SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 SWISS FRANC SPOT 5340 Trading days from 880104 to 080728 Tue Jul 29 09:32:07 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): weighted average with the following weights: (1) Today's high<1.00> (2) Today's low<1.00> (3) Today's close<2.00> (4) Tomorrow's open<0.00> Compute volatility using: opens and closes within N days Compute drawdown on an intra trade basis Reverse on protective stops: No Allow reverse below low filter: No High filter type: normal low filter type: normal MFE = Maximum Favorable Excursion of the trade equity based on closes MAE = Maximum Adverse Excursion of the trade equity based on closes TRADE/ TRADE CUM MAX MONTHLY DATE POSITION CTS EQUITY EQUITY DRAWDOWN DRAWDOWN PROFIT 880115 Exit Short 1 225.00 225.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880129 Enter Short 1 67.06 292.06 0.00 0.00 225.00 880201 Exit Short 1 225.00 450.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880212 Exit Short 1 225.00 675.00 0.00 0.00 MFE = 225.00 MAE = 0.00 450.00 880307 Enter Long 1 211.52 886.52 0.00 0.00 880308 Exit Long 1 225.00 900.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880311 Enter Long 1 89.19 989.19 0.00 0.00 880314 Exit Long 1 225.00 1125.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880324 Enter Long 1 123.10 1248.10 0.00 0.00 880325 Long 1 201.42 1326.42 0.00 0.00 880328 Exit Long 1 225.00 1350.00 0.00 0.00 MFE = 225.00 MAE = 0.00 675.00 880405 Enter Short 1 54.54 1404.54 0.00 0.00 880406 Exit Short 1 225.00 1575.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880411 Enter Short 1 -168.18 1406.82 0.00 0.00 880412 Short 1 37.31 1612.31 0.00 0.00 880413 Exit Short 1 225.00 1800.00 0.00 0.00 MFE = 225.00 MAE = -168.18 880414 Exit Long 1 225.00 2025.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880429 Enter Short 1 60.31 2085.31 0.00 0.00 675.00 880502 Exit Short 1 225.00 2250.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880517 Exit Short 1 225.00 2475.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880524 Enter Short 1 -92.18 2382.82 0.00 0.00 880525 Short 1 6.79 2481.79 0.00 0.00 880526 Short 1 -2.47 2472.53 -9.26 -9.26 880527 Exit Short 1 225.00 2700.00 0.00 -9.26 MFE = 225.00 MAE = -92.18 675.00 880614 Exit Short 1 225.00 2925.00 0.00 -9.26 MFE = 225.00 MAE = 0.00 880622 Enter Short 1 -50.75 2874.25 -50.75 -50.75 880623 Short 1 -13.44 2911.56 -13.44 -50.75 880624 Exit Short 1 225.00 3150.00 0.00 -50.75 MFE = 225.00 MAE = -50.75 450.00 880708 Enter Short 1 9.35 3159.35 0.00 -50.75 880711 Exit Short 1 225.00 3375.00 0.00 -50.75 MFE = 225.00 MAE = 0.00 880715 Enter Short 1 80.57 3455.57 0.00 -50.75 880718 Exit Short 1 225.00 3600.00 0.00 -50.75 MFE = 225.00 MAE = 0.00 450.00 880805 Enter Short 1 84.31 3684.31 0.00 -50.75 880808 Exit Short 1 225.00 3825.00 0.00 -50.75 MFE = 225.00 MAE = 0.00 880816 Exit Short 1 -981.25 2843.75 -981.25 -981.25 MFE = 0.00 MAE = -981.25 -756.25 880902 Exit Long 1 225.00 3068.75 -756.25 -981.25 MFE = 225.00 MAE = 0.00 880926 Enter Short 1 -68.20 3000.55 -683.76 -981.25 880927 Short 1 -97.89 2970.86 -713.45 -981.25 880928 Short 1 -60.79 3007.96 -676.35 -981.25 880929 Short 1 15.66 3084.41 -599.90 -981.25 880930 Exit Short 1 -268.75 2800.00 -1025.00 -1025.00 MFE = 15.66 MAE = -268.75 -43.75 881012 Exit Long 1 225.00 3025.00 -800.00 -1025.00 MFE = 225.00 MAE = 0.00 881021 Enter Long 1 129.30 3154.30 -530.01 -1025.00 881024 Long 1 -333.26 2691.74 -992.57 -1025.00 881025 Long 1 -268.20 2756.80 -927.51 -1025.00 881026 Long 1 145.92 3170.92 -513.39 -1025.00 881027 Exit Long 1 225.00 3250.00 -575.00 -1025.00 MFE = 225.00 MAE = -333.26 450.00 881109 Enter Long 1 -48.23 3201.77 -482.54 -1025.00 881110 Exit Long 1 225.00 3475.00 -209.31 -1025.00 MFE = 225.00 MAE = -48.23 881116 Exit Long 1 225.00 3700.00 0.00 -1025.00 MFE = 225.00 MAE = 0.00 450.00 881202 Enter Long 1 -6.26 3693.74 -6.26 -1025.00 881205 Long 1 -135.43 3564.57 -135.43 -1025.00 881206 Long 1 -491.86 3208.14 -491.86 -1025.00 881207 Exit Long 1 -1181.25 2518.75 -1181.25 -1181.25 MFE = 0.00 MAE = -1181.25 881207 Exit Short 1 225.00 2743.75 -956.25 -1181.25 MFE = 225.00 MAE = 0.00 881214 Enter Long 1 -259.97 2483.78 -1216.22 -1216.22 881215 Long 1 -580.82 2162.93 -1537.07 -1537.07 881216 Long 1 -712.38 2031.37 -1668.63 -1668.63 881219 Long 1 -947.70 1796.05 -1903.95 -1903.95 881220 Long 1 -1308.27 1435.48 -2264.52 -2264.52 881221 Long 1 -1068.58 1675.17 -2024.83 -2264.52 881222 Long 1 -1085.40 1658.35 -2041.65 -2264.52 881223 Long 1 -1102.19 1641.56 -2058.44 -2264.52 881226 Long 1 -1051.76 1691.99 -2008.01 -2264.52 881227 Long 1 -1250.00 1493.75 -2206.25 -2264.52 881228 Exit Long 1 -1487.50 1256.25 -2443.75 -2443.75 MFE = 0.00 MAE = -1487.50 881228 Exit Short 1 225.00 1481.25 -2218.75 -2443.75 MFE = 225.00 MAE = 0.00 -2218.75 890104 Exit Short 1 225.00 1706.25 -1993.75 -2443.75 MFE = 225.00 MAE = 0.00 890113 Enter Short 1 25.65 1731.90 -1968.10 -2443.75 890116 Exit Short 1 225.00 1931.25 -1768.75 -2443.75 MFE = 225.00 MAE = 0.00 890118 Exit Short 1 225.00 2156.25 -1543.75 -2443.75 MFE = 225.00 MAE = 0.00 890127 Enter Short 1 124.07 2280.32 -1419.68 -2443.75 890130 Short 1 -15.74 2140.51 -1559.49 -2443.75 890131 Exit Short 1 225.00 2381.25 -1318.75 -2443.75 MFE = 225.00 MAE = -15.74 900.00 890209 Exit Long 1 225.00 2606.25 -1093.75 -2443.75 MFE = 225.00 MAE = 0.00 890223 Enter Long 1 -140.35 2465.90 -1234.10 -2443.75 890224 Long 1 -129.96 2476.29 -1223.71 -2443.75 890227 Long 1 -236.16 2370.09 -1329.91 -2443.75 890228 Long 1 -212.90 2393.35 -1306.65 -2443.75 225.00 890301 Long 1 -564.14 2042.11 -1657.89 -2443.75 890302 Long 1 -839.24 1767.01 -1932.99 -2443.75 890303 Long 1 -738.73 1867.52 -1832.48 -2443.75 890306 Long 1 -949.22 1657.03 -2042.97 -2443.75 890307 Long 1 -901.81 1704.44 -1995.56 -2443.75 890308 Long 1 -1103.15 1503.10 -2196.90 -2443.75 890309 Long 1 -949.22 1657.03 -2042.97 -2443.75 890310 Long 1 -1088.31 1517.94 -2182.06 -2443.75 890313 Long 1 -1243.62 1362.63 -2337.37 -2443.75 890314 Long 1 -1150.09 1456.16 -2243.84 -2443.75 890315 Exit Long 1 -1443.75 1162.50 -2537.50 -2537.50 MFE = 0.00 MAE = -1443.75 890315 Enter Short 1 119.75 1282.25 -2417.75 -2537.50 890316 Short 1 119.75 1282.25 -2417.75 -2537.50 890317 Exit Short 1 225.00 1387.50 -2312.50 -2537.50 MFE = 225.00 MAE = 0.00 890321 Enter Short 1 -83.30 1304.20 -2395.80 -2537.50 890322 Short 1 -216.72 1170.78 -2529.22 -2537.50 890323 Short 1 -9.84 1377.66 -2322.34 -2537.50 890324 Short 1 -2.75 1384.75 -2315.25 -2537.50 890327 Exit Short 1 225.00 1612.50 -2087.50 -2537.50 MFE = 225.00 MAE = -216.72 890328 Enter Short 1 -100.01 1512.49 -2187.51 -2537.50 890329 Short 1 -141.29 1471.21 -2228.79 -2537.50 890330 Short 1 -191.86 1420.64 -2279.36 -2537.50 890331 Short 1 114.09 1726.59 -1973.41 -2537.50 -993.75 890403 Short 1 -423.45 1189.05 -2510.95 -2537.50 890404 Short 1 -577.85 1034.65 -2665.35 -2665.35 890405 Short 1 -321.20 1291.30 -2408.70 -2665.35 890406 Short 1 -270.28 1342.22 -2357.78 -2665.35 890407 Short 1 -150.47 1462.03 -2237.97 -2665.35 890410 Short 1 71.02 1683.52 -2016.48 -2665.35 890411 Short 1 141.26 1753.76 -1946.24 -2665.35 890412 Exit Short 1 225.00 1837.50 -1862.50 -2665.35 MFE = 225.00 MAE = -577.85 225.00 890511 Enter Short 1 -71.15 1766.35 -1933.65 -2665.35 890512 Short 1 170.06 2007.56 -1692.44 -2665.35 890515 Exit Short 1 225.00 2062.50 -1637.50 -2665.35 MFE = 225.00 MAE = -71.15 890517 Enter Short 1 9.21 2071.71 -1628.29 -2665.35 890518 Short 1 -27.13 2035.37 -1664.63 -2665.35 890519 Short 1 73.62 2136.12 -1563.88 -2665.35 890522 Exit Short 1 225.00 2287.50 -1412.50 -2665.35 MFE = 225.00 MAE = -27.13 450.00 890615 Exit Long 1 225.00 2512.50 -1187.50 -2665.35 MFE = 225.00 MAE = 0.00 890621 Enter Long 1 -38.96 2473.54 -1226.46 -2665.35 890622 Exit Long 1 225.00 2737.50 -962.50 -2665.35 MFE = 225.00 MAE = -38.96 890629 Enter Long 1 -503.84 2233.66 -1466.34 -2665.35 890630 Long 1 -240.59 2496.91 -1203.09 -2665.35 450.00 890703 Exit Long 1 225.00 2962.50 -737.50 -2665.35 MFE = 225.00 MAE = -503.84 890705 Enter Long 1 120.32 3082.82 -617.18 -2665.35 890706 Long 1 36.17 2998.67 -701.33 -2665.35 890707 Long 1 120.32 3082.82 -617.18 -2665.35 890710 Exit Long 1 225.00 3187.50 -512.50 -2665.35 MFE = 225.00 MAE = 0.00 450.00 890811 Exit Short 1 225.00 3412.50 -287.50 -2665.35 MFE = 225.00 MAE = 0.00 890817 Enter Short 1 28.63 3441.13 -258.87 -2665.35 890818 Short 1 -102.75 3309.75 -390.25 -2665.35 890821 Short 1 -120.33 3292.17 -407.83 -2665.35 890822 Short 1 -450.98 2961.52 -738.48 -2665.35 890823 Short 1 -173.20 3239.30 -460.70 -2665.35 890824 Short 1 -102.75 3309.75 -390.25 -2665.35 890825 Short 1 -23.81 3388.69 -311.31 -2665.35 890828 Short 1 28.63 3441.13 -258.87 -2665.35 890829 Exit Short 1 -450.00 2962.50 -737.50 -2665.35 MFE = 28.63 MAE = -450.98 -225.00 890925 Exit Long 1 225.00 3187.50 -512.50 -2665.35 MFE = 225.00 MAE = 0.00 890929 Enter Long 1 -182.55 3004.95 -695.05 -2665.35 225.00 891002 Long 1 -369.59 2817.91 -882.09 -2665.35 891003 Long 1 -538.48 2649.02 -1050.98 -2665.35 891004 Long 1 -381.36 2806.14 -893.86 -2665.35 891005 Long 1 -517.45 2670.05 -1029.95 -2665.35 891006 Long 1 -689.68 2497.82 -1202.18 -2665.35 891009 Long 1 -754.45 2433.05 -1266.95 -2665.35 891010 Long 1 -1240.00 1947.50 -1752.50 -2665.35 891011 Long 1 -1543.58 1643.92 -2056.08 -2665.35 891012 Long 1 -1405.80 1781.70 -1918.30 -2665.35 891013 Long 1 -559.49 2628.01 -1071.99 -2665.35 891016 Long 1 -538.48 2649.02 -1050.98 -2665.35 891017 Long 1 -517.45 2670.05 -1029.95 -2665.35 891018 Long 1 -249.05 2938.45 -761.55 -2665.35 891019 Long 1 -72.79 3114.71 -585.29 -2665.35 891020 Long 1 -336.57 2850.93 -849.07 -2665.35 891023 Long 1 -122.97 3064.53 -635.47 -2665.35 891024 Long 1 117.16 3304.66 -395.34 -2665.35 891025 Long 1 143.75 3331.25 -368.75 -2665.35 891026 Long 1 3.93 3191.43 -508.57 -2665.35 891027 Exit Long 1 -368.75 2818.75 -881.25 -2665.35 MFE = 143.75 MAE = -1543.58 891027 Exit Short 1 -706.25 2112.50 -1587.50 -2665.35 MFE = 0.00 MAE = -706.25 -1075.00 891110 Enter Short 1 58.90 2171.40 -1528.60 -2665.35 891113 Short 1 -22.26 2090.24 -1609.76 -2665.35 891114 Short 1 -528.50 1584.00 -2116.00 -2665.35 891115 Short 1 -338.57 1773.93 -1926.07 -2665.35 891116 Short 1 -244.30 1868.20 -1831.80 -2665.35 891117 Short 1 -234.90 1877.60 -1822.40 -2665.35 891120 Short 1 -279.60 1832.90 -1867.10 -2665.35 891121 Exit Short 1 -556.25 1556.25 -2143.75 -2665.35 MFE = 58.90 MAE = -556.25 891121 Enter Long 1 104.92 1661.17 -2038.83 -2665.35 891122 Exit Long 1 225.00 1781.25 -1918.75 -2665.35 MFE = 225.00 MAE = 0.00 -331.25 891212 Enter Long 1 183.13 1964.38 -1735.62 -2665.35 891213 Exit Long 1 225.00 2006.25 -1693.75 -2665.35 MFE = 225.00 MAE = 0.00 891227 Exit Long 1 225.00 2231.25 -1468.75 -2665.35 MFE = 225.00 MAE = 0.00 450.00 900112 Enter Long 1 -321.46 1909.79 -1790.21 -2665.35 900115 Long 1 -797.79 1433.46 -2266.54 -2665.35 900116 Long 1 -625.59 1605.66 -2094.34 -2665.35 900117 Long 1 -556.86 1674.39 -2025.61 -2665.35 900118 Long 1 -1019.79 1211.46 -2488.54 -2665.35 900119 Long 1 -979.36 1251.89 -2448.11 -2665.35 900122 Long 1 -1327.14 904.11 -2795.89 -2795.89 900123 Long 1 -556.86 1674.39 -2025.61 -2795.89 900124 Long 1 -229.34 2001.91 -1698.09 -2795.89 900125 Long 1 57.96 2289.21 -1410.79 -2795.89 900126 Long 1 -111.51 2119.74 -1580.26 -2795.89 900129 Exit Long 1 225.00 2456.25 -1243.75 -2795.89 MFE = 225.00 MAE = -1327.14 225.00 900205 Enter Long 1 26.07 2482.32 -1217.68 -2795.89 900206 Long 1 -45.87 2410.38 -1289.62 -2795.89 900207 Long 1 -416.06 2040.19 -1659.81 -2795.89 900208 Long 1 -430.17 2026.08 -1673.92 -2795.89 900209 Long 1 -500.58 1955.67 -1744.33 -2795.89 900212 Long 1 -732.63 1723.62 -1976.38 -2795.89 900213 Long 1 -640.68 1815.57 -1884.43 -2795.89 900214 Long 1 -654.64 1801.61 -1898.39 -2795.89 900215 Long 1 -973.13 1483.12 -2216.88 -2795.89 900216 Long 1 -472.44 1983.81 -1716.19 -2795.89 900219 Long 1 -359.53 2096.72 -1603.28 -2795.89 900220 Long 1 -131.88 2324.37 -1375.63 -2795.89 900221 Long 1 -174.75 2281.50 -1418.50 -2795.89 900222 Long 1 -22.88 2433.37 -1266.63 -2795.89 900223 Long 1 -25.75 2430.50 -1269.50 -2795.89 900226 Exit Long 1 -525.00 1931.25 -1768.75 -2795.89 MFE = 26.07 MAE = -973.13 900226 Enter Short 1 -182.96 1748.29 -1951.71 -2795.89 900227 Short 1 -148.96 1782.29 -1917.71 -2795.89 900228 Exit Short 1 225.00 2156.25 -1543.75 -2795.89 MFE = 225.00 MAE = -182.96 -300.00 900312 Enter Short 1 -50.46 2105.79 -1594.21 -2795.89 900313 Short 1 -187.55 1968.70 -1731.30 -2795.89 900314 Short 1 -201.03 1955.22 -1744.78 -2795.89 900315 Short 1 -303.84 1852.41 -1847.59 -2795.89 900316 Short 1 -543.92 1612.33 -2087.67 -2795.89 900319 Short 1 -565.88 1590.37 -2109.63 -2795.89 900320 Short 1 -195.64 1960.61 -1739.39 -2795.89 900321 Short 1 -133.68 2022.57 -1677.43 -2795.89 900322 Short 1 -442.64 1713.61 -1986.39 -2795.89 900323 Short 1 -317.41 1838.84 -1861.16 -2795.89 900326 Short 1 -241.56 1914.69 -1785.31 -2795.89 900327 Short 1 -290.29 1865.96 -1834.04 -2795.89 900328 Short 1 -336.42 1819.83 -1880.17 -2795.89 900329 Exit Short 1 -768.75 1387.50 -2312.50 -2795.89 MFE = 0.00 MAE = -768.75 900329 Exit Long 1 225.00 1612.50 -2087.50 -2795.89 MFE = 225.00 MAE = 0.00 -543.75 900410 Enter Long 1 39.77 1652.27 -2047.73 -2795.89 900411 Long 1 153.82 1766.32 -1933.68 -2795.89 900412 Long 1 68.22 1680.72 -2019.28 -2795.89 900413 Long 1 11.35 1623.85 -2076.15 -2795.89 900416 Long 1 -116.06 1496.44 -2203.56 -2795.89 900417 Long 1 -158.36 1454.14 -2245.86 -2795.89 900418 Exit Long 1 225.00 1837.50 -1862.50 -2795.89 MFE = 225.00 MAE = -158.36 900425 Exit Long 1 225.00 2062.50 -1637.50 -2795.89 MFE = 225.00 MAE = 0.00 450.00 900504 Enter Long 1 87.30 2149.80 -1550.20 -2795.89 900507 Exit Long 1 225.00 2287.50 -1412.50 -2795.89 MFE = 225.00 MAE = 0.00 900509 Exit Long 1 225.00 2512.50 -1187.50 -2795.89 MFE = 225.00 MAE = 0.00 900529 Enter Long 1 -126.94 2385.56 -1314.44 -2795.89 900530 Long 1 -491.57 2020.93 -1679.07 -2795.89 900531 Long 1 -691.56 1820.94 -1879.06 -2795.89 450.00 900601 Long 1 -950.36 1562.14 -2137.86 -2795.89 900604 Long 1 -768.00 1744.50 -1955.50 -2795.89 900605 Long 1 -660.91 1851.59 -1848.41 -2795.89 900606 Long 1 -889.74 1622.76 -2077.24 -2795.89 900607 Long 1 -1176.18 1336.32 -2363.68 -2795.89 900608 Long 1 -1310.55 1201.95 -2498.05 -2795.89 900611 Long 1 -1040.97 1471.53 -2228.47 -2795.89 900612 Long 1 -971.54 1540.96 -2159.04 -2795.89 900613 Long 1 -537.88 1974.62 -1725.38 -2795.89 900614 Long 1 -844.17 1668.33 -2031.67 -2795.89 900615 Long 1 -798.50 1714.00 -1986.00 -2795.89 900618 Long 1 -242.90 2269.60 -1430.40 -2795.89 900619 Long 1 -108.08 2404.42 -1295.58 -2795.89 900620 Long 1 -180.29 2332.21 -1367.79 -2795.89 900621 Long 1 -242.90 2269.60 -1430.40 -2795.89 900622 Long 1 -155.20 2357.30 -1342.70 -2795.89 900625 Long 1 -117.51 2394.99 -1305.01 -2795.89 900626 Exit Long 1 225.00 2737.50 -962.50 -2795.89 MFE = 225.00 MAE = -1310.55 225.00 900702 Enter Long 1 181.43 2918.93 -781.07 -2795.89 900703 Exit Long 1 225.00 2962.50 -737.50 -2795.89 MFE = 225.00 MAE = 0.00 900710 Enter Long 1 -272.95 2689.55 -1010.45 -2795.89 900711 Long 1 -592.97 2369.53 -1330.47 -2795.89 900712 Long 1 -111.21 2851.29 -848.71 -2795.89 900713 Long 1 -608.85 2353.65 -1346.35 -2795.89 900716 Long 1 -1080.09 1882.41 -1817.59 -2795.89 900717 Long 1 -640.58 2321.92 -1378.08 -2795.89 900718 Long 1 -1002.24 1960.26 -1739.74 -2795.89 900719 Long 1 -735.49 2227.01 -1472.99 -2795.89 900720 Long 1 -529.33 2433.17 -1266.83 -2795.89 900723 Long 1 100.81 3063.31 -636.69 -2795.89 900724 Exit Long 1 225.00 3187.50 -512.50 -2795.89 MFE = 225.00 MAE = -1080.09 900727 Enter Long 1 184.62 3372.12 -327.88 -2795.89 900730 Exit Long 1 225.00 3412.50 -287.50 -2795.89 MFE = 225.00 MAE = 0.00 675.00 900813 Exit Long 1 225.00 3637.50 -62.50 -2795.89 MFE = 225.00 MAE = 0.00 900822 Enter Long 1 -177.79 3459.71 -240.29 -2795.89 900823 Exit Long 1 225.00 3862.50 0.00 -2795.89 MFE = 225.00 MAE = -177.79 450.00 900905 Enter Long 1 50.17 3912.67 0.00 -2795.89 900906 Exit Long 1 225.00 4087.50 0.00 -2795.89 MFE = 225.00 MAE = 0.00 900919 Enter Short 1 2.57 4090.07 0.00 -2795.89 900920 Exit Short 1 225.00 4312.50 0.00 -2795.89 MFE = 225.00 MAE = 0.00 900924 Enter Long 1 -149.19 4163.31 0.00 -2795.89 900925 Long 1 -499.32 3813.18 -350.13 -2795.89 900926 Long 1 -289.86 4022.64 -140.66 -2795.89 900927 Long 1 37.15 4349.65 0.00 -2795.89 900928 Long 1 -112.04 4200.46 -149.19 -2795.89 450.00 901001 Exit Long 1 225.00 4537.50 0.00 -2795.89 MFE = 225.00 MAE = -499.32 225.00 901116 Enter Long 1 -182.81 4354.69 -182.81 -2795.89 901119 Long 1 -110.28 4427.22 -110.28 -2795.89 901120 Long 1 -110.28 4427.22 -110.28 -2795.89 901121 Long 1 -170.74 4366.76 -170.74 -2795.89 901122 Long 1 -271.18 4266.32 -271.18 -2795.89 901123 Exit Long 1 -768.75 3768.75 -768.75 -2795.89 MFE = 0.00 MAE = -768.75 -768.75 901214 Enter Short 1 -47.16 3721.59 -815.91 -2795.89 901217 Short 1 -27.87 3740.88 -796.62 -2795.89 901218 Short 1 -338.36 3430.39 -1107.11 -2795.89 901219 Short 1 -260.37 3508.38 -1029.12 -2795.89 901220 Exit Short 1 225.00 3993.75 -543.75 -2795.89 MFE = 225.00 MAE = -338.36 225.00 910107 Exit Short 1 225.00 4218.75 -318.75 -2795.89 MFE = 225.00 MAE = 0.00 910117 Exit Long 1 225.00 4443.75 -93.75 -2795.89 MFE = 225.00 MAE = 0.00 450.00 910206 Enter Long 1 -75.73 4368.02 -169.48 -2795.89 910207 Long 1 -504.44 3939.31 -598.19 -2795.89 910208 Long 1 -504.44 3939.31 -598.19 -2795.89 910211 Long 1 -260.36 4183.39 -354.11 -2795.89 910212 Long 1 -665.86 3777.89 -759.61 -2795.89 910213 Long 1 -906.05 3537.70 -999.80 -2795.89 910214 Long 1 -1045.10 3398.65 -1138.85 -2795.89 910215 Long 1 -1543.22 2900.53 -1636.97 -2795.89 910218 Long 1 -1613.02 2830.73 -1706.77 -2795.89 910219 Long 1 -1905.54 2538.21 -1999.29 -2795.89 910220 Long 1 -1909.36 2534.39 -2003.11 -2795.89 910221 Long 1 -1767.41 2676.34 -1861.16 -2795.89 910222 Exit Long 1 -2231.25 2212.50 -2325.00 -2795.89 MFE = 0.00 MAE = -2231.25 910222 Exit Short 1 225.00 2437.50 -2100.00 -2795.89 MFE = 225.00 MAE = 0.00 -2006.25 910306 Enter Short 1 -450.31 1987.19 -2550.31 -2795.89 910307 Short 1 -138.44 2299.06 -2238.44 -2795.89 910308 Exit Short 1 225.00 2662.50 -1875.00 -2795.89 MFE = 225.00 MAE = -450.31 910311 Enter Short 1 -374.66 2287.84 -2249.66 -2795.89 910312 Short 1 -743.38 1919.12 -2618.38 -2795.89 910313 Short 1 -601.90 2060.60 -2476.90 -2795.89 910314 Short 1 -374.66 2287.84 -2249.66 -2795.89 910315 Exit Short 1 225.00 2887.50 -1650.00 -2795.89 MFE = 225.00 MAE = -743.38 910318 Enter Short 1 -133.60 2753.90 -1783.60 -2795.89 910319 Exit Short 1 225.00 3112.50 -1425.00 -2795.89 MFE = 225.00 MAE = -133.60 910325 Exit Short 1 225.00 3337.50 -1200.00 -2795.89 MFE = 225.00 MAE = 0.00 910327 Enter Short 1 -105.32 3232.18 -1305.32 -2795.89 910328 Short 1 -134.87 3202.63 -1334.87 -2795.89 910329 Short 1 -417.57 2919.93 -1617.57 -2795.89 900.00 910401 Short 1 -1025.05 2312.45 -2225.05 -2795.89 910402 Short 1 -1226.16 2111.34 -2426.16 -2795.89 910403 Short 1 -1117.64 2219.86 -2317.64 -2795.89 910404 Short 1 -1697.40 1640.10 -2897.40 -2897.40 910405 Short 1 -1133.11 2204.39 -2333.11 -2897.40 910408 Short 1 -673.68 2663.82 -1873.68 -2897.40 910409 Short 1 -1554.97 1782.53 -2754.97 -2897.40 910410 Short 1 -893.00 2444.50 -2093.00 -2897.40 910411 Short 1 -1413.46 1924.04 -2613.46 -2897.40 910412 Short 1 -1009.65 2327.85 -2209.65 -2897.40 910415 Short 1 -1235.49 2102.01 -2435.49 -2897.40 910416 Short 1 -1288.42 2049.08 -2488.42 -2897.40 910417 Short 1 -1102.18 2235.32 -2302.18 -2897.40 910418 Short 1 -75.82 3261.68 -1275.82 -2897.40 910419 Exit Short 1 225.00 3562.50 -975.00 -2897.40 MFE = 225.00 MAE = -1697.40 910429 Enter Short 1 -649.16 2913.34 -1624.16 -2897.40 910430 Short 1 -1561.33 2001.17 -2536.33 -2897.40 225.00 910501 Short 1 -1381.74 2180.76 -2356.74 -2897.40 910502 Short 1 -1085.69 2476.81 -2060.69 -2897.40 910503 Short 1 -562.93 2999.57 -1537.93 -2897.40 910506 Short 1 -822.70 2739.80 -1797.70 -2897.40 910507 Short 1 -1233.21 2329.29 -2208.21 -2897.40 910508 Short 1 -953.79 2608.71 -1928.79 -2897.40 910509 Short 1 -991.81 2570.69 -1966.81 -2897.40 910510 Short 1 -1159.32 2403.18 -2134.32 -2897.40 910513 Short 1 -1561.33 2001.17 -2536.33 -2897.40 910514 Short 1 -1940.33 1622.17 -2915.33 -2915.33 910515 Short 1 -2087.63 1474.87 -3062.63 -3062.63 910516 Short 1 -1687.94 1874.56 -2662.94 -3062.63 910517 Short 1 -692.42 2870.08 -1667.42 -3062.63 910520 Short 1 -983.03 2579.47 -1958.03 -3062.63 910521 Short 1 -1396.64 2165.86 -2371.64 -3062.63 910522 Short 1 -1035.77 2526.73 -2010.77 -3062.63 910523 Short 1 -1174.07 2388.43 -2149.07 -3062.63 910524 Short 1 -1292.49 2270.01 -2267.49 -3062.63 910527 Short 1 -1233.21 2329.29 -2208.21 -3062.63 910528 Short 1 -1516.29 2046.21 -2491.29 -3062.63 910529 Short 1 -1026.97 2535.53 -2001.97 -3062.63 910530 Short 1 -953.79 2608.71 -1928.79 -3062.63 910531 Short 1 -314.80 3247.70 -1289.80 -3062.63 0.00 910603 Short 1 -136.92 3425.58 -1111.92 -3062.63 910604 Short 1 -136.92 3425.58 -1111.92 -3062.63 910605 Short 1 -52.75 3509.75 -1027.75 -3062.63 910606 Exit Short 1 225.00 3787.50 -750.00 -3062.63 MFE = 225.00 MAE = -2087.63 910607 Enter Short 1 -55.73 3731.77 -805.73 -3062.63 910610 Short 1 -252.03 3535.47 -1002.03 -3062.63 910611 Short 1 -115.52 3671.98 -865.52 -3062.63 910612 Exit Short 1 225.00 4012.50 -525.00 -3062.63 MFE = 225.00 MAE = -252.03 910618 Exit Short 1 225.00 4237.50 -300.00 -3062.63 MFE = 225.00 MAE = 0.00 910628 Enter Short 1 -195.15 4042.35 -495.15 -3062.63 675.00 910701 Short 1 164.64 4402.14 -135.36 -3062.63 910702 Exit Short 1 225.00 4462.50 -75.00 -3062.63 MFE = 225.00 MAE = -195.15 910718 Enter Long 1 -69.76 4392.74 -144.76 -3062.63 910719 Exit Long 1 225.00 4687.50 0.00 -3062.63 MFE = 225.00 MAE = -69.76 450.00 910802 Exit Long 1 225.00 4912.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 910821 Exit Long 1 225.00 5137.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 910906 Exit Long 1 225.00 5362.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 910916 Enter Long 1 105.91 5468.41 0.00 -3062.63 910917 Exit Long 1 225.00 5587.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 910923 Enter Long 1 50.40 5637.90 0.00 -3062.63 910924 Exit Long 1 225.00 5812.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 910927 Enter Long 1 94.08 5906.58 0.00 -3062.63 910930 Exit Long 1 225.00 6037.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 900.00 911023 Enter Short 1 10.09 6047.59 0.00 -3062.63 911024 Short 1 -237.18 5800.32 -247.27 -3062.63 911025 Short 1 -237.18 5800.32 -247.27 -3062.63 911028 Exit Short 1 225.00 6262.50 0.00 -3062.63 MFE = 225.00 MAE = -237.18 225.00 911101 Enter Long 1 87.55 6350.05 0.00 -3062.63 911104 Exit Long 1 225.00 6487.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 911115 Enter Long 1 -27.24 6460.26 0.00 -3062.63 911118 Exit Long 1 225.00 6712.50 0.00 -3062.63 MFE = 225.00 MAE = -27.24 911122 Exit Long 1 225.00 6937.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 911204 Enter Long 1 -5.38 6932.12 0.00 -3062.63 911205 Exit Long 1 225.00 7162.50 0.00 -3062.63 MFE = 225.00 MAE = -5.38 911219 Enter Long 1 42.20 7204.70 0.00 -3062.63 911220 Exit Long 1 225.00 7387.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 920102 Enter Long 1 -491.72 6895.78 -308.92 -3062.63 920103 Long 1 -784.80 6602.70 -602.00 -3062.63 920106 Exit Long 1 225.00 7612.50 0.00 -3062.63 MFE = 225.00 MAE = -784.80 920115 Exit Short 1 225.00 7837.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 920123 Exit Short 1 225.00 8062.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 920130 Enter Short 1 -251.33 7811.17 -251.33 -3062.63 920131 Short 1 -327.29 7735.21 -327.29 -3062.63 675.00 920203 Short 1 -541.39 7521.11 -541.39 -3062.63 920204 Short 1 -686.33 7376.17 -686.33 -3062.63 920205 Short 1 -1010.47 7052.03 -1010.47 -3062.63 920206 Short 1 -1180.66 6881.84 -1180.66 -3062.63 920207 Short 1 -1676.53 6385.97 -1676.53 -3062.63 920210 Short 1 -1085.95 6976.55 -1085.95 -3062.63 920211 Short 1 -480.01 7582.49 -480.01 -3062.63 920212 Short 1 -145.44 7917.06 -145.44 -3062.63 920213 Exit Short 1 225.00 8287.50 0.00 -3062.63 MFE = 225.00 MAE = -1676.53 920218 Enter Short 1 20.37 8307.87 0.00 -3062.63 920219 Short 1 20.37 8307.87 0.00 -3062.63 920220 Exit Short 1 225.00 8512.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 920303 Exit Short 1 225.00 8737.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 920317 Enter Long 1 47.89 8785.39 0.00 -3062.63 920318 Long 1 -148.39 8589.11 -196.27 -3062.63 920319 Long 1 -631.13 8106.37 -679.02 -3062.63 920320 Long 1 -726.34 8011.16 -774.23 -3062.63 920323 Long 1 -655.65 8081.85 -703.54 -3062.63 920324 Long 1 -603.84 8133.66 -651.73 -3062.63 920325 Long 1 -273.59 8463.91 -321.48 -3062.63 920326 Long 1 -631.13 8106.37 -679.02 -3062.63 920327 Long 1 -36.45 8701.05 -84.34 -3062.63 920330 Long 1 -273.59 8463.91 -321.48 -3062.63 920331 Long 1 -212.48 8525.02 -260.36 -3062.63 225.00 920401 Long 1 -502.58 8234.92 -550.46 -3062.63 920402 Long 1 -273.59 8463.91 -321.48 -3062.63 920403 Long 1 90.19 8827.69 0.00 -3062.63 920406 Long 1 -50.48 8687.02 -140.66 -3062.63 920407 Long 1 61.98 8799.48 -28.20 -3062.63 920408 Long 1 -78.50 8659.00 -168.68 -3062.63 920409 Long 1 104.31 8841.81 0.00 -3062.63 920410 Long 1 -458.63 8278.87 -562.94 -3062.63 920413 Long 1 -848.11 7889.39 -952.42 -3062.63 920414 Long 1 -842.72 7894.78 -947.02 -3062.63 920415 Long 1 -1110.83 7626.67 -1215.14 -3062.63 920416 Long 1 -1406.99 7330.51 -1511.30 -3062.63 920417 Long 1 -1446.33 7291.17 -1550.64 -3062.63 920420 Long 1 -1330.72 7406.78 -1435.03 -3062.63 920421 Long 1 -1459.42 7278.08 -1563.73 -3062.63 920422 Long 1 -1314.90 7422.60 -1419.21 -3062.63 920423 Long 1 -1270.02 7467.48 -1374.33 -3062.63 920424 Long 1 -1022.74 7714.76 -1127.05 -3062.63 920427 Long 1 -875.07 7862.43 -979.38 -3062.63 920428 Long 1 -685.59 8051.91 -789.90 -3062.63 920429 Long 1 -848.11 7889.39 -952.42 -3062.63 920430 Long 1 -521.77 8215.73 -626.08 -3062.63 0.00 920501 Long 1 -287.46 8450.04 -391.77 -3062.63 920504 Long 1 -576.52 8160.98 -680.83 -3062.63 920505 Long 1 -378.74 8358.76 -483.05 -3062.63 920506 Long 1 -190.21 8547.29 -294.51 -3062.63 920507 Long 1 -475.12 8262.38 -579.43 -3062.63 920508 Long 1 -928.89 7808.61 -1033.20 -3062.63 920511 Long 1 -902.00 7835.50 -1006.31 -3062.63 920512 Long 1 -362.17 8375.33 -466.48 -3062.63 920513 Exit Long 1 225.00 8962.50 0.00 -3062.63 MFE = 225.00 MAE = -1459.42 920518 Enter Long 1 16.68 8979.18 0.00 -3062.63 920519 Long 1 124.81 9087.31 0.00 -3062.63 920520 Long 1 -122.80 8839.70 -247.61 -3062.63 920521 Exit Long 1 -681.25 8281.25 -681.25 -3062.63 MFE = 124.81 MAE = -681.25 920529 Enter Long 1 -121.93 8159.32 -927.99 -3062.63 -456.25 920601 Long 1 -107.18 8174.07 -913.24 -3062.63 920602 Long 1 -458.55 7822.70 -1264.61 -3062.63 920603 Long 1 -516.55 7764.70 -1322.61 -3062.63 920604 Long 1 -195.56 8085.69 -1001.62 -3062.63 920605 Exit Long 1 225.00 8506.25 -581.06 -3062.63 MFE = 225.00 MAE = -516.55 920611 Exit Long 1 225.00 8731.25 -356.06 -3062.63 MFE = 225.00 MAE = 0.00 920624 Enter Long 1 90.06 8821.31 -266.01 -3062.63 920625 Exit Long 1 225.00 8956.25 -131.06 -3062.63 MFE = 225.00 MAE = 0.00 675.00 920701 Enter Long 1 -370.80 8585.45 -501.86 -3062.63 920702 Exit Long 1 225.00 9181.25 0.00 -3062.63 MFE = 225.00 MAE = -370.80 920707 Enter Long 1 -20.71 9160.54 -20.71 -3062.63 920708 Exit Long 1 225.00 9406.25 0.00 -3062.63 MFE = 225.00 MAE = -20.71 920713 Enter Long 1 -13.77 9392.48 -13.77 -3062.63 920714 Long 1 -444.38 8961.87 -444.38 -3062.63 920715 Long 1 -364.46 9041.79 -364.46 -3062.63 920716 Exit Long 1 225.00 9631.25 0.00 -3062.63 MFE = 225.00 MAE = -444.38 920717 Exit Long 1 225.00 9856.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 900.00 920807 Enter Long 1 45.29 9901.54 0.00 -3062.63 920810 Long 1 9.10 9865.35 -36.20 -3062.63 920811 Long 1 -145.93 9710.32 -191.23 -3062.63 920812 Long 1 -171.07 9685.18 -216.36 -3062.63 920813 Exit Long 1 225.00 10081.25 0.00 -3062.63 MFE = 225.00 MAE = -171.07 920831 Enter Long 1 -20.50 10060.75 -20.50 -3062.63 225.00 920901 Exit Long 1 225.00 10306.25 0.00 -3062.63 MFE = 225.00 MAE = -20.50 225.00 921023 Exit Short 1 225.00 10531.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 921026 Enter Short 1 -419.17 10112.08 -419.17 -3062.63 921027 Short 1 -537.13 9994.12 -537.13 -3062.63 921028 Short 1 -75.50 10455.75 -75.50 -3062.63 921029 Short 1 -108.64 10422.61 -108.64 -3062.63 921030 Short 1 -19.28 10511.97 -19.28 -3062.63 225.00 921102 Exit Short 1 225.00 10756.25 0.00 -3062.63 MFE = 225.00 MAE = -537.13 921105 Enter Short 1 167.22 10923.47 0.00 -3062.63 921106 Exit Short 1 225.00 10981.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 921116 Enter Short 1 119.11 11100.36 0.00 -3062.63 921117 Exit Short 1 225.00 11206.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 921127 Enter Short 1 -167.85 11038.40 -61.97 -3062.63 921130 Short 1 -349.58 10856.67 -243.69 -3062.63 675.00 921201 Exit Short 1 -1093.75 10112.50 -1093.75 -3062.63 MFE = 0.00 MAE = -1093.75 921201 Exit Long 1 225.00 10337.50 -868.75 -3062.63 MFE = 225.00 MAE = 0.00 921216 Enter Long 1 -18.28 10319.22 -781.14 -3062.63 921217 Exit Long 1 225.00 10562.50 -537.86 -3062.63 MFE = 225.00 MAE = -18.28 921228 Exit Short 1 225.00 10787.50 -312.86 -3062.63 MFE = 225.00 MAE = 0.00 -418.75 930104 Enter Short 1 16.72 10804.22 -296.15 -3062.63 930105 Short 1 -192.90 10594.60 -505.76 -3062.63 930106 Exit Short 1 225.00 11012.50 -87.86 -3062.63 MFE = 225.00 MAE = -192.90 930129 Enter Short 1 -8.94 11003.56 -96.80 -3062.63 225.00 930201 Exit Short 1 225.00 11237.50 0.00 -3062.63 MFE = 225.00 MAE = -8.94 225.00 930305 Exit Short 1 225.00 11462.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 930311 Enter Long 1 -51.91 11410.59 -51.91 -3062.63 930312 Long 1 69.66 11532.16 0.00 -3062.63 930315 Long 1 -49.21 11413.29 -118.87 -3062.63 930316 Long 1 -97.64 11364.86 -167.30 -3062.63 930317 Long 1 -303.54 11158.96 -373.20 -3062.63 930318 Exit Long 1 225.00 11687.50 0.00 -3062.63 MFE = 225.00 MAE = -303.54 450.00 930412 Enter Long 1 -62.84 11624.66 -62.84 -3062.63 930413 Exit Long 1 225.00 11912.50 0.00 -3062.63 MFE = 225.00 MAE = -62.84 930420 Enter Long 1 -269.07 11643.43 -269.07 -3062.63 930421 Long 1 -157.18 11755.32 -157.18 -3062.63 930422 Long 1 155.07 12067.57 0.00 -3062.63 930423 Exit Long 1 225.00 12137.50 0.00 -3062.63 MFE = 225.00 MAE = -269.07 450.00 930514 Enter Long 1 16.83 12154.33 0.00 -3062.63 930517 Long 1 -469.14 11668.36 -485.97 -3062.63 930518 Long 1 -872.97 11264.53 -889.80 -3062.63 930519 Long 1 -672.01 11465.49 -688.84 -3062.63 930520 Long 1 -527.30 11610.20 -544.13 -3062.63 930521 Long 1 -599.77 11537.73 -616.61 -3062.63 930524 Long 1 -585.30 11552.20 -602.13 -3062.63 930525 Long 1 -249.60 11887.90 -266.43 -3062.63 930526 Long 1 -146.38 11991.12 -163.21 -3062.63 930527 Exit Long 1 225.00 12362.50 0.00 -3062.63 MFE = 225.00 MAE = -872.97 225.00 930604 Exit Short 1 225.00 12587.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 930709 Exit Short 1 225.00 12812.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 930723 Enter Short 1 -45.49 12767.01 -45.49 -3062.63 930726 Short 1 -31.95 12780.55 -31.95 -3062.63 930727 Short 1 -4.90 12807.60 -4.90 -3062.63 930728 Exit Short 1 -243.75 12568.75 -243.75 -3062.63 MFE = 0.00 MAE = -243.75 930728 Enter Long 1 17.23 12585.98 -226.52 -3062.63 930729 Long 1 -415.61 12153.14 -659.36 -3062.63 930730 Long 1 -308.25 12260.50 -552.00 -3062.63 -18.75 930802 Exit Long 1 225.00 12793.75 -18.75 -3062.63 MFE = 225.00 MAE = -415.61 930810 Exit Short 1 225.00 13018.75 0.00 -3062.63 MFE = 225.00 MAE = 0.00 930816 Exit Long 1 225.00 13243.75 0.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 930901 Enter Long 1 -1.81 13241.94 -1.81 -3062.63 930902 Exit Long 1 225.00 13468.75 0.00 -3062.63 MFE = 225.00 MAE = -1.81 930909 Exit Long 1 225.00 13693.75 0.00 -3062.63 MFE = 225.00 MAE = 0.00 930915 Enter Long 1 -187.25 13506.50 -187.25 -3062.63 930916 Long 1 -437.73 13256.02 -437.73 -3062.63 930917 Long 1 -596.83 13096.92 -596.83 -3062.63 930920 Long 1 -453.69 13240.06 -453.69 -3062.63 930921 Exit Long 1 -1337.50 12356.25 -1337.50 -3062.63 MFE = 0.00 MAE = -1337.50 -887.50 931014 Enter Short 1 84.95 12441.20 -1252.55 -3062.63 931015 Exit Short 1 225.00 12581.25 -1112.50 -3062.63 MFE = 225.00 MAE = 0.00 931021 Enter Short 1 107.99 12689.24 -1004.51 -3062.63 931022 Exit Short 1 225.00 12806.25 -887.50 -3062.63 MFE = 225.00 MAE = 0.00 931028 Enter Short 1 -326.19 12480.06 -1213.69 -3062.63 931029 Short 1 90.53 12896.78 -796.97 -3062.63 450.00 931101 Exit Short 1 225.00 13031.25 -662.50 -3062.63 MFE = 225.00 MAE = -326.19 931112 Enter Short 1 -482.33 12548.92 -1144.83 -3062.63 931115 Short 1 -397.87 12633.38 -1060.37 -3062.63 931116 Short 1 -91.09 12940.16 -753.59 -3062.63 931117 Short 1 -266.24 12765.01 -928.74 -3062.63 931118 Short 1 -49.60 12981.65 -712.10 -3062.63 931119 Short 1 -35.79 12995.46 -698.29 -3062.63 931122 Short 1 -341.76 12689.49 -1004.26 -3062.63 931123 Short 1 -417.55 12613.70 -1080.05 -3062.63 931124 Short 1 -389.45 12641.80 -1051.95 -3062.63 931125 Short 1 -229.98 12801.27 -892.48 -3062.63 931126 Short 1 -216.04 12815.21 -878.54 -3062.63 931129 Short 1 -440.06 12591.19 -1102.56 -3062.63 931130 Short 1 -243.92 12787.33 -906.42 -3062.63 225.00 931201 Short 1 -132.66 12898.59 -795.16 -3062.63 931202 Short 1 -266.24 12765.01 -928.74 -3062.63 931203 Exit Short 1 -575.00 12456.25 -1237.50 -3062.63 MFE = 0.00 MAE = -575.00 931203 Enter Long 1 -95.86 12360.39 -1333.36 -3062.63 931206 Exit Long 1 225.00 12681.25 -1012.50 -3062.63 MFE = 225.00 MAE = -95.86 931216 Enter Long 1 -48.03 12633.22 -1060.53 -3062.63 931217 Long 1 -83.19 12598.06 -1095.69 -3062.63 931220 Long 1 25.40 12706.65 -987.10 -3062.63 931221 Exit Long 1 225.00 12906.25 -787.50 -3062.63 MFE = 225.00 MAE = -83.19 -125.00 940127 Enter Long 1 -100.19 12806.06 -887.69 -3062.63 940128 Long 1 -362.27 12543.98 -1149.77 -3062.63 940131 Long 1 46.82 12953.07 -740.68 -3062.63 0.00 940201 Exit Long 1 225.00 13131.25 -562.50 -3062.63 MFE = 225.00 MAE = -362.27 940204 Enter Short 1 20.08 13151.33 -542.42 -3062.63 940207 Short 1 -81.18 13050.07 -643.68 -3062.63 940208 Exit Short 1 225.00 13356.25 -337.50 -3062.63 MFE = 225.00 MAE = -81.18 940214 Exit Long 1 225.00 13581.25 -112.50 -3062.63 MFE = 225.00 MAE = 0.00 940218 Enter Long 1 -39.46 13541.79 -151.96 -3062.63 940221 Long 1 -384.43 13196.82 -496.93 -3062.63 940222 Long 1 -176.92 13404.33 -289.42 -3062.63 940223 Long 1 -304.62 13276.63 -417.12 -3062.63 940224 Exit Long 1 225.00 13806.25 0.00 -3062.63 MFE = 225.00 MAE = -384.43 900.00 940310 Exit Long 1 225.00 14031.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 940324 Enter Long 1 -17.89 14013.36 -17.89 -3062.63 940325 Long 1 -64.66 13966.59 -64.66 -3062.63 940328 Long 1 -235.32 13795.93 -235.32 -3062.63 940329 Long 1 -250.77 13780.48 -250.77 -3062.63 940330 Long 1 -111.34 13919.91 -111.34 -3062.63 940331 Exit Long 1 225.00 14256.25 0.00 -3062.63 MFE = 225.00 MAE = -250.77 450.00 940415 Enter Short 1 -130.91 14125.34 -130.91 -3062.63 940418 Short 1 -339.00 13917.25 -339.00 -3062.63 940419 Short 1 -446.80 13809.45 -446.80 -3062.63 940420 Short 1 -746.04 13510.21 -746.04 -3062.63 940421 Short 1 -746.04 13510.21 -746.04 -3062.63 940422 Short 1 -776.50 13479.75 -776.50 -3062.63 940425 Short 1 -715.63 13540.62 -715.63 -3062.63 940426 Short 1 -819.21 13437.04 -819.21 -3062.63 940427 Short 1 -929.43 13326.82 -929.43 -3062.63 940428 Short 1 -1448.06 12808.19 -1448.06 -3062.63 940429 Short 1 -1678.65 12577.60 -1678.65 -3062.63 0.00 940502 Short 1 -1732.69 12523.56 -1732.69 -3062.63 940503 Short 1 -1908.44 12347.81 -1908.44 -3062.63 940504 Short 1 -1555.16 12701.09 -1555.16 -3062.63 940505 Short 1 -1269.67 12986.58 -1269.67 -3062.63 940506 Short 1 -1394.71 12861.54 -1394.71 -3062.63 940509 Short 1 -1429.22 12827.03 -1429.22 -3062.63 940510 Short 1 -764.31 13491.94 -764.31 -3062.63 940511 Short 1 -993.98 13262.27 -993.98 -3062.63 940512 Short 1 -993.98 13262.27 -993.98 -3062.63 940513 Short 1 -966.29 13289.96 -966.29 -3062.63 940516 Short 1 -953.99 13302.26 -953.99 -3062.63 940517 Exit Short 1 -1225.00 13031.25 -1225.00 -3062.63 MFE = 0.00 MAE = -1908.44 940517 Enter Long 1 -122.75 12908.50 -1347.75 -3062.63 940518 Exit Long 1 225.00 13256.25 -1000.00 -3062.63 MFE = 225.00 MAE = -122.75 -1000.00 940603 Exit Short 1 225.00 13481.25 -775.00 -3062.63 MFE = 225.00 MAE = 0.00 940610 Enter Long 1 -31.84 13449.41 -806.84 -3062.63 940613 Exit Long 1 225.00 13706.25 -550.00 -3062.63 MFE = 225.00 MAE = -31.84 940624 Exit Long 1 225.00 13931.25 -325.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 940705 Enter Long 1 121.74 14052.99 -203.26 -3062.63 940706 Exit Long 1 225.00 14156.25 -100.00 -3062.63 MFE = 225.00 MAE = 0.00 940711 Exit Long 1 225.00 14381.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 940727 Enter Long 1 -51.94 14329.31 -51.94 -3062.63 940728 Exit Long 1 225.00 14606.25 0.00 -3062.63 MFE = 225.00 MAE = -51.94 675.00 940811 Enter Long 1 9.43 14615.68 0.00 -3062.63 940812 Exit Long 1 225.00 14831.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 940902 Enter Long 1 159.98 14991.23 0.00 -3062.63 940905 Exit Long 1 225.00 15056.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 940909 Enter Long 1 52.81 15109.06 0.00 -3062.63 940912 Long 1 -174.82 14881.43 -227.63 -3062.63 940913 Long 1 -110.55 14945.70 -163.35 -3062.63 940914 Exit Long 1 225.00 15281.25 0.00 -3062.63 MFE = 225.00 MAE = -174.82 940916 Enter Long 1 -397.78 14883.47 -397.78 -3062.63 940919 Long 1 -568.44 14712.81 -568.44 -3062.63 940920 Long 1 -511.69 14769.56 -511.69 -3062.63 940921 Long 1 -435.81 14845.44 -435.81 -3062.63 940922 Long 1 -549.54 14731.71 -549.54 -3062.63 940923 Long 1 -568.44 14712.81 -568.44 -3062.63 940926 Long 1 -549.54 14731.71 -549.54 -3062.63 940927 Long 1 -206.75 15074.50 -206.75 -3062.63 940928 Long 1 -613.74 14667.51 -613.74 -3062.63 940929 Long 1 -530.61 14750.64 -530.61 -3062.63 940930 Long 1 -549.54 14731.71 -549.54 -3062.63 450.00 941003 Exit Long 1 -950.00 14331.25 -950.00 -3062.63 MFE = 0.00 MAE = -950.00 941003 Enter Short 1 -149.59 14181.66 -1099.59 -3062.63 941004 Short 1 -417.10 13914.15 -1367.10 -3062.63 941005 Short 1 -592.00 13739.25 -1542.00 -3062.63 941006 Short 1 -641.66 13689.59 -1591.66 -3062.63 941007 Short 1 -546.26 13784.99 -1496.26 -3062.63 941010 Short 1 -496.79 13834.46 -1446.79 -3062.63 941011 Short 1 -254.74 14076.51 -1204.74 -3062.63 941012 Short 1 -394.39 13936.86 -1344.39 -3062.63 941013 Exit Short 1 -868.75 13462.50 -1818.75 -3062.63 MFE = 0.00 MAE = -868.75 941013 Enter Long 1 55.45 13517.95 -1763.30 -3062.63 941014 Exit Long 1 225.00 13687.50 -1593.75 -3062.63 MFE = 225.00 MAE = 0.00 -1593.75 941109 Enter Short 1 123.05 13810.55 -1470.70 -3062.63 941110 Exit Short 1 225.00 13912.50 -1368.75 -3062.63 MFE = 225.00 MAE = 0.00 941114 Exit Short 1 225.00 14137.50 -1143.75 -3062.63 MFE = 225.00 MAE = 0.00 941118 Enter Short 1 120.93 14258.43 -1022.82 -3062.63 941121 Exit Short 1 225.00 14362.50 -918.75 -3062.63 MFE = 225.00 MAE = 0.00 941128 Enter Short 1 74.25 14436.75 -844.50 -3062.63 941129 Short 1 109.66 14472.16 -809.09 -3062.63 941130 Exit Short 1 225.00 14587.50 -693.75 -3062.63 MFE = 225.00 MAE = 0.00 900.00 941208 Enter Short 1 148.57 14736.07 -545.18 -3062.63 941209 Exit Short 1 225.00 14812.50 -468.75 -3062.63 MFE = 225.00 MAE = 0.00 941228 Exit Long 1 225.00 15037.50 -243.75 -3062.63 MFE = 225.00 MAE = 0.00 450.00 950109 Exit Long 1 225.00 15262.50 -18.75 -3062.63 MFE = 225.00 MAE = 0.00 950119 Exit Long 1 225.00 15487.50 0.00 -3062.63 MFE = 225.00 MAE = 0.00 950125 Enter Long 1 -550.50 14937.00 -550.50 -3062.63 950126 Long 1 -535.15 14952.35 -535.15 -3062.63 950127 Long 1 -465.96 15021.54 -465.96 -3062.63 950130 Long 1 -152.21 15335.29 -152.21 -3062.63 950131 Long 1 -900.85 14586.65 -900.85 -3062.63 450.00 950201 Long 1 -817.52 14669.98 -817.52 -3062.63 950202 Long 1 -851.65 14635.85 -851.65 -3062.63 950203 Exit Long 1 -1206.25 14281.25 -1206.25 -3062.63 MFE = 0.00 MAE = -1206.25 950203 Enter Short 1 -32.13 14249.12 -1238.38 -3062.63 950206 Exit Short 1 225.00 14506.25 -981.25 -3062.63 MFE = 225.00 MAE = -32.13 950227 Enter Long 1 -304.44 14201.81 -1285.69 -3062.63 950228 Long 1 -80.79 14425.46 -1062.04 -3062.63 -981.25 950301 Long 1 -154.20 14352.05 -1135.45 -3062.63 950302 Exit Long 1 225.00 14731.25 -756.25 -3062.63 MFE = 225.00 MAE = -304.44 950303 Exit Long 1 225.00 14956.25 -531.25 -3062.63 MFE = 225.00 MAE = 0.00 950306 Exit Long 1 225.00 15181.25 -306.25 -3062.63 MFE = 225.00 MAE = 0.00 950307 Exit Long 1 225.00 15406.25 -81.25 -3062.63 MFE = 225.00 MAE = 0.00 950315 Exit Long 1 225.00 15631.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 950323 Enter Long 1 -294.67 15336.58 -294.67 -3062.63 950324 Long 1 -821.77 14809.48 -821.77 -3062.63 950327 Long 1 -169.40 15461.85 -169.40 -3062.63 950328 Exit Long 1 225.00 15856.25 0.00 -3062.63 MFE = 225.00 MAE = -821.77 1350.00 950417 Exit Long 1 225.00 16081.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 950509 Enter Short 1 -120.75 15960.50 -120.75 -3062.63 950510 Exit Short 1 225.00 16306.25 0.00 -3062.63 MFE = 225.00 MAE = -120.75 950511 Exit Short 1 225.00 16531.25 0.00 -3062.63 MFE = 225.00 MAE = 0.00 950518 Enter Short 1 -681.30 15849.95 -681.30 -3062.63 950519 Short 1 -603.45 15927.80 -603.45 -3062.63 950522 Short 1 -733.33 15797.92 -733.33 -3062.63 950523 Short 1 -603.45 15927.80 -603.45 -3062.63 950524 Short 1 -820.28 15710.97 -820.28 -3062.63 950525 Exit Short 1 -1900.00 14631.25 -1900.00 -3062.63 MFE = 0.00 MAE = -1900.00 950531 Exit Short 1 225.00 14856.25 -1675.00 -3062.63 MFE = 225.00 MAE = 0.00 -1225.00 950609 Enter Long 1 -507.62 14348.63 -2182.62 -3062.63 950612 Long 1 -195.26 14660.99 -1870.26 -3062.63 950613 Long 1 -567.81 14288.44 -2242.81 -3062.63 950614 Long 1 -195.26 14660.99 -1870.26 -3062.63 950615 Long 1 -637.09 14219.16 -2312.09 -3062.63 950616 Long 1 -475.16 14381.09 -2150.16 -3062.63 950619 Long 1 -382.18 14474.07 -2057.18 -3062.63 950620 Long 1 -115.43 14740.82 -1790.43 -3062.63 950621 Exit Long 1 225.00 15081.25 -1450.00 -3062.63 MFE = 225.00 MAE = -637.09 950628 Enter Short 1 -75.80 15005.45 -1525.80 -3062.63 950629 Short 1 -735.16 14346.09 -2185.16 -3062.63 950630 Short 1 -592.51 14488.74 -2042.51 -3062.63 225.00 950703 Short 1 -782.86 14298.39 -2232.86 -3062.63 950704 Short 1 -592.51 14488.74 -2042.51 -3062.63 950705 Short 1 -759.00 14322.25 -2209.00 -3062.63 950706 Short 1 -821.10 14260.15 -2271.10 -3062.63 950707 Short 1 -169.02 14912.23 -1619.02 -3062.63 950710 Short 1 -145.68 14935.57 -1595.68 -3062.63 950711 Exit Short 1 225.00 15306.25 -1225.00 -3062.63 MFE = 225.00 MAE = -821.10 950719 Enter Long 1 -137.48 15168.77 -1362.48 -3062.63 950720 Long 1 -416.82 14889.43 -1641.82 -3062.63 950721 Long 1 -539.01 14767.24 -1764.01 -3062.63 950724 Long 1 -374.39 14931.86 -1599.39 -3062.63 950725 Long 1 -753.86 14552.39 -1978.86 -3062.63 950726 Long 1 -421.53 14884.72 -1646.53 -3062.63 950727 Long 1 -284.61 15021.64 -1509.61 -3062.63 950728 Long 1 -270.41 15035.84 -1495.41 -3062.63 950731 Long 1 -421.53 14884.72 -1646.53 -3062.63 225.00 950801 Exit Long 1 225.00 15531.25 -1000.00 -3062.63 MFE = 225.00 MAE = -753.86 950810 Exit Short 1 225.00 15756.25 -775.00 -3062.63 MFE = 225.00 MAE = 0.00 950811 Enter Short 1 -38.78 15717.47 -813.78 -3062.63 950814 Exit Short 1 225.00 15981.25 -550.00 -3062.63 MFE = 225.00 MAE = -38.78 950815 Exit Short 1 225.00 16206.25 -325.00 -3062.63 MFE = 225.00 MAE = 0.00 950822 Enter Short 1 62.59 16268.84 -262.41 -3062.63 950823 Short 1 -222.57 15983.68 -547.57 -3062.63 950824 Exit Short 1 225.00 16431.25 -100.00 -3062.63 MFE = 225.00 MAE = -222.57 1125.00 950906 Enter Short 1 -136.41 16294.84 -236.41 -3062.63 950907 Short 1 45.90 16477.15 -54.10 -3062.63 950908 Exit Short 1 225.00 16656.25 0.00 -3062.63 MFE = 225.00 MAE = -136.41 950911 Enter Long 1 -282.00 16374.25 -282.00 -3062.63 950912 Long 1 -24.38 16631.87 -24.38 -3062.63 950913 Exit Long 1 -762.50 15893.75 -762.50 -3062.63 MFE = 0.00 MAE = -762.50 950920 Exit Long 1 225.00 16118.75 -537.50 -3062.63 MFE = 225.00 MAE = 0.00 950921 Enter Long 1 -271.06 15847.69 -808.56 -3062.63 950922 Long 1 -606.23 15512.52 -1143.73 -3062.63 950925 Long 1 -1078.01 15040.74 -1615.51 -3062.63 950926 Long 1 -1366.43 14752.32 -1903.93 -3062.63 950927 Long 1 -876.15 15242.60 -1413.65 -3062.63 950928 Long 1 -439.16 15679.59 -976.66 -3062.63 950929 Long 1 -974.92 15143.83 -1512.42 -3062.63 -312.50 951002 Long 1 -772.29 15346.46 -1309.79 -3062.63 951003 Long 1 -1241.21 14877.54 -1778.71 -3062.63 951004 Long 1 -942.04 15176.71 -1479.54 -3062.63 951005 Long 1 -367.24 15751.51 -904.74 -3062.63 951006 Long 1 -582.42 15536.33 -1119.92 -3062.63 951009 Long 1 -381.64 15737.11 -919.14 -3062.63 951010 Long 1 -677.52 15441.23 -1215.02 -3062.63 951011 Long 1 -1101.38 15017.37 -1638.88 -3062.63 951012 Long 1 -701.24 15417.51 -1238.74 -3062.63 951013 Long 1 -984.31 15134.44 -1521.81 -3062.63 951016 Long 1 -1026.51 15092.24 -1564.01 -3062.63 951017 Long 1 -630.01 15488.74 -1167.51 -3062.63 951018 Long 1 -1078.01 15040.74 -1615.51 -3062.63 951019 Long 1 -691.75 15427.00 -1229.25 -3062.63 951020 Long 1 -343.22 15775.53 -880.72 -3062.63 951023 Exit Long 1 225.00 16343.75 -312.50 -3062.63 MFE = 225.00 MAE = -1366.43 225.00 951120 Enter Short 1 -381.51 15962.24 -694.01 -3062.63 951121 Short 1 -333.13 16010.62 -645.63 -3062.63 951122 Short 1 -376.67 15967.08 -689.17 -3062.63 951123 Short 1 -304.15 16039.60 -616.65 -3062.63 951124 Short 1 22.25 16366.00 -290.25 -3062.63 951127 Exit Short 1 225.00 16568.75 -87.50 -3062.63 MFE = 225.00 MAE = -381.51 951130 Enter Short 1 -90.01 16478.74 -177.51 -3062.63 225.00 951201 Short 1 -67.43 16501.32 -154.93 -3062.63 951204 Short 1 -476.94 16091.81 -564.44 -3062.63 951205 Short 1 -591.82 15976.93 -679.32 -3062.63 951206 Short 1 -394.54 16174.21 -482.04 -3062.63 951207 Short 1 -339.73 16229.02 -427.23 -3062.63 951208 Short 1 -431.13 16137.62 -518.63 -3062.63 951211 Short 1 -431.13 16137.62 -518.63 -3062.63 951212 Short 1 -180.55 16388.20 -268.05 -3062.63 951213 Short 1 -135.24 16433.51 -222.74 -3062.63 951214 Short 1 -707.19 15861.56 -794.69 -3062.63 951215 Short 1 -684.08 15884.67 -771.58 -3062.63 951218 Short 1 -1528.91 15039.84 -1616.41 -3062.63 951219 Short 1 -1009.49 15559.26 -1096.99 -3062.63 951220 Short 1 -1089.12 15479.63 -1176.62 -3062.63 951221 Short 1 -986.12 15582.63 -1073.62 -3062.63 951222 Short 1 -972.10 15596.65 -1059.60 -3062.63 951225 Short 1 -869.55 15699.20 -957.05 -3062.63 951226 Short 1 -1197.22 15371.53 -1284.72 -3062.63 951227 Short 1 -986.12 15582.63 -1073.62 -3062.63 951228 Short 1 -1009.49 15559.26 -1096.99 -3062.63 951229 Short 1 -1126.67 15442.08 -1214.17 -3062.63 0.00 960102 Short 1 -892.82 15675.93 -980.32 -3062.63 960103 Short 1 -614.85 15953.90 -702.35 -3062.63 960104 Short 1 -730.33 15838.42 -817.83 -3062.63 960105 Short 1 -776.65 15792.10 -864.15 -3062.63 960108 Short 1 -744.21 15824.54 -831.71 -3062.63 960109 Short 1 -753.48 15815.27 -840.98 -3062.63 960110 Short 1 -823.06 15745.69 -910.56 -3062.63 960111 Short 1 -753.48 15815.27 -840.98 -3062.63 960112 Short 1 -707.19 15861.56 -794.69 -3062.63 960115 Short 1 -545.81 16022.94 -633.31 -3062.63 960116 Short 1 90.15 16658.90 0.00 -3062.63 960117 Exit Short 1 225.00 16793.75 0.00 -3062.63 MFE = 225.00 MAE = -1528.91 960126 Enter Short 1 93.44 16887.19 0.00 -3062.63 960129 Exit Short 1 225.00 17018.75 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 960216 Enter Long 1 -62.84 16955.91 0.00 -3062.63 960219 Exit Long 1 271.26 17290.01 0.00 -3062.63 MFE = 271.26 MAE = -62.84 271.26 960327 Enter Short 1 -82.78 17207.22 0.00 -3062.63 960328 Short 1 -468.84 16821.17 -386.06 -3062.63 960329 Short 1 -477.68 16812.33 -394.90 -3062.63 0.00 960401 Short 1 -222.51 17067.50 -139.72 -3062.63 960402 Short 1 -222.51 17067.50 -139.72 -3062.63 960403 Short 1 -170.03 17119.98 -87.24 -3062.63 960404 Short 1 -332.20 16957.81 -249.41 -3062.63 960405 Short 1 -240.03 17049.98 -157.25 -3062.63 960408 Short 1 -205.00 17085.00 -122.22 -3062.63 960409 Exit Short 1 225.00 17515.01 0.00 -3062.63 MFE = 225.00 MAE = -477.68 960425 Enter Short 1 -57.75 17457.26 -57.75 -3062.63 960426 Short 1 -213.13 17301.87 -213.13 -3062.63 960429 Short 1 3.32 17518.33 0.00 -3062.63 960430 Exit Short 1 225.00 17740.01 0.00 -3062.63 MFE = 225.00 MAE = -213.13 450.00 960516 Enter Short 1 -186.54 17553.47 0.00 -3062.63 960517 Short 1 105.81 17845.82 0.00 -3062.63 960520 Short 1 117.59 17857.59 0.00 -3062.63 960521 Exit Short 1 225.00 17965.01 0.00 -3062.63 MFE = 225.00 MAE = -186.54 960528 Enter Short 1 89.78 18054.78 0.00 -3062.63 960529 Short 1 -397.86 17567.14 -487.64 -3062.63 960530 Short 1 -397.86 17567.14 -487.64 -3062.63 960531 Short 1 -851.11 17113.90 -940.89 -3062.63 225.00 960603 Short 1 -655.28 17309.72 -745.06 -3062.63 960604 Short 1 -476.79 17488.22 -566.56 -3062.63 960605 Short 1 -500.52 17464.49 -590.29 -3062.63 960606 Short 1 -492.61 17472.40 -582.38 -3062.63 960607 Short 1 -6.98 17958.03 -96.76 -3062.63 960610 Short 1 -108.02 17856.99 -197.80 -3062.63 960611 Short 1 -209.47 17755.54 -299.25 -3062.63 960612 Short 1 -295.64 17669.37 -385.42 -3062.63 960613 Exit Short 1 -593.75 17371.26 -593.75 -3062.63 MFE = 89.78 MAE = -851.11 960613 Enter Long 1 58.68 17429.94 -624.84 -3062.63 960614 Exit Long 1 225.00 17596.26 -458.53 -3062.63 MFE = 225.00 MAE = 0.00 -368.75 960705 Enter Short 1 -67.59 17528.67 -526.12 -3062.63 960708 Short 1 -59.74 17536.52 -518.27 -3062.63 960709 Short 1 10.81 17607.07 -447.72 -3062.63 960710 Short 1 -8.76 17587.49 -467.29 -3062.63 960711 Exit Short 1 -406.25 17190.01 -864.78 -3062.63 MFE = 10.81 MAE = -406.25 960711 Enter Long 1 -108.65 17081.35 -973.43 -3062.63 960712 Long 1 -223.20 16966.81 -1087.97 -3062.63 960715 Long 1 170.01 17360.01 -694.77 -3062.63 960716 Exit Long 1 225.00 17415.01 -639.78 -3062.63 MFE = 225.00 MAE = -223.20 960731 Exit Long 1 225.00 17640.01 -414.78 -3062.63 MFE = 225.00 MAE = 0.00 43.75 960805 Enter Long 1 -322.53 17317.47 -737.31 -3062.63 960806 Long 1 -589.80 17050.20 -1004.58 -3062.63 960807 Long 1 -709.61 16930.40 -1124.39 -3062.63 960808 Long 1 -709.61 16930.40 -1124.39 -3062.63 960809 Long 1 -370.15 17269.85 -784.93 -3062.63 960812 Long 1 -404.73 17235.28 -819.51 -3062.63 960813 Long 1 -244.42 17395.59 -659.20 -3062.63 960814 Exit Long 1 -718.75 16921.26 -1133.53 -3062.63 MFE = 0.00 MAE = -718.75 960814 Enter Short 1 -39.70 16881.56 -1173.23 -3062.63 960815 Short 1 -237.24 16684.02 -1370.76 -3062.63 960816 Short 1 -18.32 16902.94 -1151.84 -3062.63 960819 Short 1 -129.69 16791.56 -1263.22 -3062.63 960820 Short 1 -129.69 16791.56 -1263.22 -3062.63 960821 Exit Short 1 -525.00 16396.26 -1658.53 -3062.63 MFE = 0.00 MAE = -525.00 960821 Enter Long 1 -41.98 16354.28 -1700.50 -3062.63 960822 Long 1 -404.63 15991.63 -2063.15 -3062.63 960823 Exit Long 1 225.00 16621.26 -1433.53 -3062.63 MFE = 225.00 MAE = -404.63 -1018.75 960906 Enter Short 1 97.10 16718.35 -1336.43 -3062.63 960909 Exit Short 1 225.00 16846.26 -1208.53 -3062.63 MFE = 225.00 MAE = 0.00 960913 Enter Short 1 -44.82 16801.44 -1253.34 -3062.63 960916 Short 1 -170.41 16675.85 -1378.94 -3062.63 960917 Short 1 -40.78 16805.48 -1249.30 -3062.63 960918 Short 1 -142.00 16704.26 -1350.52 -3062.63 960919 Short 1 -89.31 16756.95 -1297.84 -3062.63 960920 Short 1 -243.62 16602.64 -1452.15 -3062.63 960923 Short 1 -374.31 16471.95 -1582.84 -3062.63 960924 Short 1 -795.42 16050.84 -2003.95 -3062.63 960925 Short 1 -170.41 16675.85 -1378.94 -3062.63 960926 Exit Short 1 225.00 17071.26 -983.53 -3062.63 MFE = 225.00 MAE = -795.42 450.00 961015 Exit Short 1 225.00 17296.26 -758.53 -3062.63 MFE = 225.00 MAE = 0.00 961025 Enter Short 1 -96.00 17200.26 -854.53 -3062.63 961028 Short 1 -84.20 17212.06 -842.73 -3062.63 961029 Short 1 -273.65 17022.61 -1032.17 -3062.63 961030 Short 1 -325.21 16971.05 -1083.74 -3062.63 961031 Exit Short 1 225.00 17521.26 -533.53 -3062.63 MFE = 225.00 MAE = -325.21 450.00 961125 Exit Short 1 225.00 17746.26 -308.53 -3062.63 MFE = 225.00 MAE = 0.00 225.00 961202 Enter Short 1 -32.24 17714.01 -340.77 -3062.63 961203 Exit Short 1 225.00 17971.26 -83.53 -3062.63 MFE = 225.00 MAE = -32.24 961224 Enter Short 1 28.62 17999.88 -54.91 -3062.63 961225 Short 1 21.72 17992.98 -61.80 -3062.63 961226 Short 1 -57.78 17913.48 -141.31 -3062.63 961227 Short 1 166.21 18137.46 0.00 -3062.63 961230 Exit Short 1 225.00 18196.26 0.00 -3062.63 MFE = 225.00 MAE = -57.78 450.00 970103 Enter Short 1 -10.28 18185.97 0.00 -3062.63 970106 Short 1 -214.08 17982.18 -203.80 -3062.63 970107 Short 1 -197.03 17999.23 -186.75 -3062.63 970108 Short 1 174.95 18371.21 0.00 -3062.63 970109 Exit Short 1 225.00 18421.26 0.00 -3062.63 MFE = 225.00 MAE = -214.08 970117 Exit Short 1 225.00 18646.26 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 970207 Enter Short 1 -218.93 18427.33 0.00 -3062.63 970210 Short 1 -353.79 18292.47 -134.86 -3062.63 970211 Short 1 6.01 18652.27 0.00 -3062.63 970212 Exit Short 1 225.00 18871.26 0.00 -3062.63 MFE = 225.00 MAE = -353.79 970226 Enter Short 1 -26.33 18844.92 0.00 -3062.63 970227 Short 1 -244.33 18626.92 -218.00 -3062.63 970228 Short 1 -66.32 18804.94 -39.99 -3062.63 225.00 970303 Short 1 -52.03 18819.22 -25.70 -3062.63 970304 Short 1 161.18 19032.44 0.00 -3062.63 970305 Short 1 47.73 18918.99 -113.45 -3062.63 970306 Exit Short 1 225.00 19096.26 0.00 -3062.63 MFE = 225.00 MAE = -244.33 970312 Enter Long 1 1.34 19097.60 0.00 -3062.63 970313 Long 1 -335.73 18760.52 -337.08 -3062.63 970314 Long 1 -87.10 19009.16 -88.45 -3062.63 970317 Long 1 -189.83 18906.43 -191.17 -3062.63 970318 Exit Long 1 225.00 19321.26 0.00 -3062.63 MFE = 225.00 MAE = -335.73 970327 Enter Long 1 18.32 19339.57 0.00 -3062.63 970328 Long 1 -32.19 19289.06 -50.51 -3062.63 970331 Exit Long 1 225.00 19546.26 0.00 -3062.63 MFE = 225.00 MAE = -32.19 675.00 970403 Enter Long 1 -205.81 19340.45 -205.81 -3062.63 970404 Long 1 -441.44 19104.82 -441.44 -3062.63 970407 Exit Long 1 -1112.50 18433.76 -1112.50 -3062.63 MFE = 0.00 MAE = -1112.50 970407 Enter Short 1 141.55 18575.31 -970.95 -3062.63 970408 Exit Short 1 225.00 18658.76 -887.50 -3062.63 MFE = 225.00 MAE = 0.00 -887.50 970506 Enter Long 1 -65.36 18593.40 -952.86 -3062.63 970507 Long 1 1.97 18660.73 -885.53 -3062.63 970508 Exit Long 1 225.00 18883.76 -662.50 -3062.63 MFE = 225.00 MAE = -65.36 970520 Exit Long 1 225.00 19108.76 -437.50 -3062.63 MFE = 225.00 MAE = 0.00 970526 Enter Long 1 -124.82 18983.94 -562.32 -3062.63 970527 Long 1 -945.16 18163.60 -1382.66 -3062.63 970528 Long 1 -642.64 18466.12 -1080.14 -3062.63 970529 Long 1 -667.75 18441.01 -1105.25 -3062.63 970530 Long 1 -755.40 18353.36 -1192.90 -3062.63 450.00 970602 Exit Long 1 -1462.50 17646.26 -1900.00 -3062.63 MFE = 0.00 MAE = -1462.50 970606 Enter Short 1 -353.45 17292.81 -2253.45 -3062.63 970609 Short 1 -698.03 16948.22 -2598.03 -3062.63 970610 Short 1 -592.58 17053.68 -2492.58 -3062.63 970611 Short 1 -713.14 16933.11 -2613.14 -3062.63 970612 Short 1 -502.59 17143.66 -2402.59 -3062.63 970613 Short 1 -547.54 17098.72 -2447.54 -3062.63 970616 Short 1 -592.58 17053.68 -2492.58 -3062.63 970617 Short 1 -532.55 17113.71 -2432.55 -3062.63 970618 Short 1 -410.00 17236.26 -2310.00 -3062.63 970619 Short 1 -682.94 16963.32 -2582.94 -3062.63 970620 Short 1 -637.71 17008.55 -2537.71 -3062.63 970623 Short 1 -971.58 16674.68 -2871.58 -3062.63 970624 Short 1 -698.03 16948.22 -2598.03 -3062.63 970625 Short 1 -734.31 16911.95 -2634.31 -3062.63 970626 Short 1 -819.19 16827.07 -2719.19 -3062.63 970627 Short 1 -190.57 17455.69 -2090.57 -3062.63 970630 Short 1 -14.28 17631.98 -1914.28 -3062.63 -1462.50 970701 Short 1 131.52 17777.78 -1768.48 -3062.63 970702 Exit Short 1 225.00 17871.26 -1675.00 -3062.63 MFE = 225.00 MAE = -971.58 970710 Exit Long 1 225.00 18096.26 -1450.00 -3062.63 MFE = 225.00 MAE = 0.00 970724 Enter Short 1 138.11 18234.37 -1311.89 -3062.63 970725 Exit Short 1 225.00 18321.26 -1225.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 970801 Enter Short 1 -0.50 18320.76 -1225.50 -3062.63 970804 Exit Short 1 225.00 18546.26 -1000.00 -3062.63 MFE = 225.00 MAE = -0.50 970822 Enter Long 1 -140.16 18406.09 -1140.16 -3062.63 970825 Long 1 -1.27 18544.99 -1001.27 -3062.63 970826 Exit Long 1 225.00 18771.26 -775.00 -3062.63 MFE = 225.00 MAE = -140.16 450.00 970905 Exit Long 1 225.00 18996.26 -550.00 -3062.63 MFE = 225.00 MAE = 0.00 970915 Enter Long 1 72.68 19068.94 -477.32 -3062.63 970916 Long 1 -61.41 18934.85 -611.41 -3062.63 970917 Long 1 -356.44 18639.82 -906.44 -3062.63 970918 Long 1 -516.98 18479.27 -1066.98 -3062.63 970919 Long 1 -400.34 18595.92 -950.34 -3062.63 970922 Long 1 -627.21 18369.05 -1177.21 -3062.63 970923 Long 1 -630.10 18366.16 -1180.10 -3062.63 970924 Long 1 -297.75 18698.50 -847.75 -3062.63 970925 Long 1 -67.35 18928.91 -617.35 -3062.63 970926 Long 1 -129.62 18866.63 -679.62 -3062.63 970929 Long 1 -168.09 18828.17 -718.09 -3062.63 970930 Long 1 -7.87 18988.39 -557.87 -3062.63 225.00 971001 Long 1 -335.92 18660.34 -885.92 -3062.63 971002 Long 1 -221.23 18775.03 -771.23 -3062.63 971003 Long 1 -13.83 18982.43 -563.83 -3062.63 971006 Long 1 33.86 19030.12 -516.14 -3062.63 971007 Exit Long 1 225.00 19221.26 -325.00 -3062.63 MFE = 225.00 MAE = -630.10 971017 Enter Short 1 158.87 19380.13 -166.13 -3062.63 971020 Exit Short 1 225.00 19446.26 -100.00 -3062.63 MFE = 225.00 MAE = 0.00 971028 Exit Long 1 225.00 19671.26 0.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 971107 Exit Long 1 225.00 19896.26 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 971205 Enter Short 1 -15.06 19881.20 -15.06 -3062.63 971208 Exit Short 1 225.00 20121.26 0.00 -3062.63 MFE = 225.00 MAE = -15.06 971229 Exit Short 1 225.00 20346.26 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 980114 Enter Short 1 -93.74 20252.52 -93.74 -3062.63 980115 Exit Short 1 225.00 20571.26 0.00 -3062.63 MFE = 225.00 MAE = -93.74 225.00 980212 Enter Long 1 -50.34 20520.91 -50.34 -3062.63 980213 Long 1 -265.23 20306.03 -265.23 -3062.63 980216 Long 1 -241.78 20329.48 -241.78 -3062.63 980217 Long 1 -590.76 19980.50 -590.76 -3062.63 980218 Long 1 -547.45 20023.81 -547.45 -3062.63 980219 Long 1 -431.52 20139.74 -431.52 -3062.63 980220 Long 1 -498.26 20073.00 -498.26 -3062.63 980223 Long 1 83.20 20654.45 0.00 -3062.63 980224 Long 1 32.65 20603.91 -50.55 -3062.63 980225 Long 1 -483.77 20087.49 -566.96 -3062.63 980226 Long 1 -475.07 20096.19 -558.26 -3062.63 980227 Long 1 -396.62 20174.64 -479.81 -3062.63 0.00 980302 Long 1 -425.71 20145.55 -508.90 -3062.63 980303 Long 1 -489.56 20081.69 -572.76 -3062.63 980304 Long 1 -806.00 19765.26 -889.20 -3062.63 980305 Long 1 -1187.98 19383.28 -1271.17 -3062.63 980306 Long 1 -1140.26 19431.00 -1223.45 -3062.63 980309 Long 1 -1021.89 19549.36 -1105.09 -3062.63 980310 Long 1 -1098.06 19473.20 -1181.26 -3062.63 980311 Long 1 -1103.69 19467.56 -1186.89 -3062.63 980312 Long 1 -976.62 19594.63 -1059.82 -3062.63 980313 Long 1 -685.73 19885.52 -768.93 -3062.63 980316 Long 1 -820.27 19750.99 -903.46 -3062.63 980317 Long 1 -814.56 19756.70 -897.76 -3062.63 980318 Exit Long 1 -1118.75 19452.51 -1118.75 -3062.63 MFE = 83.20 MAE = -1187.98 980318 Enter Short 1 18.39 19470.90 -1183.56 -3062.63 980319 Short 1 186.55 19639.06 -1015.39 -3062.63 980320 Exit Short 1 225.00 19677.51 -976.95 -3062.63 MFE = 225.00 MAE = 0.00 980330 Exit Short 1 225.00 19902.51 -751.95 -3062.63 MFE = 225.00 MAE = 0.00 -668.75 980421 Enter Long 1 81.37 19983.87 -670.58 -3062.63 980422 Long 1 -66.37 19836.14 -818.32 -3062.63 980423 Long 1 -170.86 19731.65 -922.81 -3062.63 980424 Long 1 -207.45 19695.06 -959.40 -3062.63 980427 Long 1 -80.52 19821.99 -832.47 -3062.63 980428 Long 1 -277.64 19624.87 -1029.58 -3062.63 980429 Long 1 -439.57 19462.94 -1191.51 -3062.63 980430 Long 1 -495.11 19407.39 -1247.06 -3062.63 0.00 980501 Long 1 -235.55 19666.96 -987.50 -3062.63 980504 Long 1 -145.49 19757.02 -897.44 -3062.63 980505 Long 1 121.32 20023.83 -630.63 -3062.63 980506 Exit Long 1 225.00 20127.51 -526.95 -3062.63 MFE = 225.00 MAE = -495.11 980521 Enter Long 1 -7.07 20120.44 -534.02 -3062.63 980522 Long 1 -50.81 20076.70 -577.76 -3062.63 980525 Long 1 -256.62 19870.88 -783.57 -3062.63 980526 Long 1 -210.42 19917.09 -737.36 -3062.63 980527 Exit Long 1 225.00 20352.51 -301.95 -3062.63 MFE = 225.00 MAE = -256.62 450.00 980610 Enter Short 1 58.35 20410.86 -243.59 -3062.63 980611 Exit Short 1 225.00 20577.51 -76.95 -3062.63 MFE = 225.00 MAE = 0.00 980626 Enter Short 1 -125.54 20451.96 -202.49 -3062.63 980629 Short 1 -125.54 20451.96 -202.49 -3062.63 980630 Short 1 -260.31 20317.20 -337.25 -3062.63 225.00 980701 Short 1 -63.85 20513.66 -140.80 -3062.63 980702 Short 1 66.97 20644.48 -9.98 -3062.63 980703 Short 1 -10.35 20567.15 -87.30 -3062.63 980706 Short 1 -173.96 20403.55 -250.90 -3062.63 980707 Short 1 -85.29 20492.22 -162.23 -3062.63 980708 Short 1 -31.74 20545.77 -108.68 -3062.63 980709 Exit Short 1 225.00 20802.51 0.00 -3062.63 MFE = 225.00 MAE = -260.31 980724 Enter Long 1 -31.75 20770.76 -31.75 -3062.63 980727 Long 1 -226.12 20576.38 -226.12 -3062.63 980728 Exit Long 1 225.00 21027.51 0.00 -3062.63 MFE = 225.00 MAE = -226.12 450.00 980811 Enter Long 1 -103.39 20924.12 -103.39 -3062.63 980812 Long 1 -38.63 20988.88 -38.63 -3062.63 980813 Long 1 -44.27 20983.24 -44.27 -3062.63 980814 Exit Long 1 -512.50 20515.01 -512.50 -3062.63 MFE = 0.00 MAE = -512.50 980814 Enter Short 1 88.38 20603.38 -424.12 -3062.63 980817 Short 1 25.08 20540.08 -487.42 -3062.63 980818 Short 1 140.52 20655.53 -371.98 -3062.63 980819 Exit Short 1 225.00 20740.01 -287.50 -3062.63 MFE = 225.00 MAE = 0.00 980827 Exit Long 1 225.00 20965.01 -62.50 -3062.63 MFE = 225.00 MAE = 0.00 980828 Exit Long 1 225.00 21190.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 162.50 980903 Exit Long 1 225.00 21415.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 980910 Exit Long 1 225.00 21640.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 980917 Exit Long 1 225.00 21865.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 980921 Enter Long 1 -358.17 21506.83 -358.17 -3062.63 980922 Long 1 -325.82 21539.19 -325.82 -3062.63 980923 Long 1 -325.82 21539.19 -325.82 -3062.63 980924 Long 1 -212.20 21652.81 -212.20 -3062.63 980925 Exit Long 1 225.00 22090.01 0.00 -3062.63 MFE = 225.00 MAE = -358.17 900.00 981001 Exit Long 1 225.00 22315.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 981007 Exit Long 1 225.00 22540.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 981015 Enter Long 1 78.83 22618.84 0.00 -3062.63 981016 Exit Long 1 225.00 22765.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 981106 Enter Short 1 89.48 22854.49 0.00 -3062.63 981109 Exit Short 1 225.00 22990.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 990106 Exit Short 1 225.00 23215.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 990127 Enter Short 1 123.76 23338.77 0.00 -3062.63 990128 Exit Short 1 225.00 23440.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 990219 Exit Short 1 225.00 23665.01 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 990301 Enter Short 1 -0.06 23664.95 0.00 -3062.63 990302 Short 1 -167.34 23497.67 -167.28 -3062.63 990303 Short 1 -70.33 23594.67 -70.27 -3062.63 990304 Exit Short 1 225.00 23890.01 0.00 -3062.63 MFE = 225.00 MAE = -167.34 990311 Enter Short 1 -568.07 23321.93 -568.07 -3062.63 990312 Short 1 -239.18 23650.82 -239.18 -3062.63 990315 Short 1 -253.76 23636.25 -253.76 -3062.63 990316 Short 1 -556.24 23333.77 -556.24 -3062.63 990317 Short 1 -633.27 23256.73 -633.27 -3062.63 990318 Short 1 -444.15 23445.86 -444.15 -3062.63 990319 Short 1 -178.07 23711.93 -178.07 -3062.63 990322 Short 1 -282.94 23607.07 -282.94 -3062.63 990323 Short 1 -450.03 23439.97 -450.03 -3062.63 990324 Short 1 -253.76 23636.25 -253.76 -3062.63 990325 Short 1 -41.94 23848.07 -41.94 -3062.63 990326 Exit Short 1 225.00 24115.01 0.00 -3062.63 MFE = 225.00 MAE = -633.27 450.00 990405 Enter Short 1 -23.87 24091.14 -23.87 -3062.63 990406 Short 1 -474.16 23640.85 -474.16 -3062.63 990407 Short 1 -236.42 23878.59 -236.42 -3062.63 990408 Short 1 -60.56 24054.45 -60.56 -3062.63 990409 Short 1 -179.53 23935.48 -179.53 -3062.63 990412 Short 1 -168.17 23946.84 -168.17 -3062.63 990413 Short 1 18.39 24133.40 0.00 -3062.63 990414 Short 1 -179.53 23935.48 -197.92 -3062.63 990415 Exit Short 1 225.00 24340.01 0.00 -3062.63 MFE = 225.00 MAE = -474.16 990429 Enter Short 1 -52.58 24287.43 -52.58 -3062.63 990430 Short 1 58.16 24398.17 0.00 -3062.63 225.00 990503 Short 1 82.38 24422.39 0.00 -3062.63 990504 Short 1 -267.63 24072.38 -350.01 -3062.63 990505 Exit Short 1 -843.75 23496.26 -843.75 -3062.63 MFE = 82.38 MAE = -843.75 990514 Enter Long 1 -313.02 23183.24 -1239.15 -3062.63 990517 Long 1 -310.25 23186.01 -1236.38 -3062.63 990518 Long 1 -235.42 23260.84 -1161.55 -3062.63 990519 Long 1 -318.55 23177.71 -1244.68 -3062.63 990520 Long 1 -461.86 23034.39 -1388.00 -3062.63 990521 Exit Long 1 -806.25 22690.01 -1650.00 -3062.63 MFE = 0.00 MAE = -806.25 990521 Enter Short 1 -103.54 22586.47 -1835.92 -3062.63 990524 Short 1 -223.48 22466.53 -1955.86 -3062.63 990525 Short 1 -446.11 22243.90 -2178.49 -3062.63 990526 Short 1 50.81 22740.82 -1681.57 -3062.63 990527 Exit Short 1 225.00 22915.01 -1507.38 -3062.63 MFE = 225.00 MAE = -446.11 -1425.00 990602 Enter Short 1 74.83 22989.83 -1432.55 -3062.63 990603 Short 1 161.97 23076.98 -1345.41 -3062.63 990604 Exit Short 1 225.00 23140.01 -1282.38 -3062.63 MFE = 225.00 MAE = 0.00 990614 Enter Short 1 -63.03 23076.98 -1345.41 -3062.63 990615 Short 1 -60.35 23079.65 -1342.74 -3062.63 990616 Exit Short 1 225.00 23365.01 -1057.38 -3062.63 MFE = 225.00 MAE = -63.03 450.00 990701 Enter Short 1 60.63 23425.64 -996.75 -3062.63 990702 Short 1 9.78 23374.79 -1047.60 -3062.63 990705 Short 1 98.69 23463.70 -958.69 -3062.63 990706 Short 1 -15.70 23349.31 -1073.08 -3062.63 990707 Short 1 68.25 23433.26 -989.13 -3062.63 990708 Exit Short 1 225.00 23590.01 -832.38 -3062.63 MFE = 225.00 MAE = -15.70 990712 Enter Short 1 -186.94 23403.07 -1019.32 -3062.63 990713 Short 1 -282.15 23307.86 -1114.53 -3062.63 990714 Short 1 -387.92 23202.09 -1220.30 -3062.63 990715 Short 1 -350.08 23239.93 -1182.46 -3062.63 990716 Short 1 -337.48 23252.53 -1169.86 -3062.63 990719 Exit Short 1 -762.50 22827.51 -1594.88 -3062.63 MFE = 0.00 MAE = -762.50 990726 Exit Long 1 225.00 23052.51 -1369.88 -3062.63 MFE = 225.00 MAE = 0.00 990729 Enter Long 1 3.11 23055.61 -1366.77 -3062.63 990730 Long 1 -87.14 22965.37 -1457.02 -3062.63 -312.50 990802 Long 1 -140.53 22911.98 -1510.41 -3062.63 990803 Long 1 -260.89 22791.62 -1630.77 -3062.63 990804 Long 1 54.04 23106.55 -1315.84 -3062.63 990805 Exit Long 1 225.00 23277.51 -1144.88 -3062.63 MFE = 225.00 MAE = -260.89 990819 Enter Long 1 41.73 23319.23 -1103.15 -3062.63 990820 Exit Long 1 225.00 23502.51 -919.88 -3062.63 MFE = 225.00 MAE = 0.00 450.00 990910 Exit Short 1 225.00 23727.51 -694.88 -3062.63 MFE = 225.00 MAE = 0.00 225.00 991012 Enter Long 1 49.71 23777.22 -645.17 -3062.63 991013 Exit Long 1 225.00 23952.51 -469.88 -3062.63 MFE = 225.00 MAE = 0.00 991015 Exit Long 1 225.00 24177.51 -244.88 -3062.63 MFE = 225.00 MAE = 0.00 450.00 991104 Enter Short 1 189.56 24367.07 -55.32 -3062.63 991105 Short 1 -2.26 24175.25 -247.14 -3062.63 991108 Short 1 5.55 24183.06 -239.33 -3062.63 991109 Short 1 -114.56 24062.95 -359.44 -3062.63 991110 Short 1 -238.03 23939.48 -482.91 -3062.63 991111 Short 1 -156.51 24021.00 -401.39 -3062.63 991112 Exit Short 1 225.00 24402.51 -19.88 -3062.63 MFE = 225.00 MAE = -238.03 991124 Exit Short 1 225.00 24627.51 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 991202 Enter Short 1 25.52 24653.02 0.00 -3062.63 991203 Short 1 -107.31 24520.19 -132.83 -3062.63 991206 Exit Short 1 -556.25 24071.26 -556.25 -3062.63 MFE = 25.52 MAE = -556.25 991209 Enter Short 1 -116.38 23954.88 -698.15 -3062.63 991210 Short 1 199.26 24270.52 -382.50 -3062.63 991213 Exit Short 1 225.00 24296.26 -356.77 -3062.63 MFE = 225.00 MAE = -116.38 991223 Enter Long 1 -22.52 24273.73 -379.29 -3062.63 991227 Long 1 -112.36 24183.90 -469.12 -3062.63 991228 Exit Long 1 -446.96 23849.29 -803.73 -3062.63 MFE = 0.00 MAE = -446.96 991228 Enter Short 1 -57.29 23792.01 -861.02 -3062.63 991229 Short 1 13.87 23863.16 -789.86 -3062.63 991230 Short 1 -187.99 23661.31 -991.72 -3062.63 991231 Short 1 -74.50 23774.80 -878.23 -3062.63 -778.21 000103 Exit Short 1 -443.75 23405.54 -1247.48 -3062.63 MFE = 13.87 MAE = -443.75 000103 Exit Long 1 225.00 23630.54 -1022.48 -3062.63 MFE = 225.00 MAE = 0.00 000127 Enter Short 1 118.28 23748.82 -904.20 -3062.63 000128 Exit Short 1 225.00 23855.54 -797.48 -3062.63 MFE = 225.00 MAE = 0.00 6.25 000222 Exit Long 1 225.00 24080.54 -572.48 -3062.63 MFE = 225.00 MAE = 0.00 225.00 000404 Exit Long 1 225.00 24305.54 -347.48 -3062.63 MFE = 225.00 MAE = 0.00 000425 Exit Short 1 225.00 24530.54 -122.48 -3062.63 MFE = 225.00 MAE = 0.00 450.00 000503 Enter Short 1 -125.80 24404.75 -248.28 -3062.63 000504 Exit Short 1 225.00 24755.54 0.00 -3062.63 MFE = 225.00 MAE = -125.80 000526 Exit Long 1 225.00 24980.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 450.00 000602 Enter Long 1 74.53 25055.07 0.00 -3062.63 000605 Long 1 198.89 25179.43 0.00 -3062.63 000606 Exit Long 1 225.00 25205.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 000613 Enter Long 1 -105.55 25099.99 -79.44 -3062.63 000614 Long 1 -169.04 25036.50 -142.93 -3062.63 000615 Long 1 -274.40 24931.14 -248.29 -3062.63 000616 Long 1 193.57 25399.11 0.00 -3062.63 000619 Exit Long 1 225.00 25430.54 0.00 -3062.63 MFE = 225.00 MAE = -274.40 000627 Enter Long 1 105.98 25536.52 0.00 -3062.63 000628 Long 1 -151.85 25278.69 -257.83 -3062.63 000629 Long 1 82.61 25513.15 -23.37 -3062.63 000630 Exit Long 1 225.00 25655.54 0.00 -3062.63 MFE = 225.00 MAE = -151.85 675.00 000705 Enter Long 1 -27.06 25628.48 -27.06 -3062.63 000706 Long 1 -83.91 25571.64 -83.91 -3062.63 000707 Long 1 -140.59 25514.96 -140.59 -3062.63 000710 Long 1 -31.81 25623.74 -31.81 -3062.63 000711 Long 1 -140.59 25514.96 -140.59 -3062.63 000712 Exit Long 1 -500.00 25155.54 -500.00 -3062.63 MFE = 0.00 MAE = -500.00 000712 Exit Short 1 225.00 25380.54 -275.00 -3062.63 MFE = 225.00 MAE = 0.00 000718 Exit Short 1 225.00 25605.54 -50.00 -3062.63 MFE = 225.00 MAE = 0.00 -50.00 000801 Enter Short 1 12.43 25617.98 -37.57 -3062.63 000802 Short 1 -31.34 25574.21 -81.34 -3062.63 000803 Exit Short 1 225.00 25830.54 0.00 -3062.63 MFE = 225.00 MAE = -31.34 000808 Enter Short 1 -151.52 25679.02 -151.52 -3062.63 000809 Short 1 -55.65 25774.90 -55.65 -3062.63 000810 Short 1 -288.75 25541.79 -288.75 -3062.63 000811 Short 1 67.19 25897.73 0.00 -3062.63 000814 Short 1 20.69 25851.23 -46.50 -3062.63 000815 Short 1 -179.31 25651.23 -246.50 -3062.63 000816 Short 1 -235.02 25595.52 -302.21 -3062.63 000817 Short 1 -235.02 25595.52 -302.21 -3062.63 000818 Short 1 60.85 25891.39 -6.34 -3062.63 000821 Exit Short 1 225.00 26055.54 0.00 -3062.63 MFE = 225.00 MAE = -288.75 000829 Enter Short 1 10.35 26065.90 0.00 -3062.63 000830 Exit Short 1 225.00 26280.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 675.00 000906 Enter Short 1 18.55 26299.09 0.00 -3062.63 000907 Exit Short 1 225.00 26505.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 001010 Enter Long 1 -25.51 26480.03 0.00 -3062.63 001011 Exit Long 1 225.00 26730.54 0.00 -3062.63 MFE = 225.00 MAE = -25.51 001013 Enter Short 1 8.80 26739.35 0.00 -3062.63 001016 Exit Short 1 225.00 26955.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 001018 Enter Short 1 -163.90 26791.65 0.00 -3062.63 001019 Short 1 -218.81 26736.73 -54.91 -3062.63 001020 Short 1 -236.50 26719.05 -72.60 -3062.63 001023 Short 1 40.49 26996.04 0.00 -3062.63 001024 Short 1 59.84 27015.38 0.00 -3062.63 001025 Exit Short 1 225.00 27180.54 0.00 -3062.63 MFE = 225.00 MAE = -236.50 675.00 001127 Enter Long 1 140.83 27321.38 0.00 -3062.63 001128 Exit Long 1 225.00 27405.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 225.00 001214 Exit Long 1 225.00 27630.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 001229 Enter Long 1 198.19 27828.73 0.00 -3062.63 225.00 010102 Exit Long 1 225.00 27855.54 0.00 -3062.63 MFE = 225.00 MAE = 0.00 010118 Enter Long 1 -44.75 27810.79 -17.94 -3062.63 010119 Long 1 -471.04 27384.50 -444.23 -3062.63 010122 Long 1 -307.30 27548.24 -280.49 -3062.63 010123 Long 1 -377.65 27477.90 -350.83 -3062.63 010124 Long 1 -942.62 26912.93 -915.80 -3062.63 010125 Long 1 -762.27 27093.27 -735.46 -3062.63 010126 Long 1 -794.36 27061.18 -767.55 -3062.63 010129 Long 1 -919.88 26935.66 -893.07 -3062.63 010130 Long 1 -661.08 27194.46 -634.27 -3062.63 010131 Long 1 -387.01 27468.54 -360.19 -3062.63 225.00 010201 Long 1 -340.16 27515.38 -313.35 -3062.63 010202 Long 1 -633.39 27222.16 -606.57 -3062.63 010205 Long 1 -508.27 27347.27 -481.46 -3062.63 010206 Long 1 -844.67 27010.87 -817.86 -3062.63 010207 Long 1 -840.10 27015.44 -813.29 -3062.63 010208 Long 1 -1211.05 26644.49 -1184.24 -3062.63 010209 Long 1 -976.66 26878.88 -949.85 -3062.63 010212 Long 1 -812.67 27042.87 -785.86 -3062.63 010213 Long 1 -1195.37 26660.17 -1168.56 -3062.63 010214 Long 1 -1197.61 26657.93 -1170.80 -3062.63 010215 Exit Long 1 -1800.00 26055.54 -1800.00 -3062.63 MFE = 0.00 MAE = -1800.00 010215 Enter Short 1 -95.09 25960.46 -1868.27 -3062.63 010216 Short 1 -356.81 25698.73 -2130.00 -3062.63 010219 Short 1 -602.06 25453.48 -2375.25 -3062.63 010220 Short 1 -288.28 25767.27 -2061.46 -3062.63 010221 Short 1 -200.21 25855.33 -1973.40 -3062.63 010222 Short 1 -77.62 25977.92 -1850.81 -3062.63 010223 Short 1 -487.95 25567.59 -2261.14 -3062.63 010226 Short 1 -193.62 25861.92 -1966.81 -3062.63 010227 Short 1 -370.10 25685.44 -2143.29 -3062.63 010228 Short 1 -590.84 25464.70 -2364.03 -3062.63 -1800.00 010301 Short 1 -998.97 25056.58 -2772.15 -3062.63 010302 Short 1 -1153.16 24902.38 -2926.35 -3062.63 010305 Short 1 -982.93 25072.61 -2756.12 -3062.63 010306 Short 1 -1074.76 24980.78 -2847.95 -3062.63 010307 Short 1 -871.05 25184.50 -2644.23 -3062.63 010308 Short 1 -1010.43 25045.11 -2783.62 -3062.63 010309 Short 1 -980.64 25074.90 -2753.83 -3062.63 010312 Short 1 -857.39 25198.15 -2630.58 -3062.63 010313 Short 1 -292.69 25762.86 -2065.87 -3062.63 010314 Short 1 -173.87 25881.67 -1947.06 -3062.63 010315 Exit Short 1 225.00 26280.54 -1548.19 -3062.63 MFE = 225.00 MAE = -1153.16 010328 Enter Short 1 -8.71 26271.83 -1556.90 -3062.63 010329 Short 1 5.95 26286.50 -1542.23 -3062.63 010330 Exit Short 1 225.00 26505.54 -1323.19 -3062.63 MFE = 225.00 MAE = -8.71 450.00 010418 Enter Short 1 -506.29 25999.26 -1829.47 -3062.63 010419 Short 1 -1045.19 25460.35 -2368.38 -3062.63 010420 Short 1 -1302.23 25203.31 -2625.42 -3062.63 010423 Short 1 -1116.11 25389.43 -2439.30 -3062.63 010424 Short 1 -906.30 25599.24 -2229.49 -3062.63 010425 Short 1 -1034.47 25471.07 -2357.66 -3062.63 010426 Short 1 -1111.81 25393.74 -2434.99 -3062.63 010427 Short 1 -648.44 25857.11 -1971.62 -3062.63 010430 Short 1 -456.38 26049.16 -1779.57 -3062.63 0.00 010501 Short 1 -648.44 25857.11 -1971.62 -3062.63 010502 Short 1 -640.04 25865.50 -1963.23 -3062.63 010503 Short 1 -527.12 25978.42 -1850.31 -3062.63 010504 Short 1 -593.95 25911.59 -1917.14 -3062.63 010507 Short 1 -522.95 25982.59 -1846.14 -3062.63 010508 Short 1 -303.37 26202.17 -1626.56 -3062.63 010509 Short 1 -336.35 26169.20 -1659.53 -3062.63 010510 Short 1 -291.02 26214.52 -1614.21 -3062.63 010511 Short 1 -139.41 26366.13 -1462.60 -3062.63 010514 Short 1 -125.14 26380.41 -1448.32 -3062.63 010515 Short 1 -276.63 26228.92 -1599.81 -3062.63 010516 Exit Short 1 -612.50 25893.04 -1935.69 -3062.63 MFE = 0.00 MAE = -1302.23 010516 Enter Long 1 -118.66 25774.39 -2054.34 -3062.63 010517 Long 1 -201.58 25691.46 -2137.27 -3062.63 010518 Long 1 -288.24 25604.80 -2223.93 -3062.63 010521 Long 1 -376.54 25516.50 -2312.23 -3062.63 010522 Exit Long 1 -743.75 25149.29 -2679.44 -3062.63 MFE = 0.00 MAE = -743.75 010522 Enter Short 1 82.82 25232.12 -2596.61 -3062.63 010523 Exit Short 1 225.00 25374.29 -2454.44 -3062.63 MFE = 225.00 MAE = 0.00 010531 Enter Short 1 90.94 25465.23 -2363.50 -3062.63 -1131.25 010601 Short 1 92.88 25467.17 -2361.56 -3062.63 010604 Short 1 23.05 25397.34 -2431.39 -3062.63 010605 Short 1 -298.62 25075.68 -2753.05 -3062.63 010606 Short 1 3.60 25377.90 -2450.83 -3062.63 010607 Short 1 -11.97 25362.33 -2466.40 -3062.63 010608 Short 1 15.28 25389.57 -2439.16 -3062.63 010611 Exit Short 1 225.00 25599.29 -2229.44 -3062.63 MFE = 225.00 MAE = -298.62 010628 Exit Short 1 225.00 25824.29 -2004.44 -3062.63 MFE = 225.00 MAE = 0.00 450.00 010705 Enter Short 1 77.45 25901.74 -1926.99 -3062.63 010706 Short 1 -358.20 25466.09 -2362.64 -3062.63 010709 Short 1 -371.81 25452.48 -2376.25 -3062.63 010710 Short 1 -648.22 25176.07 -2652.66 -3062.63 010711 Short 1 -908.99 24915.30 -2913.43 -3062.63 010712 Short 1 -799.04 25025.25 -2803.48 -3062.63 010713 Short 1 -822.97 25001.32 -2827.41 -3062.63 010716 Short 1 -797.05 25027.25 -2801.48 -3062.63 010717 Exit Short 1 -1118.75 24705.54 -3123.19 -3123.19 MFE = 77.45 MAE = -1118.75 010717 Enter Long 1 41.28 24746.82 -3081.91 -3123.19 010718 Exit Long 1 225.00 24930.54 -2898.19 -3123.19 MFE = 225.00 MAE = 0.00 -893.75 010801 Enter Long 1 45.93 24976.47 -2852.26 -3123.19 010802 Long 1 137.70 25068.25 -2760.48 -3123.19 010803 Exit Long 1 225.00 25155.54 -2673.19 -3123.19 MFE = 225.00 MAE = 0.00 010809 Exit Long 1 225.00 25380.54 -2448.19 -3123.19 MFE = 225.00 MAE = 0.00 010815 Enter Long 1 52.87 25433.42 -2395.31 -3123.19 010816 Long 1 -80.49 25300.05 -2528.68 -3123.19 010817 Long 1 141.55 25522.09 -2306.64 -3123.19 010820 Exit Long 1 225.00 25605.54 -2223.19 -3123.19 MFE = 225.00 MAE = -80.49 675.00 010911 Exit Long 1 225.00 25830.54 -1998.19 -3123.19 MFE = 225.00 MAE = 0.00 225.00 011008 Enter Long 1 -163.50 25667.04 -2161.69 -3123.19 011009 Long 1 -601.14 25229.40 -2599.33 -3123.19 011010 Long 1 -667.23 25163.31 -2665.42 -3123.19 011011 Long 1 -1049.83 24780.72 -3048.01 -3123.19 011012 Long 1 -605.87 25224.68 -2604.05 -3123.19 011015 Long 1 -610.59 25219.95 -2608.78 -3123.19 011016 Long 1 -801.08 25029.46 -2799.27 -3123.19 011017 Long 1 -899.11 24931.44 -2897.29 -3123.19 011018 Long 1 -843.15 24987.39 -2841.34 -3123.19 011019 Long 1 -1001.26 24829.28 -2999.45 -3123.19 011022 Exit Long 1 -1287.50 24543.04 -3285.69 -3285.69 MFE = 0.00 MAE = -1287.50 011022 Enter Short 1 110.22 24653.27 -3175.46 -3285.69 011023 Exit Short 1 225.00 24768.04 -3060.69 -3285.69 MFE = 225.00 MAE = 0.00 -1062.50 011113 Exit Short 1 225.00 24993.04 -2835.69 -3285.69 MFE = 225.00 MAE = 0.00 011128 Enter Long 1 -35.77 24957.27 -2871.46 -3285.69 011129 Long 1 -182.64 24810.40 -3018.33 -3285.69 011130 Long 1 93.68 25086.73 -2742.00 -3285.69 225.00 011204 Long 1 -180.35 24812.69 -3016.04 -3285.69 011205 Long 1 -326.11 24666.93 -3161.80 -3285.69 011206 Long 1 -58.79 24934.25 -2894.48 -3285.69 011207 Long 1 -317.03 24676.01 -3152.72 -3285.69 011210 Long 1 -432.44 24560.61 -3268.12 -3285.69 011211 Long 1 -189.50 24803.54 -3025.19 -3285.69 011212 Long 1 86.72 25079.77 -2748.96 -3285.69 011213 Long 1 -125.41 24867.64 -2961.09 -3285.69 011214 Exit Long 1 225.00 25218.04 -2610.69 -3285.69 MFE = 225.00 MAE = -432.44 011221 Enter Short 1 -20.72 25197.33 -2631.40 -3285.69 011224 Exit Short 1 225.00 25443.04 -2385.69 -3285.69 MFE = 225.00 MAE = -20.72 450.00 020123 Enter Short 1 33.43 25476.48 -2352.25 -3285.69 020124 Short 1 171.62 25614.66 -2214.07 -3285.69 020125 Exit Short 1 225.00 25668.04 -2160.69 -3285.69 MFE = 225.00 MAE = 0.00 020131 Enter Short 1 -7.66 25660.39 -2168.34 -3285.69 225.00 020201 Short 1 -126.16 25541.89 -2286.84 -3285.69 020204 Short 1 -505.84 25162.20 -2666.53 -3285.69 020205 Short 1 -501.51 25166.54 -2662.19 -3285.69 020206 Short 1 -577.51 25090.54 -2738.19 -3285.69 020207 Short 1 -675.69 24992.36 -2836.37 -3285.69 020208 Short 1 -682.25 24985.80 -2842.93 -3285.69 020211 Short 1 -805.20 24862.84 -2965.89 -3285.69 020212 Short 1 -750.21 24917.83 -2910.90 -3285.69 020213 Short 1 -477.69 25190.36 -2638.37 -3285.69 020214 Short 1 -525.36 25142.68 -2686.05 -3285.69 020215 Short 1 -464.70 25203.34 -2625.39 -3285.69 020218 Short 1 -473.36 25194.69 -2634.04 -3285.69 020219 Exit Short 1 -668.75 24999.29 -2829.44 -3285.69 MFE = 0.00 MAE = -805.20 020219 Enter Long 1 91.09 25090.39 -2738.34 -3285.69 020220 Long 1 -183.37 24815.93 -3012.80 -3285.69 020221 Long 1 -226.56 24772.73 -3056.00 -3285.69 020222 Long 1 40.69 25039.98 -2788.75 -3285.69 020225 Long 1 -142.24 24857.05 -2971.68 -3285.69 020226 Long 1 -366.23 24633.06 -3195.67 -3285.69 020227 Long 1 -282.56 24716.74 -3111.99 -3285.69 020228 Long 1 -133.58 24865.72 -2963.01 -3285.69 -668.75 020301 Long 1 -340.53 24658.76 -3169.97 -3285.69 020304 Long 1 -140.08 24859.22 -2969.51 -3285.69 020305 Long 1 -55.36 24943.93 -2884.80 -3285.69 020306 Long 1 183.49 25182.78 -2645.95 -3285.69 020307 Exit Long 1 225.00 25224.29 -2604.44 -3285.69 MFE = 225.00 MAE = -366.23 020314 Exit Long 1 225.00 25449.29 -2379.44 -3285.69 MFE = 225.00 MAE = 0.00 450.00 020401 Enter Long 1 -29.40 25419.89 -2408.84 -3285.69 020402 Long 1 -74.62 25374.67 -2454.06 -3285.69 020403 Long 1 45.45 25494.74 -2333.99 -3285.69 020404 Long 1 -106.21 25343.08 -2485.65 -3285.69 020405 Long 1 -119.73 25329.56 -2499.17 -3285.69 020408 Long 1 -354.80 25094.49 -2734.24 -3285.69 020409 Long 1 -126.49 25322.80 -2505.93 -3285.69 020410 Long 1 -153.50 25295.80 -2532.93 -3285.69 020411 Long 1 22.73 25472.03 -2356.70 -3285.69 020412 Long 1 -119.73 25329.56 -2499.17 -3285.69 020415 Long 1 -157.99 25291.30 -2537.43 -3285.69 020416 Long 1 -106.21 25343.08 -2485.65 -3285.69 020417 Long 1 104.64 25553.93 -2274.80 -3285.69 020418 Exit Long 1 225.00 25674.29 -2154.44 -3285.69 MFE = 225.00 MAE = -354.80 020425 Enter Long 1 -26.65 25647.64 -2181.09 -3285.69 020426 Long 1 115.18 25789.48 -2039.25 -3285.69 020429 Long 1 193.65 25867.94 -1960.79 -3285.69 020430 Exit Long 1 225.00 25899.29 -1929.44 -3285.69 MFE = 225.00 MAE = -26.65 450.00 020501 Exit Long 1 225.00 26124.29 -1704.44 -3285.69 MFE = 225.00 MAE = 0.00 020522 Enter Long 1 -30.55 26093.74 -1734.99 -3285.69 020523 Long 1 -167.25 25957.04 -1871.69 -3285.69 020524 Long 1 -425.40 25698.89 -2129.84 -3285.69 020527 Long 1 -385.52 25738.77 -2089.96 -3285.69 020528 Long 1 -147.06 25977.24 -1851.49 -3285.69 020529 Long 1 35.60 26159.89 -1668.84 -3285.69 020530 Exit Long 1 225.00 26349.29 -1479.44 -3285.69 MFE = 225.00 MAE = -425.40 450.00 020626 Exit Long 1 225.00 26574.29 -1254.44 -3285.69 MFE = 225.00 MAE = 0.00 225.00 020715 Exit Long 1 225.00 26799.29 -1029.44 -3285.69 MFE = 225.00 MAE = 0.00 020719 Enter Long 1 121.42 26920.71 -908.02 -3285.69 020722 Long 1 -98.45 26700.85 -1127.88 -3285.69 020723 Exit Long 1 -706.25 26093.04 -1735.69 -3285.69 MFE = 121.42 MAE = -706.25 -481.25 020801 Enter Long 1 -90.76 26002.28 -1826.45 -3285.69 020802 Long 1 7.54 26100.58 -1728.15 -3285.69 020805 Long 1 -405.70 25687.35 -2141.38 -3285.69 020806 Exit Long 1 -1125.00 24968.04 -2860.69 -3285.69 MFE = 7.54 MAE = -1125.00 020806 Enter Short 1 -3.87 24964.17 -2864.56 -3285.69 020807 Short 1 -325.28 24642.76 -3185.97 -3285.69 020808 Short 1 144.07 25112.12 -2716.61 -3285.69 020809 Short 1 -114.14 24853.90 -2974.83 -3285.69 020812 Short 1 -392.40 24575.64 -3253.09 -3285.69 020813 Short 1 -575.28 24392.76 -3435.97 -3435.97 020814 Short 1 -395.21 24572.84 -3255.89 -3435.97 020815 Short 1 -504.76 24463.29 -3365.44 -3435.97 020816 Short 1 -510.39 24457.65 -3371.08 -3435.97 020819 Short 1 -136.26 24831.78 -2996.95 -3435.97 020820 Short 1 -205.56 24762.48 -3066.25 -3435.97 020821 Short 1 -305.75 24662.30 -3166.43 -3435.97 020822 Exit Short 1 225.00 25193.04 -2635.69 -3435.97 MFE = 225.00 MAE = -575.28 020827 Enter Long 1 168.52 25361.57 -2467.16 -3435.97 020828 Long 1 -68.74 25124.30 -2704.43 -3435.97 020829 Exit Long 1 225.00 25418.04 -2410.69 -3435.97 MFE = 225.00 MAE = -68.74 -675.00 020903 Exit Long 1 225.00 25643.04 -2185.69 -3435.97 MFE = 225.00 MAE = 0.00 020930 Enter Long 1 47.88 25690.93 -2137.80 -3435.97 225.00 021001 Long 1 -327.95 25315.09 -2513.64 -3435.97 021002 Long 1 -32.41 25610.64 -2218.09 -3435.97 021003 Long 1 -32.41 25610.64 -2218.09 -3435.97 021004 Long 1 -361.80 25281.25 -2547.48 -3435.97 021007 Long 1 -316.67 25326.38 -2502.35 -3435.97 021008 Long 1 -602.71 25040.34 -2788.39 -3435.97 021009 Long 1 -55.29 25587.76 -2240.97 -3435.97 021010 Long 1 -228.95 25414.09 -2414.64 -3435.97 021011 Long 1 -146.57 25496.48 -2332.25 -3435.97 021014 Long 1 -123.78 25519.26 -2309.47 -3435.97 021015 Exit Long 1 -450.00 25193.04 -2635.69 -3435.97 MFE = 47.88 MAE = -602.71 021015 Enter Short 1 82.79 25275.84 -2552.89 -3435.97 021016 Short 1 60.40 25253.44 -2575.29 -3435.97 021017 Exit Short 1 225.00 25418.04 -2410.69 -3435.97 MFE = 225.00 MAE = 0.00 021022 Enter Long 1 -13.16 25404.88 -2423.85 -3435.97 021023 Long 1 -68.55 25349.49 -2479.24 -3435.97 021024 Long 1 9.03 25427.08 -2401.65 -3435.97 021025 Long 1 -60.25 25357.79 -2470.94 -3435.97 021028 Exit Long 1 225.00 25643.04 -2185.69 -3435.97 MFE = 225.00 MAE = -68.55 021031 Enter Long 1 138.95 25781.99 -2046.74 -3435.97 0.00 021101 Exit Long 1 225.00 25868.04 -1960.69 -3435.97 MFE = 225.00 MAE = 0.00 225.00 021202 Enter Short 1 -436.87 25431.17 -2397.56 -3435.97 021203 Short 1 -491.31 25376.74 -2451.99 -3435.97 021204 Short 1 -629.44 25238.60 -2590.13 -3435.97 021205 Short 1 -658.33 25209.71 -2619.02 -3435.97 021206 Exit Short 1 -1018.75 24849.29 -2979.44 -3435.97 MFE = 0.00 MAE = -1018.75 021212 Enter Long 1 13.59 24862.88 -2965.85 -3435.97 021213 Exit Long 1 225.00 25074.29 -2754.44 -3435.97 MFE = 225.00 MAE = 0.00 021217 Enter Long 1 141.71 25216.00 -2612.73 -3435.97 021220 Exit Long 1 227.55 25301.84 -2526.89 -3435.97 MFE = 227.55 MAE = 0.00 021224 Enter Long 1 -23.59 25278.25 -2550.48 -3435.97 021226 Long 1 216.90 25518.73 -2310.00 -3435.97 021227 Exit Long 1 225.00 25526.84 -2301.89 -3435.97 MFE = 225.00 MAE = -23.59 -341.20 030108 Enter Long 1 32.54 25559.38 -2269.35 -3435.97 030109 Long 1 -100.17 25426.67 -2402.06 -3435.97 030110 Exit Long 1 225.00 25751.84 -2076.89 -3435.97 MFE = 225.00 MAE = -100.17 030116 Enter Long 1 101.60 25853.44 -1975.29 -3435.97 030117 Exit Long 1 225.00 25976.84 -1851.89 -3435.97 MFE = 225.00 MAE = 0.00 030124 Enter Long 1 101.76 26078.60 -1750.13 -3435.97 030127 Exit Long 1 225.00 26201.84 -1626.89 -3435.97 MFE = 225.00 MAE = 0.00 675.00 030204 Enter Long 1 -34.22 26167.62 -1661.11 -3435.97 030205 Long 1 -512.36 25689.48 -2139.25 -3435.97 030206 Long 1 -312.06 25889.78 -1938.95 -3435.97 030207 Long 1 -352.94 25848.89 -1979.84 -3435.97 030210 Long 1 -704.22 25497.62 -2331.11 -3435.97 030211 Long 1 -751.10 25450.74 -2377.99 -3435.97 030212 Long 1 -874.53 25327.31 -2501.42 -3435.97 030213 Long 1 -390.35 25811.49 -2017.24 -3435.97 030214 Long 1 -606.80 25595.03 -2233.70 -3435.97 030217 Long 1 -881.19 25320.65 -2508.08 -3435.97 030218 Long 1 -1069.99 25131.85 -2696.88 -3435.97 030219 Long 1 -777.84 25423.99 -2404.74 -3435.97 030220 Long 1 -434.48 25767.35 -2061.38 -3435.97 030221 Long 1 -660.60 25541.24 -2287.49 -3435.97 030224 Long 1 -400.55 25801.29 -2027.44 -3435.97 030225 Long 1 -444.66 25757.18 -2071.55 -3435.97 030226 Long 1 -363.15 25838.69 -1990.04 -3435.97 030227 Long 1 -546.13 25655.70 -2173.03 -3435.97 030228 Long 1 -257.45 25944.39 -1884.34 -3435.97 0.00 030303 Exit Long 1 225.00 26426.84 -1401.89 -3435.97 MFE = 225.00 MAE = -1069.99 225.00 030402 Enter Short 1 162.48 26589.32 -1239.41 -3435.97 030403 Exit Short 1 225.00 26651.84 -1176.89 -3435.97 MFE = 225.00 MAE = 0.00 030407 Enter Short 1 -256.50 26395.34 -1433.39 -3435.97 030408 Short 1 -379.54 26272.30 -1556.43 -3435.97 030409 Short 1 -607.98 26043.85 -1784.88 -3435.97 030410 Short 1 -360.07 26291.77 -1536.96 -3435.97 030411 Short 1 -192.00 26459.84 -1368.89 -3435.97 030414 Short 1 -292.04 26359.80 -1468.93 -3435.97 030415 Short 1 -214.55 26437.29 -1391.44 -3435.97 030416 Exit Short 1 -662.50 25989.34 -1839.39 -3435.97 MFE = 0.00 MAE = -662.50 030416 Exit Long 1 225.00 26214.34 -1614.39 -3435.97 MFE = 225.00 MAE = 0.00 030422 Enter Long 1 -81.99 2