> require('blotter') Loading required package: blotter Loading required package: FinancialInstrument > demo('longtrend') demo(longtrend) ---- ~~~~~~~~~ Type to start : > # This is a very simple trend following strategy for testing the results of: > # Faber, Mebane T., "A Quantitative Approach to Tactical Asset Allocation." > # Journal of Risk Management (Spring 2007). > # The article proposes a very simple quantitative market-timing model. They > # test the model in sample on the US stock market since 1900 before testing > # it out-of-sample in twenty other markets. > > # The article discusses a 200-day simple moving average, which is proposed > # in Jeremy Seigel's book "Stocks for the Long Run" for timing the DJIA. He > # concludes that a simple market timing strategy improves the absolute and > # risk adjusted returns over a buy-and-hold strategy. After all transaction > # costs are included, the timing strategy falls short on the absolute return, > # but still provides a better risk-adjusted return. Siegel also tests timing on > # the Nasdaq composite since 1972 and finds better absolute and risk adjusted > # returns. > > # The article implements a simpler version of the 200-day SMA, opting for a > # 10-month SMA. Monthly data is more easily available for long periods of time, > # and the lower granularity should translate to lower transaction costs. > > # The rules of the system are relatively simple: > # - Buy when monthly price > 10-month SMA > # - Sell and move to cash when monthly price < 10-month SMA > > # 1. All entry and exit prices are on the day of the signal at the close. > # 2. All data series are total return series including dividends, updated monthly. > # For the purposes of this demo, we only use price returns. > # 3. Cash returns are estimated with 90-day commercial paper. Margin rates for > # leveraged models are estimated with the broker call rate. Again, for the > # purposes of this demo, we ignore interest and leverage. > # 4. Taxes, commissions, and slippage are excluded. > > # This simple strategy is different from well-known trend-following systems in > # three respects. First, there's no shorting. Positions are converted to cash on > # a 'sell' signal, rather than taking a short position. Second, the entire position > # is put on at trade inception. No assumptions are made about increasing position > # size as the trend progresses. Third, there are no stops. If the trend reverts > # quickly, this system will wait for a sell signal before selling the position. > > # Data > # Instead of using total returns data, this demo uses monthly data for the SP500 > # downloaded from Yahoo Finance. We'll use about 10 years of data, starting at > # the beginning of 1998. > > # Load required libraries > require(quantmod) > require(TTR) > require(blotter) > # Try to clean up in case the demo was run previously > try(rm("account.longtrend","portfolio.longtrend",pos=.blotter),silent=TRUE) > try(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","GSPC","i","initDate","initEq","Posn","UnitSize","verbose"),silent=TRUE) > # Set initial values > initDate='1997-12-31' > initEq=100000 > # Load data with quantmod > print("Loading data") [1] "Loading data" > currency("USD") > stock("GSPC",currency="USD",multiplier=1) > getSymbols('^GSPC', src='yahoo', index.class=c("POSIXt","POSIXct"),from='1998-01-01') [1] "GSPC" > GSPC=to.monthly(GSPC, indexAt='endof') > # Set up indicators with TTR > print("Setting up indicators") [1] "Setting up indicators" > GSPC$SMA10m <- SMA(GSPC[,grep('Adj',colnames(GSPC))], 10) > # Set up a portfolio object and an account object in blotter > print("Initializing portfolio and account structure") [1] "Initializing portfolio and account structure" > ltportfolio='longtrend' > ltaccount='longtrend' > initPortf(ltportfolio,'GSPC', initDate=initDate) [1] "longtrend" > initAcct(ltaccount,portfolios='longtrend', initDate=initDate) [1] "longtrend" > verbose=TRUE > # Create trades > for( i in 10:NROW(GSPC) ) { + # browser() + CurrentDate=time(GSPC)[i] + cat(".") + equity = getEndEq(ltaccount, CurrentDate) + + ClosePrice = as.numeric(Ad(GSPC[i,])) + Posn = getPosQty(ltportfolio, Symbol='GSPC', Date=CurrentDate) + UnitSize = as.numeric(trunc(equity/ClosePrice)) + + # Position Entry (assume fill at close) + if( Posn == 0 ) { + # No position, so test to initiate Long position + if( as.numeric(Ad(GSPC[i,])) > as.numeric(GSPC[i,'SMA10m']) ) { + cat('\n') + # Store trade with blotter + addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose) + } + } else { + # Have a position, so check exit + if( as.numeric(Ad(GSPC[i,])) < as.numeric(GSPC[i,'SMA10m'])) { + cat('\n') + # Store trade with blotter + addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose) + } + } + + # Calculate P&L and resulting equity with blotter + updatePortf(ltportfolio, Dates = CurrentDate) + updateAcct(ltaccount, Dates = CurrentDate) + updateEndEq(ltaccount, Dates = CurrentDate) + } # End dates loop . [1] "1998-10-30 GSPC 91 @ 1098.67" ........... [1] "1999-09-30 GSPC -91 @ 1282.71" . [1] "1999-10-29 GSPC 85 @ 1362.93" ........... [1] "2000-09-29 GSPC -85 @ 1436.51" .................. [1] "2002-03-28 GSPC 107 @ 1147.39" . [1] "2002-04-30 GSPC -107 @ 1076.92" ............ [1] "2003-04-30 GSPC 125 @ 916.92" ............... [1] "2004-07-30 GSPC -125 @ 1101.72" ... [1] "2004-10-29 GSPC 122 @ 1130.2" ..................................... [1] "2007-11-30 GSPC -122 @ 1481.14" ................... [1] "2009-06-30 GSPC 197 @ 919.32" ........ > cat('\n') > # Chart results with quantmod > chart.Posn(ltportfolio, Symbol = 'GSPC', Dates = '1998::',theme='white') Hit to see next plot: Hit to see next plot: Hit to see next plot: Hit to see next plot: Hit to see next plot: > plot(addSMA(n=10,col='darkgreen', on=1)) Hit to see next plot: > getTxns(Portfolio="longtrend", Symbol="GSPC", Date="2000::2004") Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost 2000-09-29 -85 1436.51 0 -122103.35 1436.51 2002-03-28 107 1147.39 0 122770.73 1147.39 2002-04-30 -107 1076.92 0 -115230.44 1076.92 2003-04-30 125 916.92 0 114615.00 916.92 2004-07-30 -125 1101.72 0 -137715.00 1101.72 2004-10-29 122 1130.20 0 137884.40 1130.20 > # Copy the results into the local environment > print("Retrieving resulting portfolio and account") [1] "Retrieving resulting portfolio and account" > ltportfolio = getPortfolio("longtrend") > ltaccount = getAccount("longtrend") There were 14 warnings (use warnings() to see them) > dev.copy2pdf(file='longtrend.pdf') X11cairo 2 > getPortfolio('longtrend') $GSPC $GSPC$txn Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Pos.Qty Pos.Avg.Cost Realized.PL Con.Mult 1997-12-31 0 0.00 0 0.00 0.00 0 0.00 0.00 0 1998-10-30 91 1098.67 0 99978.97 1098.67 91 1098.67 0.00 1 1999-09-30 -91 1282.71 0 -116726.61 1282.71 0 0.00 16747.64 1 1999-10-29 85 1362.93 0 115849.05 1362.93 85 1362.93 0.00 1 2000-09-29 -85 1436.51 0 -122103.35 1436.51 0 0.00 6254.30 1 2002-03-28 107 1147.39 0 122770.73 1147.39 107 1147.39 0.00 1 2002-04-30 -107 1076.92 0 -115230.44 1076.92 0 0.00 -7540.29 1 2003-04-30 125 916.92 0 114615.00 916.92 125 916.92 0.00 1 2004-07-30 -125 1101.72 0 -137715.00 1101.72 0 0.00 23100.00 1 2004-10-29 122 1130.20 0 137884.40 1130.20 122 1130.20 0.00 1 2007-11-30 -122 1481.14 0 -180699.08 1481.14 0 0.00 42814.68 1 2009-06-30 197 919.32 0 181106.04 919.32 197 919.32 0.00 1 $GSPC$posPL Pos.Qty Con.Mult Ccy.Mult Pos.Value Txn.Value Txn.Fees Realized.PL Unrealized.PL Trading.PL 1997-12-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 1998-10-30 91 1 1 99978.97 99978.97 0 0.00 0.0000000e+00 0.00 1998-11-30 91 1 1 105890.33 0.00 0 0.00 5.9113600e+03 5911.36 1998-12-31 91 1 1 111859.93 0.00 0 0.00 5.9696000e+03 5969.60 1999-01-29 91 1 1 116447.24 0.00 0 0.00 4.5873100e+03 4587.31 1999-02-26 91 1 1 112688.03 0.00 0 0.00 -3.7592100e+03 -3759.21 1999-03-31 91 1 1 117059.67 0.00 0 0.00 4.3716400e+03 4371.64 1999-04-30 91 1 1 121501.38 0.00 0 0.00 4.4417100e+03 4441.71 1999-05-28 91 1 1 118467.44 0.00 0 0.00 -3.0339400e+03 -3033.94 1999-06-30 91 1 1 124916.61 0.00 0 0.00 6.4491700e+03 6449.17 1999-07-30 91 1 1 120913.52 0.00 0 0.00 -4.0030900e+03 -4003.09 1999-08-31 91 1 1 120157.31 0.00 0 0.00 -7.5621000e+02 -756.21 1999-09-30 0 1 1 0.00 -116726.61 0 16747.64 -2.0178340e+04 -3430.70 1999-10-29 85 1 1 115849.05 115849.05 0 0.00 0.0000000e+00 0.00 1999-11-30 85 1 1 118057.35 0.00 0 0.00 2.2083000e+03 2208.30 1999-12-31 85 1 1 124886.25 0.00 0 0.00 6.8289000e+03 6828.90 2000-01-31 85 1 1 118529.10 0.00 0 0.00 -6.3571500e+03 -6357.15 2000-02-29 85 1 1 116145.70 0.00 0 0.00 -2.3834000e+03 -2383.40 2000-03-31 85 1 1 127379.30 0.00 0 0.00 1.1233600e+04 11233.60 2000-04-28 85 1 1 123456.55 0.00 0 0.00 -3.9227500e+03 -3922.75 2000-05-31 85 1 1 120751.00 0.00 0 0.00 -2.7055500e+03 -2705.55 2000-06-30 85 1 1 123641.00 0.00 0 0.00 2.8900000e+03 2890.00 2000-07-31 85 1 1 121620.55 0.00 0 0.00 -2.0204500e+03 -2020.45 2000-08-31 85 1 1 129002.80 0.00 0 0.00 7.3822500e+03 7382.25 2000-09-29 0 1 1 0.00 -122103.35 0 6254.30 -1.3153750e+04 -6899.45 2000-10-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2000-11-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2000-12-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-01-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-02-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-03-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-04-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-05-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-06-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-07-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-08-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-09-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-10-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-11-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-12-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-01-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-02-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-03-28 107 1 1 122770.73 122770.73 0 0.00 0.0000000e+00 0.00 2002-04-30 0 1 1 0.00 -115230.44 0 -7540.29 -5.4569682e-12 -7540.29 2002-05-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-06-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-07-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-08-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-09-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-10-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-11-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-12-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-01-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-02-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-03-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-04-30 125 1 1 114615.00 114615.00 0 0.00 0.0000000e+00 0.00 2003-05-30 125 1 1 120448.75 0.00 0 0.00 5.8337500e+03 5833.75 2003-06-30 125 1 1 121812.50 0.00 0 0.00 1.3637500e+03 1363.75 2003-07-31 125 1 1 123788.75 0.00 0 0.00 1.9762500e+03 1976.25 2003-08-29 125 1 1 126001.25 0.00 0 0.00 2.2125000e+03 2212.50 2003-09-30 125 1 1 124496.25 0.00 0 0.00 -1.5050000e+03 -1505.00 2003-10-31 125 1 1 131338.75 0.00 0 0.00 6.8425000e+03 6842.50 2003-11-28 125 1 1 132275.00 0.00 0 0.00 9.3625000e+02 936.25 2003-12-31 125 1 1 138990.00 0.00 0 0.00 6.7150000e+03 6715.00 2004-01-30 125 1 1 141391.25 0.00 0 0.00 2.4012500e+03 2401.25 2004-02-27 125 1 1 143117.50 0.00 0 0.00 1.7262500e+03 1726.25 2004-03-31 125 1 1 140776.25 0.00 0 0.00 -2.3412500e+03 -2341.25 2004-04-30 125 1 1 138412.50 0.00 0 0.00 -2.3637500e+03 -2363.75 2004-05-28 125 1 1 140085.00 0.00 0 0.00 1.6725000e+03 1672.50 2004-06-30 125 1 1 142605.00 0.00 0 0.00 2.5200000e+03 2520.00 2004-07-30 0 1 1 0.00 -137715.00 0 23100.00 -2.7990000e+04 -4890.00 2004-08-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2004-09-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2004-10-29 122 1 1 137884.40 137884.40 0 0.00 0.0000000e+00 0.00 2004-11-30 122 1 1 143206.04 0.00 0 0.00 5.3216400e+03 5321.64 2004-12-31 122 1 1 147854.24 0.00 0 0.00 4.6482000e+03 4648.20 2005-01-31 122 1 1 144114.94 0.00 0 0.00 -3.7393000e+03 -3739.30 2005-02-28 122 1 1 146839.20 0.00 0 0.00 2.7242600e+03 2724.26 2005-03-31 122 1 1 144031.98 0.00 0 0.00 -2.8072200e+03 -2807.22 2005-04-29 122 1 1 141135.70 0.00 0 0.00 -2.8962800e+03 -2896.28 2005-05-31 122 1 1 145363.00 0.00 0 0.00 4.2273000e+03 4227.30 2005-06-30 122 1 1 145342.26 0.00 0 0.00 -2.0740000e+01 -20.74 2005-07-29 122 1 1 150569.96 0.00 0 0.00 5.2277000e+03 5227.70 2005-08-31 122 1 1 148880.26 0.00 0 0.00 -1.6897000e+03 -1689.70 2005-09-30 122 1 1 149914.82 0.00 0 0.00 1.0345600e+03 1034.56 2005-10-31 122 1 1 147255.22 0.00 0 0.00 -2.6596000e+03 -2659.60 2005-11-30 122 1 1 152436.56 0.00 0 0.00 5.1813400e+03 5181.34 2005-12-30 122 1 1 152291.38 0.00 0 0.00 -1.4518000e+02 -145.18 2006-01-31 122 1 1 156169.76 0.00 0 0.00 3.8783800e+03 3878.38 2006-02-28 122 1 1 156240.52 0.00 0 0.00 7.0760000e+01 70.76 2006-03-31 122 1 1 157974.14 0.00 0 0.00 1.7336200e+03 1733.62 2006-04-28 122 1 1 159894.42 0.00 0 0.00 1.9202800e+03 1920.28 2006-05-31 122 1 1 154950.98 0.00 0 0.00 -4.9434400e+03 -4943.44 2006-06-30 122 1 1 154964.40 0.00 0 0.00 1.3420000e+01 13.42 2006-07-31 122 1 1 155752.52 0.00 0 0.00 7.8812000e+02 788.12 2006-08-31 122 1 1 159066.04 0.00 0 0.00 3.3135200e+03 3313.52 2006-09-29 122 1 1 162973.70 0.00 0 0.00 3.9076600e+03 3907.66 2006-10-31 122 1 1 168108.68 0.00 0 0.00 5.1349800e+03 5134.98 2006-11-30 122 1 1 170876.86 0.00 0 0.00 2.7681800e+03 2768.18 2006-12-29 122 1 1 173032.60 0.00 0 0.00 2.1557400e+03 2155.74 2007-01-31 122 1 1 175465.28 0.00 0 0.00 2.4326800e+03 2432.68 2007-02-28 122 1 1 171632.04 0.00 0 0.00 -3.8332400e+03 -3833.24 2007-03-30 122 1 1 173344.92 0.00 0 0.00 1.7128800e+03 1712.88 2007-04-30 122 1 1 180849.14 0.00 0 0.00 7.5042200e+03 7504.22 2007-05-31 122 1 1 186735.64 0.00 0 0.00 5.8865000e+03 5886.50 2007-06-29 122 1 1 183408.70 0.00 0 0.00 -3.3269400e+03 -3326.94 2007-07-31 122 1 1 177542.94 0.00 0 0.00 -5.8657600e+03 -5865.76 2007-08-31 122 1 1 179826.78 0.00 0 0.00 2.2838400e+03 2283.84 2007-09-28 122 1 1 186263.50 0.00 0 0.00 6.4367200e+03 6436.72 2007-10-31 122 1 1 189024.36 0.00 0 0.00 2.7608600e+03 2760.86 2007-11-30 0 1 1 0.00 -180699.08 0 42814.68 -5.1139960e+04 -8325.28 2007-12-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-01-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-02-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-03-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-04-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-05-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-06-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-07-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-08-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-09-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-10-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-11-28 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-12-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-01-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-02-27 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-03-31 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-04-30 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-05-29 0 1 1 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-06-30 197 1 1 181106.04 181106.04 0 0.00 0.0000000e+00 0.00 2009-07-31 197 1 1 194533.56 0.00 0 0.00 1.3427520e+04 13427.52 2009-08-31 197 1 1 201062.14 0.00 0 0.00 6.5285800e+03 6528.58 2009-09-30 197 1 1 208244.76 0.00 0 0.00 7.1826200e+03 7182.62 2009-10-30 197 1 1 204129.43 0.00 0 0.00 -4.1153300e+03 -4115.33 2009-11-30 197 1 1 215839.11 0.00 0 0.00 1.1709680e+04 11709.68 2009-12-31 197 1 1 219674.70 0.00 0 0.00 3.8355900e+03 3835.59 2010-01-29 197 1 1 211552.39 0.00 0 0.00 -8.1223100e+03 -8122.31 2010-02-26 197 1 1 217584.53 0.00 0 0.00 6.0321400e+03 6032.14 attr(,"class") [1] "blotter_portfolio" "portfolio" > getAccount('longtrend') $TOTAL Additions Withdrawals Txn.Fees Realized.PL Unrealized.PL Int.Income Trading.PL Advisory.Fees Net.Performance End.Eq 1997-12-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 100000.00 1998-10-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 100000.00 1998-11-30 0 0 0 0.00 5.9113600e+03 0 5911.36 0 5911.36 105911.36 1998-12-31 0 0 0 0.00 5.9696000e+03 0 5969.60 0 5969.60 111880.96 1999-01-29 0 0 0 0.00 4.5873100e+03 0 4587.31 0 4587.31 116468.27 1999-02-26 0 0 0 0.00 -3.7592100e+03 0 -3759.21 0 -3759.21 112709.06 1999-03-31 0 0 0 0.00 4.3716400e+03 0 4371.64 0 4371.64 117080.70 1999-04-30 0 0 0 0.00 4.4417100e+03 0 4441.71 0 4441.71 121522.41 1999-05-28 0 0 0 0.00 -3.0339400e+03 0 -3033.94 0 -3033.94 118488.47 1999-06-30 0 0 0 0.00 6.4491700e+03 0 6449.17 0 6449.17 124937.64 1999-07-30 0 0 0 0.00 -4.0030900e+03 0 -4003.09 0 -4003.09 120934.55 1999-08-31 0 0 0 0.00 -7.5621000e+02 0 -756.21 0 -756.21 120178.34 1999-09-30 0 0 0 16747.64 -2.0178340e+04 0 -3430.70 0 -3430.70 116747.64 1999-10-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 116747.64 1999-11-30 0 0 0 0.00 2.2083000e+03 0 2208.30 0 2208.30 118955.94 1999-12-31 0 0 0 0.00 6.8289000e+03 0 6828.90 0 6828.90 125784.84 2000-01-31 0 0 0 0.00 -6.3571500e+03 0 -6357.15 0 -6357.15 119427.69 2000-02-29 0 0 0 0.00 -2.3834000e+03 0 -2383.40 0 -2383.40 117044.29 2000-03-31 0 0 0 0.00 1.1233600e+04 0 11233.60 0 11233.60 128277.89 2000-04-28 0 0 0 0.00 -3.9227500e+03 0 -3922.75 0 -3922.75 124355.14 2000-05-31 0 0 0 0.00 -2.7055500e+03 0 -2705.55 0 -2705.55 121649.59 2000-06-30 0 0 0 0.00 2.8900000e+03 0 2890.00 0 2890.00 124539.59 2000-07-31 0 0 0 0.00 -2.0204500e+03 0 -2020.45 0 -2020.45 122519.14 2000-08-31 0 0 0 0.00 7.3822500e+03 0 7382.25 0 7382.25 129901.39 2000-09-29 0 0 0 6254.30 -1.3153750e+04 0 -6899.45 0 -6899.45 123001.94 2000-10-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2000-11-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2000-12-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-01-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-02-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-03-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-04-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-05-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-06-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-07-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-08-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-09-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-10-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-11-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2001-12-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2002-01-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2002-02-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2002-03-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 123001.94 2002-04-30 0 0 0 -7540.29 -5.4569682e-12 0 -7540.29 0 -7540.29 115461.65 2002-05-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-06-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-07-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-08-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-09-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-10-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-11-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2002-12-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2003-01-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2003-02-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2003-03-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2003-04-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 115461.65 2003-05-30 0 0 0 0.00 5.8337500e+03 0 5833.75 0 5833.75 121295.40 2003-06-30 0 0 0 0.00 1.3637500e+03 0 1363.75 0 1363.75 122659.15 2003-07-31 0 0 0 0.00 1.9762500e+03 0 1976.25 0 1976.25 124635.40 2003-08-29 0 0 0 0.00 2.2125000e+03 0 2212.50 0 2212.50 126847.90 2003-09-30 0 0 0 0.00 -1.5050000e+03 0 -1505.00 0 -1505.00 125342.90 2003-10-31 0 0 0 0.00 6.8425000e+03 0 6842.50 0 6842.50 132185.40 2003-11-28 0 0 0 0.00 9.3625000e+02 0 936.25 0 936.25 133121.65 2003-12-31 0 0 0 0.00 6.7150000e+03 0 6715.00 0 6715.00 139836.65 2004-01-30 0 0 0 0.00 2.4012500e+03 0 2401.25 0 2401.25 142237.90 2004-02-27 0 0 0 0.00 1.7262500e+03 0 1726.25 0 1726.25 143964.15 2004-03-31 0 0 0 0.00 -2.3412500e+03 0 -2341.25 0 -2341.25 141622.90 2004-04-30 0 0 0 0.00 -2.3637500e+03 0 -2363.75 0 -2363.75 139259.15 2004-05-28 0 0 0 0.00 1.6725000e+03 0 1672.50 0 1672.50 140931.65 2004-06-30 0 0 0 0.00 2.5200000e+03 0 2520.00 0 2520.00 143451.65 2004-07-30 0 0 0 23100.00 -2.7990000e+04 0 -4890.00 0 -4890.00 138561.65 2004-08-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 138561.65 2004-09-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 138561.65 2004-10-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 138561.65 2004-11-30 0 0 0 0.00 5.3216400e+03 0 5321.64 0 5321.64 143883.29 2004-12-31 0 0 0 0.00 4.6482000e+03 0 4648.20 0 4648.20 148531.49 2005-01-31 0 0 0 0.00 -3.7393000e+03 0 -3739.30 0 -3739.30 144792.19 2005-02-28 0 0 0 0.00 2.7242600e+03 0 2724.26 0 2724.26 147516.45 2005-03-31 0 0 0 0.00 -2.8072200e+03 0 -2807.22 0 -2807.22 144709.23 2005-04-29 0 0 0 0.00 -2.8962800e+03 0 -2896.28 0 -2896.28 141812.95 2005-05-31 0 0 0 0.00 4.2273000e+03 0 4227.30 0 4227.30 146040.25 2005-06-30 0 0 0 0.00 -2.0740000e+01 0 -20.74 0 -20.74 146019.51 2005-07-29 0 0 0 0.00 5.2277000e+03 0 5227.70 0 5227.70 151247.21 2005-08-31 0 0 0 0.00 -1.6897000e+03 0 -1689.70 0 -1689.70 149557.51 2005-09-30 0 0 0 0.00 1.0345600e+03 0 1034.56 0 1034.56 150592.07 2005-10-31 0 0 0 0.00 -2.6596000e+03 0 -2659.60 0 -2659.60 147932.47 2005-11-30 0 0 0 0.00 5.1813400e+03 0 5181.34 0 5181.34 153113.81 2005-12-30 0 0 0 0.00 -1.4518000e+02 0 -145.18 0 -145.18 152968.63 2006-01-31 0 0 0 0.00 3.8783800e+03 0 3878.38 0 3878.38 156847.01 2006-02-28 0 0 0 0.00 7.0760000e+01 0 70.76 0 70.76 156917.77 2006-03-31 0 0 0 0.00 1.7336200e+03 0 1733.62 0 1733.62 158651.39 2006-04-28 0 0 0 0.00 1.9202800e+03 0 1920.28 0 1920.28 160571.67 2006-05-31 0 0 0 0.00 -4.9434400e+03 0 -4943.44 0 -4943.44 155628.23 2006-06-30 0 0 0 0.00 1.3420000e+01 0 13.42 0 13.42 155641.65 2006-07-31 0 0 0 0.00 7.8812000e+02 0 788.12 0 788.12 156429.77 2006-08-31 0 0 0 0.00 3.3135200e+03 0 3313.52 0 3313.52 159743.29 2006-09-29 0 0 0 0.00 3.9076600e+03 0 3907.66 0 3907.66 163650.95 2006-10-31 0 0 0 0.00 5.1349800e+03 0 5134.98 0 5134.98 168785.93 2006-11-30 0 0 0 0.00 2.7681800e+03 0 2768.18 0 2768.18 171554.11 2006-12-29 0 0 0 0.00 2.1557400e+03 0 2155.74 0 2155.74 173709.85 2007-01-31 0 0 0 0.00 2.4326800e+03 0 2432.68 0 2432.68 176142.53 2007-02-28 0 0 0 0.00 -3.8332400e+03 0 -3833.24 0 -3833.24 172309.29 2007-03-30 0 0 0 0.00 1.7128800e+03 0 1712.88 0 1712.88 174022.17 2007-04-30 0 0 0 0.00 7.5042200e+03 0 7504.22 0 7504.22 181526.39 2007-05-31 0 0 0 0.00 5.8865000e+03 0 5886.50 0 5886.50 187412.89 2007-06-29 0 0 0 0.00 -3.3269400e+03 0 -3326.94 0 -3326.94 184085.95 2007-07-31 0 0 0 0.00 -5.8657600e+03 0 -5865.76 0 -5865.76 178220.19 2007-08-31 0 0 0 0.00 2.2838400e+03 0 2283.84 0 2283.84 180504.03 2007-09-28 0 0 0 0.00 6.4367200e+03 0 6436.72 0 6436.72 186940.75 2007-10-31 0 0 0 0.00 2.7608600e+03 0 2760.86 0 2760.86 189701.61 2007-11-30 0 0 0 42814.68 -5.1139960e+04 0 -8325.28 0 -8325.28 181376.33 2007-12-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-01-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-02-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-03-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-04-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-05-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-06-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-07-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-08-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-09-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-10-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-11-28 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2008-12-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-01-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-02-27 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-03-31 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-04-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-05-29 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-06-30 0 0 0 0.00 0.0000000e+00 0 0.00 0 0.00 181376.33 2009-07-31 0 0 0 0.00 1.3427520e+04 0 13427.52 0 13427.52 194803.85 2009-08-31 0 0 0 0.00 6.5285800e+03 0 6528.58 0 6528.58 201332.43 2009-09-30 0 0 0 0.00 7.1826200e+03 0 7182.62 0 7182.62 208515.05 2009-10-30 0 0 0 0.00 -4.1153300e+03 0 -4115.33 0 -4115.33 204399.72 2009-11-30 0 0 0 0.00 1.1709680e+04 0 11709.68 0 11709.68 216109.40 2009-12-31 0 0 0 0.00 3.8355900e+03 0 3835.59 0 3835.59 219944.99 2010-01-29 0 0 0 0.00 -8.1223100e+03 0 -8122.31 0 -8122.31 211822.68 2010-02-26 0 0 0 0.00 6.0321400e+03 0 6032.14 0 6032.14 217854.82 $portfolio.longtrend Long.Value Short.Value Net.Value Gross.Value Txn.Fees Realized.PL Unrealized.PL Trading.PL 1997-12-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 1998-10-30 99978.97 0 99978.97 99978.97 0 0.00 0.0000000e+00 0.00 1998-11-30 105890.33 0 105890.33 105890.33 0 0.00 5.9113600e+03 5911.36 1998-12-31 111859.93 0 111859.93 111859.93 0 0.00 5.9696000e+03 5969.60 1999-01-29 116447.24 0 116447.24 116447.24 0 0.00 4.5873100e+03 4587.31 1999-02-26 112688.03 0 112688.03 112688.03 0 0.00 -3.7592100e+03 -3759.21 1999-03-31 117059.67 0 117059.67 117059.67 0 0.00 4.3716400e+03 4371.64 1999-04-30 121501.38 0 121501.38 121501.38 0 0.00 4.4417100e+03 4441.71 1999-05-28 118467.44 0 118467.44 118467.44 0 0.00 -3.0339400e+03 -3033.94 1999-06-30 124916.61 0 124916.61 124916.61 0 0.00 6.4491700e+03 6449.17 1999-07-30 120913.52 0 120913.52 120913.52 0 0.00 -4.0030900e+03 -4003.09 1999-08-31 120157.31 0 120157.31 120157.31 0 0.00 -7.5621000e+02 -756.21 1999-09-30 0.00 0 0.00 0.00 0 16747.64 -2.0178340e+04 -3430.70 1999-10-29 115849.05 0 115849.05 115849.05 0 0.00 0.0000000e+00 0.00 1999-11-30 118057.35 0 118057.35 118057.35 0 0.00 2.2083000e+03 2208.30 1999-12-31 124886.25 0 124886.25 124886.25 0 0.00 6.8289000e+03 6828.90 2000-01-31 118529.10 0 118529.10 118529.10 0 0.00 -6.3571500e+03 -6357.15 2000-02-29 116145.70 0 116145.70 116145.70 0 0.00 -2.3834000e+03 -2383.40 2000-03-31 127379.30 0 127379.30 127379.30 0 0.00 1.1233600e+04 11233.60 2000-04-28 123456.55 0 123456.55 123456.55 0 0.00 -3.9227500e+03 -3922.75 2000-05-31 120751.00 0 120751.00 120751.00 0 0.00 -2.7055500e+03 -2705.55 2000-06-30 123641.00 0 123641.00 123641.00 0 0.00 2.8900000e+03 2890.00 2000-07-31 121620.55 0 121620.55 121620.55 0 0.00 -2.0204500e+03 -2020.45 2000-08-31 129002.80 0 129002.80 129002.80 0 0.00 7.3822500e+03 7382.25 2000-09-29 0.00 0 0.00 0.00 0 6254.30 -1.3153750e+04 -6899.45 2000-10-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2000-11-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2000-12-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-01-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-02-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-03-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-04-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-05-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-06-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-07-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-08-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-09-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-10-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-11-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2001-12-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-01-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-02-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-03-28 122770.73 0 122770.73 122770.73 0 0.00 0.0000000e+00 0.00 2002-04-30 0.00 0 0.00 0.00 0 -7540.29 -5.4569682e-12 -7540.29 2002-05-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-06-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-07-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-08-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-09-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-10-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-11-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2002-12-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-01-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-02-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-03-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2003-04-30 114615.00 0 114615.00 114615.00 0 0.00 0.0000000e+00 0.00 2003-05-30 120448.75 0 120448.75 120448.75 0 0.00 5.8337500e+03 5833.75 2003-06-30 121812.50 0 121812.50 121812.50 0 0.00 1.3637500e+03 1363.75 2003-07-31 123788.75 0 123788.75 123788.75 0 0.00 1.9762500e+03 1976.25 2003-08-29 126001.25 0 126001.25 126001.25 0 0.00 2.2125000e+03 2212.50 2003-09-30 124496.25 0 124496.25 124496.25 0 0.00 -1.5050000e+03 -1505.00 2003-10-31 131338.75 0 131338.75 131338.75 0 0.00 6.8425000e+03 6842.50 2003-11-28 132275.00 0 132275.00 132275.00 0 0.00 9.3625000e+02 936.25 2003-12-31 138990.00 0 138990.00 138990.00 0 0.00 6.7150000e+03 6715.00 2004-01-30 141391.25 0 141391.25 141391.25 0 0.00 2.4012500e+03 2401.25 2004-02-27 143117.50 0 143117.50 143117.50 0 0.00 1.7262500e+03 1726.25 2004-03-31 140776.25 0 140776.25 140776.25 0 0.00 -2.3412500e+03 -2341.25 2004-04-30 138412.50 0 138412.50 138412.50 0 0.00 -2.3637500e+03 -2363.75 2004-05-28 140085.00 0 140085.00 140085.00 0 0.00 1.6725000e+03 1672.50 2004-06-30 142605.00 0 142605.00 142605.00 0 0.00 2.5200000e+03 2520.00 2004-07-30 0.00 0 0.00 0.00 0 23100.00 -2.7990000e+04 -4890.00 2004-08-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2004-09-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2004-10-29 137884.40 0 137884.40 137884.40 0 0.00 0.0000000e+00 0.00 2004-11-30 143206.04 0 143206.04 143206.04 0 0.00 5.3216400e+03 5321.64 2004-12-31 147854.24 0 147854.24 147854.24 0 0.00 4.6482000e+03 4648.20 2005-01-31 144114.94 0 144114.94 144114.94 0 0.00 -3.7393000e+03 -3739.30 2005-02-28 146839.20 0 146839.20 146839.20 0 0.00 2.7242600e+03 2724.26 2005-03-31 144031.98 0 144031.98 144031.98 0 0.00 -2.8072200e+03 -2807.22 2005-04-29 141135.70 0 141135.70 141135.70 0 0.00 -2.8962800e+03 -2896.28 2005-05-31 145363.00 0 145363.00 145363.00 0 0.00 4.2273000e+03 4227.30 2005-06-30 145342.26 0 145342.26 145342.26 0 0.00 -2.0740000e+01 -20.74 2005-07-29 150569.96 0 150569.96 150569.96 0 0.00 5.2277000e+03 5227.70 2005-08-31 148880.26 0 148880.26 148880.26 0 0.00 -1.6897000e+03 -1689.70 2005-09-30 149914.82 0 149914.82 149914.82 0 0.00 1.0345600e+03 1034.56 2005-10-31 147255.22 0 147255.22 147255.22 0 0.00 -2.6596000e+03 -2659.60 2005-11-30 152436.56 0 152436.56 152436.56 0 0.00 5.1813400e+03 5181.34 2005-12-30 152291.38 0 152291.38 152291.38 0 0.00 -1.4518000e+02 -145.18 2006-01-31 156169.76 0 156169.76 156169.76 0 0.00 3.8783800e+03 3878.38 2006-02-28 156240.52 0 156240.52 156240.52 0 0.00 7.0760000e+01 70.76 2006-03-31 157974.14 0 157974.14 157974.14 0 0.00 1.7336200e+03 1733.62 2006-04-28 159894.42 0 159894.42 159894.42 0 0.00 1.9202800e+03 1920.28 2006-05-31 154950.98 0 154950.98 154950.98 0 0.00 -4.9434400e+03 -4943.44 2006-06-30 154964.40 0 154964.40 154964.40 0 0.00 1.3420000e+01 13.42 2006-07-31 155752.52 0 155752.52 155752.52 0 0.00 7.8812000e+02 788.12 2006-08-31 159066.04 0 159066.04 159066.04 0 0.00 3.3135200e+03 3313.52 2006-09-29 162973.70 0 162973.70 162973.70 0 0.00 3.9076600e+03 3907.66 2006-10-31 168108.68 0 168108.68 168108.68 0 0.00 5.1349800e+03 5134.98 2006-11-30 170876.86 0 170876.86 170876.86 0 0.00 2.7681800e+03 2768.18 2006-12-29 173032.60 0 173032.60 173032.60 0 0.00 2.1557400e+03 2155.74 2007-01-31 175465.28 0 175465.28 175465.28 0 0.00 2.4326800e+03 2432.68 2007-02-28 171632.04 0 171632.04 171632.04 0 0.00 -3.8332400e+03 -3833.24 2007-03-30 173344.92 0 173344.92 173344.92 0 0.00 1.7128800e+03 1712.88 2007-04-30 180849.14 0 180849.14 180849.14 0 0.00 7.5042200e+03 7504.22 2007-05-31 186735.64 0 186735.64 186735.64 0 0.00 5.8865000e+03 5886.50 2007-06-29 183408.70 0 183408.70 183408.70 0 0.00 -3.3269400e+03 -3326.94 2007-07-31 177542.94 0 177542.94 177542.94 0 0.00 -5.8657600e+03 -5865.76 2007-08-31 179826.78 0 179826.78 179826.78 0 0.00 2.2838400e+03 2283.84 2007-09-28 186263.50 0 186263.50 186263.50 0 0.00 6.4367200e+03 6436.72 2007-10-31 189024.36 0 189024.36 189024.36 0 0.00 2.7608600e+03 2760.86 2007-11-30 0.00 0 0.00 0.00 0 42814.68 -5.1139960e+04 -8325.28 2007-12-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-01-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-02-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-03-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-04-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-05-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-06-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-07-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-08-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-09-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-10-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-11-28 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2008-12-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-01-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-02-27 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-03-31 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-04-30 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-05-29 0.00 0 0.00 0.00 0 0.00 0.0000000e+00 0.00 2009-06-30 181106.04 0 181106.04 181106.04 0 0.00 0.0000000e+00 0.00 2009-07-31 194533.56 0 194533.56 194533.56 0 0.00 1.3427520e+04 13427.52 2009-08-31 201062.14 0 201062.14 201062.14 0 0.00 6.5285800e+03 6528.58 2009-09-30 208244.76 0 208244.76 208244.76 0 0.00 7.1826200e+03 7182.62 2009-10-30 204129.43 0 204129.43 204129.43 0 0.00 -4.1153300e+03 -4115.33 2009-11-30 215839.11 0 215839.11 215839.11 0 0.00 1.1709680e+04 11709.68 2009-12-31 219674.70 0 219674.70 219674.70 0 0.00 3.8355900e+03 3835.59 2010-01-29 211552.39 0 211552.39 211552.39 0 0.00 -8.1223100e+03 -8122.31 2010-02-26 217584.53 0 217584.53 217584.53 0 0.00 6.0321400e+03 6032.14 attr(,"class") [1] "portfolio_account" "account"