SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 SWISS FRANC SPOT 5340 Trading days from 880104 to 080728 Tue Jul 29 09:32:08 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): N days high and low Compute volatility using: 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 1 500.00 500.00 0.00 0.00 MFE = 500.00 MAE = 0.00 500.00 880201 Enter Short 1 52.16 552.16 0.00 0.00 880202 Short 1 -241.44 258.56 -293.60 -293.60 880203 Short 1 81.64 581.64 0.00 -293.60 880204 Short 1 -115.62 384.38 -197.26 -293.60 880205 Exit Short 1 500.00 1000.00 0.00 -293.60 MFE = 500.00 MAE = -241.44 880212 Enter Short 1 110.49 1110.49 0.00 -293.60 880215 Short 1 -28.85 971.15 -139.34 -293.60 880216 Short 1 -12.97 987.03 -123.47 -293.60 880217 Short 1 -105.23 894.77 -215.72 -293.60 880218 Short 1 148.35 1148.35 0.00 -293.60 880219 Short 1 -149.90 850.10 -298.25 -298.25 880222 Short 1 -410.15 589.85 -558.50 -558.50 880223 Short 1 -368.18 631.82 -516.53 -558.50 880224 Short 1 -313.41 686.59 -461.76 -558.50 880225 Short 1 -419.84 580.16 -568.19 -568.19 880226 Short 1 -465.15 534.85 -613.50 -613.50 880229 Short 1 -419.84 580.16 -568.19 -613.50 500.00 880301 Short 1 -368.18 631.82 -516.53 -613.50 880302 Short 1 -51.10 948.90 -199.45 -613.50 880303 Short 1 28.26 1028.26 -120.09 -613.50 880304 Short 1 -162.69 837.31 -311.04 -613.50 880307 Exit Short 1 -668.75 331.25 -668.75 -668.75 MFE = 148.35 MAE = -668.75 880307 Enter Long 1 42.77 374.02 -774.33 -774.33 880308 Long 1 239.91 571.16 -577.19 -774.33 880309 Long 1 111.57 442.82 -705.53 -774.33 880310 Long 1 210.23 541.48 -606.87 -774.33 880311 Exit Long 1 500.00 831.25 -317.10 -774.33 MFE = 500.00 MAE = 0.00 880317 Enter Short 1 89.90 921.15 -227.20 -774.33 880318 Short 1 89.90 921.15 -227.20 -774.33 880321 Short 1 -82.32 748.93 -399.42 -774.33 880322 Short 1 -82.32 748.93 -399.42 -774.33 880323 Short 1 -98.34 732.91 -415.44 -774.33 880324 Exit Short 1 -387.50 443.75 -704.60 -774.33 MFE = 89.90 MAE = -387.50 880324 Enter Long 1 110.60 554.35 -594.00 -774.33 880325 Long 1 188.92 632.67 -515.68 -774.33 880328 Exit Long 1 500.00 943.75 -204.60 -774.33 MFE = 500.00 MAE = 0.00 -56.25 880406 Enter Short 1 -94.32 849.43 -298.92 -774.33 880407 Short 1 -133.28 810.47 -337.88 -774.33 880408 Short 1 -217.92 725.83 -422.52 -774.33 880411 Short 1 31.82 975.57 -172.78 -774.33 880412 Short 1 237.31 1181.06 0.00 -774.33 880413 Short 1 399.72 1343.47 0.00 -774.33 880414 Exit Short 1 -631.25 312.50 -835.85 -835.85 MFE = 399.72 MAE = -631.25 880414 Enter Long 1 16.44 328.94 -1014.53 -1014.53 880415 Long 1 3.16 315.66 -1027.82 -1027.82 880418 Long 1 3.16 315.66 -1027.82 -1027.82 880419 Long 1 -82.95 229.55 -1113.93 -1113.93 880420 Long 1 -165.45 147.05 -1196.42 -1196.42 880421 Long 1 -191.78 120.72 -1222.76 -1222.76 880422 Exit Long 1 -368.75 -56.25 -1399.72 -1399.72 MFE = 16.44 MAE = -368.75 880422 Enter Short 1 60.88 4.63 -1338.84 -1399.72 880425 Short 1 90.19 33.94 -1309.53 -1399.72 880426 Short 1 129.22 72.97 -1270.51 -1399.72 880427 Short 1 99.96 43.71 -1299.77 -1399.72 880428 Short 1 31.53 -24.72 -1368.19 -1399.72 880429 Short 1 416.56 360.31 -983.16 -1399.72 -1000.00 880502 Exit Short 1 500.00 443.75 -899.72 -1399.72 MFE = 500.00 MAE = 0.00 880517 Exit Short 1 500.00 943.75 -399.72 -1399.72 MFE = 500.00 MAE = 0.00 880527 Enter Short 1 87.41 1031.16 -312.31 -1399.72 880530 Short 1 259.94 1203.69 -139.78 -1399.72 880531 Short 1 413.16 1356.91 0.00 -1399.72 1000.00 880601 Short 1 350.20 1293.95 -62.96 -1399.72 880602 Short 1 87.41 1031.16 -325.75 -1399.72 880603 Short 1 259.94 1203.69 -153.22 -1399.72 880606 Short 1 -141.71 802.04 -554.87 -1399.72 880607 Short 1 -209.37 734.38 -622.54 -1399.72 880608 Short 1 196.54 1140.29 -216.63 -1399.72 880609 Short 1 -49.77 893.98 -462.94 -1399.72 880610 Short 1 196.54 1140.29 -216.63 -1399.72 880613 Short 1 259.94 1203.69 -153.22 -1399.72 880614 Exit Short 1 500.00 1443.75 0.00 -1399.72 MFE = 500.00 MAE = -209.37 880624 Enter Short 1 111.68 1555.43 0.00 -1399.72 880627 Short 1 255.13 1698.88 0.00 -1399.72 880628 Short 1 334.70 1778.45 0.00 -1399.72 880629 Exit Short 1 500.00 1943.75 0.00 -1399.72 MFE = 500.00 MAE = 0.00 1000.00 880715 Enter Short 1 268.07 2211.82 0.00 -1399.72 880718 Exit Short 1 500.00 2443.75 0.00 -1399.72 MFE = 500.00 MAE = 0.00 500.00 880805 Enter Short 1 -15.69 2428.06 0.00 -1399.72 880808 Short 1 131.21 2574.96 0.00 -1399.72 880809 Exit Short 1 500.00 2943.75 0.00 -1399.72 MFE = 500.00 MAE = -15.69 880816 Enter Long 1 -880.11 2063.64 -511.32 -1399.72 880817 Long 1 -1297.76 1645.99 -928.97 -1399.72 880818 Long 1 -1080.21 1863.54 -711.42 -1399.72 880819 Long 1 -1099.87 1843.88 -731.08 -1399.72 880822 Long 1 -1244.21 1699.54 -875.42 -1399.72 880823 Long 1 -1452.71 1491.04 -1083.92 -1399.72 880824 Long 1 -867.68 2076.07 -498.89 -1399.72 880825 Long 1 -514.20 2429.55 -145.41 -1399.72 880826 Long 1 -392.41 2551.34 -23.62 -1399.72 880829 Long 1 -670.41 2273.34 -301.62 -1399.72 880830 Long 1 -630.22 2313.53 -261.43 -1399.72 880831 Long 1 -832.87 2110.88 -464.08 -1399.72 500.00 880901 Long 1 -670.41 2273.34 -301.62 -1399.72 880902 Long 1 -74.32 2869.43 0.00 -1399.72 880905 Long 1 -177.48 2766.27 -103.16 -1399.72 880906 Long 1 -17.35 2926.40 0.00 -1399.72 880907 Long 1 -45.85 2897.90 -28.50 -1399.72 880908 Long 1 -218.60 2725.15 -201.25 -1399.72 880909 Long 1 -254.51 2689.24 -237.16 -1399.72 880912 Long 1 -66.56 2877.19 -49.21 -1399.72 880913 Long 1 -226.30 2717.45 -208.95 -1399.72 880914 Exit Long 1 -537.50 2406.25 -537.50 -1399.72 MFE = 0.00 MAE = -1452.71 880914 Enter Short 1 225.56 2631.81 -294.59 -1399.72 880915 Short 1 240.56 2646.81 -279.59 -1399.72 880916 Short 1 180.49 2586.74 -339.66 -1399.72 880919 Short 1 142.85 2549.10 -377.30 -1399.72 880920 Exit Short 1 -31.25 2375.00 -568.75 -1399.72 MFE = 240.56 MAE = -31.25 880920 Enter Long 1 -108.87 2266.13 -660.27 -1399.72 880921 Long 1 -256.80 2118.20 -808.20 -1399.72 880922 Exit Long 1 -468.75 1906.25 -1037.50 -1399.72 MFE = 0.00 MAE = -468.75 880922 Enter Short 1 -127.09 1779.16 -1147.23 -1399.72 880923 Short 1 -186.95 1719.30 -1207.10 -1399.72 880926 Short 1 19.30 1925.55 -1000.85 -1399.72 880927 Short 1 -10.39 1895.86 -1030.54 -1399.72 880928 Short 1 26.71 1932.96 -993.44 -1399.72 880929 Short 1 103.16 2009.41 -916.99 -1399.72 880930 Exit Short 1 -187.50 1718.75 -1225.00 -1399.72 MFE = 103.16 MAE = -187.50 880930 Enter Long 1 24.45 1743.20 -1183.20 -1399.72 -1225.00 881003 Long 1 46.94 1765.69 -1160.71 -1399.72 881004 Long 1 16.95 1735.70 -1190.69 -1399.72 881005 Long 1 -12.98 1705.77 -1220.63 -1399.72 881006 Long 1 -27.94 1690.81 -1235.58 -1399.72 881007 Long 1 46.94 1765.69 -1160.71 -1399.72 881010 Long 1 263.18 1981.93 -944.46 -1399.72 881011 Long 1 303.67 2022.42 -903.97 -1399.72 881012 Exit Long 1 500.00 2218.75 -707.65 -1399.72 MFE = 500.00 MAE = -27.94 881013 Enter Long 1 -113.49 2105.26 -821.14 -1399.72 881014 Long 1 106.07 2324.82 -601.58 -1399.72 881017 Long 1 -9.36 2209.39 -717.01 -1399.72 881018 Long 1 -81.51 2137.24 -789.16 -1399.72 881019 Long 1 -97.50 2121.25 -805.15 -1399.72 881020 Long 1 241.12 2459.87 -466.53 -1399.72 881021 Exit Long 1 500.00 2718.75 -207.65 -1399.72 MFE = 500.00 MAE = -113.49 881027 Enter Long 1 -123.09 2595.66 -330.73 -1399.72 881028 Long 1 -19.33 2699.42 -226.97 -1399.72 881031 Long 1 -431.33 2287.42 -638.97 -1399.72 1000.00 881101 Long 1 -114.69 2604.06 -322.34 -1399.72 881102 Long 1 65.19 2783.94 -142.46 -1399.72 881103 Long 1 -36.19 2682.56 -243.83 -1399.72 881104 Long 1 -243.03 2475.72 -450.68 -1399.72 881107 Long 1 56.72 2775.47 -150.93 -1399.72 881108 Long 1 -304.14 2414.61 -511.79 -1399.72 881109 Long 1 258.02 2976.77 0.00 -1399.72 881110 Exit Long 1 500.00 3218.75 0.00 -1399.72 MFE = 500.00 MAE = -431.33 881116 Enter Long 1 147.20 3365.95 0.00 -1399.72 881117 Long 1 -17.81 3200.94 -165.01 -1399.72 881118 Long 1 -399.94 2818.81 -547.14 -1399.72 881121 Long 1 -246.71 2972.04 -393.92 -1399.72 881122 Long 1 18.09 3236.84 -129.11 -1399.72 881123 Long 1 222.62 3441.37 0.00 -1399.72 881124 Long 1 313.47 3532.22 0.00 -1399.72 881125 Long 1 277.08 3495.83 -36.39 -1399.72 881128 Long 1 -246.71 2972.04 -560.19 -1399.72 881129 Long 1 -92.39 3126.36 -405.87 -1399.72 881130 Long 1 -83.46 3135.29 -396.93 -1399.72 500.00 881201 Long 1 -154.85 3063.90 -468.32 -1399.72 881202 Long 1 156.24 3374.99 -157.23 -1399.72 881205 Long 1 27.07 3245.82 -286.40 -1399.72 881206 Long 1 -329.36 2889.39 -642.83 -1399.72 881207 Exit Long 1 -800.00 2418.75 -800.00 -1399.72 MFE = 313.47 MAE = -800.00 881207 Enter Short 1 232.77 2651.52 -880.70 -1399.72 881208 Short 1 -211.27 2207.48 -1324.74 -1399.72 881209 Short 1 -246.26 2172.49 -1359.73 -1399.72 881212 Short 1 -202.53 2216.22 -1316.00 -1399.72 881213 Short 1 -16.94 2401.81 -1130.41 -1399.72 881214 Short 1 -202.53 2216.22 -1316.00 -1399.72 881215 Short 1 118.32 2537.07 -995.15 -1399.72 881216 Short 1 249.88 2668.63 -863.59 -1399.72 881219 Exit Short 1 500.00 2918.75 -613.47 -1399.72 MFE = 500.00 MAE = -246.26 881228 Enter Short 1 222.22 3140.97 -391.25 -1399.72 881229 Short 1 194.87 3113.62 -418.60 -1399.72 881230 Short 1 -125.00 2793.75 -738.47 -1399.72 -300.00 890102 Short 1 -161.16 2757.59 -774.63 -1399.72 890103 Short 1 -264.41 2654.34 -877.88 -1399.72 890104 Short 1 396.38 3315.13 -217.09 -1399.72 890105 Exit Short 1 500.00 3418.75 -113.47 -1399.72 MFE = 500.00 MAE = -264.41 890118 Enter Short 1 -183.04 3235.71 -296.52 -1399.72 890119 Short 1 -512.31 2906.44 -625.78 -1399.72 890120 Short 1 -965.16 2453.59 -1078.63 -1399.72 890123 Short 1 -1278.95 2139.80 -1392.42 -1399.72 890124 Short 1 -916.33 2502.42 -1029.81 -1399.72 890125 Short 1 -859.94 2558.81 -973.41 -1399.72 890126 Short 1 -701.87 2716.88 -815.34 -1399.72 890127 Short 1 -294.68 3124.07 -408.15 -1399.72 890130 Short 1 -434.49 2984.26 -547.96 -1399.72 890131 Short 1 -0.83 3417.92 -114.30 -1399.72 500.00 890201 Short 1 -37.63 3381.12 -151.10 -1399.72 890202 Short 1 -99.11 3319.64 -212.58 -1399.72 890203 Short 1 -91.73 3327.02 -205.20 -1399.72 890206 Short 1 -200.37 3218.38 -313.84 -1399.72 890207 Short 1 -178.10 3240.65 -291.57 -1399.72 890208 Short 1 -185.51 3233.24 -298.99 -1399.72 890209 Exit Short 1 -593.75 2825.00 -707.22 -1399.72 MFE = 0.00 MAE = -1278.95 890209 Enter Long 1 155.99 2980.99 -551.23 -1399.72 890210 Long 1 -383.24 2441.76 -1090.46 -1399.72 890213 Long 1 -251.67 2573.33 -958.89 -1399.72 890214 Long 1 298.87 3123.87 -408.35 -1399.72 890215 Exit Long 1 500.00 3325.00 -207.22 -1399.72 MFE = 500.00 MAE = -383.24 890221 Enter Short 1 -266.85 3058.15 -474.07 -1399.72 890222 Short 1 -346.02 2978.98 -553.24 -1399.72 890223 Exit Short 1 -850.00 2475.00 -1057.22 -1399.72 MFE = 0.00 MAE = -850.00 890223 Enter Long 1 -190.35 2284.65 -1247.57 -1399.72 890224 Long 1 -179.96 2295.04 -1237.18 -1399.72 890227 Long 1 -286.16 2188.84 -1343.38 -1399.72 890228 Long 1 -262.90 2212.10 -1320.12 -1399.72 -943.75 890301 Exit Long 1 -625.00 1850.00 -1682.22 -1682.22 MFE = 0.00 MAE = -625.00 890301 Enter Short 1 14.14 1864.14 -1668.08 -1682.22 890302 Short 1 289.24 2139.24 -1392.98 -1682.22 890303 Short 1 188.73 2038.73 -1493.49 -1682.22 890306 Short 1 399.22 2249.22 -1283.00 -1682.22 890307 Short 1 351.81 2201.81 -1330.42 -1682.22 890308 Exit Short 1 500.00 2350.00 -1182.22 -1682.22 MFE = 500.00 MAE = 0.00 890315 Enter Short 1 69.75 2419.75 -1112.47 -1682.22 890316 Short 1 69.75 2419.75 -1112.47 -1682.22 890317 Short 1 271.86 2621.86 -910.36 -1682.22 890320 Short 1 101.17 2451.17 -1081.05 -1682.22 890321 Exit Short 1 500.00 2850.00 -682.22 -1682.22 MFE = 500.00 MAE = 0.00 890327 Enter Short 1 109.71 2959.71 -572.51 -1682.22 890328 Short 1 374.99 3224.99 -307.23 -1682.22 890329 Short 1 333.71 3183.71 -348.51 -1682.22 890330 Exit Short 1 500.00 3350.00 -182.22 -1682.22 MFE = 500.00 MAE = 0.00 875.00 890410 Enter Short 1 8.52 3358.52 -173.71 -1682.22 890411 Short 1 78.76 3428.76 -103.47 -1682.22 890412 Short 1 114.91 3464.91 -67.32 -1682.22 890413 Exit Short 1 -518.75 2831.25 -700.97 -1682.22 MFE = 114.91 MAE = -518.75 890413 Enter Long 1 -117.00 2714.25 -817.97 -1682.22 890414 Long 1 -160.97 2670.28 -861.94 -1682.22 890417 Long 1 -65.96 2765.29 -766.93 -1682.22 890418 Long 1 262.05 3093.30 -438.93 -1682.22 890419 Long 1 50.53 2881.78 -650.44 -1682.22 890420 Long 1 188.93 3020.18 -512.04 -1682.22 890421 Long 1 181.87 3013.12 -519.10 -1682.22 890424 Long 1 -86.86 2744.39 -787.83 -1682.22 890425 Long 1 -174.83 2656.42 -875.80 -1682.22 890426 Exit Long 1 -506.25 2325.00 -1207.22 -1682.22 MFE = 262.05 MAE = -506.25 890426 Enter Short 1 -42.65 2282.35 -1249.88 -1682.22 890427 Short 1 21.02 2346.02 -1186.21 -1682.22 890428 Short 1 394.11 2719.11 -813.12 -1682.22 -1025.00 890501 Exit Short 1 500.00 2825.00 -707.22 -1682.22 MFE = 500.00 MAE = -42.65 890505 Enter Short 1 -101.17 2723.83 -808.40 -1682.22 890508 Short 1 61.46 2886.46 -645.77 -1682.22 890509 Short 1 -81.58 2743.42 -788.80 -1682.22 890510 Short 1 -177.56 2647.44 -884.78 -1682.22 890511 Short 1 147.60 2972.60 -559.62 -1682.22 890512 Short 1 388.81 3213.81 -318.41 -1682.22 890515 Exit Short 1 500.00 3325.00 -207.22 -1682.22 MFE = 500.00 MAE = -177.56 890522 Enter Short 1 182.13 3507.13 -25.09 -1682.22 890523 Short 1 96.64 3421.64 -110.58 -1682.22 890524 Short 1 -8.86 3316.14 -216.08 -1682.22 890525 Exit Short 1 -737.50 2587.50 -944.72 -1682.22 MFE = 182.13 MAE = -737.50 262.50 890609 Enter Short 1 126.10 2713.60 -818.62 -1682.22 890612 Exit Short 1 500.00 3087.50 -444.72 -1682.22 MFE = 500.00 MAE = 0.00 890615 Enter Long 1 146.21 3233.71 -298.52 -1682.22 890616 Long 1 220.92 3308.42 -223.80 -1682.22 890619 Long 1 285.21 3372.71 -159.51 -1682.22 890620 Long 1 -36.09 3051.41 -480.82 -1682.22 890621 Exit Long 1 500.00 3587.50 0.00 -1682.22 MFE = 500.00 MAE = -36.09 1000.00 890705 Enter Long 1 307.82 3895.32 0.00 -1682.22 890706 Long 1 223.67 3811.17 -84.15 -1682.22 890707 Long 1 307.82 3895.32 0.00 -1682.22 890710 Exit Long 1 500.00 4087.50 0.00 -1682.22 MFE = 500.00 MAE = 0.00 890725 Enter Long 1 -11.71 4075.79 0.00 -1682.22 890726 Long 1 358.84 4446.34 0.00 -1682.22 890727 Long 1 148.63 4236.13 -210.20 -1682.22 890728 Long 1 45.57 4133.07 -313.26 -1682.22 890731 Long 1 259.49 4346.99 -99.35 -1682.22 500.00 890801 Exit Long 1 500.00 4587.50 0.00 -1682.22 MFE = 500.00 MAE = -11.71 890804 Enter Short 1 197.04 4784.54 0.00 -1682.22 890807 Short 1 340.38 4927.88 0.00 -1682.22 890808 Short 1 -107.05 4480.45 -447.43 -1682.22 890809 Short 1 19.85 4607.35 -320.53 -1682.22 890810 Short 1 171.49 4758.99 -168.89 -1682.22 890811 Exit Short 1 500.00 5087.50 0.00 -1682.22 MFE = 500.00 MAE = -107.05 890817 Enter Short 1 -46.37 5041.13 -46.37 -1682.22 890818 Short 1 -177.75 4909.75 -177.75 -1682.22 890821 Short 1 -195.33 4892.17 -195.33 -1682.22 890822 Short 1 -525.98 4561.52 -525.98 -1682.22 890823 Short 1 -248.20 4839.30 -248.20 -1682.22 890824 Short 1 -177.75 4909.75 -177.75 -1682.22 890825 Short 1 -98.81 4988.69 -98.81 -1682.22 890828 Short 1 -46.37 5041.13 -46.37 -1682.22 890829 Exit Short 1 -468.75 4618.75 -468.75 -1682.22 MFE = 0.00 MAE = -525.98 531.25 890925 Exit Long 1 500.00 5118.75 0.00 -1682.22 MFE = 500.00 MAE = 0.00 500.00 891016 Enter Long 1 -507.23 4611.52 -507.23 -1682.22 891017 Long 1 -486.20 4632.55 -486.20 -1682.22 891018 Long 1 -217.80 4900.95 -217.80 -1682.22 891019 Long 1 -41.54 5077.21 -41.54 -1682.22 891020 Long 1 -305.32 4813.43 -305.32 -1682.22 891023 Long 1 -91.72 5027.03 -91.72 -1682.22 891024 Long 1 148.41 5267.16 0.00 -1682.22 891025 Long 1 175.00 5293.75 0.00 -1682.22 891026 Long 1 35.18 5153.93 -139.83 -1682.22 891027 Exit Long 1 -350.00 4768.75 -350.00 -1682.22 MFE = 175.00 MAE = -507.23 891027 Enter Short 1 -699.43 4069.32 -1224.43 -1682.22 891030 Short 1 -509.69 4259.06 -1034.69 -1682.22 891031 Short 1 -324.17 4444.58 -849.18 -1682.22 -350.00 891101 Short 1 -97.72 4671.03 -622.73 -1682.22 891102 Short 1 -281.07 4487.68 -806.07 -1682.22 891103 Short 1 -180.84 4587.91 -705.85 -1682.22 891106 Short 1 -121.43 4647.32 -646.44 -1682.22 891107 Short 1 -300.21 4468.54 -825.22 -1682.22 891108 Short 1 -269.11 4499.64 -794.11 -1682.22 891109 Short 1 -85.88 4682.87 -610.88 -1682.22 891110 Short 1 358.90 5127.65 -166.10 -1682.22 891113 Short 1 277.74 5046.49 -247.26 -1682.22 891114 Short 1 -228.50 4540.25 -753.51 -1682.22 891115 Short 1 -38.57 4730.18 -563.57 -1682.22 891116 Short 1 55.70 4824.45 -469.30 -1682.22 891117 Short 1 65.10 4833.85 -459.90 -1682.22 891120 Short 1 20.40 4789.15 -504.60 -1682.22 891121 Exit Short 1 -387.50 4381.25 -737.50 -1682.22 MFE = 358.90 MAE = -699.43 891121 Enter Long 1 -26.33 4354.92 -938.83 -1682.22 891122 Long 1 69.88 4451.13 -842.63 -1682.22 891123 Long 1 -50.31 4330.94 -962.81 -1682.22 891124 Long 1 89.18 4470.43 -823.33 -1682.22 891127 Long 1 251.56 4632.81 -660.94 -1682.22 891128 Exit Long 1 500.00 4881.25 -412.50 -1682.22 MFE = 500.00 MAE = -50.31 112.50 891212 Enter Long 1 164.38 5045.63 -248.13 -1682.22 891213 Exit Long 1 500.00 5381.25 0.00 -1682.22 MFE = 500.00 MAE = 0.00 891227 Enter Long 1 246.00 5627.25 0.00 -1682.22 891228 Long 1 -51.71 5329.54 -297.71 -1682.22 891229 Long 1 -78.08 5303.17 -324.08 -1682.22 500.00 900102 Exit Long 1 -750.00 4631.25 -750.00 -1682.22 MFE = 246.00 MAE = -750.00 900102 Enter Short 1 400.56 5031.81 -595.44 -1682.22 900103 Exit Short 1 500.00 5131.25 -496.00 -1682.22 MFE = 500.00 MAE = 0.00 900112 Enter Long 1 -296.46 4834.79 -792.45 -1682.22 900115 Long 1 -772.79 4358.46 -1268.79 -1682.22 900116 Long 1 -600.59 4530.66 -1096.59 -1682.22 900117 Long 1 -531.86 4599.39 -1027.86 -1682.22 900118 Long 1 -994.79 4136.46 -1490.79 -1682.22 900119 Long 1 -954.36 4176.89 -1450.36 -1682.22 900122 Long 1 -1302.14 3829.11 -1798.13 -1798.13 900123 Long 1 -531.86 4599.39 -1027.86 -1798.13 900124 Long 1 -204.34 4926.91 -700.33 -1798.13 900125 Long 1 82.96 5214.21 -413.03 -1798.13 900126 Long 1 -86.51 5044.74 -582.51 -1798.13 900129 Long 1 168.22 5299.47 -327.78 -1798.13 900130 Exit Long 1 -575.00 4556.25 -1071.00 -1798.13 MFE = 168.22 MAE = -1302.14 900130 Enter Short 1 -253.54 4302.71 -1324.54 -1798.13 900131 Short 1 -123.05 4433.20 -1194.05 -1798.13 -825.00 900201 Short 1 -393.27 4162.98 -1464.27 -1798.13 900202 Short 1 -449.42 4106.83 -1520.42 -1798.13 900205 Exit Short 1 -887.50 3668.75 -1958.50 -1958.50 MFE = 0.00 MAE = -887.50 900205 Enter Long 1 113.57 3782.32 -1844.93 -1958.50 900206 Long 1 41.63 3710.38 -1916.86 -1958.50 900207 Long 1 -328.56 3340.19 -2287.06 -2287.06 900208 Long 1 -342.67 3326.08 -2301.17 -2301.17 900209 Long 1 -413.08 3255.67 -2371.57 -2371.57 900212 Long 1 -645.13 3023.62 -2603.63 -2603.63 900213 Long 1 -553.18 3115.57 -2511.67 -2603.63 900214 Long 1 -567.14 3101.61 -2525.63 -2603.63 900215 Long 1 -885.63 2783.12 -2844.12 -2844.12 900216 Long 1 -384.94 3283.81 -2343.44 -2844.12 900219 Long 1 -272.03 3396.72 -2230.53 -2844.12 900220 Long 1 -44.38 3624.37 -2002.87 -2844.12 900221 Long 1 -87.25 3581.50 -2045.75 -2844.12 900222 Long 1 64.62 3733.37 -1893.87 -2844.12 900223 Long 1 61.75 3730.50 -1896.75 -2844.12 900226 Exit Long 1 -368.75 3300.00 -2327.25 -2844.12 MFE = 113.57 MAE = -885.63 900226 Enter Short 1 -114.21 3185.79 -2441.46 -2844.12 900227 Short 1 -80.21 3219.79 -2407.46 -2844.12 900228 Short 1 320.83 3620.83 -2006.41 -2844.12 -1256.25 900301 Exit Short 1 500.00 3800.00 -1827.25 -2844.12 MFE = 500.00 MAE = -114.21 900312 Enter Short 1 168.29 3968.29 -1658.95 -2844.12 900313 Short 1 31.20 3831.20 -1796.04 -2844.12 900314 Short 1 17.72 3817.72 -1809.53 -2844.12 900315 Short 1 -85.09 3714.91 -1912.34 -2844.12 900316 Exit Short 1 -400.00 3400.00 -2227.25 -2844.12 MFE = 168.29 MAE = -400.00 900316 Enter Long 1 -49.83 3350.17 -2277.08 -2844.12 900319 Long 1 -27.87 3372.13 -2255.11 -2844.12 900320 Long 1 -398.11 3001.89 -2625.36 -2844.12 900321 Long 1 -460.07 2939.93 -2687.32 -2844.12 900322 Long 1 -151.11 3248.89 -2378.36 -2844.12 900323 Long 1 -276.34 3123.66 -2503.59 -2844.12 900326 Long 1 -352.19 3047.81 -2579.44 -2844.12 900327 Long 1 -303.46 3096.54 -2530.71 -2844.12 900328 Long 1 -257.33 3142.67 -2484.58 -2844.12 900329 Long 1 385.51 3785.51 -1841.74 -2844.12 900330 Long 1 254.22 3654.22 -1973.02 -2844.12 100.00 900402 Long 1 137.60 3537.60 -2089.64 -2844.12 900403 Long 1 129.30 3529.30 -2097.95 -2844.12 900404 Long 1 65.74 3465.74 -2161.51 -2844.12 900405 Long 1 204.17 3604.17 -2023.08 -2844.12 900406 Long 1 204.17 3604.17 -2023.08 -2844.12 900409 Long 1 323.95 3723.95 -1903.29 -2844.12 900410 Exit Long 1 500.00 3900.00 -1727.25 -2844.12 MFE = 500.00 MAE = -460.07 900418 Enter Long 1 -124.75 3775.25 -1852.00 -2844.12 900419 Long 1 -281.21 3618.79 -2008.46 -2844.12 900420 Long 1 -422.44 3477.56 -2149.69 -2844.12 900423 Long 1 -548.75 3351.25 -2275.99 -2844.12 900424 Long 1 -332.16 3567.84 -2059.41 -2844.12 900425 Exit Long 1 500.00 4400.00 -1227.25 -2844.12 MFE = 500.00 MAE = -548.75 1000.00 900504 Enter Long 1 131.05 4531.05 -1096.20 -2844.12 900507 Exit Long 1 500.00 4900.00 -727.25 -2844.12 MFE = 500.00 MAE = 0.00 900509 Exit Long 1 500.00 5400.00 -227.25 -2844.12 MFE = 500.00 MAE = 0.00 1000.00 900625 Enter Long 1 -242.51 5157.49 -469.75 -2844.12 900626 Long 1 58.17 5458.17 -169.08 -2844.12 900627 Long 1 -236.22 5163.78 -463.47 -2844.12 900628 Long 1 -523.65 4876.35 -750.89 -2844.12 900629 Long 1 -383.53 5016.47 -610.77 -2844.12 0.00 900702 Long 1 250.18 5650.18 0.00 -2844.12 900703 Long 1 314.55 5714.55 0.00 -2844.12 900704 Long 1 395.28 5795.28 0.00 -2844.12 900705 Long 1 121.99 5521.99 -273.29 -2844.12 900706 Long 1 137.97 5537.97 -257.31 -2844.12 900709 Long 1 202.02 5602.02 -193.26 -2844.12 900710 Exit Long 1 500.00 5900.00 0.00 -2844.12 MFE = 500.00 MAE = -523.65 900723 Enter Long 1 269.56 6169.56 0.00 -2844.12 900724 Exit Long 1 500.00 6400.00 0.00 -2844.12 MFE = 500.00 MAE = 0.00 900727 Enter Long 1 115.87 6515.87 0.00 -2844.12 900730 Long 1 149.63 6549.63 0.00 -2844.12 900731 Exit Long 1 500.00 6900.00 0.00 -2844.12 MFE = 500.00 MAE = 0.00 1500.00 900802 Enter Short 1 -921.56 5978.44 -571.19 -2844.12 900803 Short 1 -1162.15 5737.85 -811.78 -2844.12 900806 Exit Short 1 -1918.75 4981.25 -1918.75 -2844.12 MFE = 0.00 MAE = -1918.75 900806 Enter Long 1 -207.52 4773.73 -1775.90 -2844.12 900807 Long 1 -471.03 4510.22 -2039.41 -2844.12 900808 Long 1 -488.49 4492.76 -2056.87 -2844.12 900809 Long 1 -645.07 4336.18 -2213.45 -2844.12 900810 Long 1 -488.49 4492.76 -2056.87 -2844.12 900813 Long 1 299.62 5280.87 -1268.76 -2844.12 900814 Exit Long 1 500.00 5481.25 -1418.75 -2844.12 MFE = 500.00 MAE = -645.07 900823 Enter Long 1 -210.05 5271.20 -1278.43 -2844.12 900824 Long 1 6.05 5487.30 -1062.34 -2844.12 900827 Long 1 -598.17 4883.08 -1666.55 -2844.12 900828 Long 1 -1055.94 4425.31 -2124.32 -2844.12 900829 Long 1 -961.27 4519.98 -2029.66 -2844.12 900830 Long 1 -1356.40 4124.85 -2424.79 -2844.12 900831 Long 1 -1880.68 3600.57 -2949.06 -2949.06 -1418.75 900903 Long 1 -2199.91 3281.34 -3268.29 -3268.29 900904 Long 1 -2055.34 3425.91 -3123.72 -3268.29 900905 Long 1 -1412.33 4068.92 -2480.71 -3268.29 900906 Long 1 -1449.54 4031.71 -2517.92 -3268.29 900907 Long 1 -1800.20 3681.05 -2868.58 -3268.29 900910 Long 1 -2163.85 3317.40 -3232.23 -3268.29 900911 Long 1 -2450.81 3030.44 -3519.19 -3519.19 900912 Long 1 -2593.00 2888.25 -3661.38 -3661.38 900913 Long 1 -1708.42 3772.83 -2776.80 -3661.38 900914 Long 1 -1375.06 4106.19 -2443.44 -3661.38 900917 Long 1 -675.06 4806.19 -1743.44 -3661.38 900918 Long 1 -1251.67 4229.58 -2320.05 -3661.38 900919 Long 1 -1946.32 3534.93 -3014.70 -3661.38 900920 Long 1 -2307.77 3173.48 -3376.15 -3661.38 900921 Long 1 -2300.59 3180.66 -3368.97 -3661.38 900924 Long 1 -1486.69 3994.56 -2555.07 -3661.38 900925 Long 1 -1836.82 3644.43 -2905.20 -3661.38 900926 Long 1 -1627.36 3853.89 -2695.74 -3661.38 900927 Long 1 -1300.35 4180.90 -2368.73 -3661.38 900928 Long 1 -1449.54 4031.71 -2517.92 -3661.38 0.00 901001 Long 1 -1449.54 4031.71 -2517.92 -3661.38 901002 Long 1 -1150.23 4331.02 -2218.61 -3661.38 901003 Long 1 -904.30 4576.95 -1972.68 -3661.38 901004 Long 1 -751.71 4729.54 -1820.09 -3661.38 901005 Long 1 -1251.67 4229.58 -2320.05 -3661.38 901008 Long 1 -923.31 4557.94 -1991.69 -3661.38 901009 Long 1 -675.06 4806.19 -1743.44 -3661.38 901010 Long 1 -942.30 4538.95 -2010.68 -3661.38 901011 Long 1 -578.90 4902.35 -1647.28 -3661.38 901012 Long 1 -1037.04 4444.21 -2105.42 -3661.38 901015 Long 1 -1225.41 4255.84 -2293.79 -3661.38 901016 Long 1 -628.95 4852.30 -1697.33 -3661.38 901017 Long 1 -482.37 4998.88 -1550.75 -3661.38 901018 Long 1 25.79 5507.04 -1042.60 -3661.38 901019 Long 1 -377.69 5103.56 -1446.07 -3661.38 901022 Long 1 -942.30 4538.95 -2010.68 -3661.38 901023 Long 1 -885.28 4595.97 -1953.66 -3661.38 901024 Long 1 -424.27 5056.98 -1492.65 -3661.38 901025 Long 1 -972.66 4508.59 -2041.04 -3661.38 901026 Long 1 -797.59 4683.66 -1865.97 -3661.38 901029 Long 1 -1262.91 4218.34 -2331.29 -3661.38 901030 Long 1 -885.28 4595.97 -1953.66 -3661.38 901031 Long 1 -1037.04 4444.21 -2105.42 -3661.38 0.00 901101 Long 1 -559.63 4921.62 -1628.01 -3661.38 901102 Long 1 -53.07 5428.18 -1121.46 -3661.38 901105 Long 1 343.75 5825.00 -724.63 -3661.38 901106 Exit Long 1 500.00 5981.25 -918.75 -3661.38 MFE = 500.00 MAE = -2593.00 901116 Enter Long 1 -239.06 5742.19 -807.44 -3661.38 901119 Long 1 -166.53 5814.72 -734.91 -3661.38 901120 Long 1 -166.53 5814.72 -734.91 -3661.38 901121 Long 1 -226.99 5754.26 -795.37 -3661.38 901122 Long 1 -327.43 5653.82 -895.81 -3661.38 901123 Exit Long 1 -637.50 5343.75 -1556.25 -3661.38 MFE = 0.00 MAE = -637.50 901123 Enter Short 1 132.43 5476.18 -1073.46 -3661.38 901126 Exit Short 1 500.00 5843.75 -705.88 -3661.38 MFE = 500.00 MAE = 0.00 901129 Enter Short 1 -9.71 5834.04 -715.59 -3661.38 901130 Short 1 -105.34 5738.41 -811.22 -3661.38 362.50 901203 Exit Short 1 500.00 6343.75 -205.88 -3661.38 MFE = 500.00 MAE = -105.34 901207 Enter Long 1 62.70 6406.45 -143.18 -3661.38 901210 Long 1 -254.00 6089.75 -459.88 -3661.38 901211 Long 1 -438.19 5905.56 -644.08 -3661.38 901212 Long 1 -273.66 6070.09 -479.55 -3661.38 901213 Long 1 -449.90 5893.85 -655.78 -3661.38 901214 Exit Long 1 -787.50 5556.25 -993.38 -3661.38 MFE = 62.70 MAE = -787.50 901214 Enter Short 1 -40.91 5515.34 -1034.29 -3661.38 901217 Short 1 -21.62 5534.63 -1015.00 -3661.38 901218 Short 1 -332.11 5224.14 -1325.49 -3661.38 901219 Short 1 -254.12 5302.13 -1247.51 -3661.38 901220 Exit Short 1 500.00 6056.25 -493.38 -3661.38 MFE = 500.00 MAE = -332.11 901228 Exit Long 1 500.00 6556.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 712.50 910107 Exit Short 1 500.00 7056.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 910117 Enter Long 1 138.03 7194.28 0.00 -3661.38 910118 Exit Long 1 500.00 7556.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 910206 Enter Long 1 36.77 7593.02 0.00 -3661.38 910207 Long 1 -391.94 7164.31 -428.71 -3661.38 910208 Long 1 -391.94 7164.31 -428.71 -3661.38 910211 Long 1 -147.86 7408.39 -184.63 -3661.38 910212 Long 1 -553.36 7002.89 -590.13 -3661.38 910213 Long 1 -793.55 6762.70 -830.32 -3661.38 910214 Long 1 -932.60 6623.65 -969.37 -3661.38 910215 Long 1 -1430.72 6125.53 -1467.49 -3661.38 910218 Long 1 -1500.52 6055.73 -1537.29 -3661.38 910219 Long 1 -1793.04 5763.21 -1829.81 -3661.38 910220 Long 1 -1796.86 5759.39 -1833.63 -3661.38 910221 Long 1 -1654.91 5901.34 -1691.68 -3661.38 910222 Exit Long 1 -2237.50 5318.75 -2237.50 -3661.38 MFE = 36.77 MAE = -2237.50 910222 Enter Short 1 99.15 5417.90 -2175.12 -3661.38 910225 Exit Short 1 500.00 5818.75 -1774.27 -3661.38 MFE = 500.00 MAE = 0.00 -1737.50 910308 Enter Short 1 167.06 5985.81 -1607.21 -3661.38 910311 Exit Short 1 500.00 6318.75 -1274.27 -3661.38 MFE = 500.00 MAE = 0.00 910315 Enter Short 1 350.78 6669.53 -923.49 -3661.38 910318 Exit Short 1 500.00 6818.75 -774.27 -3661.38 MFE = 500.00 MAE = 0.00 910319 Enter Short 1 -545.10 6273.65 -1319.37 -3661.38 910320 Short 1 -685.22 6133.53 -1459.49 -3661.38 910321 Short 1 -983.99 5834.76 -1758.25 -3661.38 910322 Short 1 -732.13 6086.62 -1506.40 -3661.38 910325 Short 1 -69.19 6749.56 -843.46 -3661.38 910326 Short 1 -130.02 6688.73 -904.29 -3661.38 910327 Exit Short 1 500.00 7318.75 -274.27 -3661.38 MFE = 500.00 MAE = -983.99 1500.00 910418 Exit Short 1 500.00 7818.75 0.00 -3661.38 MFE = 500.00 MAE = 0.00 910429 Enter Short 1 -724.16 7094.59 -724.16 -3661.38 910430 Exit Short 1 -1637.50 6181.25 -1637.50 -3661.38 MFE = 0.00 MAE = -1637.50 910430 Enter Long 1 23.83 6205.08 -1613.67 -3661.38 -1137.50 910501 Long 1 -155.76 6025.49 -1793.26 -3661.38 910502 Long 1 -451.81 5729.44 -2089.31 -3661.38 910503 Long 1 -974.57 5206.68 -2612.07 -3661.38 910506 Long 1 -714.80 5466.45 -2352.30 -3661.38 910507 Long 1 -304.29 5876.96 -1941.79 -3661.38 910508 Long 1 -583.71 5597.54 -2221.21 -3661.38 910509 Long 1 -545.69 5635.56 -2183.19 -3661.38 910510 Long 1 -378.18 5803.07 -2015.68 -3661.38 910513 Long 1 23.83 6205.08 -1613.67 -3661.38 910514 Exit Long 1 500.00 6681.25 -1137.50 -3661.38 MFE = 500.00 MAE = -974.57 910517 Enter Short 1 326.33 7007.58 -811.17 -3661.38 910520 Exit Short 1 500.00 7181.25 -637.50 -3661.38 MFE = 500.00 MAE = 0.00 910531 Enter Short 1 78.95 7260.20 -558.55 -3661.38 1000.00 910603 Short 1 256.83 7438.08 -380.67 -3661.38 910604 Short 1 256.83 7438.08 -380.67 -3661.38 910605 Exit Short 1 500.00 7681.25 -137.50 -3661.38 MFE = 500.00 MAE = 0.00 910607 Enter Short 1 63.02 7744.27 -74.48 -3661.38 910610 Short 1 -133.28 7547.97 -270.78 -3661.38 910611 Short 1 3.23 7684.48 -134.27 -3661.38 910612 Short 1 394.08 8075.33 0.00 -3661.38 910613 Exit Short 1 500.00 8181.25 0.00 -3661.38 MFE = 500.00 MAE = -133.28 910618 Enter Short 1 243.19 8424.44 0.00 -3661.38 910619 Short 1 -398.29 7782.96 -641.48 -3661.38 910620 Short 1 -490.85 7690.40 -734.05 -3661.38 910621 Short 1 -143.93 8037.32 -387.12 -3661.38 910624 Short 1 -530.65 7650.60 -773.85 -3661.38 910625 Short 1 -123.09 8058.16 -366.29 -3661.38 910626 Short 1 -188.27 7992.98 -431.47 -3661.38 910627 Short 1 -110.08 8071.17 -353.28 -3661.38 910628 Short 1 -45.15 8136.10 -288.34 -3661.38 1000.00 910701 Short 1 314.64 8495.89 0.00 -3661.38 910702 Exit Short 1 500.00 8681.25 0.00 -3661.38 MFE = 500.00 MAE = -530.65 910708 Enter Long 1 64.80 8746.05 0.00 -3661.38 910709 Long 1 -329.86 8351.39 -394.66 -3661.38 910710 Long 1 -216.09 8465.16 -280.89 -3661.38 910711 Long 1 -734.12 7947.13 -798.92 -3661.38 910712 Long 1 362.72 9043.97 0.00 -3661.38 910715 Long 1 284.58 8965.83 -78.15 -3661.38 910716 Long 1 -32.68 8648.57 -395.40 -3661.38 910717 Long 1 155.01 8836.26 -207.72 -3661.38 910718 Exit Long 1 500.00 9181.25 0.00 -3661.38 MFE = 500.00 MAE = -734.12 910719 Enter Long 1 82.09 9263.34 0.00 -3661.38 910722 Long 1 -324.50 8856.75 -406.59 -3661.38 910723 Long 1 -337.91 8843.34 -420.00 -3661.38 910724 Long 1 49.26 9230.51 -32.82 -3661.38 910725 Long 1 -484.90 8696.35 -566.99 -3661.38 910726 Long 1 -230.35 8950.90 -312.43 -3661.38 910729 Long 1 -324.50 8856.75 -406.59 -3661.38 910730 Long 1 -458.26 8722.99 -540.35 -3661.38 910731 Long 1 -216.86 8964.39 -298.95 -3661.38 1000.00 910801 Long 1 -444.92 8736.33 -527.01 -3661.38 910802 Long 1 54.73 9235.98 -27.35 -3661.38 910805 Exit Long 1 500.00 9681.25 0.00 -3661.38 MFE = 500.00 MAE = -484.90 910815 Enter Short 1 109.89 9791.14 0.00 -3661.38 910816 Short 1 325.97 10007.22 0.00 -3661.38 910819 Exit Short 1 500.00 10181.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 910821 Enter Long 1 -237.57 9943.68 -63.54 -3661.38 910822 Long 1 93.81 10275.06 0.00 -3661.38 910823 Long 1 -331.66 9849.59 -425.48 -3661.38 910826 Long 1 -291.39 9889.86 -385.21 -3661.38 910827 Long 1 -242.96 9938.29 -336.77 -3661.38 910828 Long 1 -75.26 10105.99 -169.08 -3661.38 910829 Long 1 -237.57 9943.68 -331.39 -3661.38 910830 Long 1 -318.25 9863.00 -412.06 -3661.38 1000.00 910902 Long 1 -452.01 9729.24 -545.82 -3661.38 910903 Long 1 -210.61 9970.64 -304.42 -3661.38 910904 Long 1 -245.66 9935.59 -339.47 -3661.38 910905 Long 1 -318.25 9863.00 -412.06 -3661.38 910906 Long 1 239.45 10420.70 0.00 -3661.38 910909 Exit Long 1 500.00 10681.25 0.00 -3661.38 MFE = 500.00 MAE = -452.01 910916 Enter Long 1 -12.84 10668.41 0.00 -3661.38 910917 Long 1 75.06 10756.31 0.00 -3661.38 910918 Long 1 -274.39 10406.86 -349.45 -3661.38 910919 Long 1 -389.62 10291.63 -464.68 -3661.38 910920 Long 1 -231.02 10450.23 -306.08 -3661.38 910923 Long 1 119.15 10800.40 0.00 -3661.38 910924 Long 1 -202.06 10479.19 -321.21 -3661.38 910925 Long 1 -42.06 10639.19 -161.21 -3661.38 910926 Long 1 -158.55 10522.70 -277.69 -3661.38 910927 Long 1 281.58 10962.83 0.00 -3661.38 910930 Long 1 281.58 10962.83 0.00 -3661.38 500.00 911001 Long 1 186.92 10868.17 -94.65 -3661.38 911002 Long 1 163.32 10844.57 -118.25 -3661.38 911003 Long 1 237.16 10918.41 -44.42 -3661.38 911004 Exit Long 1 -81.25 10600.00 -81.25 -3661.38 MFE = 281.58 MAE = -389.62 911004 Enter Short 1 131.32 10731.32 -231.51 -3661.38 911007 Short 1 278.71 10878.71 -84.11 -3661.38 911008 Exit Short 1 500.00 11100.00 0.00 -3661.38 MFE = 500.00 MAE = 0.00 911023 Enter Short 1 91.34 11191.34 0.00 -3661.38 911024 Short 1 -155.93 10944.07 -247.27 -3661.38 911025 Short 1 -155.93 10944.07 -247.27 -3661.38 911028 Short 1 374.34 11474.34 0.00 -3661.38 911029 Exit Short 1 -662.50 10437.50 -662.50 -3661.38 MFE = 374.34 MAE = -662.50 911029 Enter Long 1 -139.62 10297.88 -1176.46 -3661.38 911030 Long 1 164.18 10601.68 -872.65 -3661.38 911031 Long 1 76.94 10514.44 -959.90 -3661.38 -243.75 911101 Exit Long 1 500.00 10937.50 -536.84 -3661.38 MFE = 500.00 MAE = -139.62 911115 Enter Long 1 66.51 11004.01 -470.33 -3661.38 911118 Exit Long 1 500.00 11437.50 -36.84 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 911205 Enter Long 1 -13.46 11424.04 -50.29 -3661.38 911206 Exit Long 1 500.00 11937.50 0.00 -3661.38 MFE = 500.00 MAE = -13.46 911220 Enter Long 1 285.98 12223.48 0.00 -3661.38 911223 Exit Long 1 500.00 12437.50 0.00 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 920109 Enter Short 1 41.70 12479.20 0.00 -3661.38 920110 Exit Short 1 500.00 12937.50 0.00 -3661.38 MFE = 500.00 MAE = 0.00 920115 Exit Short 1 500.00 13437.50 0.00 -3661.38 MFE = 500.00 MAE = 0.00 920123 Enter Short 1 24.95 13462.45 0.00 -3661.38 920124 Short 1 -254.01 13183.49 -278.96 -3661.38 920127 Short 1 178.42 13615.92 0.00 -3661.38 920128 Short 1 -36.73 13400.77 -215.15 -3661.38 920129 Short 1 147.81 13585.31 -30.60 -3661.38 920130 Exit Short 1 500.00 13937.50 0.00 -3661.38 MFE = 500.00 MAE = -254.01 1500.00 920211 Enter Short 1 119.99 14057.49 0.00 -3661.38 920212 Exit Short 1 500.00 14437.50 0.00 -3661.38 MFE = 500.00 MAE = 0.00 920218 Enter Short 1 -192.13 14245.37 0.00 -3661.38 920219 Short 1 -192.13 14245.37 0.00 -3661.38 920220 Short 1 -169.48 14268.02 0.00 -3661.38 920221 Short 1 228.47 14665.97 0.00 -3661.38 920224 Short 1 47.25 14484.75 -181.22 -3661.38 920225 Short 1 353.01 14790.51 0.00 -3661.38 920226 Exit Short 1 500.00 14937.50 0.00 -3661.38 MFE = 500.00 MAE = -192.13 1000.00 920303 Enter Short 1 96.88 15034.38 0.00 -3661.38 920304 Exit Short 1 500.00 15437.50 0.00 -3661.38 MFE = 500.00 MAE = 0.00 920317 Enter Long 1 179.14 15616.64 0.00 -3661.38 920318 Long 1 -17.14 15420.36 -196.27 -3661.38 920319 Long 1 -499.88 14937.62 -679.02 -3661.38 920320 Long 1 -595.09 14842.41 -774.23 -3661.38 920323 Long 1 -524.40 14913.10 -703.54 -3661.38 920324 Long 1 -472.59 14964.91 -651.73 -3661.38 920325 Long 1 -142.34 15295.16 -321.48 -3661.38 920326 Long 1 -499.88 14937.62 -679.02 -3661.38 920327 Long 1 94.80 15532.30 -84.34 -3661.38 920330 Long 1 -142.34 15295.16 -321.48 -3661.38 920331 Long 1 -81.23 15356.27 -260.36 -3661.38 500.00 920401 Long 1 -371.33 15066.17 -550.46 -3661.38 920402 Long 1 -142.34 15295.16 -321.48 -3661.38 920403 Long 1 221.44 15658.94 0.00 -3661.38 920406 Long 1 80.77 15518.27 -140.66 -3661.38 920407 Long 1 193.23 15630.73 -28.20 -3661.38 920408 Long 1 52.75 15490.25 -168.68 -3661.38 920409 Long 1 235.56 15673.06 0.00 -3661.38 920410 Long 1 -327.38 15110.12 -562.94 -3661.38 920413 Exit Long 1 -775.00 14662.50 -775.00 -3661.38 MFE = 235.56 MAE = -775.00 920413 Enter Short 1 -33.14 14629.36 -1043.70 -3661.38 920414 Short 1 -38.53 14623.97 -1049.09 -3661.38 920415 Short 1 229.58 14892.08 -780.98 -3661.38 920416 Exit Short 1 500.00 15162.50 -510.56 -3661.38 MFE = 500.00 MAE = -38.53 920424 Enter Long 1 21.01 15183.51 -489.55 -3661.38 920427 Long 1 168.68 15331.18 -341.88 -3661.38 920428 Long 1 358.16 15520.66 -152.40 -3661.38 920429 Long 1 195.64 15358.14 -314.92 -3661.38 920430 Exit Long 1 500.00 15662.50 -10.56 -3661.38 MFE = 500.00 MAE = 0.00 225.00 920501 Enter Long 1 -112.46 15550.04 -123.02 -3661.38 920504 Long 1 -401.52 15260.98 -412.08 -3661.38 920505 Long 1 -203.74 15458.76 -214.30 -3661.38 920506 Long 1 -15.21 15647.29 -25.76 -3661.38 920507 Long 1 -300.12 15362.38 -310.68 -3661.38 920508 Exit Long 1 -762.50 14900.00 -773.06 -3661.38 MFE = 0.00 MAE = -762.50 920508 Enter Short 1 16.39 14916.39 -756.66 -3661.38 920511 Short 1 -10.50 14889.50 -783.56 -3661.38 920512 Short 1 -550.33 14349.67 -1323.39 -3661.38 920513 Exit Short 1 -1031.25 13868.75 -1804.31 -3661.38 MFE = 16.39 MAE = -1031.25 920513 Enter Long 1 223.48 14092.23 -1580.83 -3661.38 920514 Exit Long 1 500.00 14368.75 -1304.31 -3661.38 MFE = 500.00 MAE = 0.00 920521 Enter Short 1 35.79 14404.54 -1268.52 -3661.38 920522 Short 1 106.57 14475.32 -1197.74 -3661.38 920525 Short 1 64.12 14432.87 -1240.18 -3661.38 920526 Short 1 13.08 14381.83 -1291.22 -3661.38 920527 Short 1 134.81 14503.56 -1169.49 -3661.38 920528 Short 1 -249.75 14119.00 -1554.06 -3661.38 920529 Exit Short 1 -637.50 13731.25 -1941.81 -3661.38 MFE = 134.81 MAE = -637.50 920529 Enter Long 1 190.57 13921.82 -1751.24 -3661.38 -1931.25 920601 Long 1 205.32 13936.57 -1736.48 -3661.38 920602 Long 1 -146.05 13585.20 -2087.85 -3661.38 920603 Long 1 -204.05 13527.20 -2145.86 -3661.38 920604 Long 1 116.94 13848.19 -1824.87 -3661.38 920605 Exit Long 1 500.00 14231.25 -1441.81 -3661.38 MFE = 500.00 MAE = -204.05 920611 Enter Long 1 213.25 14444.50 -1228.56 -3661.38 920612 Exit Long 1 500.00 14731.25 -941.81 -3661.38 MFE = 500.00 MAE = 0.00 920624 Enter Long 1 -3.69 14727.56 -945.50 -3661.38 920625 Exit Long 1 500.00 15231.25 -441.81 -3661.38 MFE = 500.00 MAE = -3.69 1500.00 920702 Enter Long 1 -36.34 15194.91 -478.15 -3661.38 920703 Long 1 -223.77 15007.48 -665.58 -3661.38 920706 Long 1 -121.72 15109.53 -563.53 -3661.38 920707 Long 1 360.54 15591.79 -81.27 -3661.38 920708 Exit Long 1 500.00 15731.25 0.00 -3661.38 MFE = 500.00 MAE = -223.77 920717 Exit Long 1 500.00 16231.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 920720 Enter Long 1 -1709.74 14521.51 -1709.74 -3661.38 920721 Long 1 -1699.01 14532.24 -1699.01 -3661.38 920722 Long 1 -1555.42 14675.83 -1555.42 -3661.38 920723 Long 1 -1454.39 14776.86 -1454.39 -3661.38 920724 Long 1 -2085.91 14145.34 -2085.91 -3661.38 920727 Long 1 -1247.38 14983.87 -1247.38 -3661.38 920728 Long 1 -1045.92 15185.33 -1045.92 -3661.38 920729 Long 1 -1537.41 14693.84 -1537.41 -3661.38 920730 Long 1 -1465.23 14766.02 -1465.23 -3661.38 920731 Long 1 -1447.15 14784.10 -1447.15 -3661.38 1000.00 920803 Long 1 -1519.38 14711.87 -1519.38 -3661.38 920804 Long 1 -1788.31 14442.94 -1788.31 -3661.38 920805 Long 1 -2001.27 14229.98 -2001.27 -3661.38 920806 Long 1 -1912.77 14318.48 -1912.77 -3661.38 920807 Long 1 -1410.96 14820.29 -1410.96 -3661.38 920810 Long 1 -1447.15 14784.10 -1447.15 -3661.38 920811 Long 1 -1602.18 14629.07 -1602.18 -3661.38 920812 Long 1 -1627.32 14603.93 -1627.32 -3661.38 920813 Long 1 -1229.14 15002.11 -1229.14 -3661.38 920814 Long 1 -1627.32 14603.93 -1627.32 -3661.38 920817 Long 1 -1526.60 14704.65 -1526.60 -3661.38 920818 Long 1 -1137.70 15093.55 -1137.70 -3661.38 920819 Long 1 -1038.56 15192.69 -1038.56 -3661.38 920820 Long 1 -487.73 15743.52 -487.73 -3661.38 920821 Long 1 218.85 16450.10 0.00 -3661.38 920824 Exit Long 1 500.00 16731.25 0.00 -3661.38 MFE = 500.00 MAE = -2085.91 500.00 921008 Enter Short 1 97.15 16828.40 0.00 -3661.38 921009 Short 1 133.30 16864.55 0.00 -3661.38 921012 Short 1 -102.62 16628.63 -235.92 -3661.38 921013 Exit Short 1 500.00 17231.25 0.00 -3661.38 MFE = 500.00 MAE = -102.62 921019 Enter Short 1 25.35 17256.60 0.00 -3661.38 921020 Exit Short 1 500.00 17731.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 921102 Enter Short 1 179.23 17910.48 0.00 -3661.38 921103 Exit Short 1 500.00 18231.25 0.00 -3661.38 MFE = 500.00 MAE = 0.00 921117 Enter Short 1 -180.31 18050.94 0.00 -3661.38 921118 Short 1 -195.25 18036.00 -14.93 -3661.38 921119 Short 1 -1079.21 17152.04 -898.90 -3661.38 921120 Short 1 -210.18 18021.07 -29.87 -3661.38 921123 Short 1 -587.08 17644.17 -406.77 -3661.38 921124 Short 1 -709.08 17522.17 -528.77 -3661.38 921125 Short 1 -794.89 17436.36 -614.58 -3661.38 921126 Short 1 -617.52 17613.73 -437.21 -3661.38 921127 Short 1 -405.35 17825.90 -225.04 -3661.38 921130 Short 1 -587.08 17644.17 -406.77 -3661.38 500.00 921201 Exit Short 1 -1162.50 17068.75 -1162.50 -3661.38 MFE = 0.00 MAE = -1162.50 921201 Exit Long 1 500.00 17568.75 -662.50 -3661.38 MFE = 500.00 MAE = 0.00 921216 Enter Long 1 -30.78 17537.97 -512.96 -3661.38 921217 Long 1 -30.78 17537.97 -512.96 -3661.38 921218 Long 1 -316.74 17252.01 -798.93 -3661.38 921221 Long 1 -499.11 17069.64 -981.30 -3661.38 921222 Exit Long 1 -1175.00 16393.75 -1837.50 -3661.38 MFE = 0.00 MAE = -1175.00 921222 Enter Short 1 214.84 16608.59 -1442.35 -3661.38 921223 Short 1 289.96 16683.71 -1367.23 -3661.38 921224 Short 1 433.46 16827.21 -1223.73 -3661.38 921225 Short 1 274.95 16668.70 -1382.23 -3661.38 921228 Exit Short 1 500.00 16893.75 -1157.19 -3661.38 MFE = 500.00 MAE = 0.00 -1337.50 930104 Enter Short 1 -2.03 16891.72 -1159.22 -3661.38 930105 Short 1 -211.65 16682.10 -1368.83 -3661.38 930106 Short 1 239.44 17133.19 -917.75 -3661.38 930107 Short 1 408.24 17301.99 -748.95 -3661.38 930108 Exit Short 1 500.00 17393.75 -657.19 -3661.38 MFE = 500.00 MAE = -211.65 930125 Enter Long 1 -194.69 17199.06 -851.88 -3661.38 930126 Long 1 -328.60 17065.15 -985.79 -3661.38 930127 Long 1 -652.46 16741.29 -1309.64 -3661.38 930128 Long 1 -637.84 16755.91 -1295.03 -3661.38 930129 Exit Long 1 -1156.25 16237.50 -1813.44 -3661.38 MFE = 0.00 MAE = -1156.25 930129 Enter Short 1 253.56 16491.06 -1559.87 -3661.38 -656.25 930201 Exit Short 1 500.00 16737.50 -1313.44 -3661.38 MFE = 500.00 MAE = 0.00 930216 Enter Long 1 207.17 16944.67 -1106.27 -3661.38 930217 Exit Long 1 500.00 17237.50 -813.44 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 930305 Enter Short 1 -128.67 17108.83 -942.11 -3661.38 930308 Short 1 -260.10 16977.40 -1073.53 -3661.38 930309 Short 1 -254.82 16982.68 -1068.26 -3661.38 930310 Short 1 -379.11 16858.39 -1192.55 -3661.38 930311 Exit Short 1 -712.50 16525.00 -1525.94 -3661.38 MFE = 0.00 MAE = -712.50 930311 Enter Long 1 4.34 16529.34 -1521.60 -3661.38 930312 Long 1 125.91 16650.91 -1400.03 -3661.38 930315 Long 1 7.04 16532.04 -1518.90 -3661.38 930316 Long 1 -41.39 16483.61 -1567.33 -3661.38 930317 Long 1 -247.29 16277.71 -1773.23 -3661.38 930318 Long 1 475.66 17000.66 -1050.28 -3661.38 930319 Exit Long 1 500.00 17025.00 -1025.94 -3661.38 MFE = 500.00 MAE = -247.29 -212.50 930401 Enter Long 1 60.38 17085.38 -965.56 -3661.38 930402 Long 1 -39.93 16985.07 -1065.87 -3661.38 930405 Long 1 37.41 17062.41 -988.53 -3661.38 930406 Long 1 -224.96 16800.04 -1250.90 -3661.38 930407 Long 1 -380.26 16644.74 -1406.20 -3661.38 930408 Long 1 3.01 17028.01 -1022.93 -3661.38 930409 Long 1 31.68 17056.68 -994.26 -3661.38 930412 Exit Long 1 500.00 17525.00 -525.94 -3661.38 MFE = 500.00 MAE = -380.26 930413 Enter Long 1 -62.37 17462.63 -588.30 -3661.38 930414 Long 1 -433.06 17091.94 -959.00 -3661.38 930415 Long 1 -696.05 16828.95 -1221.98 -3661.38 930416 Exit Long 1 -1175.00 16350.00 -1700.94 -3661.38 MFE = 0.00 MAE = -1175.00 930416 Enter Short 1 -22.74 16327.26 -1723.68 -3661.38 930419 Short 1 -439.44 15910.56 -2140.38 -3661.38 930420 Short 1 -693.43 15656.57 -2394.37 -3661.38 930421 Short 1 -805.32 15544.68 -2506.26 -3661.38 930422 Short 1 -1117.57 15232.43 -2818.51 -3661.38 930423 Exit Short 1 -1568.75 14781.25 -3269.69 -3661.38 MFE = 0.00 MAE = -1568.75 930423 Enter Long 1 27.83 14809.08 -3241.86 -3661.38 930426 Exit Long 1 500.00 15281.25 -2769.69 -3661.38 MFE = 500.00 MAE = 0.00 -1743.75 930510 Enter Short 1 347.39 15628.64 -2422.30 -3661.38 930511 Exit Short 1 500.00 15781.25 -2269.69 -3661.38 MFE = 500.00 MAE = 0.00 930527 Enter Long 1 264.69 16045.94 -2005.00 -3661.38 930528 Exit Long 1 500.00 16281.25 -1769.69 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 930604 Exit Short 1 500.00 16781.25 -1269.69 -3661.38 MFE = 500.00 MAE = 0.00 500.00 930709 Enter Short 1 154.47 16935.72 -1115.22 -3661.38 930712 Short 1 47.74 16828.99 -1221.95 -3661.38 930713 Short 1 -221.54 16559.71 -1491.23 -3661.38 930714 Short 1 -453.23 16328.02 -1722.92 -3661.38 930715 Short 1 -256.80 16524.45 -1526.49 -3661.38 930716 Short 1 -563.16 16218.09 -1832.85 -3661.38 930719 Short 1 -715.28 16065.97 -1984.97 -3661.38 930720 Short 1 -840.57 15940.68 -2110.26 -3661.38 930721 Short 1 -743.06 16038.19 -2012.75 -3661.38 930722 Short 1 -618.35 16162.90 -1888.04 -3661.38 930723 Short 1 -207.99 16573.26 -1477.68 -3661.38 930726 Short 1 -194.45 16586.80 -1464.14 -3661.38 930727 Short 1 -167.40 16613.85 -1437.09 -3661.38 930728 Short 1 -398.48 16382.77 -1668.17 -3661.38 930729 Short 1 34.36 16815.61 -1235.33 -3661.38 930730 Short 1 -73.00 16708.25 -1342.69 -3661.38 0.00 930802 Exit Short 1 -868.75 15912.50 -2138.44 -3661.38 MFE = 154.47 MAE = -868.75 930802 Enter Long 1 38.75 15951.25 -2099.68 -3661.38 930803 Long 1 -156.21 15756.29 -2294.65 -3661.38 930804 Long 1 -211.58 15700.92 -2350.02 -3661.38 930805 Long 1 -280.59 15631.91 -2419.03 -3661.38 930806 Long 1 -183.91 15728.59 -2322.35 -3661.38 930809 Long 1 -197.75 15714.75 -2336.19 -3661.38 930810 Exit Long 1 -762.50 15150.00 -2900.94 -3661.38 MFE = 38.75 MAE = -762.50 930810 Enter Short 1 65.52 15215.52 -2835.42 -3661.38 930811 Short 1 234.09 15384.09 -2666.85 -3661.38 930812 Short 1 46.70 15196.70 -2854.24 -3661.38 930813 Short 1 46.70 15196.70 -2854.24 -3661.38 930816 Exit Short 1 -406.25 14743.75 -3307.19 -3661.38 MFE = 234.09 MAE = -406.25 930816 Exit Long 1 500.00 15243.75 -2807.19 -3661.38 MFE = 500.00 MAE = 0.00 -1537.50 930902 Enter Long 1 -80.85 15162.90 -2888.04 -3661.38 930903 Exit Long 1 500.00 15743.75 -2307.19 -3661.38 MFE = 500.00 MAE = -80.85 930909 Enter Long 1 10.42 15754.17 -2296.76 -3661.38 930910 Long 1 333.90 16077.65 -1973.29 -3661.38 930913 Long 1 -21.35 15722.40 -2328.54 -3661.38 930914 Long 1 51.80 15795.55 -2255.39 -3661.38 930915 Exit Long 1 500.00 16243.75 -1807.19 -3661.38 MFE = 500.00 MAE = -21.35 1000.00 931008 Enter Long 1 -68.93 16174.82 -1876.12 -3661.38 931011 Long 1 -179.55 16064.20 -1986.74 -3661.38 931012 Long 1 106.02 16349.77 -1701.17 -3661.38 931013 Long 1 -68.93 16174.82 -1876.12 -3661.38 931014 Exit Long 1 -462.50 15781.25 -2269.69 -3661.38 MFE = 106.02 MAE = -462.50 931014 Enter Short 1 209.95 15991.20 -2059.73 -3661.38 931015 Short 1 326.93 16108.18 -1942.76 -3661.38 931018 Exit Short 1 500.00 16281.25 -1769.69 -3661.38 MFE = 500.00 MAE = 0.00 931021 Enter Short 1 -10.76 16270.49 -1780.45 -3661.38 931022 Short 1 190.74 16471.99 -1578.94 -3661.38 931025 Short 1 390.35 16671.60 -1379.34 -3661.38 931026 Short 1 185.02 16466.27 -1584.67 -3661.38 931027 Short 1 287.93 16569.18 -1481.76 -3661.38 931028 Exit Short 1 500.00 16781.25 -1269.69 -3661.38 MFE = 500.00 MAE = -10.76 537.50 931112 Enter Short 1 -482.33 16298.92 -1752.02 -3661.38 931115 Short 1 -397.87 16383.38 -1667.56 -3661.38 931116 Short 1 -91.09 16690.16 -1360.78 -3661.38 931117 Short 1 -266.24 16515.01 -1535.93 -3661.38 931118 Short 1 -49.60 16731.65 -1319.29 -3661.38 931119 Short 1 -35.79 16745.46 -1305.48 -3661.38 931122 Short 1 -341.76 16439.49 -1611.45 -3661.38 931123 Short 1 -417.55 16363.70 -1687.24 -3661.38 931124 Short 1 -389.45 16391.80 -1659.14 -3661.38 931125 Short 1 -229.98 16551.27 -1499.67 -3661.38 931126 Short 1 -216.04 16565.21 -1485.73 -3661.38 931129 Short 1 -440.06 16341.19 -1709.75 -3661.38 931130 Short 1 -243.92 16537.33 -1513.61 -3661.38 0.00 931201 Short 1 -132.66 16648.59 -1402.35 -3661.38 931202 Short 1 -266.24 16515.01 -1535.93 -3661.38 931203 Exit Short 1 -687.50 16093.75 -1957.19 -3661.38 MFE = 0.00 MAE = -687.50 931203 Enter Long 1 -208.36 15885.39 -2165.55 -3661.38 931206 Exit Long 1 500.00 16593.75 -1457.19 -3661.38 MFE = 500.00 MAE = -208.36 931222 Enter Long 1 79.01 16672.76 -1378.18 -3661.38 931223 Long 1 170.25 16764.00 -1286.94 -3661.38 931224 Long 1 3.26 16597.01 -1453.93 -3661.38 931227 Long 1 -156.45 16437.30 -1613.64 -3661.38 931228 Long 1 -39.04 16554.71 -1496.23 -3661.38 931229 Exit Long 1 -456.25 16137.50 -1913.44 -3661.38 MFE = 170.25 MAE = -456.25 931229 Exit Short 1 500.00 16637.50 -1413.44 -3661.38 MFE = 500.00 MAE = 0.00 -143.75 940127 Enter Long 1 -81.44 16556.06 -1494.87 -3661.38 940128 Long 1 -343.52 16293.98 -1756.96 -3661.38 940131 Long 1 65.57 16703.07 -1347.87 -3661.38 0.00 940201 Long 1 287.99 16925.49 -1125.45 -3661.38 940202 Long 1 222.50 16860.00 -1190.94 -3661.38 940203 Long 1 204.68 16842.18 -1208.76 -3661.38 940204 Exit Long 1 -306.25 16331.25 -1719.69 -3661.38 MFE = 287.99 MAE = -343.52 940204 Enter Short 1 120.08 16451.33 -1599.61 -3661.38 940207 Short 1 18.82 16350.07 -1700.87 -3661.38 940208 Short 1 389.69 16720.94 -1330.00 -3661.38 940209 Short 1 249.57 16580.82 -1470.11 -3661.38 940210 Exit Short 1 500.00 16831.25 -1219.69 -3661.38 MFE = 500.00 MAE = 0.00 940214 Enter Long 1 282.43 17113.68 -937.26 -3661.38 940215 Exit Long 1 500.00 17331.25 -719.69 -3661.38 MFE = 500.00 MAE = 0.00 940224 Enter Long 1 87.54 17418.79 -632.14 -3661.38 940225 Long 1 133.44 17464.69 -586.25 -3661.38 940228 Long 1 210.14 17541.39 -509.55 -3661.38 693.75 940301 Long 1 -104.17 17227.08 -823.86 -3661.38 940302 Long 1 57.00 17388.25 -662.69 -3661.38 940303 Long 1 -119.31 17211.94 -839.00 -3661.38 940304 Long 1 -231.04 17100.21 -950.73 -3661.38 940307 Long 1 -149.56 17181.69 -869.25 -3661.38 940308 Long 1 -194.86 17136.39 -914.55 -3661.38 940309 Long 1 57.00 17388.25 -662.69 -3661.38 940310 Exit Long 1 500.00 17831.25 -219.69 -3661.38 MFE = 500.00 MAE = -231.04 940331 Enter Long 1 -99.04 17732.21 -318.73 -3661.38 500.00 940401 Long 1 -548.97 17282.28 -768.66 -3661.38 940404 Long 1 -499.77 17331.48 -719.46 -3661.38 940405 Exit Long 1 -1081.25 16750.00 -1300.94 -3661.38 MFE = 0.00 MAE = -1081.25 940405 Enter Short 1 140.29 16890.29 -1160.65 -3661.38 940406 Short 1 158.17 16908.17 -1142.77 -3661.38 940407 Short 1 80.58 16830.58 -1220.36 -3661.38 940408 Short 1 47.67 16797.67 -1253.27 -3661.38 940411 Short 1 -81.46 16668.54 -1382.40 -3661.38 940412 Short 1 53.66 16803.66 -1247.28 -3661.38 940413 Short 1 -120.65 16629.35 -1421.59 -3661.38 940414 Short 1 101.49 16851.49 -1199.45 -3661.38 940415 Short 1 306.59 17056.59 -994.34 -3661.38 940418 Short 1 98.50 16848.50 -1202.43 -3661.38 940419 Short 1 -9.30 16740.70 -1310.24 -3661.38 940420 Short 1 -308.54 16441.46 -1609.48 -3661.38 940421 Short 1 -308.54 16441.46 -1609.48 -3661.38 940422 Short 1 -339.00 16411.00 -1639.94 -3661.38 940425 Short 1 -278.13 16471.87 -1579.07 -3661.38 940426 Short 1 -381.71 16368.29 -1682.65 -3661.38 940427 Exit Short 1 -656.25 16093.75 -1957.19 -3661.38 MFE = 306.59 MAE = -656.25 940427 Enter Long 1 -139.32 15954.43 -2096.51 -3661.38 940428 Long 1 379.31 16473.06 -1577.88 -3661.38 940429 Exit Long 1 500.00 16593.75 -1457.19 -3661.38 MFE = 500.00 MAE = -139.32 -1237.50 940510 Enter Short 1 -26.81 16566.94 -1484.00 -3661.38 940511 Short 1 -256.48 16337.27 -1713.67 -3661.38 940512 Short 1 -256.48 16337.27 -1713.67 -3661.38 940513 Short 1 -228.79 16364.96 -1685.98 -3661.38 940516 Short 1 -216.49 16377.26 -1673.68 -3661.38 940517 Exit Short 1 -525.00 16068.75 -1982.19 -3661.38 MFE = 0.00 MAE = -525.00 940517 Enter Long 1 -160.25 15908.50 -2142.44 -3661.38 940518 Long 1 282.95 16351.70 -1699.24 -3661.38 940519 Long 1 141.54 16210.29 -1840.65 -3661.38 940520 Long 1 330.29 16399.04 -1651.89 -3661.38 940523 Exit Long 1 500.00 16568.75 -1482.19 -3661.38 MFE = 500.00 MAE = -160.25 -25.00 940603 Enter Short 1 276.87 16845.62 -1205.32 -3661.38 940606 Short 1 183.49 16752.24 -1298.70 -3661.38 940607 Short 1 80.31 16649.06 -1401.88 -3661.38 940608 Short 1 74.04 16642.79 -1408.15 -3661.38 940609 Short 1 30.11 16598.86 -1452.08 -3661.38 940610 Exit Short 1 -200.00 16368.75 -1682.19 -3661.38 MFE = 276.87 MAE = -200.00 940610 Enter Long 1 -44.34 16324.41 -1726.53 -3661.38 940613 Exit Long 1 500.00 16868.75 -1182.19 -3661.38 MFE = 500.00 MAE = -44.34 940615 Enter Long 1 -62.84 16805.91 -1245.03 -3661.38 940616 Long 1 -79.46 16789.29 -1261.65 -3661.38 940617 Exit Long 1 500.00 17368.75 -682.19 -3661.38 MFE = 500.00 MAE = -79.46 940624 Enter Long 1 -13.78 17354.97 -695.97 -3661.38 940627 Long 1 -49.25 17319.50 -731.43 -3661.38 940628 Long 1 -3.13 17365.62 -685.32 -3661.38 940629 Long 1 -243.36 17125.39 -925.55 -3661.38 940630 Long 1 -208.19 17160.56 -890.37 -3661.38 800.00 940701 Long 1 -428.90 16939.85 -1111.09 -3661.38 940704 Long 1 -470.71 16898.04 -1152.90 -3661.38 940705 Long 1 21.74 17390.49 -660.45 -3661.38 940706 Long 1 -95.28 17273.47 -777.46 -3661.38 940707 Long 1 85.81 17454.56 -596.38 -3661.38 940708 Long 1 397.95 17766.70 -284.24 -3661.38 940711 Exit Long 1 627.11 17995.86 -55.07 -3661.38 MFE = 627.11 MAE = -470.71 940727 Enter Long 1 -1.94 17993.93 -57.01 -3661.38 940728 Long 1 -502.21 17493.66 -557.28 -3661.38 940729 Long 1 -173.38 17822.49 -228.45 -3661.38 627.11 940801 Long 1 107.18 18103.04 0.00 -3661.38 940802 Long 1 -79.07 17916.80 -186.24 -3661.38 940803 Long 1 78.97 18074.83 -28.21 -3661.38 940804 Long 1 -211.69 17784.17 -318.87 -3661.38 940805 Long 1 36.72 18032.59 -70.45 -3661.38 940808 Long 1 -15.98 17979.89 -123.15 -3661.38 940809 Long 1 33.21 18029.07 -73.97 -3661.38 940810 Long 1 -51.05 17944.82 -158.22 -3661.38 940811 Exit Long 1 500.00 18495.86 0.00 -3661.38 MFE = 500.00 MAE = -502.21 940812 Enter Long 1 -159.43 18336.43 -159.43 -3661.38 940815 Long 1 -174.17 18321.69 -174.17 -3661.38 940816 Long 1 -525.31 17970.56 -525.31 -3661.38 940817 Long 1 -203.63 18292.23 -203.63 -3661.38 940818 Long 1 66.53 18562.40 0.00 -3661.38 940819 Long 1 96.32 18592.19 0.00 -3661.38 940822 Long 1 324.70 18820.56 0.00 -3661.38 940823 Long 1 268.34 18764.20 -56.36 -3661.38 940824 Long 1 -181.54 18314.32 -506.24 -3661.38 940825 Long 1 -163.11 18332.75 -487.81 -3661.38 940826 Exit Long 1 -737.50 17758.36 -737.50 -3661.38 MFE = 324.70 MAE = -737.50 940826 Exit Short 1 500.00 18258.36 -562.20 -3661.38 MFE = 500.00 MAE = 0.00 262.50 940902 Enter Long 1 259.98 18518.35 -302.22 -3661.38 940905 Long 1 212.30 18470.66 -349.90 -3661.38 940906 Exit Long 1 500.00 18758.36 -62.20 -3661.38 MFE = 500.00 MAE = 0.00 940909 Enter Long 1 46.56 18804.92 -15.64 -3661.38 940912 Long 1 -181.07 18577.29 -243.27 -3661.38 940913 Long 1 -116.80 18641.57 -179.00 -3661.38 940914 Long 1 8.47 18766.84 -53.73 -3661.38 940915 Long 1 -158.41 18599.95 -220.61 -3661.38 940916 Long 1 8.47 18766.84 -53.73 -3661.38 940919 Long 1 -162.19 18596.18 -224.39 -3661.38 940920 Long 1 -105.44 18652.93 -167.63 -3661.38 940921 Long 1 -29.56 18728.81 -91.75 -3661.38 940922 Long 1 -143.29 18615.07 -205.49 -3661.38 940923 Long 1 -162.19 18596.18 -224.39 -3661.38 940926 Long 1 -143.29 18615.07 -205.49 -3661.38 940927 Long 1 199.50 18957.87 0.00 -3661.38 940928 Long 1 -207.49 18550.87 -407.00 -3661.38 940929 Long 1 -124.36 18634.00 -323.87 -3661.38 940930 Long 1 -143.29 18615.07 -342.79 -3661.38 500.00 941003 Long 1 -369.16 18389.21 -568.66 -3661.38 941004 Long 1 -101.65 18656.72 -301.15 -3661.38 941005 Long 1 73.25 18831.62 -126.25 -3661.38 941006 Long 1 122.91 18881.28 -76.59 -3661.38 941007 Long 1 27.51 18785.87 -172.00 -3661.38 941010 Long 1 -21.96 18736.41 -221.46 -3661.38 941011 Exit Long 1 -412.50 18345.86 -474.70 -3661.38 MFE = 199.50 MAE = -412.50 941011 Enter Short 1 -123.49 18222.38 -735.49 -3661.38 941012 Short 1 -263.14 18082.73 -875.14 -3661.38 941013 Exit Short 1 -687.50 17658.36 -1162.20 -3661.38 MFE = 0.00 MAE = -687.50 941013 Enter Long 1 105.45 17763.81 -1194.06 -3661.38 941014 Exit Long 1 500.00 18158.36 -799.50 -3661.38 MFE = 500.00 MAE = 0.00 941017 Enter Long 1 -6.90 18151.46 -806.41 -3661.38 941018 Long 1 65.39 18223.76 -734.11 -3661.38 941019 Long 1 113.71 18272.07 -685.80 -3661.38 941020 Long 1 401.50 18559.86 -398.01 -3661.38 941021 Long 1 5.13 18163.49 -794.38 -3661.38 941024 Long 1 247.06 18405.43 -552.44 -3661.38 941025 Long 1 -87.00 18071.37 -886.50 -3661.38 941026 Long 1 226.81 18385.18 -572.69 -3661.38 941027 Long 1 -214.61 17943.76 -1014.11 -3661.38 941028 Exit Long 1 -687.50 17470.86 -1487.00 -3661.38 MFE = 401.50 MAE = -687.50 941028 Enter Short 1 -190.68 17280.19 -1677.68 -3661.38 941031 Short 1 -376.39 17094.47 -1863.40 -3661.38 -1287.50 941101 Short 1 -760.09 16710.77 -2247.10 -3661.38 941102 Short 1 -104.22 17366.65 -1591.22 -3661.38 941103 Short 1 122.28 17593.14 -1364.73 -3661.38 941104 Short 1 83.38 17554.24 -1403.63 -3661.38 941107 Short 1 141.71 17612.57 -1345.30 -3661.38 941108 Short 1 -143.48 17327.38 -1630.48 -3661.38 941109 Exit Short 1 500.00 17970.86 -987.00 -3661.38 MFE = 500.00 MAE = -760.09 941115 Enter Short 1 -3.14 17967.72 -990.14 -3661.38 941116 Short 1 -211.80 17759.06 -1198.81 -3661.38 941117 Short 1 -222.83 17748.03 -1209.84 -3661.38 941118 Short 1 333.43 18304.30 -653.57 -3661.38 941121 Exit Short 1 500.00 18470.86 -487.00 -3661.38 MFE = 500.00 MAE = -222.83 1000.00 941208 Enter Short 1 -7.68 18463.18 -494.69 -3661.38 941209 Short 1 2.81 18473.67 -484.19 -3661.38 941212 Short 1 -112.89 18357.97 -599.89 -3661.38 941213 Short 1 -260.97 18209.89 -747.98 -3661.38 941214 Short 1 -342.47 18128.40 -829.47 -3661.38 941215 Short 1 -360.22 18110.64 -847.22 -3661.38 941216 Short 1 -148.06 18322.80 -635.07 -3661.38 941219 Short 1 -183.29 18287.57 -670.30 -3661.38 941220 Short 1 -317.64 18153.23 -804.64 -3661.38 941221 Short 1 -148.06 18322.80 -635.07 -3661.38 941222 Short 1 -200.93 18269.94 -687.93 -3661.38 941223 Short 1 -151.59 18319.28 -638.59 -3661.38 941226 Short 1 -105.86 18365.00 -592.87 -3661.38 941227 Short 1 -246.83 18224.03 -733.84 -3661.38 941228 Exit Short 1 -437.50 18033.36 -924.50 -3661.38 MFE = 2.81 MAE = -437.50 941228 Exit Long 1 500.00 18533.36 -424.50 -3661.38 MFE = 500.00 MAE = 0.00 62.50 950105 Enter Long 1 16.11 18549.47 -408.40 -3661.38 950106 Long 1 -339.53 18193.84 -764.03 -3661.38 950109 Exit Long 1 500.00 19033.36 0.00 -3661.38 MFE = 500.00 MAE = -339.53 950119 Enter Long 1 -28.95 19004.42 -28.95 -3661.38 950120 Long 1 164.10 19197.47 0.00 -3661.38 950123 Long 1 156.35 19189.71 -7.76 -3661.38 950124 Long 1 136.98 19170.35 -27.12 -3661.38 950125 Long 1 -94.25 18939.12 -258.35 -3661.38 950126 Long 1 -78.90 18954.47 -243.00 -3661.38 950127 Long 1 -9.71 19023.65 -173.82 -3661.38 950130 Long 1 304.04 19337.41 0.00 -3661.38 950131 Exit Long 1 -487.50 18545.86 -487.50 -3661.38 MFE = 304.04 MAE = -487.50 950131 Enter Short 1 -17.90 18527.96 -809.45 -3661.38 12.50 950201 Short 1 -101.23 18444.64 -892.77 -3661.38 950202 Short 1 -67.10 18478.76 -858.65 -3661.38 950203 Short 1 230.37 18776.23 -561.18 -3661.38 950206 Short 1 308.83 18854.69 -482.72 -3661.38 950207 Exit Short 1 500.00 19045.86 -291.54 -3661.38 MFE = 500.00 MAE = -101.23 950210 Enter Long 1 115.81 19161.67 -175.74 -3661.38 950213 Long 1 -9.40 19036.46 -300.95 -3661.38 950214 Exit Long 1 500.00 19545.86 0.00 -3661.38 MFE = 500.00 MAE = -9.40 950216 Enter Long 1 142.99 19688.85 0.00 -3661.38 950217 Exit Long 1 500.00 20045.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 950227 Enter Long 1 -335.69 19710.18 0.00 -3661.38 950228 Long 1 -112.04 19933.83 0.00 -3661.38 1500.00 950301 Long 1 -185.45 19860.41 -73.41 -3661.38 950302 Exit Long 1 500.00 20545.86 0.00 -3661.38 MFE = 500.00 MAE = -335.69 950303 Enter Long 1 211.64 20757.50 0.00 -3661.38 950306 Exit Long 1 500.00 21045.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 950307 Enter Long 1 -110.34 20935.53 0.00 -3661.38 950308 Exit Long 1 500.00 21545.86 0.00 -3661.38 MFE = 500.00 MAE = -110.34 950315 Exit Long 1 500.00 22045.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 950328 Enter Long 1 -1.47 22044.39 0.00 -3661.38 950329 Exit Long 1 500.00 22545.86 0.00 -3661.38 MFE = 500.00 MAE = -1.47 2500.00 950410 Exit Short 1 500.00 23045.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 950417 Enter Long 1 363.22 23409.08 0.00 -3661.38 950418 Exit Long 1 500.00 23545.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 950510 Enter Short 1 -67.95 23477.91 0.00 -3661.38 950511 Exit Short 1 500.00 24045.86 0.00 -3661.38 MFE = 500.00 MAE = -67.95 950531 Enter Short 1 -93.63 23952.24 0.00 -3661.38 500.00 950601 Exit Short 1 500.00 24545.86 0.00 -3661.38 MFE = 500.00 MAE = -93.63 950621 Enter Long 1 -104.64 24441.23 0.00 -3661.38 950622 Long 1 -718.48 23827.38 -613.85 -3661.38 950623 Long 1 -152.34 24393.52 -47.71 -3661.38 950626 Long 1 -389.67 24156.19 -285.04 -3661.38 950627 Long 1 -199.98 24345.88 -95.35 -3661.38 950628 Long 1 -811.70 23734.16 -707.07 -3661.38 950629 Long 1 -152.34 24393.52 -47.71 -3661.38 950630 Long 1 -294.99 24250.87 -190.35 -3661.38 500.00 950703 Long 1 -104.64 24441.23 0.00 -3661.38 950704 Long 1 -294.99 24250.87 -190.35 -3661.38 950705 Long 1 -128.50 24417.36 -23.87 -3661.38 950706 Long 1 -66.40 24479.46 0.00 -3661.38 950707 Exit Long 1 -662.50 23883.36 -662.50 -3661.38 MFE = 0.00 MAE = -811.70 950707 Enter Short 1 80.98 23964.35 -515.12 -3661.38 950710 Short 1 104.32 23987.68 -491.78 -3661.38 950711 Exit Short 1 500.00 24383.36 -96.10 -3661.38 MFE = 500.00 MAE = 0.00 950719 Enter Long 1 187.52 24570.88 0.00 -3661.38 950720 Long 1 -91.82 24291.54 -279.34 -3661.38 950721 Long 1 -214.01 24169.35 -401.53 -3661.38 950724 Long 1 -49.39 24333.97 -236.91 -3661.38 950725 Long 1 -428.86 23954.51 -616.38 -3661.38 950726 Long 1 -96.53 24286.84 -284.05 -3661.38 950727 Long 1 40.39 24423.76 -147.13 -3661.38 950728 Long 1 54.59 24437.96 -132.93 -3661.38 950731 Long 1 -96.53 24286.84 -284.05 -3661.38 -162.50 950801 Exit Long 1 500.00 24883.36 0.00 -3661.38 MFE = 500.00 MAE = -428.86 950810 Enter Short 1 -177.51 24705.86 -177.51 -3661.38 950811 Exit Short 1 500.00 25383.36 0.00 -3661.38 MFE = 500.00 MAE = -177.51 950815 Exit Short 1 500.00 25883.36 0.00 -3661.38 MFE = 500.00 MAE = 0.00 1500.00 950906 Enter Short 1 -111.41 25771.96 -111.41 -3661.38 950907 Short 1 70.90 25954.27 0.00 -3661.38 950908 Short 1 -26.45 25856.91 -97.36 -3661.38 950911 Short 1 -218.00 25665.37 -288.90 -3661.38 950912 Short 1 -475.62 25407.75 -546.52 -3661.38 950913 Short 1 142.62 26025.99 0.00 -3661.38 950914 Short 1 -98.65 25784.71 -241.27 -3661.38 950915 Short 1 -325.02 25558.34 -467.65 -3661.38 950918 Short 1 -389.46 25493.91 -532.08 -3661.38 950919 Short 1 -510.16 25373.21 -652.78 -3661.38 950920 Exit Short 1 -1043.75 24839.61 -1043.75 -3661.38 MFE = 142.62 MAE = -1043.75 950920 Exit Long 1 500.00 25339.61 -686.37 -3661.38 MFE = 500.00 MAE = 0.00 950921 Exit Long 1 500.00 25839.61 -186.37 -3661.38 MFE = 500.00 MAE = 0.00 -43.75 951005 Enter Long 1 -48.49 25791.13 -234.86 -3661.38 951006 Long 1 -263.67 25575.94 -450.04 -3661.38 951009 Long 1 -62.89 25776.73 -249.26 -3661.38 951010 Long 1 -358.77 25480.84 -545.14 -3661.38 951011 Long 1 -782.63 25056.98 -969.00 -3661.38 951012 Long 1 -382.49 25457.12 -568.86 -3661.38 951013 Long 1 -665.56 25174.06 -851.93 -3661.38 951016 Long 1 -707.76 25131.85 -894.13 -3661.38 951017 Long 1 -311.26 25528.35 -497.63 -3661.38 951018 Long 1 -759.26 25080.36 -945.63 -3661.38 951019 Long 1 -373.00 25466.61 -559.37 -3661.38 951020 Long 1 -24.47 25815.14 -210.84 -3661.38 951023 Exit Long 1 500.00 26339.61 0.00 -3661.38 MFE = 500.00 MAE = -782.63 500.00 951124 Enter Short 1 34.75 26374.37 0.00 -3661.38 951127 Exit Short 1 500.00 26839.61 0.00 -3661.38 MFE = 500.00 MAE = 0.00 500.00 951218 Enter Long 1 191.41 27031.02 0.00 -3661.38 951219 Long 1 -328.01 26511.61 -519.41 -3661.38 951220 Long 1 -248.38 26591.23 -439.79 -3661.38 951221 Long 1 -351.38 26488.23 -542.79 -3661.38 951222 Long 1 -365.40 26474.22 -556.80 -3661.38 951225 Long 1 -467.95 26371.66 -659.36 -3661.38 951226 Long 1 -140.28 26699.34 -331.68 -3661.38 951227 Long 1 -351.38 26488.23 -542.79 -3661.38 951228 Long 1 -328.01 26511.61 -519.41 -3661.38 951229 Long 1 -210.83 26628.79 -402.23 -3661.38 0.00 960102 Long 1 -444.68 26394.94 -636.08 -3661.38 960103 Exit Long 1 -768.75 26070.86 -768.75 -3661.38 MFE = 191.41 MAE = -768.75 960103 Enter Short 1 -21.10 26049.76 -981.26 -3661.38 960104 Exit Short 1 500.00 26570.86 -460.16 -3661.38 MFE = 500.00 MAE = -21.10 960116 Enter Short 1 327.65 26898.51 -132.51 -3661.38 960117 Exit Short 1 500.00 27070.86 0.00 -3661.38 MFE = 500.00 MAE = 0.00 960126 Enter Short 1 118.44 27189.31 0.00 -3661.38 960129 Short 1 -78.51 26992.35 -196.95 -3661.38 960130 Short 1 373.10 27443.97 0.00 -3661.38 960131 Short 1 212.11 27282.97 -160.99 -3661.38 231.25 960201 Exit Short 1 500.00 27570.86 0.00 -3661.38 MFE = 500.00 MAE = -78.51 960214 Enter Long 1 35.65 27606.51 0.00 -3661.38 960215 Long 1 -73.63 27497.23 -109.28 -3661.38 960216 Exit Long 1 500.00 28070.86 0.00 -3661.38 MFE = 500.00 MAE = -73.63 960219 Enter Long 1 -196.12 27874.74 -196.12 -3661.38 960220 Long 1 -263.73 27807.13 -263.73 -3661.38 960221 Long 1 -452.13 27618.73 -452.13 -3661.38 960222 Long 1 -272.73 27798.13 -272.73 -3661.38 960223 Long 1 -137.39 27933.48 -137.39 -3661.38 960226 Long 1 -295.22 27775.64 -295.22 -3661.38 960227 Long 1 -411.87 27658.99 -411.87 -3661.38 960228 Exit Long 1 -881.25 27189.61 -881.25 -3661.38 MFE = 0.00 MAE = -881.25 960228 Enter Short 1 148.75 27338.36 -732.50 -3661.38 960229 Exit Short 1 500.00 27689.61 -381.25 -3661.38 MFE = 500.00 MAE = 0.00 618.75 960307 Enter Short 1 -408.02 27281.59 -789.27 -3661.38 960308 Short 1 -269.27 27420.34 -650.52 -3661.38 960311 Short 1 -303.89 27385.72 -685.14 -3661.38 960312 Short 1 -674.58 27015.04 -1055.83 -3661.38 960313 Short 1 -908.40 26781.22 -1289.65 -3661.38 960314 Short 1 -926.13 26763.48 -1307.38 -3661.38 960315 Short 1 -970.51 26719.11 -1351.76 -3661.38 960318 Short 1 -749.35 26940.27 -1130.60 -3661.38 960319 Short 1 -811.08 26878.53 -1192.33 -3661.38 960320 Short 1 -718.53 26971.08 -1099.78 -3661.38 960321 Short 1 -508.21 27181.41 -889.46 -3661.38 960322 Short 1 -670.19 27019.43 -1051.44 -3661.38 960325 Short 1 -731.74 26957.87 -1112.99 -3661.38 960326 Short 1 -687.75 27001.86 -1069.00 -3661.38 960327 Short 1 -451.53 27238.08 -832.78 -3661.38 960328 Short 1 -837.59 26852.02 -1218.84 -3661.38 960329 Short 1 -846.43 26843.18 -1227.68 -3661.38 0.00 960401 Short 1 -591.26 27098.36 -972.51 -3661.38 960402 Short 1 -591.26 27098.36 -972.51 -3661.38 960403 Short 1 -538.78 27150.84 -920.03 -3661.38 960404 Short 1 -700.95 26988.67 -1082.20 -3661.38 960405 Short 1 -608.78 27080.83 -990.03 -3661.38 960408 Short 1 -573.75 27115.86 -955.00 -3661.38 960409 Short 1 108.51 27798.12 -272.74 -3661.38 960410 Exit Short 1 500.00 28189.61 0.00 -3661.38 MFE = 500.00 MAE = -970.51 960418 Enter Long 1 -38.68 28150.94 -38.68 -3661.38 960419 Long 1 -418.90 27770.71 -418.90 -3661.38 960422 Long 1 -456.20 27733.41 -456.20 -3661.38 960423 Long 1 -662.42 27527.19 -662.42 -3661.38 960424 Long 1 -518.24 27671.37 -518.24 -3661.38 960425 Exit Long 1 -918.75 27270.86 -918.75 -3661.38 MFE = 0.00 MAE = -918.75 960425 Enter Short 1 -39.00 27231.87 -957.75 -3661.38 960426 Short 1 -194.38 27076.48 -1113.13 -3661.38 960429 Short 1 22.07 27292.94 -896.68 -3661.38 960430 Short 1 196.34 27467.21 -722.41 -3661.38 -418.75 960501 Exit Short 1 500.00 27770.86 -418.75 -3661.38 MFE = 500.00 MAE = -194.38 960508 Enter Long 1 -70.06 27700.80 -488.81 -3661.38 960509 Long 1 -249.84 27521.02 -668.59 -3661.38 960510 Long 1 -613.62 27157.24 -1032.37 -3661.38 960513 Long 1 -693.75 27077.11 -1112.50 -3661.38 960514 Long 1 -693.75 27077.11 -1112.50 -3661.38 960515 Long 1 -769.63 27001.23 -1188.38 -3661.38 960516 Exit Long 1 -1068.75 26702.11 -1487.50 -3661.38 MFE = 0.00 MAE = -1068.75 960516 Enter Short 1 -186.54 26515.58 -1674.04 -3661.38 960517 Short 1 105.81 26807.92 -1381.69 -3661.38 960520 Short 1 117.59 26819.70 -1369.91 -3661.38 960521 Exit Short 1 500.00 27202.11 -987.50 -3661.38 MFE = 500.00 MAE = -186.54 960528 Enter Short 1 -41.47 27160.64 -1028.97 -3661.38 960529 Short 1 -529.11 26673.00 -1516.61 -3661.38 960530 Short 1 -529.11 26673.00 -1516.61 -3661.38 960531 Short 1 -982.36 26219.75 -1969.86 -3661.38 -68.75 960603 Short 1 -786.53 26415.58 -1774.03 -3661.38 960604 Short 1 -608.04 26594.08 -1595.54 -3661.38 960605 Short 1 -631.77 26570.35 -1619.27 -3661.38 960606 Short 1 -623.86 26578.26 -1611.36 -3661.38 960607 Short 1 -138.23 27063.88 -1125.73 -3661.38 960610 Short 1 -239.27 26962.84 -1226.77 -3661.38 960611 Short 1 -340.72 26861.39 -1328.22 -3661.38 960612 Short 1 -426.89 26775.22 -1414.39 -3661.38 960613 Exit Short 1 -675.00 26527.11 -1662.50 -3661.38 MFE = 0.00 MAE = -982.36 960613 Enter Long 1 108.68 26635.80 -1553.82 -3661.38 960614 Exit Long 1 500.00 27027.11 -1162.50 -3661.38 MFE = 500.00 MAE = 0.00 960621 Enter Short 1 145.88 27172.99 -1016.62 -3661.38 960624 Short 1 -108.50 26918.61 -1271.00 -3661.38 960625 Short 1 -132.11 26895.00 -1294.61 -3661.38 960626 Short 1 -246.56 26780.55 -1409.06 -3661.38 960627 Exit Short 1 -556.25 26470.86 -1718.75 -3661.38 MFE = 145.88 MAE = -556.25 960627 Enter Long 1 138.17 26609.03 -1580.58 -3661.38 960628 Long 1 -169.71 26301.15 -1888.46 -3661.38 -731.25 960701 Long 1 -10.25 26460.61 -1729.00 -3661.38 960702 Long 1 -22.24 26448.62 -1740.99 -3661.38 960703 Long 1 -78.14 26392.72 -1796.89 -3661.38 960704 Long 1 -173.69 26297.18 -1892.44 -3661.38 960705 Exit Long 1 -412.50 26058.36 -2131.25 -3661.38 MFE = 138.17 MAE = -412.50 960705 Enter Short 1 82.41 26140.77 -2048.84 -3661.38 960708 Short 1 90.26 26148.62 -2040.99 -3661.38 960709 Short 1 160.81 26219.17 -1970.44 -3661.38 960710 Short 1 141.24 26199.60 -1990.01 -3661.38 960711 Exit Short 1 -231.25 25827.11 -2362.50 -3661.38 MFE = 160.81 MAE = -231.25 960711 Enter Long 1 -83.65 25743.46 -2446.15 -3661.38 960712 Long 1 -198.20 25628.92 -2560.70 -3661.38 960715 Long 1 195.01 26022.12 -2167.49 -3661.38 960716 Exit Long 1 500.00 26327.11 -1862.50 -3661.38 MFE = 500.00 MAE = -198.20 960731 Exit Long 1 500.00 26827.11 -1362.50 -3661.38 MFE = 500.00 MAE = 0.00 356.25 960821 Enter Long 1 1.77 26828.89 -1360.73 -3661.38 960822 Long 1 -360.88 26466.24 -1723.38 -3661.38 960823 Long 1 285.90 27113.01 -1076.60 -3661.38 960826 Long 1 237.60 27064.71 -1124.90 -3661.38 960827 Long 1 268.33 27095.44 -1094.17 -3661.38 960828 Long 1 303.48 27130.60 -1059.02 -3661.38 960829 Long 1 220.06 27047.17 -1142.44 -3661.38 960830 Long 1 -93.70 26733.42 -1456.20 -3661.38 0.00 960902 Long 1 -429.38 26397.73 -1791.88 -3661.38 960903 Long 1 -429.38 26397.73 -1791.88 -3661.38 960904 Long 1 -266.38 26560.73 -1628.88 -3661.38 960905 Long 1 -365.16 26461.95 -1727.66 -3661.38 960906 Exit Long 1 -787.50 26039.61 -2150.00 -3661.38 MFE = 303.48 MAE = -787.50 960906 Enter Short 1 78.35 26117.96 -2071.65 -3661.38 960909 Short 1 204.28 26243.89 -1945.72 -3661.38 960910 Exit Short 1 500.00 26539.61 -1650.00 -3661.38 MFE = 500.00 MAE = 0.00 960926 Enter Short 1 77.11 26616.72 -1572.89 -3661.38 960927 Short 1 156.54 26696.15 -1493.46 -3661.38 960930 Short 1 96.99 26636.60 -1553.01 -3661.38 -287.50 961001 Short 1 180.32 26719.93 -1469.68 -3661.38 961002 Short 1 227.80 26767.42 -1422.20 -3661.38 961003 Short 1 120.83 26660.44 -1529.17 -3661.38 961004 Short 1 235.71 26775.33 -1414.29 -3661.38 961007 Short 1 132.73 26672.35 -1517.27 -3661.38 961008 Exit Short 1 -187.50 26352.11 -1837.50 -3661.38 MFE = 235.71 MAE = -187.50 961008 Enter Long 1 -279.36 26072.76 -2116.86 -3661.38 961009 Long 1 -199.80 26152.31 -2037.30 -3661.38 961010 Long 1 -31.90 26320.21 -1869.40 -3661.38 961011 Long 1 -239.61 26112.51 -2077.11 -3661.38 961014 Long 1 -179.87 26172.24 -2017.37 -3661.38 961015 Exit Long 1 -487.50 25864.61 -2325.00 -3661.38 MFE = 0.00 MAE = -487.50 961015 Enter Short 1 347.28 26211.89 -1977.72 -3661.38 961016 Short 1 327.84 26192.45 -1997.16 -3661.38 961017 Short 1 366.71 26231.32 -1958.29 -3661.38 961018 Exit Short 1 500.00 26364.61 -1825.00 -3661.38 MFE = 500.00 MAE = 0.00 961022 Enter Long 1 103.01 26467.63 -1721.99 -3661.38 961023 Long 1 83.14 26447.76 -1741.86 -3661.38 961024 Long 1 71.24 26435.85 -1753.76 -3661.38 961025 Long 1 -154.00 26210.62 -1979.00 -3661.38 961028 Long 1 -165.80 26198.81 -1990.80 -3661.38 961029 Long 1 23.65 26388.26 -1801.35 -3661.38 961030 Long 1 75.21 26439.82 -1749.79 -3661.38 961031 Long 1 -447.28 25917.34 -2272.28 -3661.38 -175.00 961101 Long 1 -486.12 25878.49 -2311.12 -3661.38 961104 Long 1 -369.41 25995.20 -2194.41 -3661.38 961105 Long 1 -787.00 25577.62 -2612.00 -3661.38 961106 Long 1 -775.50 25589.12 -2600.50 -3661.38 961107 Long 1 -679.42 25685.20 -2504.42 -3661.38 961108 Long 1 -342.10 26022.51 -2167.10 -3661.38 961111 Long 1 103.01 26467.63 -1721.99 -3661.38 961112 Long 1 -462.82 25901.79 -2287.82 -3661.38 961113 Long 1 -524.90 25839.71 -2349.90 -3661.38 961114 Long 1 -737.11 25627.50 -2562.11 -3661.38 961115 Long 1 -859.73 25504.88 -2684.73 -3661.38 961118 Long 1 -388.90 25975.71 -2213.90 -3661.38 961119 Long 1 -610.00 25754.61 -2435.00 -3661.38 961120 Long 1 -373.31 25991.30 -2198.31 -3661.38 961121 Long 1 -388.90 25975.71 -2213.90 -3661.38 961122 Long 1 -563.62 25800.99 -2388.62 -3661.38 961125 Exit Long 1 -881.25 25483.36 -2706.25 -3661.38 MFE = 103.01 MAE = -881.25 961125 Enter Short 1 382.76 25866.13 -2323.49 -3661.38 961126 Exit Short 1 500.00 25983.36 -2206.25 -3661.38 MFE = 500.00 MAE = 0.00 961129 Enter Short 1 37.70 26021.07 -2168.55 -3661.38 -381.25 961202 Exit Short 1 500.00 26483.36 -1706.25 -3661.38 MFE = 500.00 MAE = 0.00 961206 Enter Long 1 -688.85 25794.52 -2395.10 -3661.38 961209 Long 1 -1135.71 25347.65 -2841.96 -3661.38 961210 Long 1 -1071.88 25411.48 -2778.13 -3661.38 961211 Long 1 -482.25 26001.11 -2188.50 -3661.38 961212 Long 1 -507.72 25975.65 -2213.97 -3661.38 961213 Long 1 -1004.32 25479.05 -2710.57 -3661.38 961216 Long 1 -832.77 25650.60 -2539.02 -3661.38 961217 Long 1 -1004.32 25479.05 -2710.57 -3661.38 961218 Long 1 -1135.71 25347.65 -2841.96 -3661.38 961219 Exit Long 1 -1581.25 24902.11 -3287.50 -3661.38 MFE = 0.00 MAE = -1581.25 961219 Enter Short 1 -48.14 24853.98 -3335.64 -3661.38 961220 Short 1 -226.58 24675.54 -3514.08 -3661.38 961223 Short 1 -121.45 24780.67 -3408.95 -3661.38 961224 Short 1 191.12 25093.23 -3096.38 -3661.38 961225 Short 1 184.22 25086.34 -3103.28 -3661.38 961226 Short 1 104.72 25006.83 -3182.78 -3661.38 961227 Short 1 328.71 25230.82 -2958.79 -3661.38 961230 Short 1 277.21 25179.32 -3010.29 -3661.38 961231 Short 1 -16.79 24885.32 -3304.29 -3661.38 -1081.25 970102 Short 1 242.81 25144.93 -3044.69 -3661.38 970103 Exit Short 1 500.00 25402.11 -2787.50 -3661.38 MFE = 500.00 MAE = -226.58 970117 Enter Short 1 366.19 25768.31 -2421.31 -3661.38 970120 Exit Short 1 500.00 25902.11 -2287.50 -3661.38 MFE = 500.00 MAE = 0.00 1000.00 970207 Enter Short 1 -331.43 25570.68 -2618.93 -3661.38 970210 Short 1 -466.29 25435.82 -2753.79 -3661.38 970211 Short 1 -106.49 25795.63 -2393.99 -3661.38 970212 Short 1 398.66 26300.77 -1888.84 -3661.38 970213 Short 1 398.66 26300.77 -1888.84 -3661.38 970214 Exit Short 1 500.00 26402.11 -1787.50 -3661.38 MFE = 500.00 MAE = -466.29 970217 Enter Short 1 67.04 26469.15 -1720.46 -3661.38 970218 Short 1 -333.80 26068.32 -2121.30 -3661.38 970219 Short 1 95.37 26497.49 -1692.13 -3661.38 970220 Short 1 -232.88 26169.23 -2020.38 -3661.38 970221 Short 1 -302.03 26100.08 -2089.53 -3661.38 970224 Exit Short 1 -887.50 25514.61 -2675.00 -3661.38 MFE = 95.37 MAE = -887.50 970224 Enter Long 1 -111.32 25403.29 -2786.32 -3661.38 970225 Long 1 -231.83 25282.79 -2906.83 -3661.38 970226 Long 1 -798.67 24715.95 -3473.67 -3661.38 970227 Long 1 -580.67 24933.95 -3255.67 -3661.38 970228 Long 1 -758.68 24755.94 -3433.68 -3661.38 -387.50 970303 Long 1 -772.97 24741.65 -3447.97 -3661.38 970304 Exit Long 1 -1062.50 24452.11 -3737.50 -3737.50 MFE = 0.00 MAE = -1062.50 970304 Enter Short 1 -51.32 24400.79 -3788.82 -3788.82 970305 Short 1 -164.77 24287.35 -3902.27 -3902.27 970306 Short 1 -221.72 24230.40 -3959.22 -3959.22 970307 Short 1 -235.98 24216.13 -3973.48 -3973.48 970310 Short 1 -485.69 23966.42 -4223.19 -4223.19 970311 Short 1 -451.07 24001.04 -4188.57 -4223.19 970312 Exit Short 1 -831.25 23620.86 -4568.75 -4568.75 MFE = 0.00 MAE = -831.25 970312 Enter Long 1 170.09 23790.96 -4398.66 -4568.75 970313 Long 1 -166.98 23453.88 -4735.73 -4735.73 970314 Long 1 81.65 23702.51 -4487.10 -4735.73 970317 Long 1 -21.08 23599.78 -4589.83 -4735.73 970318 Exit Long 1 500.00 24120.86 -4068.75 -4735.73 MFE = 500.00 MAE = -166.98 970327 Enter Long 1 -31.68 24089.18 -4100.43 -4735.73 970328 Long 1 -82.19 24038.67 -4150.94 -4735.73 970331 Long 1 -16.80 24104.06 -4085.55 -4735.73 -1393.75 970401 Long 1 177.56 24298.42 -3891.19 -4735.73 970402 Long 1 162.55 24283.41 -3906.20 -4735.73 970403 Exit Long 1 500.00 24620.86 -3568.75 -4735.73 MFE = 500.00 MAE = -82.19 970407 Enter Short 1 360.30 24981.16 -3208.45 -4735.73 970408 Exit Short 1 500.00 25120.86 -3068.75 -4735.73 MFE = 500.00 MAE = 0.00 970418 Enter Long 1 33.86 25154.72 -3034.89 -4735.73 970421 Exit Long 1 500.00 25620.86 -2568.75 -4735.73 MFE = 500.00 MAE = 0.00 970428 Enter Short 1 -64.13 25556.73 -2632.88 -4735.73 970429 Short 1 -237.43 25383.43 -2806.18 -4735.73 970430 Short 1 -107.32 25513.54 -2676.07 -4735.73 1500.00 970501 Short 1 -179.51 25441.36 -2748.26 -4735.73 970502 Short 1 -144.83 25476.04 -2713.58 -4735.73 970505 Short 1 -21.02 25599.84 -2589.77 -4735.73 970506 Exit Short 1 -512.50 25108.36 -3081.25 -4735.73 MFE = 0.00 MAE = -512.50 970506 Enter Long 1 -84.11 25024.25 -3165.36 -4735.73 970507 Long 1 -16.78 25091.58 -3098.03 -4735.73 970508 Exit Long 1 500.00 25608.36 -2581.25 -4735.73 MFE = 500.00 MAE = -84.11 970509 Enter Long 1 18.37 25626.73 -2562.88 -4735.73 970512 Long 1 -439.47 25168.90 -3020.72 -4735.73 970513 Long 1 -318.31 25290.05 -2899.56 -4735.73 970514 Long 1 -284.88 25323.49 -2866.13 -4735.73 970515 Long 1 -104.66 25503.70 -2685.91 -4735.73 970516 Long 1 126.59 25734.95 -2454.66 -4735.73 970519 Long 1 -119.99 25488.37 -2701.24 -4735.73 970520 Exit Long 1 500.00 26108.36 -2081.25 -4735.73 MFE = 500.00 MAE = -439.47 487.50 970606 Enter Short 1 -284.70 25823.67 -2365.95 -4735.73 970609 Short 1 -629.28 25479.08 -2710.53 -4735.73 970610 Short 1 -523.83 25584.54 -2605.08 -4735.73 970611 Short 1 -644.39 25463.97 -2725.64 -4735.73 970612 Short 1 -433.84 25674.52 -2515.09 -4735.73 970613 Short 1 -478.79 25629.57 -2560.04 -4735.73 970616 Short 1 -523.83 25584.54 -2605.08 -4735.73 970617 Short 1 -463.80 25644.56 -2545.05 -4735.73 970618 Short 1 -341.25 25767.11 -2422.50 -4735.73 970619 Short 1 -614.19 25494.17 -2695.44 -4735.73 970620 Short 1 -568.96 25539.40 -2650.21 -4735.73 970623 Short 1 -902.83 25205.53 -2984.08 -4735.73 970624 Short 1 -629.28 25479.08 -2710.53 -4735.73 970625 Short 1 -665.56 25442.80 -2746.81 -4735.73 970626 Short 1 -750.44 25357.93 -2831.69 -4735.73 970627 Short 1 -121.82 25986.54 -2203.07 -4735.73 970630 Short 1 54.47 26162.83 -2026.78 -4735.73 0.00 970701 Short 1 200.27 26308.63 -1880.98 -4735.73 970702 Short 1 316.20 26424.57 -1765.05 -4735.73 970703 Short 1 185.73 26294.10 -1895.52 -4735.73 970704 Short 1 185.73 26294.10 -1895.52 -4735.73 970707 Exit Short 1 -87.50 26020.86 -2168.75 -4735.73 MFE = 316.20 MAE = -902.83 970707 Enter Long 1 -116.97 25903.89 -2285.72 -4735.73 970708 Long 1 -219.14 25801.73 -2387.89 -4735.73 970709 Long 1 -189.99 25830.87 -2358.74 -4735.73 970710 Long 1 296.64 26317.51 -1872.11 -4735.73 970711 Long 1 -306.32 25714.55 -2475.07 -4735.73 970714 Long 1 -436.43 25584.44 -2605.18 -4735.73 970715 Long 1 -473.87 25547.00 -2642.62 -4735.73 970716 Long 1 -551.42 25469.45 -2720.17 -4735.73 970717 Long 1 -622.97 25397.90 -2791.72 -4735.73 970718 Long 1 -465.23 25555.63 -2633.98 -4735.73 970721 Long 1 -551.42 25469.45 -2720.17 -4735.73 970722 Long 1 -765.35 25255.52 -2934.10 -4735.73 970723 Long 1 -773.86 25247.00 -2942.61 -4735.73 970724 Exit Long 1 -1168.75 24852.11 -3337.50 -4735.73 MFE = 296.64 MAE = -1168.75 970724 Enter Short 1 250.61 25102.73 -3086.89 -4735.73 970725 Exit Short 1 500.00 25352.11 -2837.50 -4735.73 MFE = 500.00 MAE = 0.00 -756.25 970822 Enter Long 1 -2.66 25349.45 -2840.16 -4735.73 970825 Long 1 136.23 25488.34 -2701.27 -4735.73 970826 Exit Long 1 500.00 25852.11 -2337.50 -4735.73 MFE = 500.00 MAE = -2.66 500.00 970905 Enter Long 1 143.12 25995.24 -2194.38 -4735.73 970908 Long 1 -126.94 25725.17 -2464.44 -4735.73 970909 Long 1 -98.68 25753.44 -2436.18 -4735.73 970910 Long 1 120.25 25972.36 -2217.25 -4735.73 970911 Long 1 229.13 26081.25 -2108.37 -4735.73 970912 Exit Long 1 500.00 26352.11 -1837.50 -4735.73 MFE = 500.00 MAE = -126.94 970915 Enter Long 1 60.18 26412.30 -1777.32 -4735.73 970916 Long 1 -73.91 26278.20 -1911.41 -4735.73 970917 Long 1 -368.94 25983.18 -2206.44 -4735.73 970918 Long 1 -529.48 25822.63 -2366.98 -4735.73 970919 Long 1 -412.84 25939.27 -2250.34 -4735.73 970922 Long 1 -639.71 25712.41 -2477.21 -4735.73 970923 Long 1 -642.60 25709.51 -2480.10 -4735.73 970924 Long 1 -310.25 26041.86 -2147.75 -4735.73 970925 Long 1 -79.85 26272.26 -1917.35 -4735.73 970926 Long 1 -142.12 26209.99 -1979.62 -4735.73 970929 Long 1 -180.59 26171.53 -2018.09 -4735.73 970930 Long 1 -20.37 26331.74 -1857.87 -4735.73 500.00 971001 Long 1 -348.42 26003.70 -2185.92 -4735.73 971002 Long 1 -233.73 26118.39 -2071.23 -4735.73 971003 Long 1 -26.33 26325.79 -1863.83 -4735.73 971006 Long 1 21.36 26373.47 -1816.14 -4735.73 971007 Long 1 36.28 26388.40 -1801.22 -4735.73 971008 Long 1 165.06 26517.17 -1672.44 -4735.73 971009 Long 1 -230.78 26121.33 -2068.28 -4735.73 971010 Long 1 -242.57 26109.54 -2080.07 -4735.73 971013 Long 1 -406.99 25945.12 -2244.49 -4735.73 971014 Long 1 -386.51 25965.61 -2224.01 -4735.73 971015 Long 1 -316.13 26035.98 -2153.63 -4735.73 971016 Long 1 -207.18 26144.94 -2044.68 -4735.73 971017 Exit Long 1 -743.75 25608.36 -2581.25 -4735.73 MFE = 165.06 MAE = -743.75 971017 Enter Short 1 65.12 25673.49 -2516.13 -4735.73 971020 Short 1 -18.38 25589.99 -2599.63 -4735.73 971021 Short 1 455.17 26063.54 -2126.08 -4735.73 971022 Short 1 299.45 25907.81 -2281.80 -4735.73 971023 Short 1 -256.25 25352.11 -2837.50 -4735.73 971024 Short 1 -192.18 25416.19 -2773.43 -4735.73 971027 Exit Short 1 -762.50 24845.86 -3343.75 -4735.73 MFE = 455.17 MAE = -762.50 971027 Enter Long 1 92.31 24938.17 -3251.44 -4735.73 971028 Exit Long 1 500.00 25345.86 -2843.75 -4735.73 MFE = 500.00 MAE = 0.00 -1006.25 971107 Enter Long 1 129.11 25474.98 -2714.64 -4735.73 971110 Long 1 226.29 25572.16 -2617.46 -4735.73 971111 Long 1 177.65 25523.51 -2666.10 -4735.73 971112 Long 1 22.69 25368.55 -2821.06 -4735.73 971113 Long 1 -191.83 25154.03 -3035.58 -4735.73 971114 Long 1 -277.70 25068.16 -3121.45 -4735.73 971117 Long 1 -432.70 24913.17 -3276.45 -4735.73 971118 Long 1 -334.76 25011.10 -3178.51 -4735.73 971119 Long 1 -280.88 25064.99 -3124.63 -4735.73 971120 Long 1 -523.92 24821.94 -3367.67 -4735.73 971121 Exit Long 1 -818.75 24527.11 -3662.50 -4735.73 MFE = 226.29 MAE = -818.75 -818.75 971205 Enter Short 1 -15.06 24512.06 -3677.56 -4735.73 971208 Exit Short 1 500.00 25027.11 -3162.50 -4735.73 MFE = 500.00 MAE = -15.06 971211 Enter Long 1 149.96 25177.07 -3012.54 -4735.73 971212 Long 1 -216.67 24810.45 -3379.17 -4735.73 971215 Long 1 -101.23 24925.88 -3263.73 -4735.73 971216 Long 1 -313.40 24713.72 -3475.90 -4735.73 971217 Long 1 -186.35 24840.77 -3348.85 -4735.73 971218 Long 1 -301.33 24725.79 -3463.83 -4735.73 971219 Long 1 -171.17 24855.94 -3333.67 -4735.73 971222 Long 1 -292.27 24734.84 -3454.77 -4735.73 971223 Long 1 -155.99 24871.13 -3318.49 -4735.73 971224 Long 1 -152.95 24874.16 -3315.45 -4735.73 971225 Long 1 -152.95 24874.16 -3315.45 -4735.73 971226 Long 1 -110.37 24916.74 -3272.87 -4735.73 971229 Exit Long 1 -318.75 24708.36 -3481.25 -4735.73 MFE = 149.96 MAE = -318.75 971229 Enter Short 1 301.33 25009.69 -3179.92 -4735.73 971230 Exit Short 1 500.00 25208.36 -2981.25 -4735.73 MFE = 500.00 MAE = 0.00 681.25 980105 Enter Short 1 59.07 25267.43 -2922.18 -4735.73 980106 Short 1 30.59 25238.95 -2950.66 -4735.73 980107 Short 1 -83.73 25124.63 -3064.98 -4735.73 980108 Short 1 -164.13 25044.23 -3145.38 -4735.73 980109 Short 1 -80.87 25127.49 -3062.12 -4735.73 980112 Short 1 -72.28 25136.09 -3053.53 -4735.73 980113 Short 1 -60.82 25147.54 -3042.07 -4735.73 980114 Short 1 87.51 25295.88 -2893.74 -4735.73 980115 Exit Short 1 500.00 25708.36 -2481.25 -4735.73 MFE = 500.00 MAE = -164.13 980121 Enter Long 1 261.90 25970.27 -2219.35 -4735.73 980122 Exit Long 1 500.00 26208.36 -1981.25 -4735.73 MFE = 500.00 MAE = 0.00 980123 Enter Long 1 148.67 26357.04 -1832.58 -4735.73 980126 Exit Long 1 500.00 26708.36 -1481.25 -4735.73 MFE = 500.00 MAE = 0.00 1500.00 980204 Enter Long 1 14.84 26723.20 -1466.41 -4735.73 980205 Long 1 262.55 26970.91 -1218.70 -4735.73 980206 Long 1 -191.88 26516.49 -1673.13 -4735.73 980209 Long 1 -382.06 26326.30 -1863.31 -4735.73 980210 Long 1 -250.58 26457.79 -1731.83 -4735.73 980211 Long 1 -309.11 26399.25 -1790.36 -4735.73 980212 Long 1 -50.34 26658.02 -1531.59 -4735.73 980213 Long 1 -265.23 26443.14 -1746.48 -4735.73 980216 Long 1 -241.78 26466.58 -1723.03 -4735.73 980217 Long 1 -590.76 26117.60 -2072.01 -4735.73 980218 Long 1 -547.45 26160.91 -2028.70 -4735.73 980219 Long 1 -431.52 26276.84 -1912.77 -4735.73 980220 Long 1 -498.26 26210.11 -1979.51 -4735.73 980223 Long 1 83.20 26791.56 -1398.05 -4735.73 980224 Long 1 32.65 26741.01 -1448.60 -4735.73 980225 Long 1 -483.77 26224.60 -1965.02 -4735.73 980226 Long 1 -475.07 26233.30 -1956.32 -4735.73 980227 Long 1 -396.62 26311.75 -1877.87 -4735.73 0.00 980302 Long 1 -425.71 26282.66 -1906.96 -4735.73 980303 Long 1 -489.56 26218.80 -1970.81 -4735.73 980304 Exit Long 1 -781.25 25927.11 -2262.50 -4735.73 MFE = 262.55 MAE = -781.25 980304 Enter Short 1 49.75 25976.87 -2212.75 -4735.73 980305 Short 1 431.73 26358.84 -1830.77 -4735.73 980306 Exit Short 1 500.00 26427.11 -1762.50 -4735.73 MFE = 500.00 MAE = 0.00 980313 Enter Long 1 76.77 26503.88 -1685.73 -4735.73 980316 Long 1 -57.77 26369.34 -1820.27 -4735.73 980317 Long 1 -52.06 26375.05 -1814.56 -4735.73 980318 Long 1 -349.64 26077.48 -2112.14 -4735.73 980319 Long 1 -517.80 25909.31 -2280.30 -4735.73 980320 Long 1 -565.21 25861.91 -2327.71 -4735.73 980323 Long 1 -279.17 26147.95 -2041.67 -4735.73 980324 Long 1 -332.74 26094.37 -2095.24 -4735.73 980325 Long 1 -411.45 26015.66 -2173.95 -4735.73 980326 Long 1 -236.77 26190.34 -1999.27 -4735.73 980327 Long 1 -545.70 25881.41 -2308.20 -4735.73 980330 Exit Long 1 -818.75 25608.36 -2581.25 -4735.73 MFE = 76.77 MAE = -818.75 980330 Enter Short 1 445.54 26053.91 -2135.71 -4735.73 980331 Exit Short 1 500.00 26108.36 -2081.25 -4735.73 MFE = 500.00 MAE = 0.00 -600.00 980408 Enter Long 1 154.14 26262.50 -1927.11 -4735.73 980409 Long 1 -50.81 26057.56 -2132.06 -4735.73 980410 Long 1 -34.48 26073.88 -2115.73 -4735.73 980413 Long 1 107.51 26215.87 -1973.74 -4735.73 980414 Exit Long 1 500.00 26608.36 -1581.25 -4735.73 MFE = 500.00 MAE = -50.81 980421 Enter Long 1 125.12 26733.48 -1456.13 -4735.73 980422 Long 1 -22.62 26585.74 -1603.87 -4735.73 980423 Long 1 -127.11 26481.25 -1708.36 -4735.73 980424 Long 1 -163.70 26444.66 -1744.95 -4735.73 980427 Long 1 -36.77 26571.59 -1618.02 -4735.73 980428 Long 1 -233.89 26374.48 -1815.14 -4735.73 980429 Long 1 -395.82 26212.55 -1977.07 -4735.73 980430 Long 1 -451.36 26157.00 -2032.61 -4735.73 500.00 980501 Long 1 -191.80 26416.56 -1773.05 -4735.73 980504 Long 1 -101.74 26506.62 -1682.99 -4735.73 980505 Long 1 165.07 26773.43 -1416.18 -4735.73 980506 Long 1 348.68 26957.04 -1232.57 -4735.73 980507 Exit Long 1 500.00 27108.36 -1081.25 -4735.73 MFE = 500.00 MAE = -451.36 980521 Enter Long 1 80.43 27188.79 -1000.82 -4735.73 980522 Long 1 36.69 27145.05 -1044.56 -4735.73 980525 Long 1 -169.12 26939.24 -1250.37 -4735.73 980526 Long 1 -122.92 26985.45 -1204.17 -4735.73 980527 Long 1 -215.23 26893.13 -1296.48 -4735.73 980528 Long 1 -272.73 26835.64 -1353.98 -4735.73 980529 Long 1 -518.18 26590.18 -1599.43 -4735.73 500.00 980601 Long 1 -266.98 26841.38 -1348.23 -4735.73 980602 Long 1 -401.52 26706.84 -1482.77 -4735.73 980603 Long 1 -223.87 26884.50 -1305.12 -4735.73 980604 Long 1 -99.77 27008.59 -1181.02 -4735.73 980605 Long 1 -310.02 26798.35 -1391.27 -4735.73 980608 Long 1 -381.54 26726.83 -1462.79 -4735.73 980609 Long 1 -281.34 26827.03 -1362.59 -4735.73 980610 Exit Long 1 -637.50 26470.86 -1718.75 -4735.73 MFE = 80.43 MAE = -637.50 980610 Enter Short 1 -29.15 26441.72 -1747.90 -4735.73 980611 Short 1 249.05 26719.92 -1469.70 -4735.73 980612 Short 1 324.28