#volbreakout strategy
#====================
sec.volbreakout <- sec
sec.volbreakout$sd <- runsd(as.numeric(sec.volbreakout$Close),252,endrule = "NA",align = "right")
sec.volbreakout$rdquant <- runquantile(as.numeric(sec.volbreakout$sd), 252, 0.8,endrule = "NA",align = "right")
sec.volbreakout$signals <- genSignal(sec.volbreakout$sd, thDown = sec.volbreakout$rdquant)
sec.volbreakout$signals <- sec.volbreakout$signals*(-1)
sec.volbreakout <- sec.volbreakout[dates]
sec.volbreakout$capital <- genCapital(sec.volbreakout$signals,sec.volbreakout$Close,sec.volbreakout$dailyRet)
sec.volbreakout$capRet <- ROC(sec.volbreakout$capital)
sec.volbreakout$capLRet <- ROC(sec.volbreakout$capital)
sec.volbreakout <- sec.volbreakout[c(-1,-2),]
sec.volbreakout.stat <- listOfStatistics(sec.volbreakout$capLRet,
                                    sec.volbreakout$capital,
                                    sec.volbreakout$signals,
                                    finName="volbreakout")