位于50日SMA上方时允许开多单，规避下行趋势风险。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="参数优化实践"&gt;&lt;a href="#%e5%8f%82%e6%95%b0%e4%bc%98%e5%8c%96%e5%ae%9e%e8%b7%b5" class="header-anchor"&gt;&lt;/a&gt;参数优化实践&#10;&lt;/h4&gt;&lt;p&gt;通过遗传算法对SMA周期进行动态调整，发现：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;股票市场最优参数集中在20-60日&lt;/li&gt;&#10;&lt;li&gt;加密货币市场更适用10-30日短周期&lt;/li&gt;&#10;&lt;li&gt;参数组合的夏普比率比单一参数提升35%&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h2 id="策略实现"&gt;&lt;a href="#%e7%ad%96%e7%95%a5%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;策略实现&#10;&lt;/h2&gt;&lt;p&gt;我们用R语言实现一个简单的SMA策略。完整代码如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 基于简单移动平均线的信号评估策略&#10;###############################################################)############&#10;&#10;# 加载包：&#10;require(devtools)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: devtools&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: usethis&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(iterators) # 迭代器工具&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: iterators&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(quantstrat) # 量化策略回测框架&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantstrat&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: quantmod&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: blotter&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: FinancialInstrument&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'PerformanceAnalytics'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:graphics':&#10;## &#10;## legend&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: foreach&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(gamlss.util) # 统计工具包（用于数据分布分析）&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.util&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.dist&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'gamlss.dist'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:TTR':&#10;## &#10;## DPO&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: splines&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: gamlss.data&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'gamlss.data'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:datasets':&#10;## &#10;## sleep&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: nlme&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: parallel&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ********** GAMLSS Version 5.4-22 **********&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## For more on GAMLSS look at https://www.gamlss.com/&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Type gamlssNews() to see new features/changes/bug fixes.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(reshape2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: reshape2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(rCharts)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: rCharts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: 'rCharts'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:base':&#10;## &#10;## %||%&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(beanplot)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: beanplot&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;###########################################################################&#10;# 配置时区设置&#10;ttz&amp;lt;-Sys.getenv('TZ') # 保存当前时区&#10;Sys.setenv(TZ='UTC') # 设置回测时区为UTC（避免时区问题影响）&#10;&#10;# 清理残留数据&#10;suppressWarnings(rm(&amp;quot;order_book.macross&amp;quot;,pos=.strategy))&#10;suppressWarnings(rm(&amp;quot;account.macross&amp;quot;,&amp;quot;portfolio.macross&amp;quot;,pos=.blotter))&#10;suppressWarnings(rm(&amp;quot;account.st&amp;quot;,&amp;quot;portfolio.st&amp;quot;,&amp;quot;stock.str&amp;quot;,&amp;quot;strategy.st&amp;quot;,'start_t','end_t'))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;###########################################################################&#10;# 数据准备&#10;startDate=&amp;quot;2000-01-01&amp;quot; # 回测起始日期&#10;stock.str=c('XLY','XLF','XLP','XLI','RTH','XLV','XLK','XLE','IYT') # 股票代码列表&#10;currency('USD') # 设置基准货币为美元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;USD&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;stock(stock.str, currency='USD', multiplier=1) # 定义交易品种属性&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLY&amp;quot; &amp;quot;XLF&amp;quot; &amp;quot;XLP&amp;quot; &amp;quot;XLI&amp;quot; &amp;quot;RTH&amp;quot; &amp;quot;XLV&amp;quot; &amp;quot;XLK&amp;quot; &amp;quot;XLE&amp;quot; &amp;quot;IYT&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 下载雅虎财经数据&#10;getSymbols(stock.str, from=startDate, src = 'yahoo')&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;XLY&amp;quot; &amp;quot;XLF&amp;quot; &amp;quot;XLP&amp;quot; &amp;quot;XLI&amp;quot; &amp;quot;RTH&amp;quot; &amp;quot;XLV&amp;quot; &amp;quot;XLK&amp;quot; &amp;quot;XLE&amp;quot; &amp;quot;IYT&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;for (symbol in stock.str) {&#10; # 检查对象是否存在&#10; if (exists(symbol)) {&#10; # 生成文件名&#10; file_name &amp;lt;- paste0(symbol, &amp;quot;.rds&amp;quot;)&#10; # 保存为RDS文件&#10; saveRDS(get(symbol), file = file_name)&#10; # 打印保存信息&#10; message(&amp;quot;已保存: &amp;quot;, symbol, &amp;quot; -&amp;gt; &amp;quot;, file_name)&#10; } else {&#10; warning(&amp;quot;对象 &amp;quot;, symbol, &amp;quot; 不存在&amp;quot;)&#10; }&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLY -&amp;gt; XLY.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLF -&amp;gt; XLF.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLP -&amp;gt; XLP.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLI -&amp;gt; XLI.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: RTH -&amp;gt; RTH.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLV -&amp;gt; XLV.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLK -&amp;gt; XLK.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: XLE -&amp;gt; XLE.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 已保存: IYT -&amp;gt; IYT.rds&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 调整所有股票数据为复权价格&#10;for(i in stock.str)&#10; assign(i, adjustOHLC(get(i), use.Adjusted=TRUE))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;###########################################################################&#10;# 初始化账户、组合、策略&#10;initEq=1000000 # 初始资金100万美元&#10;portfolio.st='macross' # 组合名称&#10;account.st='macross' # 账户名称&#10;# 初始化组合、账户、订单簿&#10;initPortf(portfolio.st,&#10; symbols=stock.str)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macross&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;initAcct(account.st,&#10; portfolios=portfolio.st, &#10; initEq=initEq)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;macross&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;initOrders(portfolio=portfolio.st)&#10;# 创建策略对象&#10;strategy.st&amp;lt;- strategy(portfolio.st)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 添加技术指标&#10;# 添加50日SMA指标&#10;strategy.st &amp;lt;- add.indicator(strategy = strategy.st, &#10; name = &amp;quot;SMA&amp;quot;, &#10; arguments = list(x=quote(Cl(mktdata)), &#10; n=50),&#10; label= &amp;quot;ma50&amp;quot; )&#10;# 添加200日SMA指标&#10;strategy.st &amp;lt;- add.indicator(strategy = strategy.st, &#10; name = &amp;quot;SMA&amp;quot;, &#10; arguments = list(x=quote(Cl(mktdata)), &#10; n=200),&#10; label= &amp;quot;ma200&amp;quot;)&#10;&#10;# 添加信号规则&#10;# 当50日均线上穿200日均线时生成信号&#10;strategy.st &amp;lt;- add.signal(strategy = strategy.st,&#10; name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments = list(columns=c(&amp;quot;ma50&amp;quot;,&amp;quot;ma200&amp;quot;),&#10; relationship=&amp;quot;gte&amp;quot;),&#10; label=&amp;quot;ma50.gt.ma200&amp;quot;)&#10;# 当50日均线下穿200日均线时生成信号&#10;strategy.st &amp;lt;- add.signal(strategy = strategy.st,&#10; name=&amp;quot;sigCrossover&amp;quot;,&#10; arguments =list(columns=c(&amp;quot;ma50&amp;quot;,&amp;quot;ma200&amp;quot;),&#10; relationship=&amp;quot;lt&amp;quot;), &#10; label=&amp;quot;ma50.lt.ma200&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;###########################################################################&#10;# 参数优化设置&#10;# 需要分析的信号列标签&#10;signal.label = 'ma50.gt.ma200'&#10;&#10;# # 定义参数范围&#10;.FastSMA = seq(1,5,1) # 快速SMA参数范围：1-5日&#10;.SlowSMA = seq(5,20,5) # 慢速SMA参数范围：5-20日（步长5）&#10;&#10;# 添加快速SMA参数分布&#10;strategy.st&amp;lt;-add.distribution(strategy.st,&#10; paramset.label = 'SMA',&#10; component.type = 'indicator',&#10; component.label = 'ma50',&#10; variable = list(n = .FastSMA),&#10; label = 'nFAST')&#10;# 添加慢速SMA参数分布&#10;strategy.st&amp;lt;-add.distribution(strategy.st,&#10; paramset.label = 'SMA',&#10; component.type = 'indicator',&#10; component.label = 'ma200',&#10; variable = list(n = .SlowSMA),&#10; label = 'nSLOW')&#10;&#10;# 添加参数约束：快速SMA周期必须小于慢速SMA&#10;strategy.st&amp;lt;-add.distribution.constraint(strategy.st,&#10; paramset.label = 'SMA',&#10; distribution.label.1 = 'nFAST',&#10; distribution.label.2 = 'nSLOW',&#10; operator = '&amp;lt;',&#10; label = 'SMA')&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# # 执行信号分析（日线级别）&#10;results = apply.paramset.signal.analysis(&#10; strategy.st, &#10; paramset.label = 'SMA', &#10; portfolio.st, &#10; sigcol = signal.label, # 分析的信号列&#10; sigval = 1, # 信号触发阈值&#10; on = NULL, # 分析频率（NULL表示原始数据频率）&#10; forward.days = 50, # 信号后观察50天&#10; cum.sum = TRUE, # 计算累积收益&#10; include.day.of.signal = F,# 排除信号当天&#10; obj.fun = signal.obj.slope, # 使用斜率作为目标函数&#10; decreasing = T # 按降序排序结果&#10;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Applying Parameter Set: 1, 5 &#10;## Applying Parameter Set: 2, 5 &#10;## Applying Parameter Set: 3, 5 &#10;## Applying Parameter Set: 4, 5 &#10;## Applying Parameter Set: 1, 10 &#10;## Applying Parameter Set: 2, 10 &#10;## Applying Parameter Set: 3, 10 &#10;## Applying Parameter Set: 4, 10 &#10;## Applying Parameter Set: 5, 10 &#10;## Applying Parameter Set: 1, 15 &#10;## Applying Parameter Set: 2, 15 &#10;## Applying Parameter Set: 3, 15 &#10;## Applying Parameter Set: 4, 15 &#10;## Applying Parameter Set: 5, 15 &#10;## Applying Parameter Set: 1, 20 &#10;## Applying Parameter Set: 2, 20 &#10;## Applying Parameter Set: 3, 20 &#10;## Applying Parameter Set: 4, 20 &#10;## Applying Parameter Set: 5, 20&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#------------------------------- 日线级别分析结果 ------------------------------#&#10;# 绘制IYT标的参数组合(5,20)的收益分布箱线图&#10;# signal: 信号分析结果数据集&#10;# x.val: x轴刻度位置，seq(1,50,5)表示从1到50步长5&#10;# val: 每个盒须图对应的时间窗口长度&#10;# ylim/xlim: 坐标轴范围&#10;# mai: 图形边距参数&#10;&#10; distributional.boxplot(&#10; signal=results$sigret.by.asset$IYT$paramset.5.20,&#10; x.val=seq(1, 50, 5), # 显示1-50天，每5天一个刻度&#10; val=10, # 每个盒须图代表10天的收益窗口&#10; ylim=c(-20, 20), # Y轴收益范围限制在±20%&#10; xlim=c(0, 50), # X轴范围0-50天&#10; mai=c(1,1,0.3,0.5), # 图形边距设置（下左上右）&#10; h=0 # 水平参考线位置（0轴）&#10; ) &#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GAMLSS-RS iteration 1: Global Deviance = 39613.69 &#10;## GAMLSS-RS iteration 2: Global Deviance = 39613.69&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-8-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制XLE标的信号的参数组合面板图（5行4列布局）&#10;&#10;&#10; signal.plot(&#10; results$sigret.by.asset$XLE, &#10; rows=5, # 图形行数&#10; columns = 4 # 图形列数&#10; )&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-9-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制XLE标的的豆状分布图（展示参数组合的密度分布）&#10;&#10;&#10; beanplot.signals(&#10; results$sigret.by.asset$XLE,&#10; rows=5, # 图形行数&#10; columns = 4# 图形列数 &#10; )&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-10-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制IYT标的参数组合(5,20)的信号路径图&#10;# signal.path.plot(results$sigret.by.asset$IYT$paramset.5.20)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#----------------------------- 周线级别前瞻分析 -----------------------------#&#10;# 执行周线级别信号分析（向前看10天）&#10;results.w = apply.paramset.signal.analysis(&#10; strategy.st, # 策略对象&#10; paramset.label='SMA', # 参数集标签 &#10; portfolio.st, # 组合名称&#10; sigcol = signal.label, # 信号列名称&#10; sigval = 1, # 信号触发值&#10; on='weeks', # 按周汇总结果&#10; forward.days=10, # 信号后观察10天&#10; cum.sum=TRUE, # 计算累积收益&#10; include.day.of.signal=F, # 排除信号当天&#10; obj.fun=signal.obj.slope, # 使用斜率评估&#10; decreasing=T # 降序排列结果&#10;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Applying Parameter Set: 1, 5 &#10;## Applying Parameter Set: 2, 5 &#10;## Applying Parameter Set: 3, 5 &#10;## Applying Parameter Set: 4, 5 &#10;## Applying Parameter Set: 1, 10 &#10;## Applying Parameter Set: 2, 10 &#10;## Applying Parameter Set: 3, 10 &#10;## Applying Parameter Set: 4, 10 &#10;## Applying Parameter Set: 5, 10 &#10;## Applying Parameter Set: 1, 15 &#10;## Applying Parameter Set: 2, 15 &#10;## Applying Parameter Set: 3, 15 &#10;## Applying Parameter Set: 4, 15 &#10;## Applying Parameter Set: 5, 15 &#10;## Applying Parameter Set: 1, 20 &#10;## Applying Parameter Set: 2, 20 &#10;## Applying Parameter Set: 3, 20 &#10;## Applying Parameter Set: 4, 20 &#10;## Applying Parameter Set: 5, 20&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制周线分析箱线图（时间窗口调整为10天）&#10;distributional.boxplot(signal=results.w$sigret.by.asset$IYT$paramset.5.20,&#10; x.val=seq(1, 10, 2), # 1-10天步长2&#10; val=10, &#10; ylim=c(-20, 20),&#10; xlim=c(0, 10),&#10; mai=c(1,1,0.3,0.5),&#10; h=0)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GAMLSS-RS iteration 1: Global Deviance = 8067.487 &#10;## GAMLSS-RS iteration 2: Global Deviance = 8067.487&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-12-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制周线信号分析可视化面板&#10;signal.plot(results.w$sigret.by.asset$XLE, rows=5, columns = 4)&#10;&#10;# 绘制周线豆状分布图&#10;beanplot.signals(results.w$sigret.by.asset$XLE, rows=5, columns = 4)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-12-2.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-12-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#----------------------------- 月线级别前瞻分析 -----------------------------#&#10;# 执行月线级别信号分析（向前看5天）&#10;results.m = apply.paramset.signal.analysis(&#10; strategy.st, &#10; paramset.label='SMA', &#10; portfolio.st,&#10; sigcol = signal.label,&#10; sigval = 1,&#10; on='months', # 按月汇总结果&#10; forward.days=5, # 信号后观察5天（模拟月度调仓）&#10; cum.sum=TRUE,&#10; include.day.of.signal=F,&#10; obj.fun=signal.obj.slope,&#10; decreasing=T&#10;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Applying Parameter Set: 1, 5 &#10;## Applying Parameter Set: 2, 5 &#10;## Applying Parameter Set: 3, 5 &#10;## Applying Parameter Set: 4, 5 &#10;## Applying Parameter Set: 1, 10 &#10;## Applying Parameter Set: 2, 10 &#10;## Applying Parameter Set: 3, 10 &#10;## Applying Parameter Set: 4, 10 &#10;## Applying Parameter Set: 5, 10 &#10;## Applying Parameter Set: 1, 15 &#10;## Applying Parameter Set: 2, 15 &#10;## Applying Parameter Set: 3, 15 &#10;## Applying Parameter Set: 4, 15 &#10;## Applying Parameter Set: 5, 15 &#10;## Applying Parameter Set: 1, 20 &#10;## Applying Parameter Set: 2, 20 &#10;## Applying Parameter Set: 3, 20 &#10;## Applying Parameter Set: 4, 20 &#10;## Applying Parameter Set: 5, 20&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制月线分析箱线图（时间窗口调整为5天）&#10;distributional.boxplot(signal=results.m$sigret.by.asset$IYT$paramset.5.20,&#10; x.val=seq(1, 5, 1), # 1-5天逐日显示&#10; val=10,&#10; ylim=c(-30, 30), # 放宽收益范围&#10; xlim=c(0, 5),&#10; mai=c(1,1,0.3,0.5),&#10; h=0)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## GAMLSS-RS iteration 1: Global Deviance = 4588.769 &#10;## GAMLSS-RS iteration 2: Global Deviance = 4588.769&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-13-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 绘制月线信号面板图&#10;signal.plot(results.m$sigret.by.asset$XLE, rows=5, columns = 4)&#10;&#10;# 绘制月线豆状分布图&#10;beanplot.signals(results.m$sigret.by.asset$XLE, rows=5, columns = 4)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-13-2.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2015/01/08/a-simple-moving-average-strategy-for-evaluating-signal/index_files/figure-html/unnamed-chunk-13-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;h2 id="当前应用方向"&gt;&lt;a href="#%e5%bd%93%e5%89%8d%e5%ba%94%e7%94%a8%e6%96%b9%e5%90%91" class="header-anchor"&gt;&lt;/a&gt;当前应用方向&#10;&lt;/h2&gt;&lt;p&gt;当前前沿研究正将SMA与机器学习结合：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;作为LSTM神经网络的输入特征，提升价格预测精度；&lt;/li&gt;&#10;&lt;li&gt;构建SMA斜率变化率指标，提前1-3日预警趋势反转；&lt;/li&gt;&#10;&lt;li&gt;在高频交易中开发毫秒级SMA差值套利模型。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;值得注意的是，SMA的滞后性（Lagging Effect）在震荡市中可能产生虚假信号。成熟策略常将其与成交量加权移动平均线（VWMA）组合使用，或将参数动态化以提升适应性。量化实践表明，经过噪音过滤的SMA系统，在配合3%的移动止损规则后，可使策略年化波动率降低22%。&lt;/p&gt;&#10;</description></item><item><title>R时间序列笔记：zoo包</title><link>https://gewutang.cn/2014/06/04/notes-on-zoo/</link><pubDate>Wed, 04 Jun 2014 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2014/06/04/notes-on-zoo/</guid><description>&lt;p&gt;R软件是处理时间序列的利器。之所以这么说主要是基于两点：一是R软件中的时间序列模型异常丰富，已经将从计量经济学的良心arma到garch族模型到VAR模型以及时间序列结构变异点诊断等一网打尽；二是R软件中的时间序列对象的类型也足够丰富，可以让我们随心所欲地处理规则时间序列和不规则时间序列，以及让不规则时间序列拥有规则的时间属性。以上种种方便都让我们在处理经济和金融时间序列时更加得心应手。&lt;/p&gt;&#10;&lt;p&gt;目前，R中已有的时间序列相关包如下。&lt;/p&gt;&#10;&lt;table&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;时序类型&lt;/td&gt;&lt;td&gt;对象类型&lt;/td&gt;&lt;td&gt;索引类型&lt;/td&gt;&lt;td&gt;R包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;规则时间序列&lt;/td&gt;&lt;td&gt;ts&lt;/td&gt;&lt;td&gt;Date&lt;/td&gt;&lt;td&gt;stat包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;不规则时间序列&lt;/td&gt;&lt;td&gt;timeSeries&lt;/td&gt;&lt;td&gt;timeDate&lt;/td&gt;&lt;td&gt;timeSeries(fSeries)&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;不规则时间序列&lt;/td&gt;&lt;td&gt;its&lt;/td&gt;&lt;td&gt;POSIXct&lt;/td&gt;&lt;td&gt;its包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;不规则时间序列&lt;/td&gt;&lt;td&gt;irts&lt;/td&gt;&lt;td&gt;POSIXct&lt;/td&gt;&lt;td&gt;tseries包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;各种&lt;/td&gt;&lt;td&gt;zoo&lt;/td&gt;&lt;td&gt; &lt;/td&gt;&lt;td&gt;zoo包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;tr&gt;&#10;&lt;td&gt;各种&lt;/td&gt;&lt;td&gt;xts&lt;/td&gt;&lt;td&gt; &lt;/td&gt;&lt;td&gt;xts包&lt;/td&gt;&#10;&lt;/tr&gt;&#10;&lt;/table&gt;&#10;&lt;p&gt;第一个是stat包。RCore们在stat包中定义了R语言中最古典的时间序列对象类型，即ts类型。想必用R处理过时间序列的同学们都不陌生，这货的用法很简单，下面是从帮助文档中摘的例子：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(graphics)&#10;## Generate a timeseries as a sample&#10;ts(1:10, frequency = 4, start = c(1959, 2)) # 2nd Quarter of 1959&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Qtr1 Qtr2 Qtr3 Qtr4&#10;## 1959 1 2 3&#10;## 1960 4 5 6 7&#10;## 1961 8 9 10&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;## Using July 1954 as start date:&#10;gnp &amp;lt;- ts(cumsum(1 + round(rnorm(100), 2)),&#10; start = c(1954, 7), frequency = 12)&#10;plot(gnp) # using 'plot.ts' for time-series plot&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;acf(gnp)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;pacf(gnp)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-1-3.png" width="672" /&gt;&#10;&lt;p&gt;ts类型的对象的缺点显而易见：只适宜处理规则时间序列、没有独立的索引属性等等。基于种种缺点，能人纷们纷出手开发了另外几个R包，包括专门处理不规则时间序列的its包，能同时处理规则时间序列和不规则时间序列的tseries包，能从网络获取金融数据并具有独立时间属性的tseries包，还有本文标题中提到的zoo包。&lt;/p&gt;&#10;&lt;p&gt;zoo包出现在stat包、its包、tseries包和timeSeries包之后、在xts之前。那么，很多人会疑问，根据前面说的，its包、tseries包和timeSeries包已经很好的填补了stat包的诸多不足，为什么还要开发zoo包，这不是重复造轮子吗？还是它拥有独道的优点？这得回顾一下Zeileis开发zoo包的初衷。&lt;/p&gt;&#10;&lt;p&gt;话说，时间序列分析领域有一个很重要的方向是诊断时间序列的结构性变异。比如，研究某个时间序列是否在某个时点之后出现显著的结构性变化之类的。Zeileis原本想开发这么一个诊断时间序列结构性变异的R包，也就是后来的strucchange。但在开发strucchange包时需要用到一种能不依赖索引类型并严格排序的时序对象，注意“不依赖索引类型”、“严格排序”这些特性是以上所有时间序列对象类型没有满足的，于是，他只好自己着手构建满足自己需求的zoo对象和zoo包。这个包的名字就源自于Z&amp;rsquo;s ordered observations的首字母。&lt;/p&gt;&#10;&lt;p&gt;本篇笔记系统地说说zoo包的一些用法和特性。本文的结构如下：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;1.zoo简介&#10;&lt;ul&gt;&#10;&lt;li&gt;1.1 zoo对象简介及创建&lt;/li&gt;&#10;&lt;li&gt;1.2 创建zooreg对象&lt;/li&gt;&#10;&lt;li&gt;1.3 基本运算&lt;/li&gt;&#10;&lt;li&gt;1.4 滚动计算&lt;/li&gt;&#10;&lt;li&gt;1.5 数据及索引的提取和替换&lt;/li&gt;&#10;&lt;li&gt;1.6 汇总描述&lt;/li&gt;&#10;&lt;li&gt;1.7 数据合并&lt;/li&gt;&#10;&lt;li&gt;1.8 缺失值处理&lt;/li&gt;&#10;&lt;li&gt;1.9 类型转化&lt;/li&gt;&#10;&lt;li&gt;1.10 zoo对象的绘图&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;2.实际案例&#10;&lt;ul&gt;&#10;&lt;li&gt;2.1 协同tseries包处理金融数据&lt;/li&gt;&#10;&lt;li&gt;2.2 使用timeDate类索引&lt;/li&gt;&#10;&lt;li&gt;2.3 创建yearmon和yearqtr类型&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;3.总结&lt;/li&gt;&#10;&lt;li&gt;4.资料推荐&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h3 id="1zoo简介"&gt;&lt;a href="#1zoo%e7%ae%80%e4%bb%8b" class="header-anchor"&gt;&lt;/a&gt;1.zoo简介&#10;&lt;/h3&gt;&lt;h4 id="11-zoo对象简介及创建"&gt;&lt;a href="#11-zoo%e5%af%b9%e8%b1%a1%e7%ae%80%e4%bb%8b%e5%8f%8a%e5%88%9b%e5%bb%ba" class="header-anchor"&gt;&lt;/a&gt;1.1 zoo对象简介及创建&#10;&lt;/h4&gt;&lt;p&gt;zoo包里面有两种基本的对象类型，一种是zoo，一种是zooreg。我们先创建一个zoo对象看看，创建zoo对象的基本命令是；&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;zoo(x,order.by)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;其中，x是一个包含观测值的向量或者矩阵，order.by是x对应的排序后的索引。索引的长度必须跟x的长度或者行数一致。上述命令得到的zoo对象跟x看起来一样，不同的地方在于多了一个index属性，这个属性保存了zoo对象的索引信息。&lt;/p&gt;&#10;&lt;p&gt;理论上，x和order.by可以是任意类型，但x是数值型的情况比较常见，因为数值型情况下便于进行数学运算、建模及可视化。实际创建一些zoo对象：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(zoo)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;set.seed(1071)&#10;&#10;z1.index&amp;lt;-ISOdatetime(2014,rep(1:2,5),sample(28,10),0,0,0);&#10;z1.data&amp;lt;-rnorm(10)&#10;z1&amp;lt;-zoo(z1.data,z1.index)&#10;&#10;&#10;z2.index&amp;lt;-as.POSIXct(paste(2014,rep(1:2,5),sample(1:28,10),sep=&amp;quot;-&amp;quot;))&#10;z2.data&amp;lt;-sin(2*1:10/pi)&#10;z2&amp;lt;-zoo(z2.data,z2.index)&#10;&#10;Z.index&amp;lt;-as.Date(sample(12450:12500,10)); &#10;Z.data&amp;lt;-matrix(rnorm(30),ncol=3);&#10;colnames(Z.data)&amp;lt;-c(&amp;quot;Aa&amp;quot;,&amp;quot;Bb&amp;quot;,&amp;quot;Cc&amp;quot;);&#10;Z&amp;lt;-zoo(Z.data,Z.index);&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;上面的这个as.Date是zoo包中的，等同于base包中的as.Date(origin=&amp;ldquo;1970-01-01&amp;rdquo;)。&lt;/p&gt;&#10;&lt;p&gt;真正操作数据时，通常要处理的数据已经包含了索引，用不着单独创建。&lt;/p&gt;&#10;&lt;p&gt;R中的很多函数比如print，summary，str，head，tail以及[ 能够对zoo对象进行操作。&lt;/p&gt;&#10;&lt;p&gt;要注意的是：向量型的zoo对象默认显示为行向量，而矩阵型的zoo对象默认为上下排列。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;summary(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Index z1 &#10;## Min. :2014-01-05 00:00:00 Min. :-2.07608 &#10;## 1st Qu.:2014-01-14 18:00:00 1st Qu.:-1.04698 &#10;## Median :2014-01-25 00:00:00 Median : 0.24573 &#10;## Mean :2014-01-29 21:36:00 Mean :-0.01033 &#10;## 3rd Qu.:2014-02-17 12:00:00 3rd Qu.: 0.73163 &#10;## Max. :2014-02-26 00:00:00 Max. : 1.94079&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;summary(Z)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Index Aa Bb Cc &#10;## Min. :2004-02-10 Min. :-2.7384 Min. :-1.518622 Min. :-0.83789 &#10;## 1st Qu.:2004-02-19 1st Qu.:-0.1366 1st Qu.:-0.554268 1st Qu.:-0.61149 &#10;## Median :2004-03-04 Median : 0.3307 Median : 0.274825 Median :-0.07863 &#10;## Mean :2004-03-01 Mean : 0.2004 Mean : 0.006083 Mean : 0.12034 &#10;## 3rd Qu.:2004-03-09 3rd Qu.: 1.2433 3rd Qu.: 0.583592 3rd Qu.: 0.72902 &#10;## Max. :2004-03-22 Max. : 1.4238 Max. : 1.347743 Max. : 2.00417&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="12-创建zooreg对象"&gt;&lt;a href="#12-%e5%88%9b%e5%bb%bazooreg%e5%af%b9%e8%b1%a1" class="header-anchor"&gt;&lt;/a&gt;1.2 创建zooreg对象&#10;&lt;/h4&gt;&lt;p&gt;zoo对象本身就可以存储规则时间序列，而且stat包中本身也有存储规则时间序列的ts对象。为什么还要创建一个zooreg类型呢？有两个原因：一个是在将zoo对象转为ts对象时需要存储规则时间序列的频率，有了zooreg，可以在zoo对象和ts对象之间自由转换。再一个是因为对于ts对象，一旦出现缺失值，则其不再为规则时间序列，而zooreg可以存储有缺失值的规则时间序列。因此，我们可以把zooreg对象视为zoo的子对象，它继承了zoo对象的所有特性，并增加了frequency特性。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;zoo(x,order.by,frequency)&#10;zooreg(data,start,end,frequency,deltat,ts.eps,order.by)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;在zoo中使用frequency参数时，函数会自动检查frequency跟order.by是否匹配，如果匹配，就返回一个zooreg对象。zooreg()函数的参数跟ts()函数的参数完全一致。zooreg(order.by)相当于是zoo(x,order.by,frequency)。&lt;/p&gt;&#10;&lt;p&gt;要注意的是：zooreg对象的索引类型有相对严格的要求，其必须能转化为numeric，因为函数要靠转化后的numeric对象来判断索引的规则与否。而且索引必须是1/frequency的整数倍。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zr1 &amp;lt;- zooreg(sin(1:9),start=2000,frequency=4)&#10;zr2 &amp;lt;- zoo(sin(1:9),seq(2000,2002,by=1/4),4)&#10;zr1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q3 2000 Q4 2001 Q1 2001 Q2 2001 Q3 &#10;## 0.8414710 0.9092974 0.1411200 -0.7568025 -0.9589243 -0.2794155 0.6569866 &#10;## 2001 Q4 2002 Q1 &#10;## 0.9893582 0.4121185&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zr2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q3 2000 Q4 2001 Q1 2001 Q2 2001 Q3 &#10;## 0.8414710 0.9092974 0.1411200 -0.7568025 -0.9589243 -0.2794155 0.6569866 &#10;## 2001 Q4 2002 Q1 &#10;## 0.9893582 0.4121185&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;zooreg对象也能处理非数值型的索引，当然你得保证后续增加的观测值对应的索引类型也是非numerec，否则，索引类型将被强制转换。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zooreg(1:5,start=as.Date(&amp;quot;2005-01-01&amp;quot;))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2005-01-01 2005-01-02 2005-01-03 2005-01-04 2005-01-05 &#10;## 1 2 3 4 5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;可以用frequency，deltat，cycle，is.regular(x,stric=FALSE)函数来查看zooreg对象的信息。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;frequency(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 4&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;deltat(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 0.25&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cycle(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q3 2000 Q4 2001 Q1 2001 Q2 2001 Q3 2001 Q4 2002 Q1 &#10;## 1 2 3 4 1 2 3 4 1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;is.regular(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] TRUE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;is.regular(zr1,strict=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] TRUE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这些函数对规则的zoo对象也适用。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zr1&amp;lt;- as.zoo(zr1)&#10;zr1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q3 2000 Q4 2001 Q1 2001 Q2 2001 Q3 &#10;## 0.8414710 0.9092974 0.1411200 -0.7568025 -0.9589243 -0.2794155 0.6569866 &#10;## 2001 Q4 2002 Q1 &#10;## 0.9893582 0.4121185&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;class(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;zoo&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;frequency(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 4&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这种时间序列虽然看起来规则，但使用的时候难保不会出现差错儿。所以，能保存为zooreg就不要保存为zoo，时刻谨记座右铭：不作死就不会死。&lt;/p&gt;&#10;&lt;p&gt;上面说过，zooreg对象的优点是即使删除一个缺失值，仍然保持规则时间序列的性质。比如：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zr1 &amp;lt;- zr1[-c(3,5)]&#10;zr1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q4 2001 Q2 2001 Q3 2001 Q4 2002 Q1 &#10;## 0.8414710 0.9092974 -0.7568025 -0.2794155 0.6569866 0.9893582 0.4121185&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;class(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;zoo&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;frequency(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 4&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;与ts对象相比，zooreg在处理缺失值或者时间序列回归方面更胜一筹。像这种有缺失的规则时间序列叫弱规则时间序列，我们将这种时间序列强制转化为ts对象时，缺失值将表示为NA。而对于规则的时间序列，如果索引刚好是数值型，那么，我们可以在zoo和ts两者之间进行自由转换。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;as.ts(zr1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Qtr1 Qtr2 Qtr3 Qtr4&#10;## 2000 0.8414710 0.9092974 NA -0.7568025&#10;## 2001 NA -0.2794155 0.6569866 0.9893582&#10;## 2002 0.4121185&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;identical(zr2,as.zoo(as.ts(zr2)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] TRUE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;因而，我们可以直接对zooreg对象使用acf，arima，stl等函数。&lt;/p&gt;&#10;&lt;h4 id="13-基本运算"&gt;&lt;a href="#13-%e5%9f%ba%e6%9c%ac%e8%bf%90%e7%ae%97" class="header-anchor"&gt;&lt;/a&gt;1.3 基本运算&#10;&lt;/h4&gt;&lt;p&gt;对于维度一样的对象，直接计算即可。对于维度不一样的对象，会先计算对象索引的交集，在根据交集进行相关运算。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;z1+z2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-14 2014-02-01 2014-02-26 &#10;## 0.2282647 -1.1200202 -0.7067490&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;z1&amp;lt;z2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-14 2014-02-01 2014-02-26 &#10;## FALSE TRUE FALSE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;cumsum、cumprod、cummin、cummax等都是对列进行操作。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cumsum(Z)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-10 1.255434 0.68157316 -0.63292049&#10;## 2004-02-11 2.679232 -0.13457166 -1.18011092&#10;## 2004-02-18 2.802320 -1.65319323 -1.95318901&#10;## 2004-02-22 3.340710 -1.42183190 0.05098188&#10;## 2004-03-04 4.547665 -1.10368968 0.03968985&#10;## 2004-03-05 1.809245 -0.87218273 -0.79819889&#10;## 2004-03-08 1.663859 -0.41983370 -0.94417290&#10;## 2004-03-10 2.987271 -1.91425639 -0.89375702&#10;## 2004-03-21 2.113978 -1.28691668 0.24816234&#10;## 2004-03-22 2.003582 0.06082586 1.20338703&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;也可以计算zoo对象的滞后和差分。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;lag(z2,k=-1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-13 2014-01-14 2014-01-19 2014-01-20 2014-02-01 2014-02-08 &#10;## 0.94306673 -0.52575918 -0.04149429 0.59448077 -0.96739776 0.95605566 &#10;## 2014-02-10 2014-02-22 2014-02-26 &#10;## 0.56060280 0.08291711 -0.62733473&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;merge(z1,lag(z1,k=1))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## z1 lag(z1, k = 1)&#10;## 2014-01-05 0.02107873 0.7467599&#10;## 2014-01-07 0.74675994 0.2697590&#10;## 2014-01-14 0.26975895 0.6862577&#10;## 2014-01-17 0.68625772 1.9407885&#10;## 2014-01-18 1.94078850 -2.0760758&#10;## 2014-02-01 -2.07607585 -1.7843924&#10;## 2014-02-13 -1.78439244 -1.4029994&#10;## 2014-02-19 -1.40299938 1.2738445&#10;## 2014-02-24 1.27384445 0.2217044&#10;## 2014-02-26 0.22170438 NA&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;diff(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-13 2014-02-19 &#10;## 0.7256812 -0.4770010 0.4164988 1.2545308 -4.0168643 0.2916834 0.3813931 &#10;## 2014-02-24 2014-02-26 &#10;## 2.6768438 -1.0521401&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="14-滚动计算"&gt;&lt;a href="#14-%e6%bb%9a%e5%8a%a8%e8%ae%a1%e7%ae%97" class="header-anchor"&gt;&lt;/a&gt;1.4 滚动计算&#10;&lt;/h4&gt;&lt;p&gt;处理时间序列是经常用到滚动计算，比如，要滚动计算任意n天的均值、方差等等。zoo包里面提供了rollapply函数来完成这个操作。基本用法是；&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;rollapply(data, width, FUN)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这里的data是操作对象，width是滚动的窗口宽度，FUN是对每一个窗口的数据执行的具体函数。比如：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rollapply(Z,5,sd)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-18 0.5542603 0.9148719 1.1526241&#10;## 2004-02-22 1.6753029 0.8212506 1.1843236&#10;## 2004-03-04 1.5062902 0.8220241 1.1539834&#10;## 2004-03-05 1.6591613 0.8112685 1.0628096&#10;## 2004-03-08 1.6725661 0.8635166 0.7110273&#10;## 2004-03-10 1.4791770 1.0524092 0.8172367&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;有些观测值被删除了，因为那些观测值没法占满窗口。我们可以通过设置fill=TRUE用NA来填充这些位置。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rollapply(Z,5,sd,align=&amp;quot;left&amp;quot;,fill=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-10 0.5542603 0.9148719 1.1526241&#10;## 2004-02-11 1.6753029 0.8212506 1.1843236&#10;## 2004-02-18 1.5062902 0.8220241 1.1539834&#10;## 2004-02-22 1.6591613 0.8112685 1.0628096&#10;## 2004-03-04 1.6725661 0.8635166 0.7110273&#10;## 2004-03-05 1.4791770 1.0524092 0.8172367&#10;## 2004-03-08 1.0000000 1.0000000 1.0000000&#10;## 2004-03-10 1.0000000 1.0000000 1.0000000&#10;## 2004-03-21 1.0000000 1.0000000 1.0000000&#10;## 2004-03-22 1.0000000 1.0000000 1.0000000&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;填补方式分为左填补、右填补和居中填补。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rollapply(Z,5,sd,align=&amp;quot;left&amp;quot;,fill = TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-10 0.5542603 0.9148719 1.1526241&#10;## 2004-02-11 1.6753029 0.8212506 1.1843236&#10;## 2004-02-18 1.5062902 0.8220241 1.1539834&#10;## 2004-02-22 1.6591613 0.8112685 1.0628096&#10;## 2004-03-04 1.6725661 0.8635166 0.7110273&#10;## 2004-03-05 1.4791770 1.0524092 0.8172367&#10;## 2004-03-08 1.0000000 1.0000000 1.0000000&#10;## 2004-03-10 1.0000000 1.0000000 1.0000000&#10;## 2004-03-21 1.0000000 1.0000000 1.0000000&#10;## 2004-03-22 1.0000000 1.0000000 1.0000000&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;对于一些常用的滚动计算，比如，rollapply(data,width,mean)，rollapply(data,width,max)等，zoo提供了rollmean(x,k)、rollmax(x,k)，rollmedian(x,k)等函数。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rollmean(z2,5,fill=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-06 2014-01-13 2014-01-14 2014-01-19 2014-01-20 2014-02-01 &#10;## 1.0000000000 1.0000000000 0.0005792538 0.0031770388 0.2204494347 0.2453317148 &#10;## 2014-02-08 2014-02-10 2014-02-22 2014-02-26 &#10;## 0.0009686142 0.0087574946 1.0000000000 1.0000000000&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="15-数据及索引的提取和替换"&gt;&lt;a href="#15-%e6%95%b0%e6%8d%ae%e5%8f%8a%e7%b4%a2%e5%bc%95%e7%9a%84%e6%8f%90%e5%8f%96%e5%92%8c%e6%9b%bf%e6%8d%a2" class="header-anchor"&gt;&lt;/a&gt;1.5 数据及索引的提取和替换&#10;&lt;/h4&gt;&lt;p&gt;coredata函数可以提取zoo对象的数据。类似于its包中的core函数及tseries包中的value函数。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(xts)&#10;&#10;coredata(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 0.02107873 0.74675994 0.26975895 0.68625772 1.94078850 -2.07607585&#10;## [7] -1.78439244 -1.40299938 1.27384445 0.22170438&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;index函数可以提取zoo对象的索引。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;index(z2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-01-06 CST&amp;quot; &amp;quot;2014-01-13 CST&amp;quot; &amp;quot;2014-01-14 CST&amp;quot; &amp;quot;2014-01-19 CST&amp;quot;&#10;## [5] &amp;quot;2014-01-20 CST&amp;quot; &amp;quot;2014-02-01 CST&amp;quot; &amp;quot;2014-02-08 CST&amp;quot; &amp;quot;2014-02-10 CST&amp;quot;&#10;## [9] &amp;quot;2014-02-22 CST&amp;quot; &amp;quot;2014-02-26 CST&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;index(z2) &amp;lt;- index(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;time函数与index函数类似。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;time(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2014-01-05 CST&amp;quot; &amp;quot;2014-01-07 CST&amp;quot; &amp;quot;2014-01-14 CST&amp;quot; &amp;quot;2014-01-17 CST&amp;quot;&#10;## [5] &amp;quot;2014-01-18 CST&amp;quot; &amp;quot;2014-02-01 CST&amp;quot; &amp;quot;2014-02-13 CST&amp;quot; &amp;quot;2014-02-19 CST&amp;quot;&#10;## [9] &amp;quot;2014-02-24 CST&amp;quot; &amp;quot;2014-02-26 CST&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;start和end函数可以提取第一个和最后一个索引。&lt;/p&gt;&#10;&lt;p&gt;抽取zoo对象的子集可以通过[或者window来进行。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Z[1:3,2:3]&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Bb Cc&#10;## 2004-02-10 0.6815732 -0.6329205&#10;## 2004-02-11 -0.8161448 -0.5471904&#10;## 2004-02-18 -1.5186216 -0.7730781&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;也可以用[加索引来选取Z的子集。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;z1[ISOdatetime(2004,1,c(14,25),0,0,0)]&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Data:&#10;## numeric(0)&#10;## &#10;## Index:&#10;## POSIXct of length 0&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;如果索引的类型是numeric的话，在代码用需要用I来保护，此时相应的代码为Z[I(i)]。或者用window。&lt;/p&gt;&#10;&lt;p&gt;window函数的用法如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;window(x,index,start,end)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;x是zoo对象，index是索引的子集，end和start用来进一步约束索引的子集。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;window(Z,start=as.Date(&amp;quot;2004-03-01&amp;quot;)) # 选出2004-3-1以来的所有观测值&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-03-04 1.2069552 0.3181422 -0.01129202&#10;## 2004-03-05 -2.7384202 0.2315069 -0.83788874&#10;## 2004-03-08 -0.1453861 0.4523490 -0.14597401&#10;## 2004-03-10 1.3234122 -1.4944227 0.05041588&#10;## 2004-03-21 -0.8732929 0.6273397 1.14191937&#10;## 2004-03-22 -0.1103956 1.3477425 0.95522468&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;window(Z,index=index(Z)[5:8],end=as.Date(&amp;quot;2004-03-01&amp;quot;)) # 选出第5至第8个观测值中，不晚于2004-3-1的观测值&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;也可以用来替换观测值。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;window(z1,end=as.POSIXct(&amp;quot;2004-02-01&amp;quot;))&amp;lt;-9:5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="16-汇总描述"&gt;&lt;a href="#16-%e6%b1%87%e6%80%bb%e6%8f%8f%e8%bf%b0" class="header-anchor"&gt;&lt;/a&gt;1.6 汇总描述&#10;&lt;/h4&gt;&lt;p&gt;aggregate可以对zoo对象进行汇总。说人话就是zoo会根据某一列的取值将zoo对象切割为几个独立的子集。再对每个子集执行指定的函数。&lt;/p&gt;&#10;&lt;p&gt;对于Z来说，我们可以按月份对其其均值。这个过程需要两步，第一步是将Z的索引划分为月份，第二步是分组汇总。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;firstofmonth &amp;lt;- function(x){as.Date(sub(&amp;quot;..$&amp;quot;,&amp;quot;01&amp;quot;,format(x)))} &#10;index(Z)&amp;lt;-firstofmonth(index(Z)) # 将日期统一为当月首日日期&#10;aggregate(Z,index(Z),mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-01 0.8351775 -0.3554580 0.01274547&#10;## 2004-03-01 -0.2228546 0.2471096 0.19206753&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;aggregate(Z,firstofmonth,head,1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 2004-02-01 1.255434 0.6815732 -0.63292049&#10;## 2004-03-01 1.206955 0.3181422 -0.01129202&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;与汇总相反的是数据还原，通常是借助插值来实现的。比如，Nile是ts类型的年度数据，我们可以将其转换为zoo类型的季度数据，并用na.approx，na.locf和na.spline来进行差值。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Nile.na&amp;lt;-merge(as.zoo(Nile),zoo(,seq(start(Nile)[1],end(Nile)[1],1/4)))&#10;head(as.zoo(Nile))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 1871 1872 1873 1874 1875 1876 &#10;## 1120 1160 963 1210 1160 1160&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;head(na.approx(Nile.na))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 1871(1) 1871(2) 1871(3) 1871(4) 1872(1) 1872(2) &#10;## 1120.00 1130.00 1140.00 1150.00 1160.00 1110.75&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;head(na.locf(Nile.na))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 1871(1) 1871(2) 1871(3) 1871(4) 1872(1) 1872(2) &#10;## 1120 1120 1120 1120 1160 1160&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;head(na.spline(Nile.na))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 1871(1) 1871(2) 1871(3) 1871(4) 1872(1) 1872(2) &#10;## 1120.000 1199.059 1224.985 1208.419 1160.000 1091.970&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="17-数据合并"&gt;&lt;a href="#17-%e6%95%b0%e6%8d%ae%e5%90%88%e5%b9%b6" class="header-anchor"&gt;&lt;/a&gt;1.7 数据合并&#10;&lt;/h4&gt;&lt;p&gt;可用rbind函数来对zoo对象进行行合并，此时，合并前的对象必须有相同的列数，并且索引不能有重合。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rbind(z1[2:3],z1[5:10]) # 正常行合并&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-18 2014-02-01 2014-02-13 2014-02-19 2014-02-24 &#10;## 0.7467599 0.2697590 1.9407885 -2.0760758 -1.7843924 -1.4029994 1.2738445 &#10;## 2014-02-26 &#10;## 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# rbind(z1[2:5],z1[5:10]) # 索引重合会报错&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;c函数跟rbind函数的作用相同。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;c(z1[2:3],z1[5:10])&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-18 2014-02-01 2014-02-13 2014-02-19 2014-02-24 &#10;## 0.7467599 0.2697590 1.9407885 -2.0760758 -1.7843924 -1.4029994 1.2738445 &#10;## 2014-02-26 &#10;## 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;cbind函数可以对zoo对象进行列合并。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cbind(z1,z2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## z1 z2&#10;## 2014-01-05 0.02107873 0.94306673&#10;## 2014-01-07 0.74675994 -0.52575918&#10;## 2014-01-14 0.26975895 -0.04149429&#10;## 2014-01-17 0.68625772 0.59448077&#10;## 2014-01-18 1.94078850 -0.96739776&#10;## 2014-02-01 -2.07607585 0.95605566&#10;## 2014-02-13 -1.78439244 0.56060280&#10;## 2014-02-19 -1.40299938 0.08291711&#10;## 2014-02-24 1.27384445 -0.62733473&#10;## 2014-02-26 0.22170438 -0.92845336&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这个函数实质上是以两个对象的索引的并集作为结果对象的索引，这样一来会出现缺失值，当然它们的位置会填充为NA。下面的命令与上面的命令结果相同；&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;merge(z1,z2,all=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## z1 z2&#10;## 2014-01-05 0.02107873 0.94306673&#10;## 2014-01-07 0.74675994 -0.52575918&#10;## 2014-01-14 0.26975895 -0.04149429&#10;## 2014-01-17 0.68625772 0.59448077&#10;## 2014-01-18 1.94078850 -0.96739776&#10;## 2014-02-01 -2.07607585 0.95605566&#10;## 2014-02-13 -1.78439244 0.56060280&#10;## 2014-02-19 -1.40299938 0.08291711&#10;## 2014-02-24 1.27384445 -0.62733473&#10;## 2014-02-26 0.22170438 -0.92845336&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;但merge可以提供更多的可用参数。比如，可以指定缺失值的填充方式，可以调整合并对象的列名，也可以指定返回结果的类型。&lt;/p&gt;&#10;&lt;p&gt;如果merge的对象中有zooreg对象，则merge的结果将是zooreg对象。在这个过程中，merge会在幕后默默的判断时间序列的频率，并检查时间序列规则与否。如果merge的对象中有非zoo对象，那么，merge会毫不犹豫地把zoo对象的索引加到其它对象身上。&lt;/p&gt;&#10;&lt;p&gt;如果merge的对象中，索引的类型不一样，R一般会给出警告，并尝试将索引强制转换为一致。我们不鼓励用merge合并索引类型不同的对象，否则，后果自负。&lt;/p&gt;&#10;&lt;h4 id="18-缺失值处理"&gt;&lt;a href="#18-%e7%bc%ba%e5%a4%b1%e5%80%bc%e5%a4%84%e7%90%86" class="header-anchor"&gt;&lt;/a&gt;1.8 缺失值处理&#10;&lt;/h4&gt;&lt;p&gt;na.omit，na.contiguous，na.approx，na.locf，na.omit和na.spline都能来处理缺失值。na.omit的作用是剔除缺失值。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;z1[sample(1:10,3)] &amp;lt;- NA&#10;z1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-05 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-13 &#10;## NA 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758 NA &#10;## 2014-02-19 2014-02-24 2014-02-26 &#10;## -1.4029994 NA 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;na.omit(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-19 2014-02-26 &#10;## 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758 -1.4029994 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;na.contiguous函数是返回对象中没有不包含缺失值的最长片段。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;na.contiguous(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 &#10;## 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;na.approx函数是用approx函数对缺失值进行线性差值&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;na.approx(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-13 2014-02-19 &#10;## 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758 -1.6273582 -1.4029994 &#10;## 2014-02-24 2014-02-26 &#10;## -0.2424967 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;默认情况下na.approx函数基于时间序列的时间跨度进行插值。它跟下面的情况有所不同。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;na.approx(z1,1:NROW(z1))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-13 2014-02-19 &#10;## 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758 -1.7395376 -1.4029994 &#10;## 2014-02-24 2014-02-26 &#10;## -0.5906475 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;设置na.approx的第二个参数，可以按照需要对缺失值进行插值。&lt;/p&gt;&#10;&lt;p&gt;na.lcof是用前值替代法进行插值。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;na.locf(z1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-07 2014-01-14 2014-01-17 2014-01-18 2014-02-01 2014-02-13 2014-02-19 &#10;## 0.7467599 0.2697590 0.6862577 1.9407885 -2.0760758 -2.0760758 -1.4029994 &#10;## 2014-02-24 2014-02-26 &#10;## -1.4029994 0.2217044&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="19-类型转化"&gt;&lt;a href="#19-%e7%b1%bb%e5%9e%8b%e8%bd%ac%e5%8c%96" class="header-anchor"&gt;&lt;/a&gt;1.9 类型转化&#10;&lt;/h4&gt;&lt;p&gt;R中的很多对象都可以跟zoo进行自由转换。尤其是ts，irts，its等对象，很容易就可以转化为zoo对象。如果索引正确，还可以将zoo对象转化回去。zoo对象和zooreg对象之间的转化更方便，无非是增加或者删除frequency属性。除此之外，zoo对象还可以转化为向量、矩阵、列表和数据框，要注意的是转为数据框时索引属性会丢掉，但实质内容还是保留完整的。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;as.data.frame(Z)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Aa Bb Cc&#10;## 1 1.2554339 0.6815732 -0.63292049&#10;## 2 1.4237978 -0.8161448 -0.54719043&#10;## 3 0.1230887 -1.5186216 -0.77307809&#10;## 4 0.5383894 0.2313613 2.00417089&#10;## 5 1.2069552 0.3181422 -0.01129202&#10;## 6 -2.7384202 0.2315069 -0.83788874&#10;## 7 -0.1453861 0.4523490 -0.14597401&#10;## 8 1.3234122 -1.4944227 0.05041588&#10;## 9 -0.8732929 0.6273397 1.14191937&#10;## 10 -0.1103956 1.3477425 0.95522468&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="110-zoo对象的绘图"&gt;&lt;a href="#110-zoo%e5%af%b9%e8%b1%a1%e7%9a%84%e7%bb%98%e5%9b%be" class="header-anchor"&gt;&lt;/a&gt;1.10 zoo对象的绘图&#10;&lt;/h4&gt;&lt;p&gt;zoo对象的绘图要依赖于plot和lines函数。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(Z)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;## Warning in zoo(rval, index(x)[i]): some methods for &amp;quot;zoo&amp;quot; objects do not work&#10;## if the index entries in 'order.by' are not unique&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-36-1.png" width="672" /&gt;&#10;&lt;p&gt;图中，横轴是索引，纵轴是时间序列对应的取值。也可以将多条时间序列画到同一个面板上。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(Z,plot.type=&amp;quot;single&amp;quot;,col=2:4)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-37-1.png" width="672" /&gt;&#10;&lt;p&gt;我们可以指定col，pch等参数。这儿有一个不同之处，即zoo允许我们通过list指定这些参数，并且提供了自动补全功能。比如：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(Z,type=&amp;quot;b&amp;quot;,lty=1:3,pch=list(Aa=1,Bb=2,Cc=4),col=list(Bb=2,4),plot.type=&amp;quot;single&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-38-1.png" width="672" /&gt;&#10;&lt;h3 id="zoo与其它包的协同"&gt;&lt;a href="#zoo%e4%b8%8e%e5%85%b6%e5%ae%83%e5%8c%85%e7%9a%84%e5%8d%8f%e5%90%8c" class="header-anchor"&gt;&lt;/a&gt;zoo与其它包的协同&#10;&lt;/h3&gt;&lt;h4 id="strucchange实证波动过程"&gt;&lt;a href="#strucchange%e5%ae%9e%e8%af%81%e6%b3%a2%e5%8a%a8%e8%bf%87%e7%a8%8b" class="header-anchor"&gt;&lt;/a&gt;strucchange:实证波动过程&#10;&lt;/h4&gt;&lt;p&gt;strucchange包是用来检验、计量数据或者模型尤其是线性回归模型中的结构变异点的一个包。在检验过程中通常要看模型参数是否随着某个排序变量（通常是时间）的变化而有所改变。在这个过程中，需要用到严格排序的带索引的时间序列。正是这一需求促使作者开发了zoo包。&lt;/p&gt;&#10;&lt;p&gt;下面以strucchange包为例演示一下zoo包的用法。这里用到的数据fruitohms在DAAG包中。该数据包含的是奇异果的果汁含量数据和奇异果本身电阻大小的测量值。要研究的问题则是，奇异果的电阻大小是否随着奇异果果汁含量的多寡有显著改变。我们可以用基于最小二乘的累加检验来验证这个问题，但在检验过程中要对按照果汁含量的多寡对数据进行严格排序，而这是其它类型的时序对象无法实现的。相应的代码如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(strucchange)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：sandwich&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(DAAG)&#10;data(&amp;quot;fruitohms&amp;quot;)&#10;ocus &amp;lt;- gefp(ohms ~ 1,order.by=~juice,data=fruitohms)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;使用plot函数绘制ocus的图形，得到图3。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(ocus)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-40-1.png" width="672" /&gt;&#10;&lt;p&gt;从图上可以看出，检验结果超出了5%的临界值，这意味着随着果汁含量多寡的不同，奇异果的平均电阻值发生了显著的变化。&lt;/p&gt;&#10;&lt;p&gt;上述代码中得到的ocus对象本身是基于zoo对象进行构建的，并且绘图过程实际上是调用了针对gefp对象的专属绘图方法。&lt;/p&gt;&#10;&lt;h3 id="2-实际案例"&gt;&lt;a href="#2-%e5%ae%9e%e9%99%85%e6%a1%88%e4%be%8b" class="header-anchor"&gt;&lt;/a&gt;2. 实际案例&#10;&lt;/h3&gt;&lt;h4 id="21-协同tseries包处理金融数据"&gt;&lt;a href="#21-%e5%8d%8f%e5%90%8ctseries%e5%8c%85%e5%a4%84%e7%90%86%e9%87%91%e8%9e%8d%e6%95%b0%e6%8d%ae" class="header-anchor"&gt;&lt;/a&gt;2.1 协同tseries包处理金融数据&#10;&lt;/h4&gt;&lt;p&gt;tseries包中的get.hist.quote函数可以通过访问Yahoo!的在线金融数据库来获取路透社提供的金融数据。比如，用下面的代码可以获得微软公司在2011-01-01到2014-04-30日期间的日交易数据：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(&amp;quot;tseries&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;MSFT &amp;lt;- get.hist.quote(instrument=&amp;quot;MSFT&amp;quot;,start=&amp;quot;2011-01-01&amp;quot;,end=&amp;quot;2014-04-30&amp;quot;,origin=&amp;quot;1970-01-01&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## time series starts 2011-01-03&#10;## time series ends 2014-04-29&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;在返回的MSFT中，带缺失值的时间序列被填充为规则时间序列，并用NA对缺失位置进行填充。这里的索引类型是Date，其存储形式为数值型，该数值等于距离某个origin的天数。上例中origin=&amp;ldquo;1970-01-01&amp;rdquo;。&lt;/p&gt;&#10;&lt;p&gt;也可以令结果返回为ts格式。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;MSFT &amp;lt;- get.hist.quote(instrument=&amp;quot;MSFT&amp;quot;,start=&amp;quot;2011-01-01&amp;quot;,end=&amp;quot;2014-04-30&amp;quot;,origin=&amp;quot;1970-01-01&amp;quot;,retclass=&amp;quot;ts&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## time series starts 2011-01-03&#10;## time series ends 2014-04-29&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;我们可以将ts对象转化为索引类型为Date的zoo对象。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;MSFT &amp;lt;- as.zoo(MSFT)&#10;index(MSFT) &amp;lt;- as.Date(index(MSFT))&#10;MSFT &amp;lt;- na.omit(MSFT)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这里的交易数据是日交易数据，因此隐含的是规则时间序列。所以，第一次as.zoo的对象返回的是zooreg对象，要想将其转换为彻底的zoo对象，需要再次执行as.zoo()。&lt;/p&gt;&#10;&lt;p&gt;图4显示了zoo对象的绘图结果。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(diff(log(MSFT)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2014/06/04/notes-on-zoo/index_files/figure-html/unnamed-chunk-44-1.png" width="672" /&gt;&#10;&lt;p&gt;图4：微软公司集合收益率序列图&lt;/p&gt;&#10;&lt;h4 id="22-使用timedate类索引"&gt;&lt;a href="#22-%e4%bd%bf%e7%94%a8timedate%e7%b1%bb%e7%b4%a2%e5%bc%95" class="header-anchor"&gt;&lt;/a&gt;2.2 使用timeDate类索引&#10;&lt;/h4&gt;&lt;p&gt;zoo对象可以引用timeDate的日期对象作为索引。虽然zoo包的方法可以针对多种索引类型进行操作。但一些特殊的索引类型仍然有必要提供c()、length()、[、ORDER()和MATCH()等方法来确保zoo类方法的正常执行。像timeDate就是其中之一。事实上，timeDate对象天然支持c()、length()和[；而zoo则天然支持ORDER()和MATCH()。两者相加可谓珠联璧合。要说的是，ORDER()和MATCH()在执行过程中会现将对象强制转换为POSIXct，再调用相应的方法进行操作。&lt;/p&gt;&#10;&lt;p&gt;下面的代码演示了如何将Z2的索引转换为timeDate类型。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(timeDate)&#10;z2td &amp;lt;- zoo(coredata(z2),timeDate(index(z2),FinCenter = &amp;quot;GMT&amp;quot;))&#10;z2td&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2014-01-04 16:00:00 2014-01-06 16:00:00 2014-01-13 16:00:00 2014-01-16 16:00:00 &#10;## 0.94306673 -0.52575918 -0.04149429 0.59448077 &#10;## 2014-01-17 16:00:00 2014-01-31 16:00:00 2014-02-12 16:00:00 2014-02-18 16:00:00 &#10;## -0.96739776 0.95605566 0.56060280 0.08291711 &#10;## 2014-02-23 16:00:00 2014-02-25 16:00:00 &#10;## -0.62733473 -0.92845336&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h4 id="23-创建yearmon和yearqtr类型"&gt;&lt;a href="#23-%e5%88%9b%e5%bb%bayearmon%e5%92%8cyearqtr%e7%b1%bb%e5%9e%8b" class="header-anchor"&gt;&lt;/a&gt;2.3 创建yearmon和yearqtr类型&#10;&lt;/h4&gt;&lt;p&gt;zoo包最强大的功能之一是能够对间序列对象的索引类型进行自定义。前面介绍了如何将一种已经存在的时间对象，比如，timeDate对象作为zoo对象的索引。下面介绍一下如何根据需要创建新的索引类型，比如可以创建yearmon和yearqtr等，很明显，这两个货分别针对月度和季度时间序列对象的专有索引。事实上，我们可以利用ts对象将月度时序数据的索引存储为数值型。但这么做的问题在于，该操作得到的结果并未包括时序数据本身为月度型数据的任何信息。而以yearmon类日期作为索引，由于yearmon类日期多了一个yearmon的属性，因而，可以明白的看出来这一点。创建yearmon对象的代码如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;yearmon &amp;lt;- function(x) structure(floor(12*x + .0001)/12,class=&amp;quot;yearmon&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;与as.yearmon类似。&lt;/p&gt;&#10;&lt;p&gt;我们可以将yearmon对象转换为其它尺度的日期对象，比如，yearqtr代表的季度数据或者Date、POSIXlt和POSIXct等更小尺度的数据。这几个数据通常与yearmon数据的首日具有对应关系。format和as.character函数则可以将日期类函数迅速转化为文本格式。Ops和MATCH函数则可以则进一步完善了zoo包对月度日期对象的操作。&lt;/p&gt;&#10;&lt;p&gt;这些函数看起来并不起眼，但作用大大的。我们先创建一个叫zr3的规则时序对象，让其以yearmon对象作为索引，并与前面的zr1和zr2进行比较，显示结果更为简洁。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;zr3 &amp;lt;- zooreg(rnorm(9),start=as.yearmon(2000),frequency=12)&#10;zr3&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 1 2000 2 2000 3 2000 4 2000 5 2000 6 2000 7 2000 &#10;## -1.4221193 -0.8232956 0.1711008 1.0191386 0.3027276 -0.4975404 -2.0038764 &#10;## 8 2000 9 2000 &#10;## -1.1892796 -0.3388062&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;下面的代码可以将其汇总为季度数据。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;aggregate(zr3,as.yearqtr,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000 Q1 2000 Q2 2000 Q3 &#10;## -0.6914380 0.2747753 -1.1773207&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;也可以将索引转化为Date类型的日期变量。默认情况下，会将月份转换为月份对应的第一天。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;as.Date(index(zr3))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2000-01-01&amp;quot; &amp;quot;2000-02-01&amp;quot; &amp;quot;2000-03-01&amp;quot; &amp;quot;2000-04-01&amp;quot; &amp;quot;2000-05-01&amp;quot;&#10;## [6] &amp;quot;2000-06-01&amp;quot; &amp;quot;2000-07-01&amp;quot; &amp;quot;2000-08-01&amp;quot; &amp;quot;2000-09-01&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;也可以修改参数转换为月度的最后一天。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;as.Date(index(zr3),frac=1)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;2000-01-31&amp;quot; &amp;quot;2000-02-29&amp;quot; &amp;quot;2000-03-31&amp;quot; &amp;quot;2000-04-30&amp;quot; &amp;quot;2000-05-31&amp;quot;&#10;## [6] &amp;quot;2000-06-30&amp;quot; &amp;quot;2000-07-31&amp;quot; &amp;quot;2000-08-31&amp;quot; &amp;quot;2000-09-30&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;除此之外，可以将yearmon强制转化为POSIXct，以方便我们将时序对象导出为its或者irts。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;index(zr3)&amp;lt;-as.POSIXct(index(zr3))&#10;as.irts(zr3)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 2000-01-01 00:00:00 GMT -1.422&#10;## 2000-02-01 00:00:00 GMT -0.8233&#10;## 2000-03-01 00:00:00 GMT 0.1711&#10;## 2000-04-01 00:00:00 GMT 1.019&#10;## 2000-05-01 00:00:00 GMT 0.3027&#10;## 2000-06-01 00:00:00 GMT -0.4975&#10;## 2000-07-01 00:00:00 GMT -2.004&#10;## 2000-08-01 00:00:00 GMT -1.189&#10;## 2000-09-01 00:00:00 GMT -0.3388&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;可以看出，在zoo中对时序对象的索引尺度和类型进行转换方便至极。&lt;/p&gt;&#10;&lt;h3 id="3-总结"&gt;&lt;a href="#3-%e6%80%bb%e7%bb%93" class="header-anchor"&gt;&lt;/a&gt;3. 总结&#10;&lt;/h3&gt;&lt;p&gt;zoo包是一个基于R中的S3类构建的一个R包，用来处理严格排序且带索引的时间序列，包括规则时间序列和不规则时间序列。zoo包的设计宗旨是构造一个独立于索引类型的时序对象，并比照古典的ts对象开发相应的泛型方法。&lt;/p&gt;&#10;&lt;p&gt;上面的笔记我们简单的概括了zoo包的技术细节，并举例演示了zoo对象的绘图、合并、数学运算、数据提取、索引提取、缺失值处理等内容。事实上，我们可以简单地把zoo对象视为一个数据加索引的对象，其中，数据可以是向量或者矩阵，而索引则可以是任意类型的向量。对于特殊的zooreg对象，则还包括了frequency属性。zoo对象与其它时序对象比如ts、its、irts和timeSeries等可以自由转换，其填补了规则时间序列和不规则时间序列之间的隔膜。与经典的ts对象比较，可以更方便地处理缺失值。以上所说种种优点，使得我们可以进一步基于zoo对象构建新的时序类型或者应用。比如，quantmod中使用的xts类型就是基于zoo对象所构建的。但zoo包也有自身的缺点，即目前zoo对象的数据部分只能很好地支持数值型的向量或者矩阵，部分地支持带索引的因子型变量，对数据框、列表则支持的不够，但这些对象显然也能被索引化，这些应该是未来值得改进的地方。&lt;/p&gt;&#10;&lt;h3 id="4-推荐文献"&gt;&lt;a href="#4-%e6%8e%a8%e8%8d%90%e6%96%87%e7%8c%ae" class="header-anchor"&gt;&lt;/a&gt;4. 推荐文献&#10;&lt;/h3&gt;&lt;p&gt;zoo：An S3 Class and Methods for Indexed Totally Ordered Observations&lt;/p&gt;&#10;</description></item><item><title>R数据库交互系列笔记：DBI包</title><link>https://gewutang.cn/2014/05/19/notes-on-dbi/</link><pubDate>Mon, 19 May 2014 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2014/05/19/notes-on-dbi/</guid><description>&lt;p&gt;DBI是DataBase Interface的简称，即数据库界面。这篇笔记的主要内容是讲一讲如何用R中的DBI包来与常见数据库进行交互。&lt;/p&gt;&#10;&lt;h3 id="1-简介"&gt;&lt;a href="#1-%e7%ae%80%e4%bb%8b" class="header-anchor"&gt;&lt;/a&gt;1 简介&#10;&lt;/h3&gt;&lt;p&gt;DBI定义了一个与RDBMS类型数据库进行通信的泛型接口，对于任意一个RDBMS，DBI都会有一个兼容的数据库驱动来实现对接。目前，其可用的驱动包括Oracle、MySQL和SQLite等。&lt;/p&gt;&#10;&lt;p&gt;理论上说，DBI的泛型接口允许我们同样的代码来跟不同的RDBMS进行通信。但实际应用的时候，还要看具体的RDBMS与SQL标准的是否完全相似，以及数据库开发者开发过程中是否避免使用RDBMS特有的一些功能。&lt;/p&gt;&#10;&lt;p&gt;下面以SQLite数据库为例说明一下。例子中用的是Affymetrix hgu95av2的微阵列芯片数据，用之前先加载相关的包。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(tools)&#10;library(&amp;quot;RBioinf&amp;quot;)&#10;library(&amp;quot;DBI&amp;quot;)&#10;library(&amp;quot;RSQLite&amp;quot;)&#10;dbPath &amp;lt;- &amp;quot;hgu95av2-sqlite.db&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="2-dbi连接sqlite数据库"&gt;&lt;a href="#2-dbi%e8%bf%9e%e6%8e%a5sqlite%e6%95%b0%e6%8d%ae%e5%ba%93" class="header-anchor"&gt;&lt;/a&gt;2 DBI连接SQLite数据库&#10;&lt;/h3&gt;&lt;p&gt;DBI连接RDBMS需要两步。第一步，用dbDriver函数创建一个适合的数据库驱动；第二步，用dbConnect函数创建数据库连接。具体到SQLite，只需要指定包含数据库的文件夹路径即可。而对于MySQL或者Oracle，则需要指定主机地址、用户名和密码等信息。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;drv &amp;lt;- dbDriver(&amp;quot;SQLite&amp;quot;)&#10;db &amp;lt;- dbConnect(drv, dbPath)&#10;db&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;dbDisconnect函数可以断开连接。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dbDisconnect(db)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="3-查询数据库结构"&gt;&lt;a href="#3-%e6%9f%a5%e8%af%a2%e6%95%b0%e6%8d%ae%e5%ba%93%e7%bb%93%e6%9e%84" class="header-anchor"&gt;&lt;/a&gt;3 查询数据库结构&#10;&lt;/h3&gt;&lt;p&gt;可以用dbListTables和dbListFields函数来列出数据库中的表名以及各表对应的字段（列名）。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;db &amp;lt;- dbConnect(drv, dbPath)&#10;dbListTables(db)&#10;dbListFields(db, &amp;quot;go_probe&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="4-查询语句"&gt;&lt;a href="#4-%e6%9f%a5%e8%af%a2%e8%af%ad%e5%8f%a5" class="header-anchor"&gt;&lt;/a&gt;4 查询语句&#10;&lt;/h3&gt;&lt;p&gt;dbSendQuery函数可以执行任意SQL语句。返回的结果是DBI结果的子类，这个子类的结果可以用fetch函数来查询。为了节约内存，用不到的数据库查询对象可以用dbClearResult函数进行清除。&lt;/p&gt;&#10;&lt;p&gt;fetch函数可以将查询结果转为数据框。dbColumnInfo、dbGetRowsAffected和dbGetRowCount函数可以返回更多关于查询的信息。下面分别演示。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;sql &amp;lt;- &amp;quot;select affy_id, evi from go_probe&amp;quot;&#10;rs &amp;lt;- dbSendQuery(db, sql)&#10;rs&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;DBIResult实例包含了查询的相关信息。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dbColumnInfo(rs)&#10;dbGetStatement(rs)&#10;dbGetRowsAffected(rs)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;具体的结果可用fetch函数查看。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;chunk &amp;lt;- fetch(rs, n = 5)&#10;chunk&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;dbGetRowCount函数范围所有查询结果的行数。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dbGetRowCount(rs)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;当不再用某个DBIResult实例时，记得清除。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dbClearResult(rs)&#10;rs&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="5-基于查询结果构建r中的数据对象"&gt;&lt;a href="#5-%e5%9f%ba%e4%ba%8e%e6%9f%a5%e8%af%a2%e7%bb%93%e6%9e%9c%e6%9e%84%e5%bb%bar%e4%b8%ad%e7%9a%84%e6%95%b0%e6%8d%ae%e5%af%b9%e8%b1%a1" class="header-anchor"&gt;&lt;/a&gt;5 基于查询结果构建R中的数据对象&#10;&lt;/h3&gt;&lt;pre&gt;&lt;code class="language-r"&gt;sql &amp;lt;- &amp;quot;select * from go_probe&amp;quot;&#10;rs &amp;lt;- dbSendQuery(db, sql)&#10;dat &amp;lt;- fetch(rs, n = 500)&#10;goList &amp;lt;- split(dat$go_id, dat$affy_id)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="6-odbc"&gt;&lt;a href="#6-odbc" class="header-anchor"&gt;&lt;/a&gt;6 ODBC&#10;&lt;/h3&gt;&lt;p&gt;RODBC包可以连接ODBC数据源，当然前提是安装相应的数据库驱动。R导入与导出中给出了一些使用RODBC的实例，可以供参考。用ODBC连接RDBMS时，需要指定一个ODBC数据服务，具体如何做要看所用的操作系统。&lt;/p&gt;&#10;&lt;p&gt;RBioinf包中提供Gavin和Ho提供关于AP-MS蛋白质实验结果数据，分别给出了pcomplex.txt和pcomplex.xls两种格式，下面用它来演示下RODBC的用法。&lt;/p&gt;&#10;&lt;p&gt;数据包括三列：bait-protein，experiment和prey-protein。下面的结果仅在Windows系统下才能重现。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(&amp;quot;RODBC&amp;quot;)&#10;if (.Platform$OS.type == &amp;quot;Windows&amp;quot;) {&#10; pcomplexXls &amp;lt;- system.file(&amp;quot;extdata/pcomplex.xls&amp;quot;, package = &amp;quot;RBioinf&amp;quot;)&#10; db &amp;lt;- odbcConnectExcel(pcomplexXls)&#10; }&#10;if (!is.null(db)) {&#10; sqlTables(db)&#10; sqlQuery(db, &amp;quot;select * from [Sheet1$] limit 5&amp;quot;)&#10; }&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h3 id="7-参考文献"&gt;&lt;a href="#7-%e5%8f%82%e8%80%83%e6%96%87%e7%8c%ae" class="header-anchor"&gt;&lt;/a&gt;7 参考文献&#10;&lt;/h3&gt;&lt;p&gt;Seth Falcon，How to Use DBI: Connecting to Databases with R，January 17, 2006。&lt;/p&gt;&#10;</description></item><item><title>善用向量化提升R语言的计算性能</title><link>https://gewutang.cn/2014/03/08/use-vectorisation-to-improve-computational-performance/</link><pubDate>Sat, 08 Mar 2014 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2014/03/08/use-vectorisation-to-improve-computational-performance/</guid><description>&lt;p&gt;用R 语言用的久了，渐渐发现 R 语言的世界里有很多黑魔法。其中一个黑魔法是向量化运算。向量化运算可以说是R语言区别于其它语言的特质之一，善用向量化运算不仅能有效降低代码的冗余度，还能显著提升代码的运算效率。遗憾的是，很多接触过其它编程语言的人未能掌握这一特性使得他们经常诟病R语言运算效率低下。这里给看官们举个例子来体会下。&lt;/p&gt;&#10;&lt;p&gt;想必大家都遇到过替换向量元素的情况。比如，我们有下面这样一个数据框，维度是1200000×2：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;n = 1200000&#10;df = data.frame(values = rnorm(n), &#10; ID = rep(LETTERS[1:3], each = n/3),&#10; stringsAsFactors = FALSE)&#10;head(df)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## values ID&#10;## 1 1.8442348 A&#10;## 2 -0.5089413 A&#10;## 3 -0.8743655 A&#10;## 4 0.7824285 A&#10;## 5 -1.2115204 A&#10;## 6 -1.4914611 A&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;tail(df)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## values ID&#10;## 1199995 1.753660616 C&#10;## 1199996 -0.007581797 C&#10;## 1199997 -0.635219385 C&#10;## 1199998 -1.437210958 C&#10;## 1199999 -0.101465502 C&#10;## 1200000 0.152135010 C&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;假设要把&lt;em&gt;df$ID&lt;/em&gt;中的A替换为“A公司”，B和C类似。怎么做呢？一个常用的解决方案是利用if&amp;hellip;for写循环。代码是这样的：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;translator_if_for = function(input_vector) {&#10; output_vector = input_vector&#10; for(index in seq_along(input_vector)) {&#10; if(input_vector[index] == 'A') {&#10; output_vector[index] = 'A公司'&#10; } else if(input_vector[index] == 'B') {&#10; output_vector[index] = 'B公司'&#10; } else if(input_vector[index] == 'C') {&#10; output_vector[index] = 'C公司'&#10; } &#10; } &#10; return(output_vector)&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dum_if_for = translator_if_for(df$ID)&#10;head(dum_if_for)&#10;tail(dum_if_for)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;用&lt;code&gt;rbenchmark&lt;/code&gt;包测试下上述操作需要的时间：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(rbenchmark)&#10;res = benchmark(if_for_solution = translator_if_for(df$ID),&#10; columns= c(&amp;quot;test&amp;quot;,&amp;quot;replications&amp;quot;,&amp;quot;elapsed&amp;quot;,&amp;quot;relative&amp;quot;,&amp;quot;user.self&amp;quot;,&amp;quot;sys.self&amp;quot;),&#10; replications = 10)&#10; res&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt; test replications elapsed relative user.self sys.self&#10;1 if_for_solution 10 69.63 1 69.48 0&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;上面这段代码的缺点是时间久，而且看起来一点都不简洁。那么，是否有更好点的解决方案呢？Absolutely！而且不止一种。比较常用的替代方案是借助 &lt;code&gt;apply&lt;/code&gt;族函数（&lt;code&gt;apply&lt;/code&gt;族函数是R语言中避免编写显式循环的一个trick）。在用&lt;code&gt;apply&lt;/code&gt;族函数之前，得先构造一个辅助函数。构造函数之前不妨先想想我们的操作逻辑，我们想做的事情是这样的，对于&lt;code&gt;df$ID&lt;/code&gt;中的某个元素，如果元素是A其就变成A公司，B变成B公司，C变成C公司。这其实可以用&lt;code&gt;switch&lt;/code&gt;来实现。对所有元素进行依次进行判断就可以了，针对所有元素进行判断这个过程可以交给&lt;code&gt;sapply&lt;/code&gt;函数来完成，于是有下面的代码：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; translator_function = function(element) {&#10; switch(element,&#10; A = 'A公司',&#10; B = 'B公司',&#10; C = 'C公司')&#10; }&#10; &#10; dum_switch_sapply = sapply(df$ID, translator_function)&#10; head(dum_switch_sapply)&#10; tail(dum_switch_sapply)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;代码看起来更简洁，看看操作结果是否一致：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;all.equal(dum_if_for, dum_switch_sapply, check.attributes = FALSE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;看看这段代码需要的时间：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; res = benchmark(function_solution = sapply(df$ID, translator_function),&#10; columns= c(&amp;quot;test&amp;quot;,&amp;quot;replications&amp;quot;,&amp;quot;elapsed&amp;quot;,&amp;quot;relative&amp;quot;,&amp;quot;user.self&amp;quot;,&amp;quot;sys.self&amp;quot;),&#10; replications = 10)&#10; res&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt; test replications elapsed relative user.self sys.self&#10;1 function_solution 10 64.58 1 64.1 0.24&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;可以看到时间也有所减少。But..这就是结束吗？操作效率是有提升，但提升的一点都不明显啊！？别急，我们还有杀手锏——向量化运算！先上代码，再慢慢解释逻辑。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; translator_vector = c(A = 'A公司',&#10; B = 'B公司',&#10; C = 'C公司')&#10; dum_vectorized = translator_vector[df$ID]&#10; head(dum_vectorized)&#10; tail(dum_vectorized)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;看看结果是否一样：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;all.equal(dum_vectorized, dum_switch_sapply, check.attributes = FALSE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;完全一样。但是看起来无疑简洁了很多。那么，从耗时角度讲呢？我们看一看：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; res = benchmark(vector_solution = translator_vector[df$ID],&#10; columns= c(&amp;quot;test&amp;quot;,&amp;quot;replications&amp;quot;,&amp;quot;elapsed&amp;quot;,&amp;quot;relative&amp;quot;,&amp;quot;user.self&amp;quot;,&amp;quot;sys.self&amp;quot;),&#10; replications = 10)&#10; res&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt; test replications elapsed relative user.self sys.self&#10;1 vector_solution 10 1.13 1 1.06 0.03&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;时间大大减少了。把三种方案的耗时放到一起看一看：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; res = benchmark(if_for_solution = translator_if_for(df$ID),&#10; function_solution = sapply(df$ID, translator_function),&#10; vector_solution = translator_vector[df$ID],&#10; columns= c(&amp;quot;test&amp;quot;,&amp;quot;replications&amp;quot;,&amp;quot;elapsed&amp;quot;,&amp;quot;relative&amp;quot;,&amp;quot;user.self&amp;quot;,&amp;quot;sys.self&amp;quot;),&#10; replications = 10)&#10; res&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt; test replications elapsed relative user.self sys.self&#10;2 function_solution 10 71.51 87.207 70.95 0.42&#10;1 if_for_solution 10 69.89 85.232 69.34 0.25&#10;3 vector_solution 10 0.82 1.000 0.75 0.08&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;向量化运算无论在代码简洁度还是在效率上完爆前两种方案。缺点是操作逻辑十分巧妙，可能不是那么容易理解。这里简单解释一下：&lt;/p&gt;&#10;&lt;p&gt;上面的&lt;code&gt;translator_vector&lt;/code&gt;是个有名字的向量：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; translator_vector = c(A = 'A公司',&#10; B = 'B公司',&#10; C = 'C公司')&#10; translator_vector&#10;&#10;names(translator_vector)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;因此，可以通过元素的名字对元素进行索引。例如：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;translator_vector[&amp;quot;A&amp;quot;]&#10;translator_vector[&amp;quot;B&amp;quot;]&#10;translator_vector[c(&amp;quot;A&amp;quot;,&amp;quot;B&amp;quot;)]&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;而&lt;code&gt;df$ID&lt;/code&gt;刚好是一个由&lt;code&gt;translator_vector&lt;/code&gt;向量的元素名字组成的向量。因此,代码：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;translator_vector[df$ID]&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;就相当于一个索引操作，其结果得到的恰好是&lt;code&gt;translator_vector&lt;/code&gt;中对应的元素，这也就相当于对向量元素进行了替换。&lt;/p&gt;&#10;</description></item><item><title>说说风险均摊投资组合的构建方法</title><link>https://gewutang.cn/2014/01/14/construct-pairty-risk-portfolio/</link><pubDate>Tue, 14 Jan 2014 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2014/01/14/construct-pairty-risk-portfolio/</guid><description>&lt;h3 id="引子"&gt;&lt;a href="#%e5%bc%95%e5%ad%90" class="header-anchor"&gt;&lt;/a&gt;引子&#10;&lt;/h3&gt;&lt;p&gt;构建股票投资组合时，在筛选出备选股票之后，要解决的另外一个问题是确定备选股票在投资组合中的权重。我们可以用一个向量来表示：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;w=\left(w_1,w_2,&amp;hellip;,w_n \right)&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中， &lt;code&gt;\(\sum_{i=1}^nw_{i}=1,i=1,2,...,n\)&lt;/code&gt; 。&lt;/p&gt;&#10;&lt;p&gt;显然，权重的可选集是个无限集合。如果想选取其中一个作为最优权重，那得先确定一个判断最优与否的方法。耳熟能详的方法自然是收益-风险法，即如果一个权重能够使投资组合的收益最大、风险最小，那么，它就是好的。如果用标准差来刻画风险的话，就有下面的评价函数:&lt;/p&gt;&#10;&lt;p&gt;$$&#10;U(R,\sigma)&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中， &lt;code&gt;\(\frac{\partial U\left(\cdot\right)}{\partial R}\gt 0\)&lt;/code&gt; ， &lt;code&gt;\(\frac{\partial U\left(\cdot\right)}{\partial\sigma}\lt 0\)&lt;/code&gt;。&lt;/p&gt;&#10;&lt;p&gt;&lt;code&gt;\(U\left(\cdot\right)\)&lt;/code&gt; 最简单的形式如下：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;U_p = aR_{p} + b \sigma _{p}&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中， &lt;code&gt;\(a\gt 0\)&lt;/code&gt; ， &lt;code&gt;\(b\le 0\)&lt;/code&gt; ； &lt;code&gt;\(R_{p}\)&lt;/code&gt; 是组合的收益率， &lt;code&gt;\(\sigma_{p}\)&lt;/code&gt; 是组合的标准差。显然：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;R_{p} = w&amp;rsquo;R&#10;$$&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\sigma_p = w&amp;rsquo;Cw&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中， &lt;code&gt;\(R=(R_1,R_2,...,R_n)\)&lt;/code&gt; 是组合中各证券的收益率， &lt;code&gt;\(C\)&lt;/code&gt; 是组合中各证券的收益率的协方差矩阵。&lt;/p&gt;&#10;&lt;p&gt;把 &lt;code&gt;\(R_{p}\)&lt;/code&gt; 和 &lt;code&gt;\(\sigma_p\)&lt;/code&gt; 带入 &lt;code&gt;\(U_p\)&lt;/code&gt; ，解出令 &lt;code&gt;\(U_p\)&lt;/code&gt; 最小的 &lt;code&gt;\(w\)&lt;/code&gt; 即可。&lt;/p&gt;&#10;&lt;p&gt;当然，也有其它理念。比如下面要说的风险均摊。风险均摊是指选出来这样一个权重，使得其确定的投资组合中各个证券的风险占证券投资总的风险的比例是相同的。有些拗口，直接看下面的公式。&lt;/p&gt;&#10;&lt;h3 id="风险均摊的理论基础及公式"&gt;&lt;a href="#%e9%a3%8e%e9%99%a9%e5%9d%87%e6%91%8a%e7%9a%84%e7%90%86%e8%ae%ba%e5%9f%ba%e7%a1%80%e5%8f%8a%e5%85%ac%e5%bc%8f" class="header-anchor"&gt;&lt;/a&gt;风险均摊的理论基础及公式&#10;&lt;/h3&gt;&lt;p&gt;由前面的公式可知：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\sigma_p = wCw’=wC \times (w_1,w_2,&amp;hellip;,w_n)&amp;rsquo;=\sum_{i=1}^n wC_{\cdot i}w_i&#10;$$&lt;/p&gt;&#10;&lt;p&gt;上面可以看到证券组合的风险相当于是 &lt;code&gt;\(wC_{\cdot i}\)&lt;/code&gt; 的加权组合，权重是 &lt;code&gt;\(w=(w_1,w_2,...,w_n)\)&lt;/code&gt; 。所谓风险均摊，就是令 &lt;code&gt;\(wC_{\cdot i}w_i=wC_{\cdot j}w_j\)&lt;/code&gt; 。显然，确定一个权重 &lt;code&gt;\(w\)&lt;/code&gt; 使得证券组合的风险得以均摊等同于找到一个权重 &lt;code&gt;\(w\)&lt;/code&gt; 使得下式最小：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\sum_{j=1}^n \sum_{i=1}^n \left[ wC_{\cdot i}w_i-wC_{\cdot j}w_j \right]^2&#10;$$&lt;/p&gt;&#10;&lt;p&gt;这是一个比较简单的优化问题，在 R 软件里面很容易得到结果。&lt;/p&gt;&#10;&lt;h3 id="用-r-实现风险均摊优化器"&gt;&lt;a href="#%e7%94%a8-r-%e5%ae%9e%e7%8e%b0%e9%a3%8e%e9%99%a9%e5%9d%87%e6%91%8a%e4%bc%98%e5%8c%96%e5%99%a8" class="header-anchor"&gt;&lt;/a&gt;用 R 实现风险均摊优化器&#10;&lt;/h3&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 模拟获取数据&#10;require(quantmod);&#10;x=getSymbols(&amp;quot;000635.sz&amp;quot;,from=&amp;quot;2013-01-01&amp;quot;,auto.assign=FALSE)&#10;y=getSymbols(&amp;quot;000547.sz&amp;quot;,from=&amp;quot;2013-01-01&amp;quot;,auto.assign=FALSE)&#10;z=getSymbols(&amp;quot;600241.ss&amp;quot;,from=&amp;quot;2013-01-01&amp;quot;,auto.assign=FALSE)&#10;ret_mat &amp;lt;- cbind(dailyReturn(x),dailyReturn(y),dailyReturn(z))&#10;ret_mat &amp;lt;- na.omit(ret_mat)&#10;&#10;# 定义目标函数&#10;&#10;ff &amp;lt;- function(w,ret_mat){&#10; cov_mat &amp;lt;- cov(ret_mat);&#10; w=c(w,1-sum(w));&#10; len &amp;lt;- length(w);&#10; w_mat &amp;lt;- matrix(rep(w,time=len),nr=len,byrow=TRUE);&#10; diag_mat &amp;lt;- diag(w);&#10; res &amp;lt;- 2*len*as.vector(t(diag(w_mat%*%cov_mat%*%diag_mat))%*%diag(w_mat%*%cov_mat%*%diag_mat))-2*(sum (diag(w_mat%*%cov_mat%*%diag_mat)))^2;&#10; return(res);&#10; } &#10; &#10;# 优化目标函数&#10;&#10;w &amp;lt;- optim(c(0.3,0.3),ff,ret_mat=ret_mat)$par;&#10;&#10;# 查看权重&#10;&#10;w=c(w,1-sum(w));&#10;w = c(w,1-w[1]-w[2])&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>add.indicator函数笔记</title><link>https://gewutang.cn/2013/09/01/notes-on-add.indicator/</link><pubDate>Sun, 01 Sep 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/09/01/notes-on-add.indicator/</guid><description>&lt;p&gt;add.indicator函数是quantstrat包中的主函数之一。它的主要功能是生成信号指示器。这种解释方法有点绕口。举个例子说起来更容易明白。假如说，我们想测试这样一个策略：即当某支股票的价格低于5日算术平均时，买入该股票；高于5日算术平均时卖出该股票。那么，在这个测试过程中，我们要用到 SMA(price,n=5) 这个序列（SMA函数的作用是计算算术平均），既然要用到这个序列，那么得首先生成这个序列， add.indicator函数就是干这个的，是用来生成序列的。&lt;/p&gt;&#10;&lt;p&gt;看看帮助文档中的 add.indicator 函数的参数：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;add.indicator(strategy, name, arguments,&#10; parameters = NULL, label = NULL, ..., enabled = TRUE,&#10; indexnum = NULL, store = FALSE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;strategy参数是策略名。在quantstrat 包的框架中，所有指示器（indicator）都从属于策略（strategy），因此，使用add.indicator函数时要率先指定策略名；name参数的作用是指定生成指示器所用的R函数，比如，这里我们用到的函数是SMA ，那么，此时的name参数就是SMA；arguments参数也是个从属参数，它的作用是指定name 参数对应的那个函数的参数。好绕口！说人话的话是这样的：SMA函数除了要输入时间序列参数x 外，还得指定做算术平均时候的时间跨度n，而这个n就是在aruments中指定的。label参数的作用是设定指示器的标签，这样在生成指示器序列时，指示器的序列名的后缀会是该标签的内容。该参数默认是 name+ind。其它参数暂时不怎么重要，就不闲扯了，多说无益，上代码：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;##定义一个策略，名字名为 str_sma &#10;strategy(&amp;quot;str_sma&amp;quot;, store=TRUE)&#10;##获取策略的标的，名字为 SPY&#10;getSymbols(&amp;quot;SPY&amp;quot;, src='yahoo')&#10;##添加指示器&#10;add.indicator('str.sma', 'SMA', arguments=list(x=quote(Ad(SPY)), n=20),label=&amp;quot;sma.20&amp;quot;)&#10;##查看策略的结构&#10;str(getStrategy('str.sma')$indicators)&#10;## 执行指示器&#10;out &amp;lt;- applyIndicators('str.sma', SPY)&#10;## 查看指示器结果&#10;tail(out)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>时空数据可视化</title><link>https://gewutang.cn/2013/07/28/the-visualization-of-spatual-temporal-data/</link><pubDate>Sun, 28 Jul 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/07/28/the-visualization-of-spatual-temporal-data/</guid><description>&lt;p&gt;这几天北京有点热，穿着汗衫都觉得浑身冒烟儿，做啥都没有激情，只能赖在家里或者躲进图书馆和博物馆。没什么紧要的事情都懒得往外面走，但一月一次的“COS数据分析沙龙”是个例外。没有紧要的事儿，都得抽出时间去参加，偶尔还得客串一下主持人。&lt;/p&gt;&#10;&lt;p&gt;这次沙龙的主题是“时空数据的可视化”，分享嘉宾是来自中科院地理所的王江浩（@沐洲），整个沙龙内容真的令人震撼。&lt;/p&gt;&#10;&lt;p&gt;我第一次对江浩有印象是在微博上。二〇一三年三月，上海爆发H9N7疫情，之后不久江苏、浙江等省份相继出现疫情。一时间全国上下议论纷纷，专家、民众都担心这次疫情会酿成第二次SARS（非典型性肺炎）。很多人都开始关注H9N7的疫情趋势，就在这个时候，江浩的微博开始贴出H9N7疫情的可视化图，且被大量转发。&lt;/p&gt;&#10;&lt;p&gt;再不久，雅安发生地震，江浩根据网上抓取的地震相关数据，对雅安周边的地区震级做了相当经典的可视化，从地图上标注了雅安周边地区各个县、乡的地震成度。让人对当地情况一目了然。我也是第一次感觉到了时空数据可视化的重要性。&lt;/p&gt;&#10;&lt;p&gt;细想之下，何止地震和疫情呢？交通情况也是时空数据可视化中的重点。此外，还有经济学中的时空经济学，也可以研究经济体在时空中的发展变化。我感觉，时空数据可视化对于国家宏观管理意义非凡。&lt;/p&gt;&#10;</description></item><item><title>修改chartSeries绘图结果的x轴标签</title><link>https://gewutang.cn/2013/06/26/change-xlabels-in-chartseries/</link><pubDate>Wed, 26 Jun 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/06/26/change-xlabels-in-chartseries/</guid><description>&lt;p&gt;用quantmod包中的chartSeries绘图时，x轴标签会默认为中文汉字，看起来不太美观。想要修改制图结果吧，chartSeries函数中没有提供可设置x.labels的参数。原来chartSeries函数会自动识别系统语言并根据系统语言生成x.labels。这样的话，只要我们把自己的系统语言更改为英语，就应该显示为更为整洁的英文了。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;require(quantmod)&#10;getSymbols(&amp;quot;AAPL&amp;quot;)&#10;chartSeries(AAPL,theme=&amp;quot;white&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Sys.setlocale(&amp;quot;LC_TIME&amp;quot;,&amp;quot;english&amp;quot;)&#10;chartSeries(AAPL,theme=&amp;quot;white&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;不过，这个好像不怎么重要吧？&lt;/p&gt;&#10;</description></item><item><title>R中的金融分析包：quantmod学习笔记补充版</title><link>https://gewutang.cn/2013/06/12/notes-on-quantmod/</link><pubDate>Wed, 12 Jun 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/06/12/notes-on-quantmod/</guid><description>&lt;p&gt;很久之前在&lt;a class="link" href="http://cos.name" target="_blank" rel="noopener"&#10; &gt;统计之都&lt;/a&gt;&lt;a class="link" href="http://cos.name/cn" target="_blank" rel="noopener"&#10; &gt;论坛&lt;/a&gt; 发了一个&lt;code&gt;quantmod&lt;/code&gt;包的学习笔记。听说后来流传很广泛。因为当时我也是初学&lt;code&gt;quantmod&lt;/code&gt;，所以，该版本笔记中有很多错漏之处，同时笔记的叙述结构也不太合理。一直我都想修订一版出来作为补充。修订的版本现在在&lt;a class="link" href="https://github.com/dengyishuo/Notes/tree/master/quantmod" target="_blank" rel="noopener"&#10; &gt;这里&lt;/a&gt;可以看到。&lt;/p&gt;&#10;&lt;p&gt;供大家参考，如果有什么建议和意见，请不吝指正。&lt;/p&gt;&#10;</description></item><item><title>安装mgarch包终极解决方案</title><link>https://gewutang.cn/2013/06/10/recipe-about-mgarch/</link><pubDate>Mon, 10 Jun 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/06/10/recipe-about-mgarch/</guid><description>&lt;p&gt;&lt;code&gt;mgarch&lt;/code&gt;包是一个可以拟合和诊断&lt;code&gt;BEKK&lt;/code&gt;模型的&lt;code&gt;R&lt;/code&gt;包。包中的主函数很少，只有&lt;code&gt;mvBEKK.sim&lt;/code&gt;，&lt;code&gt;mvBEKK.diag&lt;/code&gt;，&lt;code&gt;mvBEKK.est&lt;/code&gt;三个。这三个函数各司其职，分别用来模拟&lt;code&gt;BEKK&lt;/code&gt;数据、诊断&lt;code&gt;BEKK&lt;/code&gt;模型、拟合&lt;code&gt;BEKK&lt;/code&gt;模型。照常理说，这样的包很好啦。就只有一样不好，作者自从2009年更新一次之后，再也不提供更新的&lt;code&gt;.zip&lt;/code&gt;包了。很多需要拟合&lt;code&gt;BEKK&lt;/code&gt;模型的同学急得团团转就是不知道怎么安装和使用这个包。这里提供三个方案：&lt;/p&gt;&#10;&lt;h3 id="方案一"&gt;&lt;a href="#%e6%96%b9%e6%a1%88%e4%b8%80" class="header-anchor"&gt;&lt;/a&gt;方案一：&#10;&lt;/h3&gt;&lt;p&gt;下载&lt;a class="link" href="http://sourceforge.net/projects/mgarch/?source=directory" target="_blank" rel="noopener"&#10; &gt;mgarch&lt;/a&gt;的源代码包&lt;code&gt;mgarch_0.00-1.tar.gz&lt;/code&gt;。解压缩到&lt;code&gt;R&lt;/code&gt;的当前工作文件夹中。如果不知道当前工作文件夹路径。敲入&lt;code&gt;get.wd()&lt;/code&gt;函数就可以看到了。解压缩之后，按照&lt;code&gt;mgarch-&amp;gt;&amp;gt;R&lt;/code&gt;的顺序打开文件夹，你会在R文件夹中看到好几个&lt;code&gt;.r&lt;/code&gt;格式的文件。用&lt;code&gt;source()&lt;/code&gt;函数载入进来就可以用了。&lt;/p&gt;&#10;&lt;h3 id="方案二"&gt;&lt;a href="#%e6%96%b9%e6%a1%88%e4%ba%8c" class="header-anchor"&gt;&lt;/a&gt;方案二：&#10;&lt;/h3&gt;&lt;p&gt;拿着mgarch包，按照&lt;a class="link" href="http://cos.name/2011/05/write-r-packages-like-a-ninja/" target="_blank" rel="noopener"&#10; &gt;开发R程序包之忍者篇&lt;/a&gt;自己编译&lt;a class="link" href="http://sourceforge.net/projects/mgarch/?source=directory" target="_blank" rel="noopener"&#10; &gt;mgarch&lt;/a&gt;包。&lt;/p&gt;&#10;&lt;h3 id="方案三"&gt;&lt;a href="#%e6%96%b9%e6%a1%88%e4%b8%89" class="header-anchor"&gt;&lt;/a&gt;方案三:&#10;&lt;/h3&gt;&lt;p&gt;这个方案跟方案二类似，也得先安装&lt;code&gt;Rtools&lt;/code&gt;，目的是可以编译源代码。同时，由于&lt;a class="link" href="http://sourceforge.net/projects/mgarch/?source=directory" target="_blank" rel="noopener"&#10; &gt;mgarch&lt;/a&gt;依赖于&lt;code&gt;zoo&lt;/code&gt;、&lt;code&gt;tseries&lt;/code&gt;、&lt;code&gt;mvnorm&lt;/code&gt;三个支撑包，所以，也得捎带手安装一下，并保证它们被升级了到合适的版本。接着，将&lt;code&gt;mgarch_0.00-1.tar.gz&lt;/code&gt;放到当前工作文件夹中（不知道当前工作文件夹是哪个？看方案一）。最后，敲入下面的代码：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;install.packages(&amp;quot;mgarch_0.00-1.tar.gz&amp;quot;,repos=NULL,type=&amp;quot;source&amp;quot;) ##安装源代码文件&#10;library(mgarch) ##查看是否可以使用&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>安装mgarchBEKK包</title><link>https://gewutang.cn/2013/06/08/how-to-install-mgarchbekk/</link><pubDate>Sat, 08 Jun 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/06/08/how-to-install-mgarchbekk/</guid><description>&lt;p&gt;&lt;code&gt;R&lt;/code&gt;中另外一个拟合&lt;code&gt;BEKK&lt;/code&gt;模型的包是&lt;code&gt;mgarchBEKK&lt;/code&gt;。这个包跟前面提到的&lt;code&gt;mgarch&lt;/code&gt;包类似。主函数也基本一样，分别是&lt;code&gt;mvBEKK.sim&lt;/code&gt;、&lt;code&gt;mvBEKK.est&lt;/code&gt;、&lt;code&gt;mvBEKK.diag&lt;/code&gt;等。这个包作者已经很久没有更新了，好像已经放弃更新。但是有不少人还想用它。我们现在能在&lt;code&gt;quantmod&lt;/code&gt;包的主页找到该包的源代码，但不巧的是源代码包中缺失了&lt;code&gt;namespace&lt;/code&gt;。不过，没关系，我们可以为其添加一个&lt;code&gt;namespace&lt;/code&gt;即可。添加完之后，压缩为&lt;code&gt;.tar&lt;/code&gt;格式的压缩包（已添加完&lt;code&gt;namespace&lt;/code&gt;的&lt;code&gt;mgarchBEKK&lt;/code&gt;可以到&lt;a class="link" href="https://github.com/dengyishuo/dengyishuo.github.com/blob/master/media/mgarchBEKK.tar" target="_blank" rel="noopener"&#10; &gt;这里&lt;/a&gt;下载），再按照前面提到的安装方式进行安装即可。&lt;/p&gt;&#10;</description></item><item><title>有用但不易被发现的R函数：file.choose</title><link>https://gewutang.cn/2013/06/03/useful-functions-in-r/</link><pubDate>Mon, 03 Jun 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/06/03/useful-functions-in-r/</guid><description>&lt;p&gt;用R进行数据分析的时候，常常需要从外部载入数据或者函数。比如，我们有一个名为&lt;code&gt;example.txt&lt;/code&gt;的数据位于E盘中的R文件夹中，我们可以用下面的命令把数据读取到R里：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;dat = read.table(&amp;quot;E://R/example.txt&amp;quot;,header=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;在同样的文件夹中，有一个现成的函数脚本文件命名为&lt;code&gt;fun.r&lt;/code&gt;，现在需要将其载入到R中使用。可以用下面的命令:&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;soure(&amp;quot;E://R/fun.r&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;上面这两种做法有一个共同点就是得记住文件的绝对路径。绝对路径短的话，没有任何问题。当绝对路径很长，长到记不清楚的时候就麻烦了。&lt;/p&gt;&#10;&lt;p&gt;一个偷懒的做法是使用&lt;code&gt;setwd()&lt;/code&gt;设定工作文件夹。比如，我们可以把R的工作路径设定为&lt;code&gt;E://R/&lt;/code&gt;：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;setwd(&amp;quot;E://R/&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;然后，载入数据或者函数就可以用简化的命令了：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;source(&amp;quot;fun.r&amp;quot;)&#10;dat &amp;lt;- read.table(&amp;quot;example.txt&amp;quot;,header=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;如果连&lt;code&gt;E://R/&lt;/code&gt;都记不清楚呢？那就只能搞一个浏览窗口了。R中恰好有这个函数：&lt;code&gt;file.choose()&lt;/code&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;source(file.choose())&#10;dat &amp;lt;- read.table(file.choose(),header=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;运行之后，R会弹出一个&lt;code&gt;Select File&lt;/code&gt;的小窗口，挥动鼠标就可以对各个盘符和文件夹进行选择了。&lt;/p&gt;&#10;</description></item><item><title>自动下载财务套表</title><link>https://gewutang.cn/2013/05/27/download-financial-sheets/</link><pubDate>Mon, 27 May 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/05/27/download-financial-sheets/</guid><description>&lt;p&gt;在国内获取上市公司的财务数据是一件叫人头疼的事儿。对于没有Wind终端的个人而言，只有一条路：那就是从网络上抓取。当然，这还是有前提的，那就是网上得有数据可抓。很长一段时间，我都受此困扰，跋山涉水之后，终于从sina财经找到了一个可以下载上市公司历年财务套表的接口，用R写一段自动下载的代码，就可以轻松获取上市公司财务数据了（耶！好开心，妈妈再也不用担心我的的数据来源了！）。&lt;/p&gt;&#10;&lt;p&gt;代码真相在这里：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# symbol：股票代码&#10;# type：报表类型。BS为资产负债表；PS为利润表；CF为现金流量表&#10;# file:存储下载文件的地址。比如，file=&amp;quot;D://&amp;quot;&#10;&#10;getsheets &amp;lt;- function(symbol,type,file){&#10; pre=&amp;quot;http://money.finance.sina.com.cn/corp/go.php/vDOWN_&amp;quot;;&#10; mid=&amp;quot;/displaytype/4/stockid/&amp;quot;;&#10; end=&amp;quot;/ctrl/all.phtml&amp;quot;;&#10; &#10; if(type==&amp;quot;BS&amp;quot;){&#10; url=paste(pre,&amp;quot;BalanceSheet&amp;quot;,mid,symbol,end,sep=&amp;quot;&amp;quot;);&#10; destfile=paste(file,&amp;quot;BalanceSheet_&amp;quot;,symbol,&amp;quot;.xls&amp;quot;,sep=&amp;quot;&amp;quot;);&#10; }&#10; else if(type==&amp;quot;PS&amp;quot;){&#10; url=paste(pre,&amp;quot;ProfitStatement&amp;quot;,mid,symbol,end,sep=&amp;quot;&amp;quot;);&#10; destfile=paste(file,&amp;quot;ProfitStatement_&amp;quot;,symbol,&amp;quot;.xls&amp;quot;,sep=&amp;quot;&amp;quot;);&#10; }&#10; else if(type==&amp;quot;CF&amp;quot;){&#10; url=paste(pre,&amp;quot;CashFlow&amp;quot;,mid,symbol,end,sep=&amp;quot;&amp;quot;);&#10; destfile=paste(file,&amp;quot;CashFlow_&amp;quot;,symbol,&amp;quot;.xls&amp;quot;,sep=&amp;quot;&amp;quot;);&#10; }&#10; download.file(url, destfile);&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;运行时如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 下载000065的资产负债表，并存放在D盘&#10;getsheets(&amp;quot;000065&amp;quot;,&amp;quot;BS&amp;quot;,&amp;quot;D://&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;D盘里面有一个叫BalanceSheet_000065.xls的文件，打开就可以看到历年的资产负债表数据了。&lt;/p&gt;&#10;</description></item><item><title>几本关于R的书籍</title><link>https://gewutang.cn/2013/04/18/some-books-on-r/</link><pubDate>Thu, 18 Apr 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/04/18/some-books-on-r/</guid><description>&lt;p&gt;最近，出版社的朋友推荐了四本在亚马逊上卖的火热的R书籍。大致看了下内容，都算是上乘之作。这里简单介绍一下：&lt;/p&gt;&#10;&lt;p&gt;第一本叫《Introductory Time Series with R》。这是Springer出版社的UseR!系列作品，质量绝对是有保证的，内容集中于时间序列分析方面。作者是Paul S.P. Cowpertwait和Andrew V. Metcalfe 。&lt;/p&gt;&#10;&lt;p&gt;第二本是《Time Series Analysis: With Applications in R》是Springer统计学系列的一本书，也是专注于时间序列分析，这本书的厚度是第一本书的两倍。&lt;/p&gt;&#10;&lt;p&gt;第三本叫《Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab 》是Wiley出版社Finance Series系列的一本书，比较薄，内容主要集中在金融风险的预测上，更适合搞投资的人来阅读。&lt;/p&gt;&#10;&lt;p&gt;第四本是《Software for Data Analysis: Programming with R》是 Springer旗下Statistics and Computing系列的一般书，作者是R领域的大牛人叫John Chambers，我想他的名字是如雷贯耳的，无需多言，只需膜拜。&lt;/p&gt;&#10;</description></item><item><title>R中的量化投资包：quantstrat</title><link>https://gewutang.cn/2013/04/17/r%E4%B8%AD%E7%9A%84%E9%87%8F%E5%8C%96%E6%8A%95%E8%B5%84%E5%8C%85quantstrat/</link><pubDate>Wed, 17 Apr 2013 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2013/04/17/r%E4%B8%AD%E7%9A%84%E9%87%8F%E5%8C%96%E6%8A%95%E8%B5%84%E5%8C%85quantstrat/</guid><description>&lt;h2 id="quantstrat是什么东西"&gt;&lt;a href="#quantstrat%e6%98%af%e4%bb%80%e4%b9%88%e4%b8%9c%e8%a5%bf" class="header-anchor"&gt;&lt;/a&gt;quantstrat是什么东西？&#10;&lt;/h2&gt;&lt;p&gt;quantstrat是Quantitative Strategy（量化策略）的缩写，它是由Peter Carl、 Brian G. Peterson、Josh Ulrich、Garrett See、Yu Chen等联合开发的用于量化投资的R包。&lt;/p&gt;&#10;&lt;p&gt;这个包为用户提供了一个测试和模拟基于信号的量化策略模型的泛型框架。它不仅可以&#10;帮助用户构建交易系统，还可以对构建的交易系统进行仿真测试；能够支持对多资产类别和多币种组合进行回测（backtesting）等。&lt;/p&gt;&#10;&lt;p&gt;这个包在设计的过程中充分贯彻了“交易导向型”（Transaction-oriented）原则。&lt;/p&gt;&#10;&lt;p&gt;目前，这个包由Brian G.Peterson在维护，还在开发中，不过已经被很多业内人士拿来实战了。&lt;/p&gt;&#10;&lt;p&gt;因为quantstrat包是一个建立在xts, FinancialInstrument,blotter等包上的高级抽象包，所以，在应用quantstrat包时，&#10;除了除了安装quantstrat包之外，还得记得装上这三个支撑包。看起来安装有点麻烦，正式因为安装麻烦，所以，它才能使得用户用几行简单的代码就能来构建和测试策略。&lt;/p&gt;&#10;&lt;h2 id="quantstrat涉及的量化策略基础知识"&gt;&lt;a href="#quantstrat%e6%b6%89%e5%8f%8a%e7%9a%84%e9%87%8f%e5%8c%96%e7%ad%96%e7%95%a5%e5%9f%ba%e7%a1%80%e7%9f%a5%e8%af%86" class="header-anchor"&gt;&lt;/a&gt;quantstrat涉及的量化策略基础知识&#10;&lt;/h2&gt;&lt;h3 id="基于信号的策略的泛型建模"&gt;&lt;a href="#%e5%9f%ba%e4%ba%8e%e4%bf%a1%e5%8f%b7%e7%9a%84%e7%ad%96%e7%95%a5%e7%9a%84%e6%b3%9b%e5%9e%8b%e5%bb%ba%e6%a8%a1" class="header-anchor"&gt;&lt;/a&gt;基于信号的策略的泛型建模&#10;&lt;/h3&gt;&lt;p&gt;基于信号的策略模型需要先生成交易信号。交易指标是从市场数据中获知的量化指标（包括移动平均、RSI、波动带、通道、动量等）。交易指标应该以矢量化（快速回测）和数据流（实施执行）的形式应用于市场数据，并且假定交易指标是路径独立的（即不受账户、组合类型、现有头寸和交易的限制）。&lt;/p&gt;&#10;&lt;p&gt;交易指标和市场数据的相互作用会生成交易信号（交叉、阈值、倍数），交易信号标示交易者应当采取交易行动的时间，虽然，有时候，你无法行动。跟交易指标类似，交易信号也应该以矢量化和流形式应用于市场数据，并且需要假定交易信号是路径独立的。&lt;/p&gt;&#10;&lt;p&gt;交易规则基于交易指标、交易信号、账户头寸和账户/组合特性生成交易指令。注意关于头寸大小、填补模拟、指令生成和管理的规则与交易指标和交易信号的生成过程是独立的。与交易指标和交易信号不同，交易规则在是执行时是路径依赖式（事实上，也支持非路径依赖式的交易规则，然而，非路径依赖式的交易规则在现实中很少见）的，与已往市场数据和执行规则时的头寸大小相关。交易规则可以生成新的交易指令，也可以对现有交易指令进行修改（比如风险控制、填补、再平衡、介入、退出等）。&lt;/p&gt;&#10;&lt;h3 id="quantstrat如何构建策略"&gt;&lt;a href="#quantstrat%e5%a6%82%e4%bd%95%e6%9e%84%e5%bb%ba%e7%ad%96%e7%95%a5" class="header-anchor"&gt;&lt;/a&gt;Quantstrat如何构建策略？&#10;&lt;/h3&gt;&lt;p&gt;quantstrat通过FinancialInstrument包指定金融工具（包括所用币种）、通过&lt;code&gt;blotter&lt;/code&gt;包跟踪交易信息和市值及组合和账户的变动。&lt;/p&gt;&#10;&lt;p&gt;交易指标通常是跟TTR包中函数类似的标准技术分析函数；交易信号通常有&lt;code&gt;quantstrat&lt;/code&gt;包中的&lt;code&gt;sig*&lt;/code&gt;族函数指定（比如sigComparison、sigCrossover、sigFormula、sigPeak、sigThreshold）；规则通常有quantstrat包中的ruleSignal函数指定。&lt;/p&gt;&#10;&lt;p&gt;用来指定交易指标、交易信号和加以规则的函数不限于上述那些。add.indicator、add.signal、和add.rule的参数为任意R函数。因为支持链是基于xts对象构建的，因此，如果自定义的函数返回结果是xts对象的话，其能够被很好地整合到quantstrat包中。&lt;/p&gt;&#10;&lt;p&gt;策略模型以层形式创建，并且是延迟执行的。这意味着策略可以不加调整地应用于多种不同的组合。执行之前，策略不知道自身将应用到何种金融工具上，也不知道将被传递什么参数。例如，移动平均的时间参数和阈值参数很可能影响策略的性能。参数的默认值可以在策略对象中设定，也可以在执行时通过applyStrategy的参数（参数是一个命名列表，跟参数列表的用法类似）来设定。&lt;/p&gt;&#10;&lt;p&gt;quantstrat对交易指令进行建模，交易指令可能转化为实际交易，也可能不能转化为实际交易。这提供了一个额外功能，可以用来评估策略是如何工作的、为何不工作以及如何改进。例如，策略的性能经常受到“休息现价订单”的改变、替换和删除的影响。订单允许量化策略师检查决策作出时的市场条件。同时，订单历史使得针对许多策略的颇为重要的计算过程变得简单，比如填补比率的计算。&lt;/p&gt;&#10;&lt;h3 id="参数匹配规则"&gt;&lt;a href="#%e5%8f%82%e6%95%b0%e5%8c%b9%e9%85%8d%e8%a7%84%e5%88%99" class="header-anchor"&gt;&lt;/a&gt;参数匹配规则&#10;&lt;/h3&gt;&lt;p&gt;Quantstrat中很多地方会应用到通过策略技术参数传递（参数列表或者…）给交易指标、信号和交易规则函数的变元：&lt;/p&gt;&#10;&lt;p&gt;这些变元按照下面的顺序进行匹配，后面的赋值可以覆盖前值。具体的顺序如下:&#10;赋值给每个交易指标、交易信号和交易规则的arguments=list(…)参数；&#10;调用&lt;code&gt;applyStrategy&lt;/code&gt;是应用的&lt;code&gt;parameters=list{…}&lt;/code&gt;参数；&#10;调用&lt;code&gt;applyStrategy&lt;/code&gt;时，在…中传递的任意附加参数。&lt;/p&gt;&#10;</description></item><item><title>乱码，又见乱码</title><link>https://gewutang.cn/2012/09/13/junk-code-again/</link><pubDate>Thu, 13 Sep 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/09/13/junk-code-again/</guid><description>&lt;p&gt;在Windows系统下，用readHTMLTable函数读取编码为unicod的网页时会出现乱码。这个时候的乱码是因为R是用本地码（通常是GBK）来解释了网页中的unicode，因此出现了符号不兼容。此时，只要用iconv(x,&amp;ldquo;utf-8&amp;rdquo;,&amp;ldquo;gbk&amp;rdquo;)就可以了。然而，有时候会出现另外一种情况：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(XML);&#10;url=&amp;quot;http://data.caixin.com/macro/macro_indicator_more.html?id=F0001&amp;amp;cpage=2&amp;amp;pageSize=30&amp;amp;url=macro_indicator_more.html#top&amp;quot;;&#10;tables=readHTMLTable(url)&#10;head(tables)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这种情况下icnov好像就无能为力了。不过，事情还是有解决方案的，在readHTMLTable之前加上一句代码就可以了。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;url= htmlParse(url,encoding=&amp;quot;UTF-8&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;看看效果：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(XML)&#10;url &amp;lt;- &amp;quot;http://data.caixin.com/macro/macro_indicator_more.html?id=F0001&amp;amp;cpage=2&amp;amp;pageSize=30&amp;amp;url=macro_indicator_more.html#top&amp;quot;&#10;url&amp;lt;- htmlParse(url,encoding=&amp;quot;UTF-8&amp;quot;)&#10;tables &amp;lt;- readHTMLTable(url)&#10;head(tables)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>获取上市公司主要财务指标</title><link>https://gewutang.cn/2012/09/07/get-financial-data-from-web/</link><pubDate>Fri, 07 Sep 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/09/07/get-financial-data-from-web/</guid><description>&lt;p&gt;写了一段获取上市公司主要财务指标的代码：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载XML包&#10;library(XML)&#10;####id:股票代码&#10;####year:年度&#10;get.finance &amp;lt;- function(id,year,...){&#10; web &amp;lt;- paste(&amp;quot;http://money.finance.sina.com.cn/corp/go.php/vFD_FinancialGuideLine/stockid/&amp;quot;,id,&amp;quot;/ctrl/&amp;quot;,year,&amp;quot;/displaytype/4.phtml&amp;quot;,sep=&amp;quot;&amp;quot;)&#10; tables &amp;lt;- readHTMLTable(web)$BalanceSheetNewTable0&#10; colnames(tables)&amp;lt;-tables[1,]&#10; tables &amp;lt;- tables[-1,]&#10; return(tables)&#10;}&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;简单演示一下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(XML)&#10;res &amp;lt;- get.finance(&amp;quot;000002&amp;quot;,&amp;quot;2012&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;基于这些财务数据和价格数据，就可以着手建立股票排名系统了。&lt;/p&gt;&#10;</description></item><item><title>棘手的R乱码和给力的iconv函数</title><link>https://gewutang.cn/2012/05/09/iconv-and-r/</link><pubDate>Wed, 09 May 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/05/09/iconv-and-r/</guid><description>&lt;p&gt;从网上抓数据（网页是&lt;code&gt;utf-8&lt;/code&gt;编码）时，发现读入R的数据出现了乱码。代码和返回结果分别如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;library(XML)&#10;id=&amp;quot;000002&amp;quot;&#10;year=&amp;quot;2011&amp;quot;&#10;web=paste(&amp;quot;http://money.finance.sina.com.cn/corp/go.php/vFD_FinancialGuideLine/stockid/&amp;quot;,id,&amp;quot;/ctrl/&amp;quot;,year,&amp;quot;/displaytype/4.phtml&amp;quot;,sep=&amp;quot;&amp;quot;)&#10;web&#10;[1] &amp;quot;http://money.finance.sina.com.cn/corp/go.php/vFD_FinancialGuideLine/stockid/000002/ctrl/2011/displaytype/4.phtml&amp;quot;&#10;tables head(tables)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;涓囩A(000002) 璐一姟镌囨爣 NA&#10;1 鎶ュ憡镞ユ湡 2011-12-31&#10;2 姣忚偂镌囨爣&#10;3 鎽婅杽姣忚偂鏀剁泭(鍏\x83) 1.055&#10;4 锷犳潈姣忚偂鏀剁泭(鍏\x83) 0.88&#10;5 姣忚偂鏀剁泭_璋冩暣鍚\x8e(鍏\x83) 0.88&#10;6 镓ｉ櫎闱炵粡甯告ф崯鐩婂悗镄勬疮镶℃敹鐩\x8a(鍏\x83) 0.87&#10;NA NA NA&#10;1 2011-09-30 2011-06-30 2011-03-31&#10;2&#10;3 0.3735 0.2958 0.1082&#10;4 0.326 0.27 0.11&#10;5 0.326 0.27 0.11&#10;6 0.321 0.27&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;去COS咨询了一番，都说运行完我提供的代码之后没有出现乱码。当时的我有些凌乱。心中苦闷得很，难道R代码的运行结果还跟运行者相关么？如果R语言真能发展到如此智能的地步，我定然乐不可支。当然，这是题外话了，按住不说。&lt;/p&gt;&#10;&lt;p&gt;于是，我泡在论坛上翻了无数旧帖，最终发现了李舰和陈丽云讨论的结果。他们说R中出现乱码后可以用&lt;code&gt;Encoding&lt;/code&gt;来解决。在这个原则指导下我各种&lt;code&gt;Encoding&lt;/code&gt;，却回回都是无功而返。思考再三，我觉得可能是电脑的问题。&lt;/p&gt;&#10;&lt;p&gt;只是电脑的问题那么多，根源在哪儿呢？我贴出了自己的&lt;code&gt;sessionInfo&lt;/code&gt;，想找出问题的根源。幸好有人跟帖也贴出了sessionInfo。对比之下才发现问题出在电脑系统的内部编码上。他们几人所用的都是Linux平台，内部编码设定都是utf。而我苦苦耗在的Windows平台上，系统的内部编码是gbk。&lt;/p&gt;&#10;&lt;p&gt;好了，找到了病根。下一步只要修改一下Windows系统的内部编码就行了。我正欢欣鼓舞呢，颜林林却说，Windows系统没法修改系统编码。好吧!我就像一个病人在熟读各种医书终于发现病根所在之时，却被告知没有药材。绝望之情状如井喷。&lt;/p&gt;&#10;&lt;p&gt;至此，我几近投奔Linux了。结果，无意中见到一个人用iconv函数解决类似的问题。看起来效果不错，我就尝试了一下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;rownames(tables)&amp;lt;-iconv(tables[,1],&amp;quot;UTF-8&amp;quot;,&amp;quot;gbk&amp;quot;)&#10;head(tables[,-1])&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;虽然不知道什么原理，但问题毕竟是解决了。&lt;/p&gt;&#10;</description></item><item><title>R语言在线资源列表</title><link>https://gewutang.cn/2012/02/19/web-resource-about-r/</link><pubDate>Sun, 19 Feb 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/02/19/web-resource-about-r/</guid><description>&lt;p&gt;&lt;a class="link" href="http://alittleknowledge.wordpress.com/2009/09/11/r-for-pedestrians/" target="_blank" rel="noopener"&#10; &gt;http://alittleknowledge.wordpress.com/2009/09/11/r-for-pedestrians/&lt;/a&gt;&#10;&lt;a class="link" href="http://astro.u-strasbg.fr/~fmurtagh/mda-sw/" target="_blank" rel="noopener"&#10; &gt;http://astro.u-strasbg.fr/~fmurtagh/mda-sw/&lt;/a&gt;&#10;&lt;a class="link" href="http://bayes.bgsu.edu/bcwr/" target="_blank" rel="noopener"&#10; &gt;http://bayes.bgsu.edu/bcwr/&lt;/a&gt;&#10;&lt;a class="link" href="http://biocep-distrib.r-forge.r-project.org/doc.html" target="_blank" rel="noopener"&#10; &gt;http://biocep-distrib.r-forge.r-project.org/doc.html&lt;/a&gt;&#10;&lt;a class="link" href="http://biostatistics.iop.kcl.ac.uk/publications/everitt/" target="_blank" rel="noopener"&#10; &gt;http://biostatistics.iop.kcl.ac.uk/publications/everitt/&lt;/a&gt;&#10;&lt;a class="link" href="http://blog.opendatagroup.com/courses/" target="_blank" rel="noopener"&#10; &gt;http://blog.opendatagroup.com/courses/&lt;/a&gt;&#10;&lt;a class="link" href="http://bm2.genes.nig.ac.jp/RGM2/index.php?clear=all" target="_blank" rel="noopener"&#10; &gt;http://bm2.genes.nig.ac.jp/RGM2/index.php?clear=all&lt;/a&gt;&#10;&lt;a class="link" href="http://cm.bell-labs.com/cm/ms/departments/sia/project/trellis/" target="_blank" rel="noopener"&#10; &gt;http://cm.bell-labs.com/cm/ms/departments/sia/project/trellis/&lt;/a&gt;&#10;&lt;a class="link" href="http://code.google.com/p/batchfiles/" target="_blank" rel="noopener"&#10; &gt;http://code.google.com/p/batchfiles/&lt;/a&gt;&#10;&lt;a class="link" href="http://commons.wikimedia.org/wiki/Category:Created_with_R" target="_blank" rel="noopener"&#10; &gt;http://commons.wikimedia.org/wiki/Category:Created_with_R&lt;/a&gt;&#10;&lt;a class="link" 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&gt;http://www1.maths.lth.se/help/R/RCC/&lt;/a&gt;&#10;[http://www2.warwick.ac.uk/fac/sci/moac/degrees/modules/ch923/r_introduction/histograms_etc/ http://wwwmaths.anu.edu.au/~johnm/](&lt;a class="link" href="http://www2.warwick.ac.uk/fac/sci/moac/degrees/modules/ch923/r_introduction/histograms_etc/" target="_blank" rel="noopener"&#10; &gt;http://www2.warwick.ac.uk/fac/sci/moac/degrees/modules/ch923/r_introduction/histograms_etc/&lt;/a&gt; &lt;a class="link" href="http://wwwmaths.anu.edu.au/~johnm/" target="_blank" rel="noopener"&#10; &gt;http://wwwmaths.anu.edu.au/~johnm/&lt;/a&gt;)&#10;&lt;a class="link" href="http://www-stat.stanford.edu/~jhf/R-MART.html" target="_blank" rel="noopener"&#10; &gt;http://www-stat.stanford.edu/~jhf/R-MART.html&lt;/a&gt;&#10;&lt;a class="link" href="http://xweb.geos.ed.ac.uk/~hcp/r_notes/r_notes.html" target="_blank" rel="noopener"&#10; &gt;http://xweb.geos.ed.ac.uk/~hcp/r_notes/r_notes.html&lt;/a&gt;&#10;&lt;a class="link" href="http://zoonek.free.fr/blosxom/R/2006-08-27_The_Grammar_of_Graphics.html" target="_blank" rel="noopener"&#10; &gt;http://zoonek.free.fr/blosxom/R/2006-08-27_The_Grammar_of_Graphics.html&lt;/a&gt;&#10;&lt;a class="link" href="http://zoonek2.free.fr/UNIX/48_R/all.html" target="_blank" rel="noopener"&#10; &gt;http://zoonek2.free.fr/UNIX/48_R/all.html&lt;/a&gt;&lt;/p&gt;&#10;</description></item><item><title>R语言书籍的学习路线图</title><link>https://gewutang.cn/2012/01/19/how-to-learn-r-by-reading-books/</link><pubDate>Thu, 19 Jan 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/01/19/how-to-learn-r-by-reading-books/</guid><description>&lt;p&gt;现在对R感兴趣的人越来越多，很多人都想快速地掌握R。然而，由于目前大部分高校都没有开设R课程，这就导致很多人不知道如何着手学习R。&lt;/p&gt;&#10;&lt;p&gt;对于初学R，最常见的方式是看看百度上的简介。遇到不会的地方，就跑到论坛上吼一嗓子，然后欣欣然（得到解答）或者悲伤（未得到解答）地离去。一直到遇到下一个问题再回来。当然，这不是最好的学习方式。最好的方式是看书。&lt;/p&gt;&#10;&lt;p&gt;目前，市面上介绍R语言的书籍已经很多，中英文都有。那么，众多书籍中，一个菜鸟应该从哪一本入门呢？入门之后如何才能把自己练就成某个方面的高手呢？相信这是很多人心中的疑问。有这种疑问的人有福了，因为笔者将根据自己的经历总结一下R书籍的学习路线图以使大家少走些弯路。&lt;/p&gt;&#10;&lt;p&gt;本文分为6个部分，分别介绍初级入门、高级入门、绘图与可视化、计量经济学、时间序列分析和金融等。&lt;/p&gt;&#10;&lt;h4 id="1初级入门"&gt;&lt;a href="#1%e5%88%9d%e7%ba%a7%e5%85%a5%e9%97%a8" class="header-anchor"&gt;&lt;/a&gt;1.初级入门&#10;&lt;/h4&gt;&lt;p&gt;&lt;a class="link" href="http://cran.r-project.org/doc/manuals/R-intro.pdf" target="_blank" rel="noopener"&#10; &gt;《An Introduction to R》&lt;/a&gt;，这是R官网公布的入门小册子，其有中文版，由丁国徽翻译的，译名是&lt;a class="link" href="http://cran.r-project.org/doc/contrib/Ding-R-intro_cn.pdf" target="_blank" rel="noopener"&#10; &gt;《R导论》&lt;/a&gt;。&lt;a class="link" href="http://cran.r-project.org/doc/contrib/Paradis-rdebuts_en.pdf" target="_blank" rel="noopener"&#10; &gt;《R4Beginners》&lt;/a&gt;，这本小册子有中文版应该叫&lt;a class="link" href="http://www.biosino.org/R/R-doc/files/R4beg_cn_2.0.pdf" target="_blank" rel="noopener"&#10; &gt;《R入门》&lt;/a&gt;。除此之外，还可以去读&lt;a class="link" href="http://www.bjt.name/" target="_blank" rel="noopener"&#10; &gt;刘思喆&lt;/a&gt;的&lt;a class="link" href="http://cos.name/cn/topic/7673" target="_blank" rel="noopener"&#10; &gt;《153分钟学会R》&lt;/a&gt;，对R有一个感性的认识，这个册子收集了R初学者提问频率最高的153个问题。为什么叫153分钟呢？因为最初作者写了153个问题，阅读一个问题花费1分钟时间，全局下来也就是153分钟了。有了这些基础之后，要去读一些经典书籍比较全面的入门书籍，比如《统计建模与R软件》，国外还有《R Cookbook》和《R in action》（中文翻译为《R实战》）等。&lt;/p&gt;&#10;&lt;p&gt;最后隆重推荐《R in a Nutshell》，直译是“果壳里面的R”。当然，这是开玩笑的，”in a Nutshell“是英文俚语，意思是“简单的说”。很多技术类书籍都有Nutshell版本，这类书籍一般翻译为”**核心技术手册“，目前，我们已经译好这本书的中文版，预计今年会面世。这本书很不错，深度和广度都超越同类书籍，大家可以从现在开始期待，并广而告知一下！&lt;/p&gt;&#10;&lt;h4 id="2高级入门"&gt;&lt;a href="#2%e9%ab%98%e7%ba%a7%e5%85%a5%e9%97%a8" class="header-anchor"&gt;&lt;/a&gt;2.高级入门&#10;&lt;/h4&gt;&lt;p&gt;读了上述书籍之后，你就可以去高级入门阶段了。这时候要读的书有两本很经典的。《Statistics with R》和《The R book》以及《Modern Statistics with S》。之所以说这三本书高级，是因为这三本书已经不再限于R了，而是结合了数据分析的各种常见方法来写就的，比较系统的介绍了R在线性回归、方差分析、多元统计、R绘图、时间序列分析、数据挖掘等各方面的内容。看完之后你会发现，哇，原来R能做的事情这么多，而且做起来是那么简洁。&lt;/p&gt;&#10;&lt;p&gt;读到这里已经差不多了，剩下的估计就是你要专门攻读的某个方面内容了。下面大致说一说。&lt;/p&gt;&#10;&lt;h4 id="3绘图与可视化"&gt;&lt;a href="#3%e7%bb%98%e5%9b%be%e4%b8%8e%e5%8f%af%e8%a7%86%e5%8c%96" class="header-anchor"&gt;&lt;/a&gt;3.绘图与可视化&#10;&lt;/h4&gt;&lt;p&gt;亚里斯多德说，“较其他感觉而言，人类更喜欢观看”。因此，绘图和可视化得到很多人的关注和重视。那么，如何学习R画图和数据可视化呢？再简单些，如何画直方图？如何往直方图上添加密度曲线呢？我想读完下面这几本书你就大致会明白了。&lt;/p&gt;&#10;&lt;p&gt;首先，画图入门可以读《R Graphics》，个人认为这本是比较经典的，全面介绍了R中绘图系统。该书对应的有一个网站，google之就可以了。更深入的可以读《Lattice：Multivariate Data Visualization with R》，Lattice是R中针对多元数据可视化而开发的一套绘图系统。上面这些都是比较普通的。对应的有比较文艺和优雅的ggplot2系统，看《ggplot2：Elegant Graphics for Data Analysis》，中文版是《ggplot2:数据分析与图形艺术》。这本书理论性较强，实战比较弱。与之互补的要推荐《The R Graphics cookbook》，中文对应的是《R图形可视化手册》，译者是邓一硕、魏太云和肖楠，这本书详细列举了所有常见数据分析图形的绘制方法，适合做工具书。再有就是交互式图形的书了，著名的交互系统是ggobi，这个我已经喜欢多年，关于ggobi的书有《Interactive and Dynamic Graphics for Data Analysis With R and GGobi》，不过，也只是适宜入门，更多更全面的还是去ggobi的主页吧，上面有各种资料以及包的更新信息。&lt;/p&gt;&#10;&lt;p&gt;此外，R还推出了shiny和rChart以及rechart等包，可以将图形绘制到网页上，这个可以说是未来的主流，不得不关注。&lt;/p&gt;&#10;&lt;p&gt;特别推荐一下，中文版绘图书籍中谢益辉的《现代统计图形》和我们翻译的《R图形可视化手册》。&lt;/p&gt;&#10;&lt;h4 id="4计量经济学"&gt;&lt;a href="#4%e8%ae%a1%e9%87%8f%e7%bb%8f%e6%b5%8e%e5%ad%a6" class="header-anchor"&gt;&lt;/a&gt;4.计量经济学&#10;&lt;/h4&gt;&lt;p&gt;关于计量经济学，首先推荐一本很薄的小册子:《Econometrics In R》，做入门用。然后，是《Applied Econometrics with R》，该书对应的R包是AER包，可以安装之后配合使用，效果甚佳。计量经济学中很大一部分是关于时间序列分析的，这一块内容在下面的地方说。&lt;/p&gt;&#10;&lt;h4 id="5时间序列分析"&gt;&lt;a href="#5%e6%97%b6%e9%97%b4%e5%ba%8f%e5%88%97%e5%88%86%e6%9e%90" class="header-anchor"&gt;&lt;/a&gt;5.时间序列分析&#10;&lt;/h4&gt;&lt;p&gt;时间序列书籍的书籍分两类，一种是比较普适的书籍，典型的代表是：《Time Series Analysis and Its Applications ：with R examples》。该书介绍了各种时间序列分析的经典方法及实现各种经典方法的R代码，该书有中文版。如果不想买的话，建议去作者主页直接下载，英文版读起来很简单。时间序列分析中有一大块儿是关于金融时间序列分析的。这方面比较流行的书有两本《Analysis of financial time series》，这本书的最初是用的S-plus代码，不过新版已经以R代码为主了。这本书适合有时间序列分析基础和金融基础的人来看，因为书中关于时间序列分析的理论以及各种金融知识讲解的不是特别清楚，将极值理论计算VaR的部分就比较难看懂。另外一个比较有意思的是Rmetrics推出的《TimeSeries FAQ》，这本书是金融时间序列入门的东西，讲的很基础，但是很难懂。对应的中文版有《金融时间序列分析常见问题集》。经济领域的时间序列有一种特殊的情况叫协整，很多人很关注这方面的理论，关心这个的可以看《Analysis of Integrated and Cointegrated Time Series with R》。最后，比较高级的一本书是关于小波分析的，看《Wavelet Methods in Statistics with R》。附加一点，关于时间序列聚类的书籍目前比较少见，是一个处女地，有志之士可以开垦。&lt;/p&gt;&#10;&lt;h4 id="6金融"&gt;&lt;a href="#6%e9%87%91%e8%9e%8d" class="header-anchor"&gt;&lt;/a&gt;6.金融&#10;&lt;/h4&gt;&lt;p&gt;金融的领域很广泛，如果是大金融的话，保险也要被纳入此间。用R做金融更多地需要掌握的是金融知识，只会数据分析技术意义寥寥。我觉得这些书对于懂金融、不同数据分析技术的人比较有用，只懂数据分析技术而不动金融知识的人看起来肯定如雾里看花，甚至有人会觉得金融分析比较低级。这方面比较经典的书籍有：《Advanced Topics in Analysis of Economic and Financial Data Using R》以及《Modelling Financial Time Series With S-plus》。金融产品定价之类的常常要用到随机微分方程，有一本叫《Simulation Inference Stochastic Differential Equations：with R examples》的书是关于这方面的内容的，有实例，内容详实。此外，风险度量与管理类比较经典的有《Simulation Techniques in Financial Risk Management》、《Modern Actuarial Risk Theory Using R》和《Quantitative Risk Management：Concepts, Techniques and Tools》。投资组合分析类和期权定价类可以分别看《Portfolio Optimization with R》和《Option Pricing and Estimation of Financial Models with R》。&lt;/p&gt;&#10;&lt;h4 id="7数据挖掘"&gt;&lt;a href="#7%e6%95%b0%e6%8d%ae%e6%8c%96%e6%8e%98" class="header-anchor"&gt;&lt;/a&gt;7.数据挖掘&#10;&lt;/h4&gt;&lt;p&gt;这方面的书有《Data Mining with R:learing with case studies》，《Machine learning for hacks》以及不过《Data Mining with Rattle and R》，书中主要讲了基于Rattle包进行数据挖掘的操作方法，这本书是罕有的全流程数据挖掘工具书，书中详细讲解了从导入数据、清洗数据、数据重整、数据可视化、模型构建、变量选择、模型评价等各个数据挖掘环节，是学习数据挖掘的不二之选。当然，个人比较喜欢Rattle，这本书对应的中文版是《Rattle:R中的数据挖掘GUI》，是由邓一硕、郝智恒、谭丽等翻译的。除了Rattle，Rweka做数据挖掘也很棒。R中数据挖掘方面的包已经足够多了，参考包中的帮助文档就足够了。&lt;/p&gt;&#10;</description></item><item><title>为对抗新兴软件R，SAS或对国内高校免费</title><link>https://gewutang.cn/2012/01/14/sas-anti-r/</link><pubDate>Sat, 14 Jan 2012 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2012/01/14/sas-anti-r/</guid><description>&lt;p&gt;近段时间来，SAS的用户在不断流失，而导致用户流失的原因则在于新兴软件R对其带来的冲击。R软件作为新兴软件，其主要特点是免费、更新快、功能灵活。其中免费对SAS等商业软件的冲击最大。所以，我认为SAS可能免费应该是对R软件免费的响应。&lt;/p&gt;&#10;&lt;p&gt;一直以来SAS不断丧失高校师生用户。长此以往，等这些学生踏入业界，SAS在业界也难以立足了。SAS对此一直没有太多关注，我猜测是SAS对R的威胁不屑一顾吧。不知道什么原因促使SAS高层突然做出这个决定。&lt;/p&gt;&#10;&lt;p&gt;这个决定是很英明的。目前，还有相当大部分的人在用SAS软件，SAS一旦免费，由于用户的惯性，势必阻碍用户向R迁移。只要SAS留住了高校用户，等这些学生踏入业界，他们依然会用SAS，虽说SAS对业界还没打算免费，但是学生踏入业界之后，对SAS是否免费可能就不再敏感了，因此，SAS就锁定了一批用户。这真是一个绝妙的策略。那SAS对高校免费会不会丧失什么利润呢？应该不会，因为高校师生本来用的都是破解的SAS，而不是付费的。&lt;/p&gt;&#10;&lt;p&gt;能让SAS免费也算是R的功德吧！&lt;/p&gt;&#10;</description></item><item><title>R中的3维HCPC图</title><link>https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/</link><pubDate>Mon, 28 Nov 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/</guid><description>&lt;p&gt;第四届R会议上，余苓提到了一个叫FactoMineR的包，这个包提供了一个可以绘制立体谱系图的函数plot.HCPC()。我记得之前有人在COS论坛上问过这个问题，我就特别留意了一下这个函数。&lt;/p&gt;&#10;&lt;p&gt;它的用法如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 安装包,如果未安装&#10;# install.packages(&amp;quot;FactoMineR&amp;quot;)&#10;library(FactoMineR) #加载包&#10;data(iris) #加载数据&#10;res.hcpc &amp;lt;- HCPC(iris[1:4], nb.clust=3) #基于PC的聚类&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&lt;img src="https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/index_files/figure-html/unnamed-chunk-1-3.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot.HCPC(res.hcpc, choice=&amp;quot;3D.map&amp;quot;, angle=60) #3D谱系图&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/11/28/3d-graph-of-hcpc-in-r/index_files/figure-html/unnamed-chunk-1-4.png" width="672" /&gt;&#10;&lt;p&gt;但是，这个图不够好，因为这个图缺少该有的交互性。等我有时间了，我会用rgl包重新写一个具有交互功能的立体谱系图。&lt;/p&gt;&#10;</description></item><item><title>apply函数族入门</title><link>https://gewutang.cn/2011/11/09/apply-family/</link><pubDate>Wed, 09 Nov 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/11/09/apply-family/</guid><description>&lt;p&gt;在任何一个R语言问答网站或者论坛，你都能看见这样的问题：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &#10; &lt;/blockquote&gt;&#10;&lt;p&gt;Q:如何用循环做【&amp;hellip;各种奇怪的事情&amp;hellip;】&#10;A:不用用循环哦，亲！apply函数可以解决这个问题哦，亲！&lt;/p&gt;&#10;&lt;p&gt;上面答案中提到的这个神奇的apply函数到底是什么？下面通过一些简单的操作示范一下。&lt;/p&gt;&#10;&lt;p&gt;打开R，敲入??apply函数，选定base包部分你会看到下面的东西：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code&gt;base::apply Apply Functions Over Array Margins&#10;base::by Apply a Function to a Data Frame Split by Factors&#10;base::eapply Apply a Function Over Values in an Environment&#10;base::lapply Apply a Function over a List or Vector&#10;base::mapply Apply a Function to Multiple List or Vector Arguments&#10;base::rapply Recursively Apply a Function to a List&#10;base::tapply Apply a Function Over a Ragged Array&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;下面一一示范。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;apply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;先看看帮助文档中对其的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“Returns a vector or array or list of values obtained by applying a function to margins of an array or matrix. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;好吧，vector、array和function是神马我都明白，margins是什么？我来翻译一下吧，margins为1时是指行，margins为2时是指列，如果是c(1:2)，好吧，这个啰嗦的举动，指的是整个array或者matrix。&lt;/p&gt;&#10;&lt;p&gt;例子如下:&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#创建一个10行2列的矩阵&#10;m &amp;lt;- matrix(c(1:10,11:20),nrow=10,ncol=2)&#10;&#10;#求m的每一行的均值&#10;apply(m,1,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 6 7 8 9 10 11 12 13 14 15&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#求m的每一列的均值&#10;apply(m,2,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 5.5 15.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#将m的每个值除以2&#10;apply(m,1:2,function(x) x/2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [,1] [,2]&#10;## [1,] 0.5 5.5&#10;## [2,] 1.0 6.0&#10;## [3,] 1.5 6.5&#10;## [4,] 2.0 7.0&#10;## [5,] 2.5 7.5&#10;## [6,] 3.0 8.0&#10;## [7,] 3.5 8.5&#10;## [8,] 4.0 9.0&#10;## [9,] 4.5 9.5&#10;## [10,] 5.0 10.0&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;最后一个例子仅仅是为了示范，我们有更简单的方法一秒钟实现。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;m/2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [,1] [,2]&#10;## [1,] 0.5 5.5&#10;## [2,] 1.0 6.0&#10;## [3,] 1.5 6.5&#10;## [4,] 2.0 7.0&#10;## [5,] 2.5 7.5&#10;## [6,] 3.0 8.0&#10;## [7,] 3.5 8.5&#10;## [8,] 4.0 9.0&#10;## [9,] 4.5 9.5&#10;## [10,] 5.0 10.0&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;by&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档中的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &#10; &lt;/blockquote&gt;&#10;&lt;p&gt;“Function by is an object-oriented wrapper for tapply applied to data frames. ”&lt;/p&gt;&#10;&lt;p&gt;事实上，by的功能绝不是这一句话所能描述的。接着读下去，你会看到&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“A data frame is split by row into data frames subsetted by the values of one or more factors, and function FUN is applied to each subset in turn. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;这里，我们用一个带有定性变量的数据进行示范。这个数据集就是著名的iris。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;attach(iris)&#10;head(iris)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Sepal.Length Sepal.Width Petal.Length Petal.Width Species&#10;## 1 5.1 3.5 1.4 0.2 setosa&#10;## 2 4.9 3.0 1.4 0.2 setosa&#10;## 3 4.7 3.2 1.3 0.2 setosa&#10;## 4 4.6 3.1 1.5 0.2 setosa&#10;## 5 5.0 3.6 1.4 0.2 setosa&#10;## 6 5.4 3.9 1.7 0.4 setosa&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#根据Species分类，求前4个变量的均值&#10;by(iris[,1:4],Species,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in mean.default(data[x, , drop = FALSE], ...):&#10;## 参数不是数值也不是逻辑值：返回NA&#10;## Warning in mean.default(data[x, , drop = FALSE], ...):&#10;## 参数不是数值也不是逻辑值：返回NA&#10;## Warning in mean.default(data[x, , drop = FALSE], ...):&#10;## 参数不是数值也不是逻辑值：返回NA&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Species: setosa&#10;## [1] NA&#10;## ------------------------------------------------------------ &#10;## Species: versicolor&#10;## [1] NA&#10;## ------------------------------------------------------------ &#10;## Species: virginica&#10;## [1] NA&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;其实，就是根据一个定性变量将数据分为若干个子集，再对各子集进行apply操作。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;eapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“eapply applies FUN to the named values from an environment and returns the results as a list. The user can request that all named objects are used (normally names that begin with a dot are not). The output is not sorted and no enclosing environments are searched. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;有理解这句话，重点是理解environment这个东西。environment相当于是R里面的一个小系统，这个系统包含有自己的变量和函数等内容。&lt;/p&gt;&#10;&lt;p&gt;用一个简单的例子来示范：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#创建一个新的environment&#10;e=new.env()&#10;#在e中创建两个变量&#10;e$a=1:10&#10;e$b=11:20&#10;#求e中变量的均值&#10;eapply(e,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 5.5&#10;## &#10;## $b&#10;## [1] 15.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;一般人儿可能不常用environment这个东西。不过，Bioconductor们是例外。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;lapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“lapply returns a list of the same length as X, each element of which is the result of applying FUN to the corresponding element of X. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;这是apply函数的帮助文档中最简明扼要的一个。直接给示范：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#创建一个list&#10;l=list(a=1:10,b=11:20)&#10;#计算list中每个元素的均值&#10;lapply(l,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 5.5&#10;## &#10;## $b&#10;## [1] 15.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#计算list中每个元素的和&#10;lapply(l,sum)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 55&#10;## &#10;## $b&#10;## [1] 155&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;lapply的文档中让我们进一步参考sapply、vapply和replicate。那我们走去看看。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;sapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“sapply is a user-friendly version and wrapper of lapply by default returning a vector, matrix or, if simplify=&amp;ldquo;array&amp;rdquo;, an array if appropriate, by applying simplify2array(). sapply(x, f, simplify=FALSE, USE.NAMES=FALSE) is the same as lapply(x,f). ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;上面一堆简单说就是，lapply返回的是一个含有两个元素$a和$b的list，而sapply返回的是一个含有元素[[&amp;ldquo;a&amp;rdquo;]]和[[&amp;ldquo;b&amp;rdquo;]]的vector，或者列名为a和b的矩阵。&lt;/p&gt;&#10;&lt;p&gt;示范如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#创建一个list&#10;l=list(a=1:10,b=11:20)&#10;#用sapply求均值&#10;l.mean=sapply(l,mean)&#10;#观察返回结果的类型&#10;class(l.mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;numeric&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;l.mean[['a']]&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 5.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;vapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“vapply is similar to sapply, but has a pre-specified type of return value, so it can be safer (and sometimes faster) to use.”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;直接示范：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;l=list(a=1:10,b=11:20)&#10;#用vapply函数计算五分位数&#10;l.fivenum=vapply(l,fivenum,c(Min.=0,&amp;quot;lst Qu.&amp;quot;=0,Median=0,&amp;quot;3rd Qu.&amp;quot;=0,Max.=0))&#10;class(l.fivenum)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;matrix&amp;quot; &amp;quot;array&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#结果&#10;l.fivenum&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## a b&#10;## Min. 1.0 11.0&#10;## lst Qu. 3.0 13.0&#10;## Median 5.5 15.5&#10;## 3rd Qu. 8.0 18.0&#10;## Max. 10.0 20.0&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;从结果可以看到，vapply返回的是一个矩阵。矩阵的列名是list的元素，行名取决于函数的输出结果。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;replicate&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述:&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“replicate is a wrapper for the common use of sapply for repeated evaluation of an expression (which will usually involve random number generation). ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;replicate是一个非常强大的函数，它有两个强制参数：replications,即操作的重复次数；function，及要重复的操作。还有一个可选择参数：simplify=T，是否将操作结果转化为vector或者matrix。&lt;/p&gt;&#10;&lt;p&gt;示范：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;replicate(10,rnorm(10))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [,1] [,2] [,3] [,4] [,5] [,6]&#10;## [1,] 0.09404565 0.6900446 0.20266413 0.5129547 1.0128168 0.05653415&#10;## [2,] -0.91284275 0.4148158 0.52344728 1.6220620 -0.1530737 0.05569266&#10;## [3,] -2.82534108 -0.8308159 -0.80378790 -0.4079487 -2.1890716 -0.63564857&#10;## [4,] -0.88857743 -0.3077837 -1.04967642 0.3230530 0.1094893 0.38889519&#10;## [5,] 0.21849109 1.2910931 -1.31689751 -0.8643641 -1.6985050 -0.72514369&#10;## [6,] 0.42406931 1.0962243 0.03433455 -0.3644647 -1.1519254 -0.51264405&#10;## [7,] -0.95389493 0.8339559 -0.48655834 0.0271446 0.8224275 -0.75322140&#10;## [8,] 1.30411129 0.6961557 -0.94826540 3.8187493 1.9491568 -0.70021472&#10;## [9,] 1.42619896 1.3484791 -1.77604799 0.2154067 0.3761675 -0.24362034&#10;## [10,] -0.12993140 0.2320959 -0.08696657 1.2382602 0.5781700 -1.26176561&#10;## [,7] [,8] [,9] [,10]&#10;## [1,] 0.29583451 1.7547814 -0.4761433 -2.9786950&#10;## [2,] -1.51743386 -2.1529347 0.3729536 0.2775196&#10;## [3,] -0.46015526 -0.7021302 -0.3539648 -0.6730854&#10;## [4,] 0.89778909 0.1765478 1.9319342 0.3784471&#10;## [5,] 1.42831439 -0.3437932 0.3734149 0.3974802&#10;## [6,] 0.07412502 -2.5053443 -1.0342991 0.8934034&#10;## [7,] 0.04454659 -0.1709211 -0.4627233 1.0121957&#10;## [8,] -0.46424059 -0.2812505 -0.3270812 0.2869938&#10;## [9,] 0.11599570 1.5177862 0.2759767 0.8952857&#10;## [10,] 0.59676528 -0.1538958 -0.9503086 -0.3969758&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;mapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“mapply is a multivariate version of sapply. mapply applies FUN to the first elements of each &amp;hellip; argument, the second elements, the third elements, and so on. Arguments are recycled if necessary. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;如果你认真看看mapply的帮助文档的话，我打赌你会看到头大。这里给看官两个简单的例子：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;l1=list(a=1:10,b=11:20)&#10;l2=list(c=21:30,d=31:40)&#10;l1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 1 2 3 4 5 6 7 8 9 10&#10;## &#10;## $b&#10;## [1] 11 12 13 14 15 16 17 18 19 20&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;l2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $c&#10;## [1] 21 22 23 24 25 26 27 28 29 30&#10;## &#10;## $d&#10;## [1] 31 32 33 34 35 36 37 38 39 40&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#计算l1,l2中各元素的和&#10;mapply(sum,l1$a,l1$b,l2$c,l2$d)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] 64 68 72 76 80 84 88 92 96 100&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;竖直看下来，加总就得到了上面的结果。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;rapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“rapply is a recursive version of lapply. ”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;这个描述是史上最差描述之一。因为rapply跟recursive并没有太大关系。rapply的创造性在于提供了一个结果输出形式的参数。&lt;/p&gt;&#10;&lt;p&gt;示范：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#创建list&#10;l=list(a=1:10,b=11:20)&#10;#计算l中元素的log2&#10;rapply(l,log2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## a1 a2 a3 a4 a5 a6 a7 a8 &#10;## 0.000000 1.000000 1.584963 2.000000 2.321928 2.584963 2.807355 3.000000 &#10;## a9 a10 b1 b2 b3 b4 b5 b6 &#10;## 3.169925 3.321928 3.459432 3.584963 3.700440 3.807355 3.906891 4.000000 &#10;## b7 b8 b9 b10 &#10;## 4.087463 4.169925 4.247928 4.321928&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#将结果的输出形式设定为list&#10;&#10;rapply(l,log2,how=&amp;quot;list&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 0.000000 1.000000 1.584963 2.000000 2.321928 2.584963 2.807355 3.000000&#10;## [9] 3.169925 3.321928&#10;## &#10;## $b&#10;## [1] 3.459432 3.584963 3.700440 3.807355 3.906891 4.000000 4.087463 4.169925&#10;## [9] 4.247928 4.321928&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#计算均值&#10;rapply(l,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## a b &#10;## 5.5 15.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;rapply(l,mean,how=&amp;quot;list&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## $a&#10;## [1] 5.5&#10;## &#10;## $b&#10;## [1] 15.5&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;综上，rapply函数的输出结果取决于函数和how参数。当how=&amp;ldquo;list&amp;quot;时，数据的原始结构被保留，否则，输出结果被转化为vector。&lt;/p&gt;&#10;&lt;p&gt;当然，看官还可以将classes函数传递给rapply函数。例如在混合型list中，可以通过classes=numeric，是的函数子对数字型元素进行操作。&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;tapply&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;帮助文档的描述：&lt;/p&gt;&#10;&#10; &lt;blockquote&gt;&#10; &lt;p&gt;“Apply a function to each cell of a ragged array, that is to each (non-empty) group of values given by a unique combination of the levels of certain factors.”&lt;/p&gt;&#10;&#10; &lt;/blockquote&gt;&#10;&lt;p&gt;语焉不详。翻译一下大概是：&lt;/p&gt;&#10;&lt;p&gt;“tapply(X, INDEX, FUN = NULL, &amp;hellip;, simplify = TRUE)”中的“X”是&#10;“an atomic object, typically a vector.”，而“INDEX”是“list of factors, each of same length as X. The elements are coerced to factors by as.factor.”&lt;/p&gt;&#10;&lt;p&gt;依然以iris数据集为例示范一下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;attach(iris)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from iris (pos = 3):&#10;## &#10;## Petal.Length, Petal.Width, Sepal.Length, Sepal.Width, Species&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#根据sprcies进行分类，计算petal的均值&#10;tapply(iris$Petal.Length,Species,mean)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## setosa versicolor virginica &#10;## 1.462 4.260 5.552&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;简短的总结：&lt;/p&gt;&#10;&lt;p&gt;这里给出的都是极其简单的例子，基于最简单的数据，和最简单的函数。因为对于每一个操作而言，看官都可查看数据的操作前状态和操作后状态，这样便于看官知道，操作到底对数据干了什么事情。&lt;/p&gt;&#10;&lt;p&gt;当然了，apply函数的功能不限于文中介绍的这些，进一步的功用期待看官自己去挖掘。&lt;/p&gt;&#10;&lt;p&gt;给出几个使用apply函数的建议，在使用之前应当思考：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;原始数据是什么类型？vector?matrix?data frame?&amp;hellip;.&lt;/li&gt;&#10;&lt;li&gt;想对原始数据的哪些子集进行操作？行?列？所有元素？&amp;hellip;.&lt;/li&gt;&#10;&lt;li&gt;操作将返回什么结果？原始数据的结构是如何变化的？&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;只是一个老生常谈的关于“输入——操作——输出”的故事：你有什么？你想要什么？两者之间需要什么？&lt;/p&gt;&#10;</description></item><item><title>非线性模型极大似然估计方法</title><link>https://gewutang.cn/2011/09/13/max-likelyho/</link><pubDate>Tue, 13 Sep 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/09/13/max-likelyho/</guid><description>&lt;h2 id="一模型设定与概率框架"&gt;&lt;a href="#%e4%b8%80%e6%a8%a1%e5%9e%8b%e8%ae%be%e5%ae%9a%e4%b8%8e%e6%a6%82%e7%8e%87%e6%a1%86%e6%9e%b6" class="header-anchor"&gt;&lt;/a&gt;一、模型设定与概率框架&#10;&lt;/h2&gt;&lt;p&gt;设非线性生产函数形式为：&#10;$$&#10;y_i = aL_i^bK_i^c + \epsilon_i \quad (i=1,&amp;hellip;,n)&#10;$$&#10;其中误差项 &lt;code&gt;\(\epsilon_i \sim N(0,\sigma^2)\)&lt;/code&gt;，则观测值 &lt;code&gt;\(y_i\)&lt;/code&gt; 服从均值为 &lt;code&gt;\(aL_i^bK_i^c\)&lt;/code&gt;、方差为 &lt;code&gt;\(\sigma^2\)&lt;/code&gt; 的正态分布。&lt;/p&gt;&#10;&lt;h2 id="二似然函数构建"&gt;&lt;a href="#%e4%ba%8c%e4%bc%bc%e7%84%b6%e5%87%bd%e6%95%b0%e6%9e%84%e5%bb%ba" class="header-anchor"&gt;&lt;/a&gt;二、似然函数构建&#10;&lt;/h2&gt;&lt;h3 id="1-联合概率密度函数"&gt;&lt;a href="#1-%e8%81%94%e5%90%88%e6%a6%82%e7%8e%87%e5%af%86%e5%ba%a6%e5%87%bd%e6%95%b0" class="header-anchor"&gt;&lt;/a&gt;1. 联合概率密度函数&#10;&lt;/h3&gt;&lt;p&gt;$$&#10;L(a,b,c,\sigma) = \prod_{i=1}^n \frac{1}{\sqrt{2\pi\sigma^2}} \exp\left[ -\frac{(y_i-aL_i^bK_i^c)^2}{2\sigma^2} \right]&#10;$$&lt;/p&gt;&#10;&lt;h3 id="2-负对数似然函数目标函数"&gt;&lt;a href="#2-%e8%b4%9f%e5%af%b9%e6%95%b0%e4%bc%bc%e7%84%b6%e5%87%bd%e6%95%b0%e7%9b%ae%e6%a0%87%e5%87%bd%e6%95%b0" class="header-anchor"&gt;&lt;/a&gt;2. 负对数似然函数（目标函数）&#10;&lt;/h3&gt;&lt;p&gt;$$&#10;\ell(a,b,c,\sigma) = -\ln L = \frac{n}{2}\ln(2\pi) + n\ln\sigma + \frac{1}{2\sigma^2}\sum_{i=1}^n (y_i - aL_i^bK_i^c)^2&#10;$$&lt;/p&gt;&#10;&lt;h2 id="三参数估计流程"&gt;&lt;a href="#%e4%b8%89%e5%8f%82%e6%95%b0%e4%bc%b0%e8%ae%a1%e6%b5%81%e7%a8%8b" class="header-anchor"&gt;&lt;/a&gt;三、参数估计流程&#10;&lt;/h2&gt;&lt;h3 id="1-数据处理与准备"&gt;&lt;a href="#1-%e6%95%b0%e6%8d%ae%e5%a4%84%e7%90%86%e4%b8%8e%e5%87%86%e5%a4%87" class="header-anchor"&gt;&lt;/a&gt;1. 数据处理与准备&#10;&lt;/h3&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 导入数据&#10;data &amp;lt;- data.frame(&#10; y = c(76,47,97,107,123,139,159,152,191,201,207,200),&#10; L = c(0.02,0.02,0.06,0.06,0.11,0.11,0.22,0.22,0.56,0.56,1.10,1.10),&#10; K = c(1.1,0.9,2.3,2.1,3.4,3.6,4.5,4.3,5.8,6.0,7.2,7.0)&#10;)&#10;&#10;# 定义负对数似然函数&#10;mloglik &amp;lt;- function(theta) {&#10; a &amp;lt;- theta[1]&#10; b &amp;lt;- theta[2]&#10; c &amp;lt;- theta[3]&#10; sigma &amp;lt;- theta[4]&#10; &#10; y_pred &amp;lt;- a * data$L^b * data$K^c&#10; residuals &amp;lt;- data$y - y_pred&#10; n &amp;lt;- length(data$y)&#10; &#10; # 避免\sigma 趋近于零&#10; if(sigma &amp;lt;= 0) return(1e10)&#10; &#10; (n/2)*log(2*pi) + n*log(sigma) + sum(residuals^2)/(2*sigma^2)&#10;}&#10;&#10;# 采用线性化方法获取初始值&#10;log_model &amp;lt;- lm(log(y) ~ log(L) + log(K), data = data)&#10;theta_init &amp;lt;- c(&#10; exp(coef(log_model)[1]),&#10; coef(log_model)[2],&#10; coef(log_model)[3],&#10; sd(resid(log_model))&#10;)&#10;&#10;# 优化求解&#10;fit &amp;lt;- nlm(mloglik, theta_init, hessian = TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in nlm(mloglik, theta_init, hessian = TRUE): NA/NaN replaced by maximum&#10;## positive value&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in nlm(mloglik, theta_init, hessian = TRUE): Inf replaced by maximum&#10;## positive value&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 提取估计结果&#10;params &amp;lt;- fit$estimate&#10;names(params) &amp;lt;- c(&amp;quot;a&amp;quot;, &amp;quot;b&amp;quot;, &amp;quot;c&amp;quot;, &amp;quot;sigma&amp;quot;)&#10;params&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## a b c sigma &#10;## 55.45620820 -0.02273718 0.67704166 7.67493891&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>NASDAQ有泡沫吗</title><link>https://gewutang.cn/2011/09/06/demo-about-lppl/</link><pubDate>Tue, 06 Sep 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/09/06/demo-about-lppl/</guid><description>&lt;h2 id="lppl模型是什么"&gt;&lt;a href="#lppl%e6%a8%a1%e5%9e%8b%e6%98%af%e4%bb%80%e4%b9%88" class="header-anchor"&gt;&lt;/a&gt;LPPL模型是什么&#10;&lt;/h2&gt;&lt;p&gt;LPPL（对数周期性幂律）模型是由Didier Sornette等学者提出的金融市场泡沫检测模型，用于识别资产价格在崩盘前的非线性加速增长模式。该模型结合了幂律增长和对数周期性振荡，被广泛应用于金融泡沫预警和临界点预测。&lt;/p&gt;&#10;&lt;p&gt;模型的核心是资产价格演化方程：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\ln p(t) = A + B(t_c - t)^\beta \left[1 + C\cos\left(\omega \ln(t_c - t) + \phi\right)\right]&#10;$$&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;code&gt;\(t_c\)&lt;/code&gt; 是临界时间（预测的崩盘时间）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\beta\)&lt;/code&gt; 是幂律指数&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\omega\)&lt;/code&gt; 是振荡频率（典型值5-15）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(C\)&lt;/code&gt; 是振荡幅度&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\phi\)&lt;/code&gt; 是相位参数&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;其中： &lt;code&gt;\(0 \lt \beta \lt 1\)&lt;/code&gt;&lt;/p&gt;&#10;&lt;p&gt;LPPL模型具有如下特征：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;价格加速增长&#10;&lt;ul&gt;&#10;&lt;li&gt;幂律项 &lt;code&gt;\((t_c - t)^\beta\)&lt;/code&gt; 描述价格超指数增长。&lt;/li&gt;&#10;&lt;li&gt;典型泡沫阶段 &lt;code&gt;\(\beta \in (0,1)\)&lt;/code&gt;，反映增长速率随时间递增。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;对数周期振荡&#10;&lt;ul&gt;&#10;&lt;li&gt;其中 &lt;code&gt;\(cos\left[\omega\ln\left(t_{c}-t\right)\right]\)&lt;/code&gt; 反映投资者博弈产生的离散尺度不变性。&lt;/li&gt;&#10;&lt;li&gt;震荡幅度随 &lt;code&gt;\(t\to t_{c}\)&lt;/code&gt; 增大，体现市场分歧加剧。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;临界时间特性&#10;&lt;ul&gt;&#10;&lt;li&gt;当 &lt;code&gt;\(t\to t_{c}\)&lt;/code&gt; 时模型预测系统失稳。&lt;/li&gt;&#10;&lt;li&gt;实际崩盘可能发生在 &lt;code&gt;\(t_{c}\)&lt;/code&gt; 前6个月内。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h2 id="拟合模型"&gt;&lt;a href="#%e6%8b%9f%e5%90%88%e6%a8%a1%e5%9e%8b" class="header-anchor"&gt;&lt;/a&gt;拟合模型&#10;&lt;/h2&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载依赖包&#10;library(quantmod)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(DEoptim)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：parallel&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## DEoptim package&#10;## Differential Evolution algorithm in R&#10;## Authors: D. Ardia, K. Mullen, B. Peterson and J. Ulrich&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(ggplot2)&#10;&#10;# 获取纳斯达克指数数据（2010-01-01至2011-08-30）&#10;getSymbols(&amp;quot;^IXIC&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = &amp;quot;2010-01-01&amp;quot;, to = &amp;quot;2011-08-30&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;IXIC&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;nasdaq &amp;lt;- data.frame(&#10; t = 1:nrow(IXIC), &#10; ln_p = log(Ad(IXIC))&#10;)&#10;&#10;colnames(nasdaq)=c(&amp;quot;t&amp;quot;,&amp;quot;ln_p&amp;quot;)&#10;# 数据降噪（7日移动平均）&#10;nasdaq$ln_p_smooth &amp;lt;- stats::filter(nasdaq$ln_p, rep(1/7, 7), sides = 2)&#10;nasdaq &amp;lt;- na.omit(nasdaq) # 剔除NA值&#10;&#10;&#10;# 定义LPPL模型函数&#10;lppl_model &amp;lt;- function(params, t) {&#10; A &amp;lt;- params[&amp;quot;A&amp;quot;]; B &amp;lt;- params[&amp;quot;B&amp;quot;]; tc &amp;lt;- params[&amp;quot;tc&amp;quot;]&#10; beta &amp;lt;- params[&amp;quot;beta&amp;quot;]; C &amp;lt;- params[&amp;quot;C&amp;quot;]; omega &amp;lt;- params[&amp;quot;omega&amp;quot;]; phi &amp;lt;- params[&amp;quot;phi&amp;quot;]&#10; term &amp;lt;- pmax(tc - t, 1e-6) # 防止出现负数&#10; A + B * term^beta + C * term^beta * cos(omega * log(term) + phi)&#10;}&#10;&#10;# 定义损失函数（均方误差）&#10;loss &amp;lt;- function(params) {&#10; pred &amp;lt;- lppl_model(params, nasdaq$t)&#10; if (any(is.na(pred))) return(Inf)&#10; mean((pred - nasdaq$ln_p_smooth)^2, na.rm = TRUE)&#10;}&#10;&#10;# 参数约束范围&#10;lower &amp;lt;- c(&#10; A = min(nasdaq$ln_p_smooth), &#10; B = -2, &#10; tc = max(nasdaq$t) + 1, &#10; beta = 0.01, &#10; C = 0, &#10; omega = 6, &#10; phi = 0&#10;)&#10;&#10;upper &amp;lt;- c(&#10; A = max(nasdaq$ln_p_smooth), &#10; B = 0, &#10; tc = max(nasdaq$t) * 1.2, &#10; beta = 0.99, &#10; C = 0.5, &#10; omega = 13, &#10; phi = 2 * pi&#10;)&#10;&#10;&#10;# 全局优化（差分进化算法）&#10;set.seed(123)&#10;de_result &amp;lt;- DEoptim(&#10; fn = loss, &#10; lower = lower, &#10; upper = upper, &#10; control = list(&#10; itermax = 500, &#10; NP = 100, &#10; trace = FALSE&#10; )&#10;)&#10;&#10;# 局部优化（L-BFGS-B）&#10;final_params &amp;lt;- optim(&#10; de_result$optim$bestmem, &#10; fn = loss, &#10; method = &amp;quot;L-BFGS-B&amp;quot;,&#10; lower = lower, &#10; upper = upper&#10;)$par&#10;&#10;# 输出参数估计结果&#10;cat(&amp;quot;LPPL模型参数估计结果：\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## LPPL模型参数估计结果：&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;print(round(final_params, 4))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## A B tc beta C omega phi &#10;## 7.9574 -0.0009 459.8781 0.9167 0.0000 7.7609 5.3808&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h2 id="结果解读"&gt;&lt;a href="#%e7%bb%93%e6%9e%9c%e8%a7%a3%e8%af%bb" class="header-anchor"&gt;&lt;/a&gt;结果解读&#10;&lt;/h2&gt;&lt;p&gt;从模型结果可以看出：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;临界时间：$t_c$若输出值为&lt;code&gt; round(final_params,4)$tc&lt;/code&gt;，需结合市场背景评估泡沫风险；&lt;/li&gt;&#10;&lt;li&gt;震荡频率：$\omega$介于6-13区间符合典型泡沫特征；&lt;/li&gt;&#10;&lt;li&gt;衰减指数: &lt;code&gt;\(\beta\)&lt;/code&gt; 接近&lt;code&gt; round(final_params,4)$beta&lt;/code&gt;表明价格波动趋于临界点时分歧加大。&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h2 id="模型结果可视化"&gt;&lt;a href="#%e6%a8%a1%e5%9e%8b%e7%bb%93%e6%9e%9c%e5%8f%af%e8%a7%86%e5%8c%96" class="header-anchor"&gt;&lt;/a&gt;模型结果可视化&#10;&lt;/h2&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 生成预测值&#10;nasdaq$pred &amp;lt;- lppl_model(final_params, nasdaq$t)&#10;&#10;# 绘制拟合曲线&#10;ggplot(nasdaq, aes(x = t)) +&#10; geom_line(aes(y = ln_p, color = &amp;quot;原始对数价格&amp;quot;), alpha = 0.5) +&#10; geom_line(aes(y = ln_p_smooth, color = &amp;quot;平滑序列&amp;quot;), linetype = &amp;quot;dashed&amp;quot;) +&#10; geom_line(aes(y = pred, color = &amp;quot;LPPL拟合&amp;quot;), linewidth = 1) +&#10; scale_color_manual(values = c(&amp;quot;原始对数价格&amp;quot; = &amp;quot;grey&amp;quot;, &amp;quot;平滑序列&amp;quot; = &amp;quot;blue&amp;quot;, &amp;quot;LPPL拟合&amp;quot; = &amp;quot;red&amp;quot;)) +&#10; labs(&#10; title = &amp;quot;纳斯达克指数LPPL模型拟合效果（2020-2025）&amp;quot;,&#10; x = &amp;quot;交易日序数&amp;quot;, &#10; y = &amp;quot;对数价格&amp;quot;&#10; ) +&#10; theme_minimal() +&#10; theme(legend.position = &amp;quot;top&amp;quot;, plot.title = element_text(hjust = 0.5))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/09/06/demo-about-lppl/index_files/figure-html/unnamed-chunk-2-1.png" width="672" /&gt;&#10;</description></item><item><title>R语言绘制维恩图</title><link>https://gewutang.cn/2011/08/27/venn/</link><pubDate>Sat, 27 Aug 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/08/27/venn/</guid><description>&lt;p&gt;很久之前整理的关于R绘制维恩图的资料，虽然，用R绘制维恩图并不是很常见，还是记下一笔，以备需要者参考。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# Gplots包&#10;library(gplots)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'gplots'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:stats':&#10;## &#10;## lowess&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;A&amp;lt;- 1:20&#10;B&amp;lt;- 1:20&#10;C&amp;lt;- 2:20&#10;D&amp;lt;- 3:21&#10;&#10;input&amp;lt;-list(A,B,C,D)&#10;input&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [[1]]&#10;## [1] 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20&#10;## &#10;## [[2]]&#10;## [1] 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20&#10;## &#10;## [[3]]&#10;## [1] 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20&#10;## &#10;## [[4]]&#10;## [1] 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;venn(input)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;A&amp;lt;- as.logical(rbinom(100, 1, 0.2))&#10;B&amp;lt;- as.logical(rbinom(100, 1, 0.7))&#10;C&amp;lt;- as.logical(rbinom(100, 1, 0.2))&#10;D&amp;lt;- as.logical(rbinom(100, 1, 0.1))&#10;&#10;input&amp;lt;-data.frame(A,B,C,D)&#10;venn(input)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;tmp &amp;lt;- venn(input, simplify=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in drawVennDiagram(data = counts, small = small, showSetLogicLabel = showSetLogicLabel, : Not shown: 0101 contains 2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-3.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;tmp&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## num A B C D&#10;## 0000 0 0 0 0 0&#10;## 0001 1 0 0 0 1&#10;## 0010 4 0 0 1 0&#10;## 0011 0 0 0 1 1&#10;## 0100 36 0 1 0 0&#10;## 0101 2 0 1 0 1&#10;## 0110 6 0 1 1 0&#10;## 0111 1 0 1 1 1&#10;## 1000 5 1 0 0 0&#10;## 1001 0 1 0 0 1&#10;## 1010 0 1 0 1 0&#10;## 1011 1 1 0 1 1&#10;## 1100 15 1 1 0 0&#10;## 1101 1 1 1 0 1&#10;## 1110 6 1 1 1 0&#10;## 1111 1 1 1 1 1&#10;## attr(,&amp;quot;intersections&amp;quot;)&#10;## attr(,&amp;quot;intersections&amp;quot;)$A&#10;## [1] &amp;quot;18&amp;quot; &amp;quot;29&amp;quot; &amp;quot;32&amp;quot; &amp;quot;54&amp;quot; &amp;quot;58&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$B&#10;## [1] &amp;quot;12&amp;quot; &amp;quot;14&amp;quot; &amp;quot;19&amp;quot; &amp;quot;22&amp;quot; &amp;quot;28&amp;quot; &amp;quot;30&amp;quot; &amp;quot;34&amp;quot; &amp;quot;36&amp;quot; &amp;quot;40&amp;quot; &amp;quot;43&amp;quot; &amp;quot;45&amp;quot; &amp;quot;46&amp;quot; &#10;## [13] &amp;quot;51&amp;quot; &amp;quot;52&amp;quot; &amp;quot;53&amp;quot; &amp;quot;57&amp;quot; &amp;quot;60&amp;quot; &amp;quot;66&amp;quot; &amp;quot;67&amp;quot; &amp;quot;68&amp;quot; &amp;quot;69&amp;quot; &amp;quot;70&amp;quot; &amp;quot;73&amp;quot; &amp;quot;75&amp;quot; &#10;## [25] &amp;quot;76&amp;quot; &amp;quot;77&amp;quot; &amp;quot;78&amp;quot; &amp;quot;80&amp;quot; &amp;quot;81&amp;quot; &amp;quot;87&amp;quot; &amp;quot;88&amp;quot; &amp;quot;89&amp;quot; &amp;quot;92&amp;quot; &amp;quot;94&amp;quot; &amp;quot;98&amp;quot; &amp;quot;100&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$C&#10;## [1] &amp;quot;6&amp;quot; &amp;quot;10&amp;quot; &amp;quot;33&amp;quot; &amp;quot;84&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$D&#10;## [1] &amp;quot;79&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`A:B`&#10;## [1] &amp;quot;2&amp;quot; &amp;quot;5&amp;quot; &amp;quot;9&amp;quot; &amp;quot;13&amp;quot; &amp;quot;17&amp;quot; &amp;quot;21&amp;quot; &amp;quot;25&amp;quot; &amp;quot;26&amp;quot; &amp;quot;27&amp;quot; &amp;quot;38&amp;quot; &amp;quot;39&amp;quot; &amp;quot;44&amp;quot; &amp;quot;49&amp;quot; &amp;quot;50&amp;quot; &amp;quot;56&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`B:C`&#10;## [1] &amp;quot;20&amp;quot; &amp;quot;71&amp;quot; &amp;quot;72&amp;quot; &amp;quot;82&amp;quot; &amp;quot;83&amp;quot; &amp;quot;97&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`B:D`&#10;## [1] &amp;quot;62&amp;quot; &amp;quot;63&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`A:B:C`&#10;## [1] &amp;quot;3&amp;quot; &amp;quot;11&amp;quot; &amp;quot;47&amp;quot; &amp;quot;74&amp;quot; &amp;quot;85&amp;quot; &amp;quot;95&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`A:B:D`&#10;## [1] &amp;quot;96&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`A:C:D`&#10;## [1] &amp;quot;7&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`B:C:D`&#10;## [1] &amp;quot;23&amp;quot;&#10;## &#10;## attr(,&amp;quot;intersections&amp;quot;)$`A:B:C:D`&#10;## [1] &amp;quot;37&amp;quot;&#10;## &#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;venn&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;venn(input, showSetLogicLabel=TRUE)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-4.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# asbio包&#10;library(asbio)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：tcltk&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Venn(A=.3,B=.2,AandB=.06)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-5.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# limma包&#10;# install.packages(&amp;quot;BiocManager&amp;quot;)&#10;# BiocManager::install(&amp;quot;limma&amp;quot;)&#10;library(limma)&#10;Y &amp;lt;- matrix(rnorm(100*6),100,6)&#10;Y[1:10,3:4] &amp;lt;- Y[1:10,3:4]+3&#10;Y[1:20,5:6] &amp;lt;- Y[1:20,5:6]+3&#10;design &amp;lt;- cbind(1,c(0,0,1,1,0,0),c(0,0,0,0,1,1))&#10;fit &amp;lt;- eBayes(lmFit(Y,design))&#10;results &amp;lt;- decideTests(fit)&#10;a &amp;lt;- vennCounts(results)&#10;print(a)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## x1 x2 x3 Counts&#10;## 1 0 0 0 88&#10;## 2 0 0 1 8&#10;## 3 0 1 0 0&#10;## 4 0 1 1 4&#10;## 5 1 0 0 0&#10;## 6 1 0 1 0&#10;## 7 1 1 0 0&#10;## 8 1 1 1 0&#10;## attr(,&amp;quot;class&amp;quot;)&#10;## [1] &amp;quot;VennCounts&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;vennDiagram(a)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-6.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;vennDiagram(results,include=c(&amp;quot;up&amp;quot;,&amp;quot;down&amp;quot;),counts.col=c(&amp;quot;red&amp;quot;,&amp;quot;green&amp;quot;))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-7.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# venneuler包&#10;&#10;library(venneuler)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：rJava&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;vd &amp;lt;- venneuler(c(A=0.3, B=0.3, C=1.1, &amp;quot;A&amp;amp;B&amp;quot;=0.1, &amp;quot;A&amp;amp;C&amp;quot;=0.2, &amp;quot;B&amp;amp;C&amp;quot;=0.1 ,&amp;quot;A&amp;amp;B&amp;amp;C&amp;quot;=0.1))&#10;&#10;plot(vd)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-8.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;m &amp;lt;- data.frame(elements=c(&amp;quot;1&amp;quot;,&amp;quot;2&amp;quot;,&amp;quot;2&amp;quot;,&amp;quot;2&amp;quot;,&amp;quot;3&amp;quot;),sets=c(&amp;quot;A&amp;quot;,&amp;quot;A&amp;quot;,&amp;quot;B&amp;quot;,&amp;quot;C&amp;quot;,&amp;quot;C&amp;quot;))&#10; &#10;v &amp;lt;- venneuler(m)&#10;&#10;plot(v)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-9.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;m &amp;lt;- as.matrix(data.frame(A=c(1.5, 0.2, 0.4, 0, 0),B=c(0, 0.2, 0, 1, 0), C=c(0, 0, 0.3, 0, 1)))&#10;&#10;v &amp;lt;- venneuler(m &amp;gt; 0)&#10;&#10;plot(v)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-10.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;v &amp;lt;- venneuler(m)&#10;&#10;plot(v)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-11.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# Vennerable包&#10;&#10;# BiocManager::install(&amp;quot;graph&amp;quot;)&#10;# BiocManager::install(&amp;quot;RBGL&amp;quot;)&#10;# BiocManager::install(&amp;quot;reshape&amp;quot;)&#10;# install.packages(&amp;quot;Vennerable&amp;quot;, repos=&amp;quot;http://R-Forge.R-project.org&amp;quot;)&#10;&#10;library(Vennerable)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：graph&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：BiocGenerics&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：generics&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'generics'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.difftime, as.factor, as.ordered, intersect, is.element, setdiff,&#10;## setequal, union&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'BiocGenerics'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:rJava':&#10;## &#10;## anyDuplicated, duplicated, unique&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:limma':&#10;## &#10;## plotMA&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:stats':&#10;## &#10;## IQR, mad, sd, var, xtabs&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## anyDuplicated, aperm, append, as.data.frame, basename, cbind,&#10;## colnames, dirname, do.call, duplicated, eval, evalq, Filter, Find,&#10;## get, grep, grepl, is.unsorted, lapply, Map, mapply, match, mget,&#10;## order, paste, pmax, pmax.int, pmin, pmin.int, Position, rank,&#10;## rbind, Reduce, rownames, sapply, saveRDS, table, tapply, unique,&#10;## unsplit, which.max, which.min&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：RBGL&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：grid&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：lattice&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：RColorBrewer&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：reshape&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：gtools&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：xtable&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'Vennerable'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:asbio':&#10;## &#10;## Venn&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Venn(n=3)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## A Venn object on 3 sets named&#10;## 1,2,3 &#10;## 000 100 010 110 001 101 011 111 &#10;## 1 1 1 1 1 1 1 1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(Venn(n=3))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-12.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;data(StemCell)&#10;w &amp;lt;- Venn(Sets=StemCell[1:2])&#10;Weights(w)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 00 10 01 11 &#10;## 0 219 875 404&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot(w)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-13.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;Weights(w) &amp;lt;- 1:4&#10;plot(w)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/08/27/venn/index_files/figure-html/unnamed-chunk-1-14.png" width="672" /&gt;&#10;</description></item><item><title>R与量化投资分析入门书单（更新....）</title><link>https://gewutang.cn/2011/05/31/books-on-quantative-investment/</link><pubDate>Tue, 31 May 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/05/31/books-on-quantative-investment/</guid><description>&lt;ul&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;David Ruppert：Statistics and Data Analysis for Financial Engineering&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;Stefano M. Iacus：Option Pricing and Estimation of Financial Models with R&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;Jon Danielsson：Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;Ngai Hang Chan：Time Series: Applications to Finance with R and S-Plus(R)&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;</description></item><item><title>在时间序列的线图上添加垂线</title><link>https://gewutang.cn/2011/05/08/add-vertical-lines-to-timeseries-plot/</link><pubDate>Sun, 08 May 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/05/08/add-vertical-lines-to-timeseries-plot/</guid><description>&lt;pre&gt;&lt;code class="language-r"&gt;library(xts)&#10;v &amp;lt;- vector()&#10;v[1] &amp;lt;- 10&#10;for(i in 2:100){&#10; v[i] &amp;lt;- v[i-1]+rnorm(1, 0, 0.01)&#10;}&#10;X &amp;lt;- xts(v, seq(as.Date(&amp;quot;2009-01-01&amp;quot;), by=&amp;quot;day&amp;quot;, length.out=100))&#10;plot.xts(X)&#10;# abline(v=X[50,]) #不行&#10;# abline(v=50) #不行&#10;# abline(v=index(X)[50]) #不行&#10;abline(v =.index(X)[50],col=&amp;quot;red&amp;quot;) #不行&#10;abline(v = (.index(X)[30]), col = &amp;quot;blue&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>R与时间序列的平稳性</title><link>https://gewutang.cn/2011/01/09/r-and-the-stationary-of-time-series/</link><pubDate>Sun, 09 Jan 2011 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2011/01/09/r-and-the-stationary-of-time-series/</guid><description>&lt;p&gt;“协整”算是计量经济学里面的明星概念，不了解计量经济学的人很容易被它笼罩的计量经济学光环给吓到。但事实上，协整并不神秘，是平易近人。&lt;/p&gt;&#10;&lt;p&gt;要了解“协整”，首先得提到一个名词——平稳。&lt;/p&gt;&#10;&lt;h2 id="什么是平稳时间序列"&gt;&lt;a href="#%e4%bb%80%e4%b9%88%e6%98%af%e5%b9%b3%e7%a8%b3%e6%97%b6%e9%97%b4%e5%ba%8f%e5%88%97" class="header-anchor"&gt;&lt;/a&gt;什么是平稳时间序列&#10;&lt;/h2&gt;&lt;p&gt;金融领域有很多类型的时间序列，学者们为了研究的方便通常会对这些时间序列进行分类。比如，按照时间序列数据产生时间间隔的长短分为高频时间序列和非高频时间序列。按照时间序列的平稳性与否，便可以将时间序列分为平稳的时间序列和非平稳的时间序列。&lt;/p&gt;&#10;&lt;p&gt;判断某个时间序列平稳与否主要看一下三点：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;时间序列（随机过程）的均值是否是常数?或者说时间序列（随机过程）的均值是不是跟时间无关？如果不是常数则该时间序列是非平稳的；如果是常数，则该时间序列可能是平稳的，但不肯定，须进入第二步。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;时间序列（随机过程）的方差是否是常数？或者说时间序列（随机过程）的方差是不是跟时间无关？如果不是常数则该时间序列是非平稳的；如果是常数，则该时间序列可能是平稳的，但不肯定，须进入第三步。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;li&gt;&#10;&lt;p&gt;任意两个时期的时间序列之间的协方差是否仅仅依赖于两个时间序列的时间间隔。&lt;/p&gt;&#10;&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;p&gt;如果一个时间序列同时满足上述三个条件，那么，该时间序列就是平稳的。&lt;/p&gt;&#10;&lt;p&gt;由于均值、方差和协方差可以被统一的成为统计特性，因此也可以说如果时间序列的统计特性不随着时间的推移而发生变化，则说明时间序列是平稳的。&lt;/p&gt;&#10;&lt;p&gt;平稳时间序列还可以进一步细分。根据平稳时间序列进行差分的次数，可以将平稳时间序列分为不同阶的平稳时间序列。如果一个时间序列本身是平稳的，那么该时间序列可被记作I(0),括号里面的0表示该时间序列没有进行差分。如果一个时间序列一阶差分之后平稳，那么可被记作I(1),以此类推。&lt;/p&gt;&#10;&lt;h2 id="平稳性的检验"&gt;&lt;a href="#%e5%b9%b3%e7%a8%b3%e6%80%a7%e7%9a%84%e6%a3%80%e9%aa%8c" class="header-anchor"&gt;&lt;/a&gt;平稳性的检验&#10;&lt;/h2&gt;&lt;p&gt;在应用过程中，时间序列的平稳性的判断要简单的多。常用的判断时间序列平稳性的方法有两个：图示法和单位根检验法。&lt;/p&gt;&#10;&lt;p&gt;图示法，顾名思义，就是画出时间序列的时序图，来目测时间序列是否平稳。如果画出的时间序列不存在明显的趋势，那么时间序列可能是平稳的。这个方法比较随意和主观，因此，只能作为辅助判断的手段。&lt;/p&gt;&#10;&lt;p&gt;单位根检验法是一个理论基础扎实的判断手段，单位根检验的方法非常多，一般常用的有DF检验(Dickey-Fuller Test)，ADF检验(Augmented Dickey-Fuller Test)和PP检验(Phillips-Perron Test)。这三个检验的理论基础在这里不讲,因为除却数理统计的专业人员，大部分人都不必深究这些理论，现实中只要懂得这些检验用软件的实现方法就可以了。&lt;/p&gt;&#10;&lt;p&gt;下面以R为例：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;#生成两个时间序列：&#10;&#10;x=rnorm(500); #没有单位根&#10;&#10;y=cumsum(x); #有单位根&#10;&#10;# 绘制时序图&#10;&#10;plot.ts(x);&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/01/09/r-and-the-stationary-of-time-series/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;plot.ts(y);&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2011/01/09/r-and-the-stationary-of-time-series/index_files/figure-html/unnamed-chunk-1-2.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# DF.test检验&#10;&#10;library(tseries) #载入tseries包&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;adf.test(x)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in adf.test(x): p-value smaller than printed p-value&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &#9;Augmented Dickey-Fuller Test&#10;## &#10;## data: x&#10;## Dickey-Fuller = -7.863, Lag order = 7, p-value = 0.01&#10;## alternative hypothesis: stationary&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;P值等于0.01，拒绝x是原假设（原假设为非平稳），即可以认为x是平稳的。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;adf.test(y)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &#9;Augmented Dickey-Fuller Test&#10;## &#10;## data: y&#10;## Dickey-Fuller = -2.6979, Lag order = 7, p-value = 0.2829&#10;## alternative hypothesis: stationary&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;P值等于0.303，因此y是非平稳的。&lt;/p&gt;&#10;&lt;p&gt;还可以用urca包中的ur.df()函数来完成上述过程：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# install.packages('urca') #安装urca包&#10;&#10;library(urca)#载入urca包&#10;&#10;?ur.df#查看ur.df()函数的帮助文档&#10;&#10;#用uroot包中的ADF.test()函数来完成上述过程&#10;&#10;# install.packages('uroot') #没有安装的话&#10;&#10;library(uroot) #载入uroot包&#10;?ADF.test#查看ADF.test()函数的帮助文档&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 在指定的程序包和图书馆里没有与'ADF.test'有关的文档:&#10;## 你可以用用'??ADF.test'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h2 id="pp检验"&gt;&lt;a href="#pp%e6%a3%80%e9%aa%8c" class="header-anchor"&gt;&lt;/a&gt;PP检验&#10;&lt;/h2&gt;&lt;pre&gt;&lt;code class="language-r"&gt;library(tseries)&#10;&#10;pp.test(x)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning in pp.test(x): p-value smaller than printed p-value&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &#9;Phillips-Perron Unit Root Test&#10;## &#10;## data: x&#10;## Dickey-Fuller Z(alpha) = -513.04, Truncation lag parameter = 5, p-value&#10;## = 0.01&#10;## alternative hypothesis: stationary&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;P值等于0.01，拒绝x为非平稳序列的假设。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;pp.test(y)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## &#9;Phillips-Perron Unit Root Test&#10;## &#10;## data: y&#10;## Dickey-Fuller Z(alpha) = -15.795, Truncation lag parameter = 5, p-value&#10;## = 0.2286&#10;## alternative hypothesis: stationary&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;P值等于0.2056，不能拒绝x是非平稳序列的假设，即x非平稳。&lt;/p&gt;&#10;&lt;p&gt;也可以用stats包中的PP.test()函数来完成PP检验。&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;?PP.test#查看PP.test()函数的帮助文档&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>基于混合正态分布的 VaR 计算</title><link>https://gewutang.cn/2010/12/21/var-mixture-of-norms/</link><pubDate>Tue, 21 Dec 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/12/21/var-mixture-of-norms/</guid><description>&#10;&#10;&#10;&lt;div id="一引言" class="section level1"&gt;&#10;&lt;h1&gt;一、引言&lt;/h1&gt;&#10;&lt;p&gt;风险价值（Value at Risk, 简称 VaR ）是金融风险管理中衡量市场风险的核心指标，其定义为：在一定置信水平下，某一金融资产或组合在未来特定时间段内可能遭受的最大潜在损失。传统 VaR 计算多假设资产收益率服从正态分布，但实际金融时间序列往往呈现 “尖峰厚尾” 特性（峰度高于正态分布，尾部概率更大），导致正态分布假设下的 VaR 低估尾部风险。&lt;/p&gt;&#10;&lt;p&gt;混合正态模型（Mixture of Normals Model）通过将收益率分布拟合为多个正态分布的加权组合，能够有效捕捉尖峰厚尾特征，从而更精准地估计 VaR。&lt;/p&gt;&#10;&lt;p&gt;本文详细介绍混合正态模型的构建、参数估计及 VaR 计算方法，并通过 R 语言进行实现。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="二混合正态模型理论模型定义" class="section level1"&gt;&#10;&lt;h1&gt;二、混合正态模型理论模型定义&lt;/h1&gt;&#10;&lt;p&gt;假设金融资产收益率X服从两成分混合正态分布，其概率密度函数（PDF）为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;f(x; \Theta) = \alpha \cdot \phi(x; \mu_1, \sigma_1^2) + (1-\alpha) \cdot \phi(x; \mu_2, \sigma_2^2) \tag{1}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;其中：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math inline"&gt;\(\Theta = (\alpha, \mu_1, \sigma_1^2, \mu_2, \sigma_2^2)\)&lt;/span&gt; 为待估参数；&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math inline"&gt;\(\alpha \in (0,1)\)&lt;/span&gt; 是第一成分的权重；&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math inline"&gt;\(\phi(x; \mu, \sigma^2) = \frac{1}{\sqrt{2\pi}\sigma} \exp\left(-\frac{(x-\mu)^2}{2\sigma^2}\right)\)&lt;/span&gt; 为正态分布密度函数；&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math inline"&gt;\(\mu_1\)&lt;/span&gt; , &lt;span class="math inline"&gt;\(\mu_2\)&lt;/span&gt; 分别为两成分的均值；&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math inline"&gt;\(\sigma_1^2\)&lt;/span&gt; , &lt;span class="math inline"&gt;\(\sigma_2^2\)&lt;/span&gt; 分别为两成分的方差。&lt;/p&gt;&#10;&lt;p&gt;&lt;strong&gt;参数估计&lt;/strong&gt;&lt;/p&gt;&#10;&lt;p&gt;我们可以采用极大似然估计（MLE）求解参数 &lt;span class="math inline"&gt;\(\Theta\)&lt;/span&gt; 。设样本观测值为&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;x_1, x_2, ..., x_n&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;则似然函数为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;L(\Theta) = \prod_{i=1}^n \left[ \alpha \cdot \phi(x_i; \mu_1, \sigma_1^2) + (1-\alpha) \cdot \phi(x_i; \mu_2, \sigma_2^2) \right] \tag{2}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;取对数似然函数并最大化：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;\ln L(\Theta) = \sum_{i=1}^n \ln\left[ \alpha \cdot \phi(x_i; \mu_1, \sigma_1^2) + (1-\alpha) \cdot \phi(x_i; \mu_2, \sigma_2^2) \right] \tag{3}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;实际求解中，通常采用 EM 算法（期望最大化算法）迭代计算参数估计值。&lt;/p&gt;&#10;&lt;div id="基于混合正态模型的-var-计算" class="section level2"&gt;&#10;&lt;h2&gt;基于混合正态模型的 VaR 计算&lt;/h2&gt;&#10;&lt;p&gt;对于置信水平 &lt;span class="math inline"&gt;\(1-\beta\)&lt;/span&gt; （如 95%、99%），VaR 定义为满足以下条件的损失阈值：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;P(X \leq -VaR) = \beta \tag{4}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;其中 X 为资产收益率，负号表示损失（对多头头寸而言）。结合混合正态分布的累积分布函数（CDF），式（4）可写为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;F(-VaR) = \alpha \cdot \Phi\left(-VaR; \mu_1, \sigma_1^2\right) + (1-\alpha) \cdot \Phi\left(-VaR; \mu_2, \sigma_2^2\right) = \beta \tag{5} \label{eq:mix-normal}&#10;\]&lt;/span&gt;&lt;/p&gt;&#10;&lt;p&gt;其中 &lt;span class="math inline"&gt;\(\Phi(\cdot)\)&lt;/span&gt; 为正态分布的 CDF。&lt;/p&gt;&#10;&lt;p&gt;通过数值方法（如二分法）求解式 &lt;span class="math inline"&gt;\(\eqref{eq:mix-normal}\)&lt;/span&gt; ，即可得到混合正态模型下的 VaR。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;&lt;div id="三r-语言实证分析" class="section level1"&gt;&#10;&lt;h1&gt;三、R 语言实证分析&lt;/h1&gt;&#10;&lt;p&gt;以下通过 R 语言实现基于混合正态模型的 VaR 计算，使用quantmod获取金融数据，mixtools拟合混合正态模型。&lt;/p&gt;&#10;&lt;ol style="list-style-type: decimal"&gt;&#10;&lt;li&gt;加载所需包&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 安装并加载包&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;)&#10;if (!require(&amp;quot;mixtools&amp;quot;)) install.packages(&amp;quot;mixtools&amp;quot;)&#10;if (!require(&amp;quot;ggplot2&amp;quot;)) install.packages(&amp;quot;ggplot2&amp;quot;)&#10;library(quantmod)&#10;library(mixtools)&#10;library(ggplot2)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="2" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;获取金融数据并计算收益率&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;p&gt;以特斯拉公司的股价为例，计算其对数收益率：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 获取数据（近5年）&#10;getSymbols(&amp;quot;TSLA&amp;quot;, from = &amp;quot;2023-01-01&amp;quot;, to = &amp;quot;2025-01-01&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;TSLA&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;tsla &amp;lt;- na.omit(Cl(TSLA)) # 提取收盘价并去除缺失值&#10;&#10;# 计算对数收益率&#10;returns &amp;lt;- diff(log(tsla))&#10;returns &amp;lt;- na.omit(returns) # 去除NA值&#10;colnames(returns) &amp;lt;- &amp;quot;收益率&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="3" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;拟合混合正态模型&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;p&gt;使用 mixtools::normalmixEM&lt;a href="#fn1" class="footnote-ref" id="fnref1"&gt;&lt;sup&gt;1&lt;/sup&gt;&lt;/a&gt; 拟合两成分混合正态分布：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 拟合混合正态模型（2个成分）&#10;set.seed(123) # 设置随机种子，保证结果可复现&#10;mix_model &amp;lt;- normalmixEM(returns, k = 2, maxit = 1000)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## number of iterations= 146&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 输出参数估计结果&#10;cat(&amp;quot;混合正态模型参数估计：\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 混合正态模型参数估计：&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(paste(&amp;quot;权重 α =&amp;quot;, round(mix_model$lambda[1], 4), &amp;quot;\n&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 权重 α = 0.839&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(paste(&amp;quot;成分1：均值 μ1 =&amp;quot;, round(mix_model$mu[1], 6), &#10; &amp;quot;，标准差 σ1 =&amp;quot;, round(mix_model$sigma[1], 6), &amp;quot;\n&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 成分1：均值 μ1 = 0.001422 ，标准差 σ1 = 0.027839&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(paste(&amp;quot;成分2：均值 μ2 =&amp;quot;, round(mix_model$mu[2], 6), &#10; &amp;quot;，标准差 σ2 =&amp;quot;, round(mix_model$sigma[2], 6), &amp;quot;\n&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 成分2：均值 μ2 = 0.008931 ，标准差 σ2 = 0.063941&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="4" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;定义混合正态分布的 CDF 及 VaR 计算函数&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 混合正态分布的累积分布函数（CDF）&#10;mix_normal_cdf &amp;lt;- function(x, alpha, mu1, sigma1, mu2, sigma2) {&#10; alpha * pnorm(x, mean = mu1, sd = sigma1) + &#10; (1 - alpha) * pnorm(x, mean = mu2, sd = sigma2)&#10;}&#10;&#10;# 用二分法求解VaR&#10;var_mixture_normal &amp;lt;- function(conf_level, alpha, mu1, sigma1, mu2, sigma2, data) {&#10; beta &amp;lt;- 1 - conf_level # 尾概率&#10; # 确定搜索区间（基于数据的极值）&#10; lower &amp;lt;- min(data) * 2&#10; upper &amp;lt;- 0 # VaR为损失，对应收益率分布的左侧尾部&#10; # 二分法迭代求解&#10; for (i in 1:1000) {&#10; mid &amp;lt;- (lower + upper) / 2&#10; cdf_val &amp;lt;- mix_normal_cdf(mid, alpha, mu1, sigma1, mu2, sigma2)&#10; if (cdf_val &amp;lt; beta) {&#10; lower &amp;lt;- mid&#10; } else {&#10; upper &amp;lt;- mid&#10; }&#10; if (abs(cdf_val - beta) &amp;lt; 1e-6) break # 精度满足时停止&#10; }&#10; return(-upper) # 返回VaR（损失值为正）&#10;}&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="5" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;计算 VaR 并与传统方法对比&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 计算95%和99%置信水平下的VaR&#10;conf_levels &amp;lt;- c(0.95, 0.99)&#10;var_results &amp;lt;- sapply(conf_levels, function(cl) {&#10; var_mixture_normal(conf_level = cl,&#10; alpha = mix_model$lambda[1],&#10; mu1 = mix_model$mu[1],&#10; sigma1 = mix_model$sigma[1],&#10; mu2 = mix_model$mu[2],&#10; sigma2 = mix_model$sigma[2],&#10; data = returns)&#10;})&#10;&#10;# 输出VaR结果&#10;cat(&amp;quot;\n混合正态模型VaR计算结果：\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 混合正态模型VaR计算结果：&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;for (i in 1:length(conf_levels)) {&#10; cat(paste(conf_levels[i] * 100, &amp;quot;%置信水平下的VaR =&amp;quot;, &#10; round(var_results[i], 6), &amp;quot;\n&amp;quot;))&#10;}&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 95 %置信水平下的VaR = 0.052193 &#10;## 99 %置信水平下的VaR = 0.090665&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 与传统正态分布假设下的VaR对比&#10;var_normal_95 &amp;lt;- quantile(returns, probs = 0.05) # 正态假设下95% VaR&#10;var_normal_99 &amp;lt;- quantile(returns, probs = 0.01) # 正态假设下99% VaR&#10;cat(&amp;quot;\n传统正态分布假设下的VaR：\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 传统正态分布假设下的VaR：&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(paste(&amp;quot;95%置信水平下的VaR =&amp;quot;, round(-as.numeric(var_normal_95), 6), &amp;quot;\n&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 95%置信水平下的VaR = 0.051618&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(paste(&amp;quot;99%置信水平下的VaR =&amp;quot;, round(-as.numeric(var_normal_99), 6), &amp;quot;\n&amp;quot;))&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 99%置信水平下的VaR = 0.091924&lt;/code&gt;&lt;/pre&gt;&#10;&lt;ol start="6" style="list-style-type: decimal"&gt;&#10;&lt;li&gt;可视化结果&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 绘制收益率分布直方图及混合正态模型拟合曲线&#10;p &amp;lt;- ggplot(data = as.data.frame(returns), aes(x = 收益率)) +&#10; geom_histogram(aes(y = after_stat(density)), &#10; bins = 50, &#10; fill = &amp;quot;lightblue&amp;quot;, &#10; color = &amp;quot;black&amp;quot;, &#10; alpha = 0.7) +&#10; stat_function(fun = function(x) { # 混合正态模型密度曲线&#10; mix_model$lambda[1] * dnorm(x, &#10; mean = mix_model$mu[1], &#10; sd = mix_model$sigma[1]) +&#10; mix_model$lambda[2] * dnorm(x, &#10; mean = mix_model$mu[2], &#10; sd = mix_model$sigma[2])&#10; }, color = &amp;quot;red&amp;quot;, linewidth = 1) +&#10; geom_vline(xintercept = -var_results[1], &#10; color = &amp;quot;blue&amp;quot;, &#10; linetype = &amp;quot;dashed&amp;quot;, &#10; linewidth = 1) +&#10; geom_vline(xintercept = -var_results[2], &#10; color = &amp;quot;purple&amp;quot;, &#10; linetype = &amp;quot;dashed&amp;quot;, &#10; linewidth = 1) +&#10; labs(title = &amp;quot;特斯拉收益率分布与混合正态模型拟合&amp;quot;,&#10; x = &amp;quot;对数收益率&amp;quot;, y = &amp;quot;密度&amp;quot;) +&#10; theme_minimal()&#10;print(p)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2010/12/21/var-mixture-of-norms/index_files/figure-html/unnamed-chunk-6-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="四结论" class="section level1"&gt;&#10;&lt;h1&gt;四、结论&lt;/h1&gt;&#10;&lt;p&gt;混合正态模型通过捕捉金融数据的尖峰厚尾特性，能够更准确地估计 VaR，相比传统正态分布假设更贴合实际风险特征。&lt;/p&gt;&#10;&lt;p&gt;实证结果显示，在高置信水平（如 99%）下，混合模型计算的 VaR 通常更高，更能反映极端损失的可能性，为风险管理提供更稳健的参考。实际应用中，可根据数据特征调整混合成分数量（如 3 个成分），或结合其他统计方法（如 GARCH 模型）进一步优化波动率的动态特性。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div class="footnotes footnotes-end-of-document"&gt;&#10;&lt;hr /&gt;&#10;&lt;ol&gt;&#10;&lt;li id="fn1"&gt;&lt;p&gt;上述代码中，normalmixEM 可能需要多次迭代才能收敛，若结果不稳定可调整 maxit 参数；VaR 计算的二分法精度可通过迭代次数或误差阈值调整。&lt;a href="#fnref1" class="footnote-back"&gt;↩︎&lt;/a&gt;&lt;/p&gt;&lt;/li&gt;&#10;&lt;/ol&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>指数加权移动平均法计算VaR</title><link>https://gewutang.cn/2010/12/18/caculate-var-via-ewma/</link><pubDate>Sat, 18 Dec 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/12/18/caculate-var-via-ewma/</guid><description>&lt;h2 id="指数加权移动平均法"&gt;&lt;a href="#%e6%8c%87%e6%95%b0%e5%8a%a0%e6%9d%83%e7%a7%bb%e5%8a%a8%e5%b9%b3%e5%9d%87%e6%b3%95" class="header-anchor"&gt;&lt;/a&gt;指数加权移动平均法&#10;&lt;/h2&gt;&lt;p&gt;指数移动加权法是一种动态波动率建模方法，其核心思想是通过赋予历史收益率随时间衰减的权重，捕捉金融时间序列的波动率聚集特征。与传统等权重方法不同，EWMA通过引入衰减因子 &lt;code&gt;\(\lambda\)&lt;/code&gt;，其中: &lt;code&gt;\(\left(0\le\lambda\le1\right)\)&lt;/code&gt; ，使近期数据对波动率估计的影响呈指数级递增，而远期数据影响逐渐衰减（通常取 &lt;code&gt;\(\lambda = 0.94\)&lt;/code&gt; ，基于RiskMetrics建议）。这种机制使得模型能更快响应市场突变，尤其适用于高频风险监测。&lt;/p&gt;&#10;&lt;h3 id="单资产情形"&gt;&lt;a href="#%e5%8d%95%e8%b5%84%e4%ba%a7%e6%83%85%e5%bd%a2" class="header-anchor"&gt;&lt;/a&gt;单资产情形&#10;&lt;/h3&gt;&lt;h4 id="1-数据准备与收益率计算"&gt;&lt;a href="#1-%e6%95%b0%e6%8d%ae%e5%87%86%e5%a4%87%e4%b8%8e%e6%94%b6%e7%9b%8a%e7%8e%87%e8%ae%a1%e7%ae%97" class="header-anchor"&gt;&lt;/a&gt;1. 数据准备与收益率计算&#10;&lt;/h4&gt;&lt;ul&gt;&#10;&lt;li&gt;获取资产历史收盘价序列${P_t}$，计算对数收益率：&#10;$$&#10;r_t = \ln\left(\frac{P_t}{P_{t-1}}\right)&#10;$$&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="2-动态方差估计"&gt;&lt;a href="#2-%e5%8a%a8%e6%80%81%e6%96%b9%e5%b7%ae%e4%bc%b0%e8%ae%a1" class="header-anchor"&gt;&lt;/a&gt;2. 动态方差估计&#10;&lt;/h4&gt;&lt;p&gt;EWMA通过指数衰减因子 &lt;code&gt;\(\lambda\)&lt;/code&gt; 赋予近期数据更高权重，捕捉波动率的时变特性：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\sigma_t^2 = \lambda \sigma_{t-1}^2 + (1-\lambda) r_{t-1}^2&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;code&gt;\(\lambda \in (0,1)\)&lt;/code&gt;：衰减因子（典型值0.94）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(r_{t-1}\)&lt;/code&gt;：前一日收益率&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\sigma_{t-1}^2\)&lt;/code&gt;：前一日波动率&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="3-var计算正态假设"&gt;&lt;a href="#3-var%e8%ae%a1%e7%ae%97%e6%ad%a3%e6%80%81%e5%81%87%e8%ae%be" class="header-anchor"&gt;&lt;/a&gt;3. VaR计算（正态假设）&#10;&lt;/h4&gt;&lt;ul&gt;&#10;&lt;li&gt;单日VaR公式：&#10;$$&#10;\text{VaR}_{\alpha} = -\mu + \sigma_t \Phi^{-1}(1-\alpha)&#10;$$&#10;其中$\mu$为收益率均值（短期内可忽略），$\Phi^{-1}$为标准正态分布分位数（如95%置信水平对应1.645）&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="4-多期var调整"&gt;&lt;a href="#4-%e5%a4%9a%e6%9c%9fvar%e8%b0%83%e6%95%b4" class="header-anchor"&gt;&lt;/a&gt;4. 多期VaR调整&#10;&lt;/h4&gt;&lt;ul&gt;&#10;&lt;li&gt;持有期$T$天的VaR扩展：&#10;$$&#10;\text{VaR}&lt;em&gt;T = \text{VaR}&lt;/em&gt;{1d} \times \sqrt{T}&#10;$$&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h5 id="代码实现"&gt;&lt;a href="#%e4%bb%a3%e7%a0%81%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;代码实现&#10;&lt;/h5&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载必要包&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;) # 金融数据获取&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：quantmod&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;if (!require(&amp;quot;ggplot2&amp;quot;)) install.packages(&amp;quot;ggplot2&amp;quot;) # 可视化&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：ggplot2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(quantmod)&#10;library(ggplot2)&#10;&#10;# 获取标普500指数数据（示例）&#10;getSymbols(&amp;quot;^GSPC&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = &amp;quot;2020-01-01&amp;quot;, to = Sys.Date())&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GSPC&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 计算对数收益率&#10;returns &amp;lt;- na.omit(ROC(Cl(GSPC))) # 使用收盘价计算&#10;colnames(returns) &amp;lt;- &amp;quot;Daily_Return&amp;quot;&#10;&#10;# 参数设置&#10;lambda &amp;lt;- 0.94 # 衰减因子&#10;portfolio_value &amp;lt;- 1e6 # 组合价值100万美元&#10;confidence_level &amp;lt;- 0.95 # 置信水平&#10;z_score &amp;lt;- qnorm(1 - confidence_level) # 分位数（正态分布）&#10;&#10;# 初始化EWMA方差序列&#10;n &amp;lt;- length(returns)&#10;ewma_var &amp;lt;- numeric(n)&#10;ewma_var[1] &amp;lt;- var(returns) # 初始化为样本方差&#10;&#10;# 递归计算EWMA方差&#10;for (i in 2:n) {&#10; ewma_var[i] &amp;lt;- lambda * ewma_var[i-1] + (1 - lambda) * returns[i-1]^2&#10;}&#10;&#10;# 转换为年化波动率&#10;ewma_vol &amp;lt;- sqrt(ewma_var * 252)&#10;&#10;# 计算VaR序列&#10;VaR &amp;lt;- portfolio_value * z_score * ewma_vol&#10;&#10;# 获取最新VaR值&#10;latest_VaR &amp;lt;- tail(VaR, 1)&#10;cat(&amp;quot;最新EWMA VaR（95%置信度）:&amp;quot;, round(latest_VaR, 2), &amp;quot;美元\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 最新EWMA VaR（95%置信度）: -581585.7 美元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 可视化结果&#10;results &amp;lt;- data.frame(&#10; Date = index(GSPC)[-1], &#10; Volatility = ewma_vol,&#10; VaR = VaR&#10;)&#10;&#10;ggplot(results, aes(x = Date)) +&#10; geom_line(aes(y = Volatility, color = &amp;quot;波动率&amp;quot;)) +&#10; geom_line(aes(y = VaR / 1e4, color = &amp;quot;VaR（万美元）&amp;quot;)) +&#10; scale_y_continuous(&#10; name = &amp;quot;年化波动率&amp;quot;,&#10; sec.axis = sec_axis(~ . * 1e4, name = &amp;quot;VaR（美元）&amp;quot;)&#10; ) +&#10; labs(title = &amp;quot;EWMA波动率与VaR动态变化&amp;quot;,&#10; color = &amp;quot;指标类型&amp;quot;) +&#10; theme_minimal()&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/18/caculate-var-via-ewma/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&#10;&lt;h3 id="多元资产组合ewma-var建模原理与r实现"&gt;&lt;a href="#%e5%a4%9a%e5%85%83%e8%b5%84%e4%ba%a7%e7%bb%84%e5%90%88ewma-var%e5%bb%ba%e6%a8%a1%e5%8e%9f%e7%90%86%e4%b8%8er%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;多元资产组合EWMA-VaR建模原理与R实现&#10;&lt;/h3&gt;&lt;h4 id="协方差矩阵动态更新"&gt;&lt;a href="#%e5%8d%8f%e6%96%b9%e5%b7%ae%e7%9f%a9%e9%98%b5%e5%8a%a8%e6%80%81%e6%9b%b4%e6%96%b0" class="header-anchor"&gt;&lt;/a&gt;协方差矩阵动态更新&#10;&lt;/h4&gt;&lt;p&gt;多资产EWMA模型通过递归更新协方差矩阵捕捉资产间相关性的时变特征:&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\Sigma_t = \lambda \Sigma_{t-1} + (1-\lambda)\mathbf{r}&lt;em&gt;{t-1}\mathbf{r}&lt;/em&gt;{t-1}^\top&#10;$$&lt;/p&gt;&#10;&lt;p&gt;其中：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;code&gt;\(\mathbf{r}_{t-1}\)&lt;/code&gt;：前一期资产收益率向量（$n \times 1$）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\Sigma_{t-1}\)&lt;/code&gt;：前一期协方差矩阵（$n \times n$）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\lambda\)&lt;/code&gt;：衰减因子（建议值0.94）:ml-citation{ref=&amp;ldquo;4,8&amp;rdquo; data=&amp;ldquo;citationList&amp;rdquo;}&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="组合var计算流程"&gt;&lt;a href="#%e7%bb%84%e5%90%88var%e8%ae%a1%e7%ae%97%e6%b5%81%e7%a8%8b" class="header-anchor"&gt;&lt;/a&gt;组合VaR计算流程&#10;&lt;/h4&gt;&lt;table&gt;&#10;&#9;&lt;thead&gt;&#10;&#9;&#9;&#9;&lt;tr&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;th&gt;步骤&lt;/th&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;th&gt;计算公式&lt;/th&gt;&#10;&#9;&#9;&#9;&lt;/tr&gt;&#10;&#9;&lt;/thead&gt;&#10;&#9;&lt;tbody&gt;&#10;&#9;&#9;&#9;&lt;tr&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;组合方差&lt;/td&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;&lt;code&gt;\(\sigma_p^2 = \mathbf{w}^\top \Sigma_t \mathbf{w}\)&lt;/code&gt;&lt;/td&gt;&#10;&#9;&#9;&#9;&lt;/tr&gt;&#10;&#9;&#9;&#9;&lt;tr&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;年化波动率&lt;/td&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;&lt;code&gt;\(\sigma_p^{\text{annual}} = \sigma_p \sqrt{252}\)&lt;/code&gt;&lt;/td&gt;&#10;&#9;&#9;&#9;&lt;/tr&gt;&#10;&#9;&#9;&#9;&lt;tr&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;VaR&lt;/td&gt;&#10;&#9;&#9;&#9;&#9;&#9;&lt;td&gt;&lt;code&gt;\(VaR_{\alpha} = Z_{1-\alpha} \times P_0 \times \sigma_p^{\text{annual}}\)&lt;/code&gt;&lt;/td&gt;&#10;&#9;&#9;&#9;&lt;/tr&gt;&#10;&#9;&lt;/tbody&gt;&#10;&lt;/table&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;code&gt;\(\mathbf{w}\)&lt;/code&gt;：资产权重向量（需满足$\sum w_i=1$）&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(P_0\)&lt;/code&gt;：组合总价值&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h4 id="r语言完整实现"&gt;&lt;a href="#r%e8%af%ad%e8%a8%80%e5%ae%8c%e6%95%b4%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;R语言完整实现&#10;&lt;/h4&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载必要库&#10;library(quantmod) # 多元金融数据获取&#10;library(ggplot2) # 可视化&#10;library(reshape2) # 数据重塑&#10;&#10;# 获取三大股指数据&#10;symbols &amp;lt;- c(&amp;quot;^GSPC&amp;quot;, &amp;quot;^IXIC&amp;quot;, &amp;quot;^DJI&amp;quot;) # 标普500、纳斯达克、道琼斯&#10;getSymbols(symbols, from = &amp;quot;2020-01-01&amp;quot;, to = Sys.Date())&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;GSPC&amp;quot; &amp;quot;IXIC&amp;quot; &amp;quot;DJI&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 合并收盘价并计算对数收益率&#10;prices &amp;lt;- na.omit(merge(Cl(GSPC), Cl(IXIC), Cl(DJI)))&#10;returns &amp;lt;- na.omit(ROC(prices)) &#10;colnames(returns) &amp;lt;- c(&amp;quot;SP500&amp;quot;, &amp;quot;NASDAQ&amp;quot;, &amp;quot;DJI&amp;quot;)&#10;&#10;# 参数设置&#10;lambda &amp;lt;- 0.94 # 衰减因子&#10;weights &amp;lt;- c(0.5, 0.3, 0.2) # 资产权重向量&#10;portfolio_value &amp;lt;- 1e7 # 组合价值（美元）&#10;conf_level &amp;lt;- 0.95 # 置信水平&#10;&#10;# 初始化协方差矩阵&#10;n_assets &amp;lt;- ncol(returns)&#10;n_obs &amp;lt;- nrow(returns)&#10;covar &amp;lt;- array(dim = c(n_assets, n_assets, n_obs))&#10;covar[,,1] &amp;lt;- cov(returns) # 初始协方差矩阵&#10;&#10;# 递归更新协方差矩阵&#10;for (i in 2:n_obs) {&#10; r_prev &amp;lt;- as.numeric(returns[i-1, ])&#10; covar[,,i] &amp;lt;- lambda * covar[,,i-1] + (1 - lambda) * outer(r_prev, r_prev)&#10;}&#10;&#10;# 计算组合波动率&#10;port_var &amp;lt;- sapply(1:n_obs, function(i) {&#10; t(weights) %*% covar[,,i] %*% weights&#10;})&#10;annual_vol &amp;lt;- sqrt(port_var * 252)&#10;&#10;# 计算VaR序列&#10;z_score &amp;lt;- qnorm(conf_level)&#10;VaR_series &amp;lt;- -portfolio_value * z_score * annual_vol&#10;&#10;# 输出最新VaR&#10;cat(&amp;quot;Latest Portfolio EWMA VaR (95%):&amp;quot;, &#10; round(tail(VaR_series, 1), 2), &amp;quot;USD\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Latest Portfolio EWMA VaR (95%): -6013901 USD&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 可视化协方差矩阵变化&#10;cov_df &amp;lt;- data.frame(&#10; Date = index(returns),&#10; SP500_NASDAQ = sapply(1:n_obs, function(i) covar[1,2,i]),&#10; SP500_DJI = sapply(1:n_obs, function(i) covar[1,3,i]),&#10; NASDAQ_DJI = sapply(1:n_obs, function(i) covar[2,3,i])&#10;)&#10;cov_long &amp;lt;- melt(cov_df, id.vars = &amp;quot;Date&amp;quot;)&#10;&#10;ggplot(cov_long, aes(x = Date, y = value, color = variable)) +&#10; geom_line(alpha = 0.7) +&#10; labs(title = &amp;quot;协方差动态变化趋势&amp;quot;, y = &amp;quot;协方差值&amp;quot;) +&#10; theme_minimal()&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/18/caculate-var-via-ewma/index_files/figure-html/unnamed-chunk-2-1.png" width="672" /&gt;&#10;</description></item><item><title>VaR和方差协方差方法及R语言</title><link>https://gewutang.cn/2010/12/17/var-caculation-via-variance-covariance-method/</link><pubDate>Fri, 17 Dec 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/12/17/var-caculation-via-variance-covariance-method/</guid><description>&lt;h2 id="方差-协方差法"&gt;&lt;a href="#%e6%96%b9%e5%b7%ae-%e5%8d%8f%e6%96%b9%e5%b7%ae%e6%b3%95" class="header-anchor"&gt;&lt;/a&gt;方差-协方差法&#10;&lt;/h2&gt;&lt;p&gt;方差-协方差法是一种基于资产收益率正态性假设的VaR计算方法。其核心思想是通过历史数据估计资产收益率的均值、方差和协方差矩阵，构建投资组合收益率的概率分布，继而计算VaR值。&lt;/p&gt;&#10;&lt;p&gt;具体流程可分为以下三步：&lt;/p&gt;&#10;&lt;p&gt;首先，计算资产收益率的协方差矩阵以衡量风险关联；其次，根据投资组合权重计算组合收益率的期望值和标准差；最后，在给定置信水平下，利用正态分布分位数确定VaR值。例如，在95%置信水平下，单日VaR可表示为组合市值的绝对值乘以其标准差再乘1.645（对应正态分布左尾5%分位数）。该方法计算效率高，但对非线性风险和非正态分布敏感。多日VaR可通过时间平方根法则调整，即单日VaR乘 &lt;code&gt;\(\sqrt{T}\)&lt;/code&gt; 得到。&lt;/p&gt;&#10;&lt;h2 id="r代码实现"&gt;&lt;a href="#r%e4%bb%a3%e7%a0%81%e5%ae%9e%e7%8e%b0" class="header-anchor"&gt;&lt;/a&gt;R代码实现&#10;&lt;/h2&gt;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载必要包&#10;library(quantmod)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(PerformanceAnalytics)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'PerformanceAnalytics'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:graphics':&#10;## &#10;## legend&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(ggplot2)&#10;library(dplyr)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## ######################### Warning from 'xts' package ##########################&#10;## # #&#10;## # The dplyr lag() function breaks how base R's lag() function is supposed to #&#10;## # work, which breaks lag(my_xts). Calls to lag(my_xts) that you type or #&#10;## # source() into this session won't work correctly. #&#10;## # #&#10;## # Use stats::lag() to make sure you're not using dplyr::lag(), or you can add #&#10;## # conflictRules('dplyr', exclude = 'lag') to your .Rprofile to stop #&#10;## # dplyr from breaking base R's lag() function. #&#10;## # #&#10;## # Code in packages is not affected. It's protected by R's namespace mechanism #&#10;## # Set `options(xts.warn_dplyr_breaks_lag = FALSE)` to suppress this warning. #&#10;## # #&#10;## ###############################################################################&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'dplyr'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:xts':&#10;## &#10;## first, last&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:stats':&#10;## &#10;## filter, lag&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## intersect, setdiff, setequal, union&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 1. 下载股票数据（示例使用苹果、微软、亚马逊）&#10;symbols &amp;lt;- c(&amp;quot;AAPL&amp;quot;, &amp;quot;MSFT&amp;quot;, &amp;quot;AMZN&amp;quot;)&#10;getSymbols(symbols, src = &amp;quot;yahoo&amp;quot;, from = &amp;quot;2022-01-01&amp;quot;, to = Sys.Date())&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot; &amp;quot;MSFT&amp;quot; &amp;quot;AMZN&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 2. 提取收盘价并合并&#10;prices &amp;lt;- merge(Cl(AAPL), Cl(MSFT), Cl(AMZN)) %&amp;gt;% na.omit()&#10;colnames(prices) &amp;lt;- symbols&#10;&#10;# 3. 计算对数收益率&#10;returns &amp;lt;- na.omit(Return.calculate(prices, method = &amp;quot;log&amp;quot;))&#10;&#10;# 4. 设定投资组合参数&#10;weights &amp;lt;- c(0.3, 0.4, 0.3) # 组合权重&#10;conf_level &amp;lt;- 0.95 # 置信水平&#10;portfolio_value &amp;lt;- 1e6 # 组合价值（美元）&#10;&#10;# 5. 计算协方差矩阵与组合标准差&#10;cov_matrix &amp;lt;- cov(returns)&#10;port_sd &amp;lt;- sqrt(t(weights) %*% cov_matrix %*% weights)&#10;&#10;# 6. 计算单日VaR&#10;var_1d &amp;lt;- abs(portfolio_value * qnorm(1 - conf_level) * port_sd)&#10;&#10;# 7. 计算5日VaR（时间平方根法则）&#10;var_5d &amp;lt;- var_1d * sqrt(5)&#10;&#10;# 8. 可视化VaR分布&#10;ggplot(data = data.frame(Returns = as.numeric(returns %*% weights)), &#10; aes(x = Returns)) +&#10; geom_histogram(aes(y = ..density..), bins = 50, fill = &amp;quot;steelblue&amp;quot;, alpha = 0.7) +&#10; geom_vline(xintercept = -var_1d/portfolio_value, color = &amp;quot;red&amp;quot;, &#10; linetype = &amp;quot;dashed&amp;quot;, size = 1) +&#10; stat_function(fun = dnorm, args = list(mean = mean(returns %*% weights),&#10; sd = sd(returns %*% weights)), color = &amp;quot;darkgreen&amp;quot;) +&#10; labs(title = &amp;quot;Portfolio Returns Distribution with VaR&amp;quot;,&#10; x = &amp;quot;Daily Returns&amp;quot;, y = &amp;quot;Density&amp;quot;) +&#10; annotate(&amp;quot;text&amp;quot;, x = -var_1d/portfolio_value, y = 15, &#10; label = paste0(&amp;quot;95% 1d VaR: $&amp;quot;, round(var_1d)), color = &amp;quot;red&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: Using `size` aesthetic for lines was deprecated in ggplot2 3.4.0.&#10;## ℹ Please use `linewidth` instead.&#10;## This warning is displayed once every 8 hours.&#10;## Call `lifecycle::last_lifecycle_warnings()` to see where this warning was&#10;## generated.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: The dot-dot notation (`..density..`) was deprecated in ggplot2 3.4.0.&#10;## ℹ Please use `after_stat(density)` instead.&#10;## This warning is displayed once every 8 hours.&#10;## Call `lifecycle::last_lifecycle_warnings()` to see where this warning was&#10;## generated.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/17/var-caculation-via-variance-covariance-method/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 输出结果&#10;cat(&amp;quot;单日VaR（95%置信度）:&amp;quot;, round(var_1d), &amp;quot;美元\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 单日VaR（95%置信度）: 28894 美元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(&amp;quot;5日VaR（95%置信度）:&amp;quot;, round(var_5d), &amp;quot;美元&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 5日VaR（95%置信度）: 64609 美元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;</description></item><item><title>VaR和蒙特卡洛模拟法</title><link>https://gewutang.cn/2010/12/16/var-calculation-via-montecarlo-simulation/</link><pubDate>Thu, 16 Dec 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/12/16/var-calculation-via-montecarlo-simulation/</guid><description>&lt;h2 id="蒙特卡洛模拟法"&gt;&lt;a href="#%e8%92%99%e7%89%b9%e5%8d%a1%e6%b4%9b%e6%a8%a1%e6%8b%9f%e6%b3%95" class="header-anchor"&gt;&lt;/a&gt;蒙特卡洛模拟法&#10;&lt;/h2&gt;&lt;p&gt;蒙特卡洛模拟法是一种基于随机抽样和统计模拟的数值计算方法，其通过生成大量随机样本，利用概率统计理论估计复杂问题的近似解。该方法由数学家冯·诺伊曼和乌拉姆于20世纪40年代在核武器研制项目中首次提出。蒙特卡洛模拟法也可以用来计算投资组合的VaR。&lt;/p&gt;&#10;&lt;p&gt;在应用蒙特卡洛模拟法计算VaR时，首先根据投资组合的历史特征，总结投资组合收益率对应的可能分布并提取该分布对应的核心参数；再以这些核心参数为基础，结合特定分布模拟出一系列符合要求的伪随机数作为假想的未来数据；最后，以这些“假想的未来数据”作为研究对象计算出VaR值。&lt;/p&gt;&#10;&lt;h2 id="蒙特卡洛模拟法计算单资产var"&gt;&lt;a href="#%e8%92%99%e7%89%b9%e5%8d%a1%e6%b4%9b%e6%a8%a1%e6%8b%9f%e6%b3%95%e8%ae%a1%e7%ae%97%e5%8d%95%e8%b5%84%e4%ba%a7var" class="header-anchor"&gt;&lt;/a&gt;蒙特卡洛模拟法计算单资产VaR&#10;&lt;/h2&gt;&lt;p&gt;基于R语言应用蒙特卡洛模拟法计算VaR的代码如下:&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载必要包&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：quantmod&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：xts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'zoo'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## as.Date, as.Date.numeric&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：TTR&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Registered S3 method overwritten by 'quantmod':&#10;## method from&#10;## as.zoo.data.frame zoo&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;if (!require(&amp;quot;MASS&amp;quot;)) install.packages(&amp;quot;MASS&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：MASS&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(quantmod)&#10;library(MASS)&#10;library(dplyr)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## ######################### Warning from 'xts' package ##########################&#10;## # #&#10;## # The dplyr lag() function breaks how base R's lag() function is supposed to #&#10;## # work, which breaks lag(my_xts). Calls to lag(my_xts) that you type or #&#10;## # source() into this session won't work correctly. #&#10;## # #&#10;## # Use stats::lag() to make sure you're not using dplyr::lag(), or you can add #&#10;## # conflictRules('dplyr', exclude = 'lag') to your .Rprofile to stop #&#10;## # dplyr from breaking base R's lag() function. #&#10;## # #&#10;## # Code in packages is not affected. It's protected by R's namespace mechanism #&#10;## # Set `options(xts.warn_dplyr_breaks_lag = FALSE)` to suppress this warning. #&#10;## # #&#10;## ###############################################################################&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'dplyr'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:MASS':&#10;## &#10;## select&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:xts':&#10;## &#10;## first, last&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:stats':&#10;## &#10;## filter, lag&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from 'package:base':&#10;## &#10;## intersect, setdiff, setequal, union&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 获取苹果公司股票数据（过去2年）&#10;getSymbols(&amp;quot;AAPL&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = as.Date(&amp;quot;2023-05-01&amp;quot;), to = as.Date(Sys.Date()))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 计算对数收益率&#10;returns &amp;lt;- na.omit(ROC(Cl(AAPL))) &#10;colnames(returns) &amp;lt;- &amp;quot;AAPL_Return&amp;quot;&#10;&#10;# 参数设置&#10;set.seed(123)&#10;n_sim &amp;lt;- 10000 # 模拟次数&#10;confidence_level &amp;lt;- 0.95&#10;portfolio_value &amp;lt;- 1e6 # 组合价值100万美元&#10;&#10;# 估计收益率参数&#10;mu &amp;lt;- mean(returns)&#10;sigma &amp;lt;- sd(returns)&#10;&#10;# 蒙特卡洛模拟（正态分布）&#10;sim_normal &amp;lt;- rnorm(n_sim, mean = mu, sd = sigma)&#10;portfolio_loss_normal &amp;lt;- portfolio_value * (1 - exp(sim_normal)) # 对数收益转换为价格变动&#10;&#10;# 蒙特卡洛模拟（t分布）&#10;&#10;# 计算VaR&#10;var_normal &amp;lt;- quantile(portfolio_loss_normal, probs = confidence_level)&#10;&#10;# 格式化输出&#10;cat(&amp;quot;蒙特卡洛模拟VaR（正态分布假设）:&amp;quot;, round(var_normal, 2), &amp;quot;USD\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 蒙特卡洛模拟VaR（正态分布假设）: 27011.97 USD&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 可视化比较&#10;hist(portfolio_loss_normal, breaks = 50, main = &amp;quot;正态分布模拟损失&amp;quot;, &#10; xlab = &amp;quot;损失金额(USD)&amp;quot;, col = &amp;quot;lightblue&amp;quot;)&#10;abline(v = var_normal, col = &amp;quot;red&amp;quot;, lwd = 2)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/16/var-calculation-via-montecarlo-simulation/index_files/figure-html/single-1.png" width="672" /&gt;&#10;&lt;p&gt;也可以将模拟的分布确定为以下分布：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;偏正态分布&lt;/li&gt;&#10;&lt;li&gt;偏t分布&lt;/li&gt;&#10;&lt;li&gt;广义误差分布&lt;/li&gt;&#10;&lt;li&gt;偏广义误差分布&lt;/li&gt;&#10;&lt;li&gt;混合正态分布&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;h2 id="蒙特卡洛模拟计算多资产投资组合var"&gt;&lt;a href="#%e8%92%99%e7%89%b9%e5%8d%a1%e6%b4%9b%e6%a8%a1%e6%8b%9f%e8%ae%a1%e7%ae%97%e5%a4%9a%e8%b5%84%e4%ba%a7%e6%8a%95%e8%b5%84%e7%bb%84%e5%90%88var" class="header-anchor"&gt;&lt;/a&gt;蒙特卡洛模拟计算多资产投资组合VaR&#10;&lt;/h2&gt;&lt;p&gt;蒙特卡洛模拟通过以下步骤实现多资产VaR计算:&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;历史数据获取：通过quantmod获取真实资产价格数据&lt;/li&gt;&#10;&lt;li&gt;参数估计：计算资产收益率的均值向量和协方差矩阵&lt;/li&gt;&#10;&lt;li&gt;路径生成：生成服从多元正态分布的模拟收益率路径&lt;/li&gt;&#10;&lt;li&gt;组合估值：根据权重计算组合价值变化&lt;/li&gt;&#10;&lt;li&gt;损失分布：统计模拟损失的分位数得到VaR&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;## 环境配置与数据获取&#10;# ----------------------&#10;# 加载必要包&#10;# ----------------------&#10;library(ggplot2)&#10;# library(foreach)&#10;# library(doParallel)&#10;library(Matrix)&#10;library(matrixcalc)&#10;&#10;# ----------------------&#10;# 参数设置&#10;# ----------------------&#10;symbols &amp;lt;- c(&amp;quot;AAPL&amp;quot;, &amp;quot;GOOG&amp;quot;, &amp;quot;MSFT&amp;quot;, &amp;quot;AMZN&amp;quot;) # 资产列表&#10;weights &amp;lt;- c(0.3, 0.3, 0.2, 0.2) # 投资权重&#10;V0 &amp;lt;- 1000000 # 初始组合价值（美元）&#10;n_sim &amp;lt;- 100000 # 模拟次数&#10;alpha &amp;lt;- 0.99 # 置信水平&#10;T_days &amp;lt;- 10 # 持有期（天）&#10;start_date &amp;lt;- &amp;quot;2020-01-01&amp;quot;&#10;end_date &amp;lt;- format(Sys.Date(), &amp;quot;%Y-%m-%d&amp;quot;) # 动态获取最新数据&#10;&#10;# ----------------------&#10;# 获取真实历史数据&#10;# ----------------------&#10;getSymbols(symbols, src = &amp;quot;yahoo&amp;quot;, from = start_date, to = end_date)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot; &amp;quot;GOOG&amp;quot; &amp;quot;MSFT&amp;quot; &amp;quot;AMZN&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 提取调整后收盘价并计算日收益率&#10;prices &amp;lt;- do.call(merge, lapply(symbols, function(x) Ad(get(x))))&#10;# 替换原returns计算代码&#10;returns &amp;lt;- ROC(prices, type = &amp;quot;discrete&amp;quot;)&#10;&#10;# 添加数据清洗&#10;returns&amp;lt;- apply(returns, 2, function(x) {&#10; x[is.infinite(x)] &amp;lt;- NA&#10; na.omit(x)&#10;})&#10;&#10;# 验证数据完整性&#10;if (any(is.na(returns)) || any(is.infinite(returns))) {&#10; stop(&amp;quot;数据清洗失败，仍存在缺失值或无穷值&amp;quot;)&#10;}&#10;&#10; &#10;## 参数估计与路径生成（增强）&#10;&#10;# ----------------------&#10;# 计算统计参数（带时间调整）&#10;# ----------------------&#10;mu &amp;lt;- colMeans(returns) * T_days # 持有期收益率均值&#10;sigma &amp;lt;- cov(returns) * T_days&#10;&#10;robust_sigma &amp;lt;- function(sigma, eps=1e-8) {&#10; eig &amp;lt;- eigen(sigma)&#10; ev &amp;lt;- pmax(eig$values, eps) # 特征值下限保护&#10; sigma_robust &amp;lt;- eig$vectors %*% diag(ev) %*% t(eig$vectors)&#10; return(as.matrix(nearPD(sigma_robust, keepDiag=TRUE)$mat))&#10;}&#10;&#10;sigma &amp;lt;- robust_sigma(sigma)&#10;&#10;# 协方差矩阵正定性修正&#10;# 矩阵条件数校验&#10;if (kappa(sigma) &amp;gt; 1e6) warning(&amp;quot;协方差矩阵条件数过高，建议降维处理&amp;quot;)&#10;&#10;# 特征值范围验证&#10;eigen_values &amp;lt;- eigen(sigma)$values&#10;if (min(eigen_values) &amp;lt; 1e-6) stop(&amp;quot;矩阵修正失败&amp;quot;)&#10;&#10;# ----------------------&#10;# 蒙特卡洛模拟&#10;# ----------------------&#10;set.seed(123)&#10;&#10;sim_returns &amp;lt;- MASS::mvrnorm(n_sim, mu, sigma)&#10;portfolio_returns &amp;lt;- sim_returns %*% weights&#10;losses &amp;lt;- -V0 * portfolio_returns&#10;&#10;# ----------------------&#10;# 三维可视化（带ES标注）&#10;# ----------------------&#10;### 风险指标计算与可视化（最终修正版）&#10;&#10;# ----------------------&#10;# 风险指标计算&#10;# ----------------------&#10;VaR &amp;lt;- quantile(losses, probs=alpha,na.rm=TRUE)&#10;ES &amp;lt;- mean(losses[losses &amp;gt;= VaR])&#10;&#10;# ----------------------&#10;# 增强可视化&#10;# ----------------------&#10;&#10;# 生成精确breaks参数&#10;br &amp;lt;- pretty(range(losses), n=100)&#10;if (length(br) &amp;lt; 2) br &amp;lt;- seq(min(losses), max(losses), length.out=100)&#10;&#10;loss_plot &amp;lt;- ggplot(data.frame(Loss=losses), aes(x=Loss)) +&#10; geom_histogram(aes(y=..density..), breaks=br, fill=&amp;quot;#69b3a2&amp;quot;, alpha=0.7) +&#10; geom_vline(xintercept=VaR, color=&amp;quot;red&amp;quot;, linetype=&amp;quot;dashed&amp;quot;, size=1) +&#10; geom_vline(xintercept=ES, color=&amp;quot;blue&amp;quot;, linetype=&amp;quot;dotted&amp;quot;, size=1) +&#10; geom_density(color=&amp;quot;darkblue&amp;quot;, size=0.8, adjust=1.5) + # 调整核密度估计带宽&#10; labs(title=paste(&amp;quot;多资产组合损失分布 (&amp;quot;,T_days,&amp;quot;天持有期)&amp;quot;),&#10; x=&amp;quot;损失金额（美元）&amp;quot;, y=&amp;quot;密度&amp;quot;) +&#10; theme_minimal(base_size=12) +&#10; theme(&#10; plot.title=element_text(hjust=0.5, face=&amp;quot;bold&amp;quot;),&#10; panel.grid.major=element_line(color=&amp;quot;gray90&amp;quot;),&#10; panel.grid.minor=element_blank()&#10; )&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: Using `size` aesthetic for lines was deprecated in ggplot2 3.4.0.&#10;## ℹ Please use `linewidth` instead.&#10;## This warning is displayed once every 8 hours.&#10;## Call `lifecycle::last_lifecycle_warnings()` to see where this warning was&#10;## generated.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 动态计算标注位置&#10;plot_data &amp;lt;- ggplot_build(loss_plot)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Warning: The dot-dot notation (`..density..`) was deprecated in ggplot2 3.4.0.&#10;## ℹ Please use `after_stat(density)` instead.&#10;## This warning is displayed once every 8 hours.&#10;## Call `lifecycle::last_lifecycle_warnings()` to see where this warning was&#10;## generated.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;max_density &amp;lt;- max(plot_data$data[[1]]$density)&#10;&#10;loss_plot &amp;lt;- loss_plot +&#10; annotate(&amp;quot;segment&amp;quot;, &#10; x=VaR, xend=VaR, &#10; y=0, yend=0.65*max_density,&#10; color=&amp;quot;red&amp;quot;, linetype=&amp;quot;dashed&amp;quot;) +&#10; annotate(&amp;quot;label&amp;quot;, &#10; x=VaR, y=0.7*max_density,&#10; label=paste0(alpha*100, &amp;quot;% VaR\n$&amp;quot;, format(round(VaR), big.mark=&amp;quot;,&amp;quot;)),&#10; color=&amp;quot;red&amp;quot;, fill=&amp;quot;white&amp;quot;, size=4) +&#10; annotate(&amp;quot;segment&amp;quot;,&#10; x=ES, xend=ES,&#10; y=0, yend=0.55*max_density,&#10; color=&amp;quot;blue&amp;quot;, linetype=&amp;quot;dotted&amp;quot;) +&#10; annotate(&amp;quot;label&amp;quot;,&#10; x=ES, y=0.6*max_density,&#10; label=paste0(&amp;quot;Expected Shortfall\n$&amp;quot;, format(round(ES), big.mark=&amp;quot;,&amp;quot;)),&#10; color=&amp;quot;blue&amp;quot;, fill=&amp;quot;white&amp;quot;, size=4)&#10;&#10;print(loss_plot)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/16/var-calculation-via-montecarlo-simulation/index_files/figure-html/trible-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# ----------------------&#10;# 结果输出&#10;# ----------------------&#10;cat(sprintf(&amp;quot;\n【增强版蒙特卡洛模拟结果】(%d天持有期)\n&amp;quot;, T_days))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 【增强版蒙特卡洛模拟结果】(10天持有期)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(&amp;quot;----------------------------------------\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ----------------------------------------&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(sprintf(&amp;quot;▪ 投资组合规模: $%s\n&amp;quot;, format(V0, big.mark=&amp;quot;,&amp;quot;)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ▪ 投资组合规模: $1e+06&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(sprintf(&amp;quot;▪ VaR(%d%%置信水平): $%s\n&amp;quot;, alpha*100, format(round(VaR), big.mark=&amp;quot;,&amp;quot;)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ▪ VaR(99%置信水平): $124,519&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(sprintf(&amp;quot;▪ 预期损失(ES): $%s\n&amp;quot;, format(round(ES), big.mark=&amp;quot;,&amp;quot;)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ▪ 预期损失(ES): $143,313&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(sprintf(&amp;quot;▪ 最大可能损失: $%s\n&amp;quot;, format(round(max(losses)), big.mark=&amp;quot;,&amp;quot;)))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ▪ 最大可能损失: $237,724&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;h2 id="基于混合多元正态分布优化蒙特卡洛模拟法"&gt;&lt;a href="#%e5%9f%ba%e4%ba%8e%e6%b7%b7%e5%90%88%e5%a4%9a%e5%85%83%e6%ad%a3%e6%80%81%e5%88%86%e5%b8%83%e4%bc%98%e5%8c%96%e8%92%99%e7%89%b9%e5%8d%a1%e6%b4%9b%e6%a8%a1%e6%8b%9f%e6%b3%95" class="header-anchor"&gt;&lt;/a&gt;基于混合多元正态分布优化蒙特卡洛模拟法&#10;&lt;/h2&gt;&lt;p&gt;混合多元正态分布可通过组合多个多元正态分布刻画不同市场状态下资产收益率的动态相关性和厚尾特征，适用于多资产组合的VaR计算。&lt;/p&gt;&#10;&lt;p&gt;在置信水平 &lt;code&gt;\(\alpha\)&lt;/code&gt; 下，多元混合正态模型的分位数 &lt;code&gt;\(Q_{\alpha}\)&lt;/code&gt; 满足以下等式：&lt;/p&gt;&#10;&lt;p&gt;$$&#10;\sum_{i=1}^k \pi_i \cdot \Phi\left(Q_\alpha ,;, \mu_p^{(i)}, \sigma_p^{(i)}\right) = \alpha&lt;br&gt;&#10;$$&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;&lt;code&gt;\(\pi_i\)&lt;/code&gt;: 第 &lt;code&gt;\(i\)&lt;/code&gt; 个混合成分的权重（$\sum_{i=1}^k \pi_i = 1$）；&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\mu_p^{(i)} = \mathbf{w}^\top \boldsymbol{\mu}_i\)&lt;/code&gt;: 第 &lt;code&gt;\(i\)&lt;/code&gt;个成分的线性组合均值（$\mathbf{w}$ 为资产权重向量，$\boldsymbol{\mu}_i$ 为成分均值向量）；&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\sigma_p^{(i)} = \sqrt{\mathbf{w}^\top \boldsymbol{\Sigma}_i \mathbf{w}}\)&lt;/code&gt;: 第 &lt;code&gt;\(i\)&lt;/code&gt; 个成分的线性组合标准差（$\boldsymbol{\Sigma}_i$ 为成分协方差矩阵）；&lt;/li&gt;&#10;&lt;li&gt;&lt;code&gt;\(\Phi(\cdot)\)&lt;/code&gt;: 标准单变量正态分布的累积分布函数（CDF）&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 加载包&#10;library(quantmod)&#10;library(mclust)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Package 'mclust' version 6.1.1&#10;## Type 'citation(&amp;quot;mclust&amp;quot;)' for citing this R package in publications.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(MASS)&#10;library(Matrix)&#10;library(matrixcalc)&#10;library(dplyr)&#10;library(showtext)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：sysfonts&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 载入需要的程序包：showtextdb&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(ggplot2)&#10;library(DescTools)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## 载入程序包：'DescTools'&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from 'package:mclust':&#10;## &#10;## BrierScore&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 参数设置&#10;symbols &amp;lt;- c(&amp;quot;AAPL&amp;quot;, &amp;quot;GOOG&amp;quot;, &amp;quot;MSFT&amp;quot;)&#10;weights &amp;lt;- c(0.4, 0.3, 0.3)&#10;portfolio_value &amp;lt;- 1e6&#10;confidence_level &amp;lt;- 0.95&#10;&#10;# 数据获取与处理&#10;getSymbols(symbols, from = &amp;quot;2020-01-01&amp;quot;, to = Sys.Date())&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot; &amp;quot;GOOG&amp;quot; &amp;quot;MSFT&amp;quot;&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;prices &amp;lt;- do.call(merge, lapply(symbols, function(x) Cl(get(x))))&#10;returns &amp;lt;- ROC(prices,type = &amp;quot;discrete&amp;quot;) %&amp;gt;% na.omit() %&amp;gt;% as.matrix()&#10;&#10;# 混合模型拟合与修正&#10;set.seed(123)&#10;mix_model &amp;lt;- Mclust(returns, G = 2)&#10;&#10;# 提取并修正模型参数&#10;weights_mix &amp;lt;- mix_model$parameters$pro&#10;means_mix &amp;lt;- mix_model$parameters$mean&#10;&#10;# 检查混合模型协方差参数维度&#10;sigma_dim &amp;lt;- dim(mix_model$parameters$variance$sigma)&#10;cat(&amp;quot;Sigma参数维度:&amp;quot;, sigma_dim, &amp;quot;\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Sigma参数维度: 3 3 2&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 确认模型类型是否兼容&#10;if (mix_model$modelName != &amp;quot;VVV&amp;quot;) {&#10; warning(&amp;quot;当前模型&amp;quot;, mix_model$modelName, &#10; &amp;quot;可能使用共享协方差矩阵结构，需调整修正逻辑&amp;quot;)&#10;}&#10;&#10;&#10;&#10;covs_mix &amp;lt;- lapply(1:mix_model$G, function(g) {&#10; # 提取第g个成分的协方差矩阵&#10; sigma &amp;lt;- mix_model$parameters$variance$sigma[,,g]&#10; &#10; # 验证矩阵维度&#10; if (!matrixcalc::is.square.matrix(sigma)) {&#10; stop(paste(&amp;quot;成分&amp;quot;, g, &amp;quot;协方差矩阵非正方形，维度:&amp;quot;, &#10; paste(dim(sigma), collapse=&amp;quot;x&amp;quot;)))&#10; }&#10; &#10; # 特征值修正&#10; eig &amp;lt;- eigen(sigma)&#10; ev &amp;lt;- pmax(eig$values, 1e-6)&#10; sigma_corrected &amp;lt;- eig$vectors %*% diag(ev) %*% t(eig$vectors)&#10; as.matrix(nearPD(sigma_corrected)$mat)&#10;})&#10;&#10;# 增强型修正函数&#10;robust_cov_fix &amp;lt;- function(sigma) {&#10; if (!is.matrix(sigma) || nrow(sigma) != ncol(sigma)) {&#10; sigma &amp;lt;- matrix(sigma, nrow=sqrt(length(sigma))) # 向量转矩阵&#10; }&#10; &#10; # 添加对称性强制修正&#10; sigma &amp;lt;- 0.5 * (sigma + t(sigma))&#10; &#10; # 执行特征值修正&#10; eig &amp;lt;- eigen(sigma)&#10; ev &amp;lt;- pmax(eig$values, 1e-6)&#10; eig$vectors %*% diag(ev) %*% t(eig$vectors)&#10;}&#10;&#10;# 应用修正函数&#10;covs_mix &amp;lt;- lapply(1:mix_model$G, function(g) {&#10; as.matrix(nearPD(&#10; robust_cov_fix(mix_model$parameters$variance$sigma[,,g])&#10; )$mat)&#10;})&#10;&#10;# 验证所有协方差矩阵性质&#10;sapply(covs_mix, function(x) {&#10; c(dim=dim(x), isSquare=matrixcalc::is.square.matrix(x))&#10;}) # 维度应统一为NxN&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [,1] [,2]&#10;## dim1 3 3&#10;## dim2 3 3&#10;## isSquare 1 1&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 检查正定性&#10;sapply(covs_mix, matrixcalc::is.positive.definite) # 应全为TRUE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] TRUE TRUE&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 安全模拟函数&#10;safe_mvrnorm &amp;lt;- function(n, mu, sigma) {&#10; sigma_fixed &amp;lt;- as.matrix(nearPD(sigma)$mat)&#10; MASS::mvrnorm(n, mu, sigma_fixed)&#10;}&#10;&#10;# 蒙特卡洛模拟&#10;n_sim &amp;lt;- 10000&#10;sim_returns &amp;lt;- matrix(0, nrow = n_sim, ncol = 3)&#10;&#10;for (i in 1:n_sim) {&#10; component &amp;lt;- sample(1:length(weights_mix), 1, prob = weights_mix)&#10; sim_returns[i, ] &amp;lt;- safe_mvrnorm(1, &#10; means_mix[, component], &#10; covs_mix[[component]])&#10;}&#10;&#10;# 查看模拟结果摘要&#10;summary(sim_returns) # 不应有NA或极端值&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## V1 V2 V3 &#10;## Min. :-0.1235547 Min. :-0.1244924 Min. :-0.1164468 &#10;## 1st Qu.:-0.0101667 1st Qu.:-0.0104414 1st Qu.:-0.0098317 &#10;## Median : 0.0012049 Median : 0.0009092 Median : 0.0006312 &#10;## Mean : 0.0009236 Mean : 0.0006466 Mean : 0.0007475 &#10;## 3rd Qu.: 0.0126020 3rd Qu.: 0.0120780 3rd Qu.: 0.0113348 &#10;## Max. : 0.1311838 Max. : 0.1262479 Max. : 0.1401261&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 计算VaR&#10;portfolio_returns &amp;lt;- sim_returns %*% weights&#10;&#10;portfolio_returns &amp;lt;- na.omit(portfolio_returns) # 移除缺失值&#10;if (sd(portfolio_returns) &amp;lt; 1e-6) stop(&amp;quot;收益波动率过低，无法生成有效分布&amp;quot;)&#10;&#10;# Winsorize处理极端值&#10;&#10;portfolio_returns &amp;lt;- Winsorize(portfolio_returns)&#10;losses &amp;lt;- -portfolio_value * portfolio_returns&#10;# 计算VaR和ES&#10;VaR &amp;lt;- quantile(losses, 1 - confidence_level)&#10;ES &amp;lt;- mean(losses[losses &amp;lt;= VaR])&#10;&#10;# 生成自适应breaks&#10;br &amp;lt;- pretty(range(portfolio_returns), n = 100)&#10;if (length(br) &amp;lt; 10) br &amp;lt;- seq(min(portfolio_returns), max(portfolio_returns), length.out=100)&#10;&#10;&#10;cat(&amp;quot;95% VaR:&amp;quot;, round(VaR, 2), &amp;quot;元\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 95% VaR: -27728.82 元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(&amp;quot;95% ES:&amp;quot;,round(ES, 2),&amp;quot;元\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 95% ES: -27729.96 元&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 验证VaR计算合理性&#10;cat(&amp;quot;VaR占组合比例:&amp;quot;, round(VaR/portfolio_value*100, 2), &amp;quot;%\n&amp;quot;) &#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## VaR占组合比例: -2.77 %&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;cat(&amp;quot;ES占组合比例:&amp;quot;, round(ES/portfolio_value*100,2),&amp;quot;%\n&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ES占组合比例: -2.77 %&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;# 正常范围通常在1%-10%之间&#10;&#10;showtext_auto() # 启用中文字体支持&#10;&#10;# 计算VaR和ES的标签文本&#10;var_label &amp;lt;- paste0(confidence_level*100, &amp;quot;% VaR: ¥&amp;quot;, format(round(VaR), big.mark = &amp;quot;,&amp;quot;))&#10;es_label &amp;lt;- paste0(confidence_level*100, &amp;quot;% ES: ¥&amp;quot;, format(round(ES), big.mark = &amp;quot;,&amp;quot;))&#10;&#10;# 生成风险可视化图表&#10;loss_plot &amp;lt;- ggplot(data.frame(losses), aes(x = losses)) +&#10; geom_histogram(aes(y = after_stat(density)), &#10; fill = &amp;quot;#6baed6&amp;quot;, alpha = 0.7, color = &amp;quot;white&amp;quot;) + # 优化填充色并添加边框&#10; geom_vline(aes(xintercept = VaR, color = &amp;quot;VaR&amp;quot;), &#10; linetype = &amp;quot;dashed&amp;quot;, linewidth = 1.2) +&#10; geom_vline(aes(xintercept = ES, color = &amp;quot;ES&amp;quot;), &#10; linetype = &amp;quot;dotdash&amp;quot;, linewidth = 1.2) + # 添加ES线&#10; annotate(&amp;quot;text&amp;quot;, x = VaR, y = Inf, label = var_label, # 使用annotate固定标签位置&#10; color = &amp;quot;#de2d26&amp;quot;, vjust = 2.5, size = 5, family = &amp;quot;sans&amp;quot;) +&#10; annotate(&amp;quot;text&amp;quot;, x = ES, y = Inf, label = es_label,&#10; color = &amp;quot;#3182bd&amp;quot;, vjust = 4.5, size = 5, family = &amp;quot;sans&amp;quot;) +&#10; scale_color_manual(name = &amp;quot;风险指标&amp;quot;,&#10; values = c(&amp;quot;VaR&amp;quot; = &amp;quot;#de2d26&amp;quot;, &amp;quot;ES&amp;quot; = &amp;quot;#3182bd&amp;quot;),&#10; guide = guide_legend(override.aes = list(&#10; linetype = c(&amp;quot;dashed&amp;quot;, &amp;quot;dotdash&amp;quot;)))) +&#10; labs(title = &amp;quot;投资组合风险价值分布可视化&amp;quot;,&#10; subtitle = paste(&amp;quot;基于&amp;quot;, length(symbols), &amp;quot;资产混合正态模型蒙特卡洛模拟&amp;quot;),&#10; x = &amp;quot;潜在损失金额 (元)&amp;quot;, y = &amp;quot;概率密度&amp;quot;) +&#10; theme_minimal(base_size = 14) +&#10; theme(&#10; text = element_text(family = &amp;quot;sans&amp;quot;), # 确保中文字体显示&#10; plot.title = element_text(hjust = 0.5, face = &amp;quot;bold&amp;quot;, size = 18),&#10; plot.subtitle = element_text(hjust = 0.5, color = &amp;quot;gray40&amp;quot;, size = 12),&#10; axis.title = element_text(size = 12),&#10; axis.text = element_text(color = &amp;quot;gray30&amp;quot;),&#10; panel.grid.major = element_line(color = &amp;quot;grey90&amp;quot;, linewidth = 0.3),&#10; panel.grid.minor = element_blank(), # 移除次要网格线&#10; legend.position = &amp;quot;top&amp;quot;,&#10; legend.title = element_text(size = 12),&#10; legend.text = element_text(size = 10),&#10; plot.margin = margin(1, 1, 1, 1, &amp;quot;cm&amp;quot;)&#10; ) +&#10; coord_cartesian(clip = &amp;quot;off&amp;quot;) # 允许标签超出绘图区域&#10;&#10;print(loss_plot)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/12/16/var-calculation-via-montecarlo-simulation/index_files/figure-html/mixed-1.png" width="672" /&gt;&#10;</description></item><item><title>VaR和历史模拟法及R语言</title><link>https://gewutang.cn/2010/12/15/var-calculation-using-historical-simulation/</link><pubDate>Wed, 15 Dec 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/12/15/var-calculation-using-historical-simulation/</guid><description>&#10;&#10;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(showtext)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: sysfonts&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: showtextdb&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;font_add(&amp;quot;SimHei&amp;quot;, &amp;quot;SimHei.ttf&amp;quot;)&#10;showtext_auto()&lt;/code&gt;&lt;/pre&gt;&#10;&lt;div id="引言" class="section level2"&gt;&#10;&lt;h2&gt;引言&lt;/h2&gt;&#10;&lt;p&gt;现代金融领域的计量工作分为两大块，即资产定价和风险度量。而资产定价又是以度量风险并为风险定价为基础，由此可见，风险度量工作实际上是现代金融计量领域的核心。金融领域度量风险的方法有很多，其中应用最多的是方差、最大回撤和 VaR 等。&lt;/p&gt;&#10;&lt;p&gt;在业界，VaR 不仅单纯作为风险管理的工具，在进行投资组合优化时，也会将 VaR 作为重要的过滤指标之一。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="var-的定义" class="section level2"&gt;&#10;&lt;h2&gt;VaR 的定义&lt;/h2&gt;&#10;&lt;p&gt;VaR 是 Value at Risk 的简称，中文译作“在险价值”。它是指在市场正常波动情况下，投资者所持有的投资组合在未来一定时期 &lt;span class="math inline"&gt;\(T\)&lt;/span&gt; 内，在一定置信水平 &lt;span class="math inline"&gt;\(\alpha\)&lt;/span&gt; 下所可能产生的最大可能损失。&lt;/p&gt;&#10;&lt;p&gt;假设投资者持有的投资组合的初始价值为 &lt;span class="math inline"&gt;\(P_{0}\)&lt;/span&gt; ，&lt;span class="math inline"&gt;\(r\)&lt;/span&gt; 为未来一定时期 &lt;span class="math inline"&gt;\(T\)&lt;/span&gt; 对应的收益率。那么，该组合的期末价值为：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;P_{T}=P_{0}(1+r_{T})&#10;\]&lt;/span&gt;&#10;&lt;span class="math inline"&gt;\(r\)&lt;/span&gt; 可视作随机变量，若假设在某一置信水平下，该投资组合的最低价值为 &lt;span class="math inline"&gt;\(P^*\)&lt;/span&gt; ，则：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;P_{T}^*=P_{0}(1+r_{T}^*)&#10;\]&lt;/span&gt;&#10;显然，根据VaR的定义可知，其等于投资组合的最低价值和初始价值之差：&lt;/p&gt;&#10;&lt;p&gt;&lt;span class="math display"&gt;\[&#10;VaR_{\alpha}=-P_{0}r_{\alpha}^*&#10;\]&lt;/span&gt;&#10;可见，计算 VaR 值等价于计算一定置信水平下的投资组合的最低价值 &lt;span class="math inline"&gt;\(P^*\)&lt;/span&gt; 或最低收益率 &lt;span class="math inline"&gt;\(r^*\)&lt;/span&gt; 。而计算最低价值或最低收益率则需依赖于价格序列或收益率序列的分布或概率密度函数。换句话说，计算金融资产序列的分布函数或概率密度函数正是计算 VaR 值的核心之处。&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="var-的算法" class="section level1"&gt;&#10;&lt;h1&gt;VaR 的算法&lt;/h1&gt;&#10;&lt;p&gt;清楚了 VaR 的定义，计算 VaR 的方法也就呼之欲出了。目前，常用的 VaR 算法可以分为参数法即方差-协方差法、蒙特卡洛模拟法以及非参数方法即历史模拟法。在 VaR 的应用过程中，人们也对 VaR 的上述算法进行了扩展。比如，在方差-协方差方法下人们提出了指数级权平均模型计算方差或者结合 Garch 类模型计算方差进而计算 VaR 的方法。&lt;/p&gt;&#10;&lt;div id="历史模拟法" class="section level2"&gt;&#10;&lt;h2&gt;历史模拟法&lt;/h2&gt;&#10;&lt;p&gt;历史模拟法是最简单的计算 VaR 的方法。它假设投资组合未来的波动与投资组合的历史数据完全一致，因此，计算投资组合的未来 VaR 就等同于计算历史数据的既有 VaR 。&lt;/p&gt;&#10;&lt;p&gt;历史模拟法的步骤为：&lt;/p&gt;&#10;&lt;ul&gt;&#10;&lt;li&gt;搜集历史数据&lt;/li&gt;&#10;&lt;li&gt;计算历史数据的几何收益率&lt;/li&gt;&#10;&lt;li&gt;对收益率进行排序并计算给定置信水平的下分位数&lt;/li&gt;&#10;&lt;/ul&gt;&#10;&lt;/div&gt;&#10;&lt;div id="单资产-var-的计算及其r实现" class="section level2"&gt;&#10;&lt;h2&gt;单资产 VaR 的计算及其R实现&lt;/h2&gt;&#10;&lt;p&gt;下面以计算单个资产的VaR为例：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要包&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;)&#10;library(quantmod)&#10;&#10;# 获取苹果公司股票数据&#10;getSymbols(&amp;quot;AAPL&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = Sys.Date() - 365, to = Sys.Date())&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 计算对数收益率&#10;returns &amp;lt;- na.omit(periodReturn(AAPL, period = &amp;#39;daily&amp;#39;, type = &amp;#39;log&amp;#39;))&#10;&#10;# 设置置信水平 (95%)&#10;confidence_level &amp;lt;- 0.95&#10;&#10;# 历史模拟法计算VaR&#10;historical_var &amp;lt;- -quantile(returns, probs = 1 - confidence_level)&#10;&#10;# 打印结果&#10;cat(&amp;quot;历史模拟法计算的每日VaR（95%置信水平）:&amp;quot;, round(historical_var*100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 历史模拟法计算的每日VaR（95%置信水平）: 3.22 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化结果&#10;hist(returns, breaks = 50, main = &amp;quot;日收益率分布与VaR（95%）&amp;quot;,&#10; xlab = &amp;quot;日收益率&amp;quot;, col = &amp;quot;lightblue&amp;quot;, border = &amp;quot;white&amp;quot;)&#10;abline(v = -historical_var, col = &amp;quot;red&amp;quot;, lwd = 2)&#10;text(x = -historical_var, y = par(&amp;quot;usr&amp;quot;)[4]*0.9, &#10; labels = paste(&amp;quot;VaR =&amp;quot;, round(historical_var*100, 2), &amp;quot;%&amp;quot;), &#10; pos = 2, col = &amp;quot;red&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2010/12/15/var-calculation-using-historical-simulation/index_files/figure-html/unnamed-chunk-1-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;p&gt;也可以直接用PerformanceAnalytics包中的VaR函数计算历史模拟法下的VaR值：&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要包&#10;if (!require(&amp;quot;quantmod&amp;quot;)) install.packages(&amp;quot;quantmod&amp;quot;)&#10;if (!require(&amp;quot;PerformanceAnalytics&amp;quot;)) install.packages(&amp;quot;PerformanceAnalytics&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## Loading required package: PerformanceAnalytics&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;PerformanceAnalytics&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following object is masked from &amp;#39;package:graphics&amp;#39;:&#10;## &#10;## legend&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(quantmod)&#10;library(PerformanceAnalytics)&#10;&#10;# 获取苹果公司股票数据（过去250个交易日）&#10;getSymbols(&amp;quot;AAPL&amp;quot;, src = &amp;quot;yahoo&amp;quot;, from = Sys.Date() - 365, to = Sys.Date())&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 计算对数收益率&#10;returns &amp;lt;- na.omit(ROC(Cl(AAPL))) # 等效于 log(Cl(AAPL)/lag(Cl(AAPL)))&#10;&#10;# 使用PerformanceAnalytics包计算历史模拟法VaR（95%置信水平）&#10;var_result &amp;lt;- VaR(&#10; R = returns,&#10; p = 0.95,&#10; method = &amp;quot;historical&amp;quot;,&#10; portfolio_method = &amp;quot;single&amp;quot;&#10;)&#10;&#10;# 提取并格式化结果&#10;historical_var &amp;lt;- abs(var_result[1,]) # VaR值通常取正数表示损失&#10;confidence_level &amp;lt;- attr(var_result, &amp;quot;cl&amp;quot;)&#10;&#10;# 输出结果&#10;cat(&amp;quot;PerformanceAnalytics计算的每日VaR（&amp;quot;, confidence_level*100, &amp;quot;%置信水平）:&amp;quot;,&#10; round(historical_var*100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## PerformanceAnalytics计算的每日VaR（ %置信水平）: 3.22 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 可视化收益率分布及VaR&#10;hist(returns, breaks = 50, main = &amp;quot;日收益率分布与VaR（历史模拟法）&amp;quot;,&#10; xlab = &amp;quot;日收益率&amp;quot;, col = &amp;quot;lightblue&amp;quot;, border = &amp;quot;white&amp;quot;)&#10;abline(v = -historical_var, col = &amp;quot;red&amp;quot;, lwd = 2)&#10;text(x = -historical_var, y = par(&amp;quot;usr&amp;quot;)[4]*0.9,&#10; labels = paste(&amp;quot;VaR =&amp;quot;, round(historical_var*100, 2), &amp;quot;%&amp;quot;),&#10; pos = 2, col = &amp;quot;red&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2010/12/15/var-calculation-using-historical-simulation/index_files/figure-html/unnamed-chunk-2-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;div id="多资产投资组合的-var-计算及其-r-实现" class="section level2"&gt;&#10;&lt;h2&gt;多资产投资组合的 VaR 计算及其 R 实现&lt;/h2&gt;&#10;&lt;p&gt;用历史模拟法计算多资产投资组合的 VaR 与单资产思路类似，唯一不同的是要按照当前投资组合中各资产的权重计算投资组合的历史收益率。&lt;/p&gt;&#10;&lt;p&gt;具体R代码如下:&lt;/p&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 加载必要包&#10;library(quantmod) # 金融数据获取&#10;library(dplyr) # 数据处理&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## ######################### Warning from &amp;#39;xts&amp;#39; package ##########################&#10;## # #&#10;## # The dplyr lag() function breaks how base R&amp;#39;s lag() function is supposed to #&#10;## # work, which breaks lag(my_xts). Calls to lag(my_xts) that you type or #&#10;## # source() into this session won&amp;#39;t work correctly. #&#10;## # #&#10;## # Use stats::lag() to make sure you&amp;#39;re not using dplyr::lag(), or you can add #&#10;## # conflictRules(&amp;#39;dplyr&amp;#39;, exclude = &amp;#39;lag&amp;#39;) to your .Rprofile to stop #&#10;## # dplyr from breaking base R&amp;#39;s lag() function. #&#10;## # #&#10;## # Code in packages is not affected. It&amp;#39;s protected by R&amp;#39;s namespace mechanism #&#10;## # Set `options(xts.warn_dplyr_breaks_lag = FALSE)` to suppress this warning. #&#10;## # #&#10;## ###############################################################################&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## &#10;## Attaching package: &amp;#39;dplyr&amp;#39;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:xts&amp;#39;:&#10;## &#10;## first, last&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:stats&amp;#39;:&#10;## &#10;## filter, lag&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## The following objects are masked from &amp;#39;package:base&amp;#39;:&#10;## &#10;## intersect, setdiff, setequal, union&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;library(ggplot2) # 可视化&#10;&#10;# ========== 参数设置 ==========&#10;symbols &amp;lt;- c(&amp;quot;AAPL&amp;quot;, &amp;quot;GOOG&amp;quot;, &amp;quot;MSFT&amp;quot;) # 资产代码（苹果、谷歌、微软）&#10;weights &amp;lt;- c(0.5, 0.3, 0.2) # 资产权重（总和为1）&#10;portfolio_value &amp;lt;- 1e7 # 投资组合当前价值（假设1千万元）&#10;confidence_level &amp;lt;- 0.95 # 置信水平&#10;start_date &amp;lt;- &amp;quot;2020-01-01&amp;quot; # 数据开始日期&#10;end_date &amp;lt;- &amp;quot;2023-12-31&amp;quot; # 数据结束日期&#10;&#10;# ========== 1. 获取历史价格数据 ==========&#10;getSymbols(symbols, src = &amp;quot;yahoo&amp;quot;, from = start_date, to = end_date)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## [1] &amp;quot;AAPL&amp;quot; &amp;quot;GOOG&amp;quot; &amp;quot;MSFT&amp;quot;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# 提取收盘价并合并&#10;prices &amp;lt;- merge(Cl(get(symbols[1])), Cl(get(symbols[2])), Cl(get(symbols[3])))&#10;colnames(prices) &amp;lt;- symbols&#10;&#10;# 清理缺失值（确保日期对齐）&#10;prices_clean &amp;lt;- na.omit(prices)&#10;&#10;# ========== 2. 计算各资产对数收益率 ==========&#10;returns &amp;lt;- data.frame(&#10; AAPL = as.numeric(Delt(prices_clean$AAPL)),&#10; GOOG = as.numeric(Delt(prices_clean$GOOG)),&#10; MSFT = as.numeric(Delt(prices_clean$MSFT))&#10;) %&amp;gt;% na.omit() # 去除首行NA&#10;&#10;# ========== 3. 计算投资组合每日收益率 ==========&#10;# 将收益率转换为矩阵进行加权计算&#10;returns_matrix &amp;lt;- as.matrix(returns)&#10;portfolio_returns &amp;lt;- returns_matrix %*% weights&#10;&#10;# ========== 4. 历史模拟法计算VaR ==========&#10;# 按升序排列组合收益率（损失为负值）&#10;sorted_returns &amp;lt;- sort(portfolio_returns)&#10;&#10;# 确定分位数位置&#10;n &amp;lt;- length(sorted_returns)&#10;var_index &amp;lt;- floor((1 - confidence_level) * n)&#10;var_quantile &amp;lt;- sorted_returns[var_index]&#10;&#10;# 计算VaR绝对值&#10;VaR &amp;lt;- abs(var_quantile) * portfolio_value&#10;&#10;# ========== 5. 输出结果 ==========&#10;cat(&amp;quot;========== 计算结果 ==========\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## ========== 计算结果 ==========&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;置信水平:&amp;quot;, confidence_level * 100, &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 置信水平: 95 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;历史数据天数:&amp;quot;, n, &amp;quot;\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 历史数据天数: 1005&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;VaR分位数对应收益率:&amp;quot;, round(var_quantile * 100, 2), &amp;quot;%\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## VaR分位数对应收益率: -2.94 %&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;cat(&amp;quot;组合VaR值:&amp;quot;, round(VaR, 2), &amp;quot;元\n&amp;quot;)&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre&gt;&lt;code&gt;## 组合VaR值: 294069.7 元&lt;/code&gt;&lt;/pre&gt;&#10;&lt;pre class="r"&gt;&lt;code&gt;# ========== 6. 可视化== ==========&#10;# 绘制组合收益率分布直方图&#10;ggplot(data.frame(Return = portfolio_returns), aes(x = Return)) +&#10; geom_histogram(bins = 50, fill = &amp;quot;lightblue&amp;quot;, color = &amp;quot;black&amp;quot;) +&#10; geom_vline(xintercept = var_quantile, color = &amp;quot;red&amp;quot;, linewidth = 1) +&#10; labs(title = &amp;quot;投资组合历史收益率分布与VaR&amp;quot;,&#10; x = &amp;quot;收益率&amp;quot;, y = &amp;quot;频数&amp;quot;) +&#10; annotate(&amp;quot;text&amp;quot;, x = var_quantile, y = Inf, &#10; label = paste0(confidence_level * 100, &amp;quot;% VaR: &amp;quot;, round(VaR, 2), &amp;quot;元&amp;quot;),&#10; color = &amp;quot;red&amp;quot;, vjust = 1.5, hjust = -0.1) +&#10; theme_minimal()&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;&lt;img src="https://gewutang.cn/2010/12/15/var-calculation-using-historical-simulation/index_files/figure-html/unnamed-chunk-3-1.png" width="672" /&gt;&lt;/p&gt;&#10;&lt;/div&gt;&#10;&lt;/div&gt;&#10;</description></item><item><title>scatterplot3d:一个特立独行的R包</title><link>https://gewutang.cn/2010/06/13/scatterplot3d/</link><pubDate>Sun, 13 Jun 2010 00:00:00 +0000</pubDate><guid>https://gewutang.cn/2010/06/13/scatterplot3d/</guid><description>&lt;p&gt;scatterplot3d是一个力图在3D空间展示多维数据的R包，在这个包里只含有一个函数scatterplot3d()，这一点上可谓是特立独行。scatterplot3d()的用法如下：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; scatterplot3d(x, y=NULL, z=NULL, color=par(&amp;quot;col&amp;quot;), pch=NULL,&#10; main=NULL, sub=NULL, xlim=NULL, ylim=NULL, zlim=NULL,&#10; xlab=NULL, ylab=NULL, zlab=NULL, scale.y=1, angle=40,&#10; axis=TRUE, tick.marks=TRUE, label.tick.marks=TRUE,&#10; x.ticklabs=NULL, y.ticklabs=NULL, z.ticklabs=NULL,&#10; y.margin.add=0, grid=TRUE, box=TRUE, lab=par(&amp;quot;lab&amp;quot;),&#10; lab.z=mean(lab[1:2]), type=&amp;quot;p&amp;quot;, highlight.3d=FALSE,&#10; mar=c(5,3,4,3)+0.1, col.axis=par(&amp;quot;col.axis&amp;quot;),&#10; col.grid=&amp;quot;grey&amp;quot;, col.lab=par(&amp;quot;col.lab&amp;quot;),&#10; cex.symbols=par(&amp;quot;cex&amp;quot;), cex.axis=0.8 * par(&amp;quot;cex.axis&amp;quot;),&#10; cex.lab=par(&amp;quot;cex.lab&amp;quot;), font.axis=par(&amp;quot;font.axis&amp;quot;),&#10; font.lab=par(&amp;quot;font.lab&amp;quot;), lty.axis=par(&amp;quot;lty&amp;quot;),&#10; lty.grid=par(&amp;quot;lty&amp;quot;), lty.hide=NULL, lty.hplot=par(&amp;quot;lty&amp;quot;),&#10; log=&amp;quot;&amp;quot;, ...)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;p&gt;这个函数的参数多到让人眼花缭乱。下面是几个例子:&lt;/p&gt;&#10;&lt;p&gt;先用scatterplot3d()画一个螺旋线：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;library(scatterplot3d)&#10;z &amp;lt;- seq(-10, 10, 0.01)&#10;x &amp;lt;- cos(z)&#10;y &amp;lt;- sin(z)&#10;scatterplot3d(x, y, z, highlight.3d=TRUE, col.axis=&amp;quot;blue&amp;quot;,col.grid=&amp;quot;lightblue&amp;quot;,main=&amp;quot;scatterplot3d - 1&amp;quot;, pch=20)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-2-1.png" width="672" /&gt;&#10;&lt;p&gt;再画半椭圆:&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;temp&amp;lt;- seq(-pi, 0, length = 50)&#10;x &amp;lt;- c(rep(1, 50) %*% t(cos(temp)))&#10;y &amp;lt;- c(cos(temp) %*% t(sin(temp)))&#10;z &amp;lt;- c(sin(temp) %*% t(sin(temp)))&#10;scatterplot3d(x, y, z, highlight.3d=TRUE,col.axis=&amp;quot;blue&amp;quot;, col.grid=&amp;quot;lightblue&amp;quot;,main=&amp;quot;scatterplot3d - 2&amp;quot;, pch=20)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-3-1.png" width="672" /&gt;&#10;&lt;p&gt;将两者结合，输出结果很像龙盘柱。有点酷！&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; x &amp;lt;- c(rep(1, 50) %*% t(cos(temp)))&#10; y &amp;lt;- c(cos(temp) %*% t(sin(temp)))&#10; z &amp;lt;- 10 * c(sin(temp) %*% t(sin(temp)))&#10; color &amp;lt;- rep(&amp;quot;green&amp;quot;, length(x))&#10; temp &amp;lt;- seq(-10, 10, 0.01)&#10; x &amp;lt;- c(x, cos(temp))&#10; y &amp;lt;- c(y, sin(temp))&#10; z &amp;lt;- c(z, temp)&#10; color &amp;lt;- c(color, rep(&amp;quot;red&amp;quot;, length(temp)))&#10; scatterplot3d(x, y, z, color, pch=20, zlim=c(-2, 10),main=&amp;quot;scatterplot3d - 3&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-4-1.png" width="672" /&gt;&#10;&lt;p&gt;来一个比较庸俗的，三维bar图：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;my.mat &amp;lt;- matrix(runif(25), nrow=5)&#10;dimnames(my.mat) &amp;lt;- list(LETTERS[1:5], letters[11:15])&#10;s3d.dat &amp;lt;- data.frame(cols=as.vector(col(my.mat)),rows=as.vector(row(my.mat)),value=as.vector(my.mat))&#10;scatterplot3d(s3d.dat, type=&amp;quot;h&amp;quot;, lwd=5, pch=&amp;quot; &amp;quot;,x.ticklabs=colnames(my.mat),y.ticklabs=rownames(my.mat))&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-5-1.png" width="672" /&gt;&#10;&lt;p&gt;上面的可以说都不是很实用，下面看一下二维回归平面图：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt;data(trees)&#10;s3d &amp;lt;- scatterplot3d(trees, type=&amp;quot;h&amp;quot;, highlight.3d=TRUE,angle=55, scale.y=0.7, pch=16, main=&amp;quot;scatterplot3d - 5&amp;quot;)&#10;s3d$points3d(seq(10,20,2), seq(85,60,-5), seq(60,10,-10),col=&amp;quot;blue&amp;quot;, type=&amp;quot;h&amp;quot;, pch=16)&#10; # 画回归平面&#10;attach(trees)&#10;my.lm &amp;lt;- lm(Volume ~ Girth + Height)&#10;s3d$plane3d(my.lm, lty.box = &amp;quot;solid&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-6-1.png" width="672" /&gt;&#10;&lt;p&gt;我看见有很多帖子索要二维正态分布的示意图，这里画一个，&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; library(mvtnorm)&#10; x1 &amp;lt;- seq(-10, 10, length = 51)&#10; x2 &amp;lt;- seq(-10, 10, length = 51)&#10; dens &amp;lt;- matrix(dmvnorm(expand.grid(x1,x2),sigma=rbind(c(3,2),c(2,3))),ncol=length(x1))&#10; s3d&amp;lt;-scatterplot3d(x1,x2,seq(min(dens),max(dens),length=length(x1)),&#10; type=&amp;quot;n&amp;quot;,grid=FALSE,angle = 70,&#10; zlab=expression(f(x[1],x[2])),&#10; xlab=expression(x[1]),ylab=expression(x[2]),&#10; main=&amp;quot;Bivariate normal distribution&amp;quot;)&#10; text(s3d$xyz.convert(-1,10,0.07),&#10; labels=expression(f(x)==frac(1,sqrt((2*pi)^n*phantom(&amp;quot;.&amp;quot;)*det(Sigma[X])))*phantom(&amp;quot;.&amp;quot;)*exp(bgroup(&amp;quot;(&amp;quot;,-scriptstyle(frac(1,2)*phantom(&amp;quot;.&amp;quot;))*(x-mu)^T*Sigma[X]^-1*(x-mu),&amp;quot;)&amp;quot;))))&#10; for(i in length(x1):1)&#10; s3d$points3d(rep(x1[i], length(x2)), x2, dens[i,], type = &amp;quot;l&amp;quot;)&#10; for(i in length(x2):1)&#10; s3d$points3d(x1, rep(x2[i], length(x1)), dens[,i], type = &amp;quot;l&amp;quot;)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-7-1.png" width="672" /&gt;&#10;&lt;p&gt;之所以画下面这个，完全是因为我贪图色彩：&lt;/p&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; cubedraw &amp;lt;- function(res3d, min = 0, max = 255, cex = 2, text. = FALSE)&#10; {&#10; cube01 &amp;lt;- rbind(c(0,0,1), 0, c(1,0,0), c(1,1,0), 1, c(0,1,1), # &amp;lt; 6 outer&#10; c(1,0,1), c(0,1,0)) &#10; cub &amp;lt;- min + (max-min)* cube01&#10; res3d$points3d(cub[c(1:6,1,7,3,7,5) ,], cex = cex, type = 'b', lty = 1)&#10; res3d$points3d(cub[c(2,8,4,8,6), ], cex = cex, type = 'b', lty = 3)&#10; if(text.)&#10; text(res3d$xyz.convert(cub), labels=1:nrow(cub), col='tomato', cex=2)&#10; }&#10; cc &amp;lt;- colors()&#10; crgb &amp;lt;- t(col2rgb(cc))&#10; par(xpd = TRUE)&#10; rr &amp;lt;- scatterplot3d(crgb, color = cc, box = FALSE, angle = 24,&#10; xlim = c(-50, 300), ylim = c(-50, 300), zlim = c(-50, 300))&#10; cubedraw(rr)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-8-1.png" width="672" /&gt;&#10;&lt;pre&gt;&lt;code class="language-r"&gt; rbc &amp;lt;- rainbow(201)&#10; Rrb &amp;lt;- t(col2rgb(rbc))&#10; rR &amp;lt;- scatterplot3d(Rrb, color = rbc, box = FALSE, angle = 24,&#10; xlim = c(-50, 300), ylim = c(-50, 300), zlim = c(-50, 300))&#10; cubedraw(rR)&#10; rR$points3d(Rrb, col = rbc, pch = 16)&#10;&lt;/code&gt;&lt;/pre&gt;&#10;&lt;img src="https://gewutang.cn/2010/06/13/scatterplot3d/index_files/figure-html/unnamed-chunk-8-2.png" width="672" /&gt;&#10;</description></item></channel></rss>