diff --git a/milktrader/Rhistory b/milktrader/Rhistory index a1a5889..8c88b77 100644 --- a/milktrader/Rhistory +++ b/milktrader/Rhistory @@ -1,10 +1,10 @@ require(milk) require(PortfolioAnalytics) -getSymbols('^GSPC', from='1900-01-01') -GSPC$RET = dailyReturn(Cl(GSPC)) -GSPC$twelve = rollapply(GSPC$RET, 12, Return.cumulative) -GSPC$next12 = lag(GSPC$twelve, k=-12) -G = GSPC[GSPC$twelve > .035] -g = G[.indexmon(G) == 7] -png('spx12daysinaug.png') -zeroplot(g$next12, xlab='1950 to present') +getSymbols('^RUT', from='1900-01-01') +RUT$RET = dailyReturn(Cl(RUT)) +RUT$twelve = rollapply(RUT$RET, 12, Return.cumulative) +RUT$in12 = lag(RUT$twelve, k=-12) +R = RUT[RUT$twelve > .06] +r = R[.indexmon(R) == 7] +png('rut12.png') +zeroplot(r$in12, up.col='khaki', dn.col='khaki4', xlab='from 1996 to present', main='SPX') diff --git a/milktrader/rut12.png b/milktrader/rut12.png new file mode 100644 index 0000000..a83a0cf Binary files /dev/null and b/milktrader/rut12.png differ diff --git a/milktrader/spx12daysinaug.png b/milktrader/spx12daysinaug.png deleted file mode 100644 index cf6317b..0000000 Binary files a/milktrader/spx12daysinaug.png and /dev/null differ