SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 SWISS FRANC SPOT 5340 Trading days from 880104 to 080728 Tue Jul 29 09:32:09 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 880113 Enter Long 1 -589.01 -589.01 -589.01 -589.01 880114 Long 1 -377.58 -377.58 -377.58 -589.01 880115 Exit Long 1 -1350.00 -1350.00 -1350.00 -1350.00 MFE = 0.00 MAE = -1350.00 880129 Enter Short 1 167.06 -1182.94 -1182.94 -1350.00 -1350.00 880201 Exit Short 1 475.00 -875.00 -875.00 -1350.00 MFE = 475.00 MAE = 0.00 880205 Enter Short 1 127.67 -747.33 -747.33 -1350.00 880208 Short 1 -11.01 -886.01 -886.01 -1350.00 880209 Short 1 -147.31 -1022.31 -1022.31 -1350.00 880210 Short 1 -79.06 -954.06 -954.06 -1350.00 880211 Short 1 -79.06 -954.06 -954.06 -1350.00 880212 Exit Short 1 475.00 -400.00 -400.00 -1350.00 MFE = 475.00 MAE = -147.31 950.00 880301 Enter Short 1 -86.93 -486.93 -486.93 -1350.00 880302 Short 1 230.15 -169.85 -169.85 -1350.00 880303 Short 1 309.51 -90.49 -90.49 -1350.00 880304 Short 1 118.56 -281.44 -281.44 -1350.00 880307 Exit Short 1 -400.00 -800.00 -800.00 -1350.00 MFE = 309.51 MAE = -400.00 880317 Enter Short 1 33.65 -766.35 -766.35 -1350.00 880318 Short 1 33.65 -766.35 -766.35 -1350.00 880321 Short 1 -138.57 -938.57 -938.57 -1350.00 880322 Short 1 -138.57 -938.57 -938.57 -1350.00 880323 Short 1 -154.59 -954.59 -954.59 -1350.00 880324 Short 1 -529.35 -1329.35 -1329.35 -1350.00 880325 Short 1 -607.67 -1407.67 -1407.67 -1407.67 880328 Exit Short 1 -981.25 -1781.25 -1781.25 -1781.25 MFE = 33.65 MAE = -981.25 880328 Enter Long 1 220.78 -1560.47 -1560.47 -1781.25 880329 Long 1 -148.29 -1929.54 -1929.54 -1929.54 880330 Long 1 20.54 -1760.71 -1760.71 -1929.54 880331 Long 1 230.84 -1550.41 -1550.41 -1929.54 -1381.25 880401 Long 1 308.10 -1473.15 -1473.15 -1929.54 880404 Exit Long 1 475.00 -1306.25 -1306.25 -1929.54 MFE = 475.00 MAE = -148.29 880414 Exit Long 1 475.00 -831.25 -831.25 -1929.54 MFE = 475.00 MAE = 0.00 880422 Enter Short 1 -7.87 -839.12 -839.12 -1929.54 880425 Short 1 21.44 -809.81 -809.81 -1929.54 880426 Short 1 60.47 -770.78 -770.78 -1929.54 880427 Short 1 31.21 -800.04 -800.04 -1929.54 880428 Short 1 -37.22 -868.47 -868.47 -1929.54 880429 Short 1 347.81 -483.44 -483.44 -1929.54 950.00 880502 Exit Short 1 475.00 -356.25 -356.25 -1929.54 MFE = 475.00 MAE = -37.22 880517 Exit Short 1 475.00 118.75 0.00 -1929.54 MFE = 475.00 MAE = 0.00 880525 Enter Short 1 -18.21 100.54 -18.21 -1929.54 880526 Short 1 -27.47 91.28 -27.47 -1929.54 880527 Short 1 318.66 437.41 0.00 -1929.54 880530 Exit Short 1 475.00 593.75 0.00 -1929.54 MFE = 475.00 MAE = -27.47 1425.00 880608 Enter Short 1 15.29 609.04 0.00 -1929.54 880609 Short 1 -231.02 362.73 -246.31 -1929.54 880610 Short 1 15.29 609.04 0.00 -1929.54 880613 Short 1 78.69 672.44 0.00 -1929.54 880614 Exit Short 1 475.00 1068.75 0.00 -1929.54 MFE = 475.00 MAE = -231.02 880622 Enter Short 1 224.25 1293.00 0.00 -1929.54 880623 Exit Short 1 475.00 1543.75 0.00 -1929.54 MFE = 475.00 MAE = 0.00 880624 Enter Short 1 311.68 1855.43 0.00 -1929.54 880627 Exit Short 1 475.00 2018.75 0.00 -1929.54 MFE = 475.00 MAE = 0.00 1425.00 880708 Enter Short 1 165.60 2184.35 0.00 -1929.54 880711 Short 1 232.53 2251.28 0.00 -1929.54 880712 Short 1 -66.34 1952.41 -298.88 -1929.54 880713 Short 1 245.90 2264.65 0.00 -1929.54 880714 Short 1 389.64 2408.39 0.00 -1929.54 880715 Exit Short 1 475.00 2493.75 0.00 -1929.54 MFE = 475.00 MAE = -66.34 880718 Enter Short 1 -270.94 2222.81 -185.58 -1929.54 880719 Short 1 -779.11 1714.64 -693.75 -1929.54 880720 Short 1 -615.31 1878.44 -529.95 -1929.54 880721 Short 1 -960.29 1533.46 -874.92 -1929.54 880722 Short 1 -1191.74 1302.01 -1106.38 -1929.54 880725 Short 1 -720.84 1772.91 -635.48 -1929.54 880726 Short 1 -510.34 1983.41 -424.97 -1929.54 880727 Short 1 -728.77 1764.98 -643.41 -1929.54 880728 Short 1 -291.65 2202.10 -206.28 -1929.54 880729 Short 1 -42.03 2451.72 0.00 -1929.54 475.00 880801 Short 1 -270.94 2222.81 -228.91 -1929.54 880802 Short 1 -82.99 2410.76 -40.96 -1929.54 880803 Short 1 -75.30 2418.45 -33.27 -1929.54 880804 Short 1 34.54 2528.29 0.00 -1929.54 880805 Short 1 415.56 2909.31 0.00 -1929.54 880808 Exit Short 1 475.00 2968.75 0.00 -1929.54 MFE = 475.00 MAE = -1191.74 880809 Enter Short 1 -51.26 2917.49 0.00 -1929.54 880810 Short 1 -393.66 2575.09 -342.40 -1929.54 880811 Short 1 -802.50 2166.25 -751.24 -1929.54 880812 Short 1 -789.91 2178.84 -738.65 -1929.54 880815 Short 1 -734.61 2234.14 -683.35 -1929.54 880816 Short 1 -519.89 2448.86 -468.63 -1929.54 880817 Short 1 -102.24 2866.51 -50.98 -1929.54 880818 Short 1 -319.79 2648.96 -268.53 -1929.54 880819 Short 1 -300.13 2668.62 -248.87 -1929.54 880822 Short 1 -155.79 2812.96 -104.53 -1929.54 880823 Short 1 52.71 3021.46 0.00 -1929.54 880824 Short 1 -532.32 2436.43 -585.03 -1929.54 880825 Exit Short 1 -1043.75 1925.00 -1043.75 -1929.54 MFE = 52.71 MAE = -1043.75 -568.75 880912 Enter Long 1 -97.81 1827.19 -1194.27 -1929.54 880913 Long 1 -257.55 1667.45 -1354.01 -1929.54 880914 Exit Long 1 -537.50 1387.50 -1581.25 -1929.54 MFE = 0.00 MAE = -537.50 880922 Enter Short 1 -89.59 1297.91 -1723.55 -1929.54 880923 Short 1 -149.45 1238.05 -1783.41 -1929.54 880926 Short 1 56.80 1444.30 -1577.17 -1929.54 880927 Short 1 27.11 1414.61 -1606.85 -1929.54 880928 Short 1 64.21 1451.71 -1569.75 -1929.54 880929 Short 1 140.66 1528.16 -1493.30 -1929.54 880930 Exit Short 1 -181.25 1206.25 -1762.50 -1929.54 MFE = 140.66 MAE = -181.25 880930 Enter Long 1 -6.80 1199.45 -1822.02 -1929.54 -718.75 881003 Long 1 15.69 1221.94 -1799.52 -1929.54 881004 Long 1 -14.30 1191.95 -1829.51 -1929.54 881005 Long 1 -44.23 1162.02 -1859.45 -1929.54 881006 Long 1 -59.19 1147.06 -1874.40 -1929.54 881007 Long 1 15.69 1221.94 -1799.52 -1929.54 881010 Long 1 231.93 1438.18 -1583.28 -1929.54 881011 Long 1 272.42 1478.67 -1542.79 -1929.54 881012 Exit Long 1 475.00 1681.25 -1340.21 -1929.54 MFE = 475.00 MAE = -59.19 881013 Enter Long 1 -175.99 1505.26 -1516.21 -1929.54 881014 Long 1 43.57 1724.82 -1296.64 -1929.54 881017 Long 1 -71.86 1609.39 -1412.07 -1929.54 881018 Long 1 -144.01 1537.24 -1484.22 -1929.54 881019 Long 1 -160.00 1521.25 -1500.22 -1929.54 881020 Long 1 178.62 1859.87 -1161.60 -1929.54 881021 Exit Long 1 475.00 2156.25 -865.21 -1929.54 MFE = 475.00 MAE = -175.99 881026 Enter Long 1 52.17 2208.42 -813.05 -1929.54 881027 Long 1 258.16 2414.41 -607.05 -1929.54 881028 Long 1 361.92 2518.17 -503.29 -1929.54 881031 Exit Long 1 475.00 2631.25 -390.21 -1929.54 MFE = 475.00 MAE = 0.00 1425.00 881102 Enter Long 1 -72.31 2558.94 -462.53 -1929.54 881103 Long 1 -173.69 2457.56 -563.90 -1929.54 881104 Long 1 -380.53 2250.72 -770.75 -1929.54 881107 Long 1 -80.78 2550.47 -470.99 -1929.54 881108 Long 1 -441.64 2189.61 -831.85 -1929.54 881109 Long 1 120.52 2751.77 -269.70 -1929.54 881110 Long 1 375.58 3006.83 -14.63 -1929.54 881111 Exit Long 1 475.00 3106.25 0.00 -1929.54 MFE = 475.00 MAE = -441.64 881116 Enter Long 1 9.70 3115.95 0.00 -1929.54 881117 Long 1 -155.31 2950.94 -165.01 -1929.54 881118 Long 1 -537.44 2568.81 -547.14 -1929.54 881121 Long 1 -384.21 2722.04 -393.92 -1929.54 881122 Long 1 -119.41 2986.84 -129.11 -1929.54 881123 Long 1 85.12 3191.37 0.00 -1929.54 881124 Long 1 175.97 3282.22 0.00 -1929.54 881125 Long 1 139.58 3245.83 -36.39 -1929.54 881128 Long 1 -384.21 2722.04 -560.19 -1929.54 881129 Long 1 -229.89 2876.36 -405.87 -1929.54 881130 Long 1 -220.96 2885.29 -396.93 -1929.54 475.00 881201 Long 1 -292.35 2813.90 -468.32 -1929.54 881202 Long 1 18.74 3124.99 -157.23 -1929.54 881205 Long 1 -110.43 2995.82 -286.40 -1929.54 881206 Long 1 -466.86 2639.39 -642.83 -1929.54 881207 Exit Long 1 -906.25 2200.00 -906.25 -1929.54 MFE = 175.97 MAE = -906.25 881228 Enter Short 1 222.22 2422.22 -860.00 -1929.54 881229 Short 1 194.87 2394.87 -887.35 -1929.54 881230 Short 1 -125.00 2075.00 -1207.22 -1929.54 -906.25 890102 Short 1 -161.16 2038.84 -1243.38 -1929.54 890103 Short 1 -264.41 1935.59 -1346.63 -1929.54 890104 Short 1 396.38 2596.38 -685.84 -1929.54 890105 Exit Short 1 475.00 2675.00 -607.22 -1929.54 MFE = 475.00 MAE = -264.41 890113 Enter Short 1 75.65 2750.65 -531.57 -1929.54 890116 Short 1 269.29 2944.29 -337.93 -1929.54 890117 Short 1 121.08 2796.08 -486.14 -1929.54 890118 Exit Short 1 475.00 3150.00 -132.22 -1929.54 MFE = 475.00 MAE = 0.00 890127 Enter Short 1 86.57 3236.57 -45.65 -1929.54 890130 Short 1 -53.24 3096.76 -185.46 -1929.54 890131 Short 1 380.42 3530.42 0.00 -1929.54 950.00 890201 Short 1 343.62 3493.62 -36.80 -1929.54 890202 Short 1 282.14 3432.14 -98.28 -1929.54 890203 Short 1 289.52 3439.52 -90.89 -1929.54 890206 Exit Short 1 475.00 3625.00 0.00 -1929.54 MFE = 475.00 MAE = -53.24 890210 Enter Short 1 -10.51 3614.49 -10.51 -1929.54 890213 Short 1 -142.08 3482.92 -142.08 -1929.54 890214 Exit Short 1 -718.75 2906.25 -718.75 -1929.54 MFE = 0.00 MAE = -718.75 890223 Enter Long 1 9.65 2915.90 -709.10 -1929.54 890224 Long 1 20.04 2926.29 -698.71 -1929.54 890227 Long 1 -86.16 2820.09 -804.91 -1929.54 890228 Long 1 -62.90 2843.35 -781.65 -1929.54 -243.75 890301 Exit Long 1 -512.50 2393.75 -1231.25 -1929.54 MFE = 20.04 MAE = -512.50 890301 Enter Short 1 -73.36 2320.39 -1304.61 -1929.54 890302 Short 1 201.74 2595.49 -1029.51 -1929.54 890303 Short 1 101.23 2494.98 -1130.02 -1929.54 890306 Short 1 311.72 2705.47 -919.53 -1929.54 890307 Short 1 264.31 2658.06 -966.94 -1929.54 890308 Exit Short 1 475.00 2868.75 -756.25 -1929.54 MFE = 475.00 MAE = -73.36 890315 Enter Short 1 88.50 2957.25 -667.75 -1929.54 890316 Short 1 88.50 2957.25 -667.75 -1929.54 890317 Short 1 290.61 3159.36 -465.64 -1929.54 890320 Short 1 119.92 2988.67 -636.33 -1929.54 890321 Exit Short 1 475.00 3343.75 -281.25 -1929.54 MFE = 475.00 MAE = 0.00 890327 Enter Short 1 122.21 3465.96 -159.04 -1929.54 890328 Exit Short 1 475.00 3818.75 0.00 -1929.54 MFE = 475.00 MAE = 0.00 912.50 890426 Enter Short 1 -42.65 3776.10 -42.65 -1929.54 890427 Short 1 21.02 3839.77 0.00 -1929.54 890428 Short 1 394.11 4212.86 0.00 -1929.54 0.00 890501 Exit Short 1 475.00 4293.75 0.00 -1929.54 MFE = 475.00 MAE = -42.65 890508 Enter Short 1 -113.54 4180.21 -32.65 -1929.54 890509 Short 1 -256.58 4037.17 -175.69 -1929.54 890510 Short 1 -352.56 3941.19 -271.67 -1929.54 890511 Short 1 -27.40 4266.35 0.00 -1929.54 890512 Short 1 213.81 4507.56 0.00 -1929.54 890515 Exit Short 1 475.00 4768.75 0.00 -1929.54 MFE = 475.00 MAE = -352.56 890517 Enter Short 1 -15.79 4752.96 0.00 -1929.54 890518 Short 1 -52.13 4716.62 -36.34 -1929.54 890519 Short 1 48.62 4817.37 0.00 -1929.54 890522 Exit Short 1 475.00 5243.75 0.00 -1929.54 MFE = 475.00 MAE = -52.13 890529 Enter Short 1 -164.68 5079.07 0.00 -1929.54 890530 Short 1 -564.62 4679.13 -399.94 -1929.54 890531 Short 1 -958.71 4285.04 -794.03 -1929.54 1425.00 890601 Short 1 -1255.09 3988.66 -1090.42 -1929.54 890602 Short 1 -1905.11 3338.64 -1740.43 -1929.54 890605 Short 1 -988.56 4255.19 -823.88 -1929.54 890606 Short 1 -1074.12 4169.63 -909.44 -1929.54 890607 Short 1 -1039.84 4203.91 -875.17 -1929.54 890608 Short 1 -1074.12 4169.63 -909.44 -1929.54 890609 Short 1 -223.90 5019.85 -59.22 -1929.54 890612 Short 1 -256.66 4987.09 -91.98 -1929.54 890613 Short 1 -369.72 4874.03 -205.04 -1929.54 890614 Short 1 -103.62 5140.13 0.00 -1929.54 890615 Exit Short 1 -1118.75 4125.00 -1118.75 -1929.54 MFE = 0.00 MAE = -1905.11 890615 Enter Long 1 -135.04 3989.96 -1150.17 -1929.54 890616 Long 1 -60.33 4064.67 -1075.45 -1929.54 890619 Long 1 3.96 4128.96 -1011.17 -1929.54 890620 Long 1 -317.34 3807.66 -1332.47 -1929.54 890621 Long 1 392.29 4517.29 -622.84 -1929.54 890622 Exit Long 1 475.00 4600.00 -643.75 -1929.54 MFE = 475.00 MAE = -317.34 890629 Enter Long 1 -310.09 4289.91 -850.22 -1929.54 890630 Long 1 -46.84 4553.16 -586.97 -1929.54 -643.75 890703 Exit Long 1 475.00 5075.00 -65.13 -1929.54 MFE = 475.00 MAE = -310.09 890705 Enter Long 1 276.57 5351.57 0.00 -1929.54 890706 Long 1 192.42 5267.42 -84.15 -1929.54 890707 Long 1 276.57 5351.57 0.00 -1929.54 890710 Exit Long 1 475.00 5550.00 0.00 -1929.54 MFE = 475.00 MAE = 0.00 890721 Enter Long 1 -364.69 5185.31 -166.27 -1929.54 890724 Long 1 -40.11 5509.89 0.00 -1929.54 890725 Long 1 325.79 5875.79 0.00 -1929.54 890726 Exit Long 1 475.00 6025.00 0.00 -1929.54 MFE = 475.00 MAE = -364.69 1425.00 890801 Enter Long 1 120.08 6145.08 0.00 -1929.54 890802 Long 1 -145.95 5879.05 -266.03 -1929.54 890803 Long 1 -475.88 5549.12 -595.96 -1929.54 890804 Exit Long 1 -1162.50 4862.50 -1162.50 -1929.54 MFE = 120.08 MAE = -1162.50 890811 Enter Short 1 125.41 4987.91 -1157.17 -1929.54 890814 Short 1 347.73 5210.23 -934.85 -1929.54 890815 Short 1 196.84 5059.34 -1085.74 -1929.54 890816 Short 1 94.07 4956.57 -1188.51 -1929.54 890817 Exit Short 1 475.00 5337.50 -807.58 -1929.54 MFE = 475.00 MAE = 0.00 890831 Enter Short 1 35.82 5373.32 -771.76 -1929.54 -687.50 890901 Short 1 292.67 5630.17 -514.91 -1929.54 890904 Short 1 339.77 5677.27 -467.81 -1929.54 890905 Exit Short 1 475.00 5812.50 -332.58 -1929.54 MFE = 475.00 MAE = 0.00 890908 Enter Short 1 94.99 5907.49 -237.58 -1929.54 890911 Short 1 -133.57 5678.93 -466.15 -1929.54 890912 Short 1 -82.53 5729.97 -415.11 -1929.54 890913 Exit Short 1 -550.00 5262.50 -882.58 -1929.54 MFE = 94.99 MAE = -550.00 890915 Enter Short 1 -525.06 4737.44 -1407.64 -1929.54 890918 Short 1 -785.70 4476.80 -1668.28 -1929.54 890919 Short 1 -618.82 4643.68 -1501.39 -1929.54 890920 Short 1 -816.61 4445.89 -1699.18 -1929.54 890921 Short 1 -785.70 4476.80 -1668.28 -1929.54 890922 Short 1 -618.82 4643.68 -1501.39 -1929.54 890925 Exit Short 1 -1056.25 4206.25 -1938.83 -1938.83 MFE = 0.00 MAE = -1056.25 890925 Exit Long 1 475.00 4681.25 -1463.83 -1938.83 MFE = 475.00 MAE = 0.00 -656.25 891005 Enter Long 1 -404.95 4276.30 -1868.78 -1938.83 891006 Exit Long 1 -793.75 3887.50 -2257.58 -2257.58 MFE = 0.00 MAE = -793.75 891013 Enter Long 1 240.51 4128.01 -2017.07 -2257.58 891016 Exit Long 1 475.00 4362.50 -1782.58 -2257.58 MFE = 475.00 MAE = 0.00 891024 Enter Long 1 -76.59 4285.91 -1859.17 -2257.58 891025 Long 1 -50.00 4312.50 -1832.57 -2257.58 891026 Long 1 -189.82 4172.68 -1972.40 -2257.58 891027 Long 1 149.43 4511.93 -1633.15 -2257.58 891030 Long 1 -40.31 4322.19 -1822.89 -2257.58 891031 Long 1 -225.83 4136.67 -2008.40 -2257.58 -318.75 891101 Long 1 -452.28 3910.22 -2234.86 -2257.58 891102 Long 1 -268.93 4093.57 -2051.51 -2257.58 891103 Long 1 -369.16 3993.34 -2151.73 -2257.58 891106 Long 1 -428.57 3933.93 -2211.15 -2257.58 891107 Long 1 -249.79 4112.71 -2032.37 -2257.58 891108 Long 1 -280.89 4081.61 -2063.47 -2257.58 891109 Exit Long 1 -512.50 3850.00 -2295.08 -2295.08 MFE = 149.43 MAE = -512.50 891114 Enter Long 1 66.00 3916.00 -2229.08 -2295.08 891115 Long 1 -123.93 3726.07 -2419.01 -2419.01 891116 Long 1 -218.20 3631.80 -2513.28 -2513.28 891117 Long 1 -227.60 3622.40 -2522.68 -2522.68 891120 Long 1 -182.90 3667.10 -2477.98 -2522.68 891121 Long 1 173.67 4023.67 -2121.41 -2522.68 891122 Long 1 269.88 4119.88 -2025.20 -2522.68 891123 Long 1 149.69 3999.69 -2145.39 -2522.68 891124 Long 1 289.18 4139.18 -2005.90 -2522.68 891127 Exit Long 1 475.00 4325.00 -1820.08 -2522.68 MFE = 475.00 MAE = -227.60 891128 Enter Long 1 -105.18 4219.82 -1925.26 -2522.68 891129 Long 1 -253.71 4071.29 -2073.79 -2522.68 891130 Long 1 -241.37 4083.63 -2061.45 -2522.68 -37.50 891201 Long 1 -474.40 3850.60 -2294.48 -2522.68 891204 Long 1 -595.93 3729.07 -2416.01 -2522.68 891205 Long 1 -241.37 4083.63 -2061.45 -2522.68 891206 Long 1 -187.01 4137.99 -2007.09 -2522.68 891207 Long 1 -246.30 4078.70 -2066.38 -2522.68 891208 Long 1 -315.26 4009.74 -2135.34 -2522.68 891211 Long 1 -211.74 4113.26 -2031.82 -2522.68 891212 Long 1 233.13 4558.13 -1586.95 -2522.68 891213 Exit Long 1 475.00 4800.00 -1345.08 -2522.68 MFE = 475.00 MAE = -595.93 891222 Enter Long 1 -69.07 4730.93 -1414.15 -2522.68 891225 Long 1 9.33 4809.33 -1335.75 -2522.68 891226 Long 1 -69.07 4730.93 -1414.15 -2522.68 891227 Exit Long 1 475.00 5275.00 -870.08 -2522.68 MFE = 475.00 MAE = -69.07 950.00 900104 Enter Long 1 300.17 5575.17 -569.91 -2522.68 900105 Long 1 97.42 5372.42 -772.66 -2522.68 900108 Exit Long 1 475.00 5750.00 -395.08 -2522.68 MFE = 475.00 MAE = 0.00 900117 Enter Long 1 -231.86 5518.14 -626.94 -2522.68 900118 Long 1 -694.79 5055.21 -1089.87 -2522.68 900119 Long 1 -654.36 5095.64 -1049.44 -2522.68 900122 Long 1 -1002.14 4747.86 -1397.21 -2522.68 900123 Long 1 -231.86 5518.14 -626.94 -2522.68 900124 Long 1 95.66 5845.66 -299.42 -2522.68 900125 Long 1 382.96 6132.96 -12.11 -2522.68 900126 Long 1 213.49 5963.49 -181.59 -2522.68 900129 Exit Long 1 475.00 6225.00 0.00 -2522.68 MFE = 475.00 MAE = -1002.14 950.00 900205 Enter Long 1 151.07 6376.07 0.00 -2522.68 900206 Long 1 79.13 6304.13 -71.94 -2522.68 900207 Long 1 -291.06 5933.94 -442.14 -2522.68 900208 Long 1 -305.17 5919.83 -456.24 -2522.68 900209 Long 1 -375.58 5849.42 -526.65 -2522.68 900212 Long 1 -607.63 5617.37 -758.70 -2522.68 900213 Long 1 -515.68 5709.32 -666.75 -2522.68 900214 Long 1 -529.64 5695.36 -680.71 -2522.68 900215 Long 1 -848.13 5376.87 -999.20 -2522.68 900216 Long 1 -347.44 5877.56 -498.51 -2522.68 900219 Long 1 -234.53 5990.47 -385.60 -2522.68 900220 Long 1 -6.88 6218.12 -157.95 -2522.68 900221 Long 1 -49.75 6175.25 -200.82 -2522.68 900222 Long 1 102.12 6327.12 -48.95 -2522.68 900223 Long 1 99.25 6324.25 -51.82 -2522.68 900226 Exit Long 1 -400.00 5825.00 -400.00 -2522.68 MFE = 151.07 MAE = -848.13 -400.00 900312 Enter Short 1 149.54 5974.54 -401.53 -2522.68 900313 Short 1 12.45 5837.45 -538.62 -2522.68 900314 Short 1 -1.03 5823.97 -552.10 -2522.68 900315 Short 1 -103.84 5721.16 -654.92 -2522.68 900316 Short 1 -343.92 5481.08 -894.99 -2522.68 900319 Short 1 -365.88 5459.12 -916.96 -2522.68 900320 Short 1 4.36 5829.36 -546.71 -2522.68 900321 Short 1 66.32 5891.32 -484.75 -2522.68 900322 Short 1 -242.64 5582.36 -793.71 -2522.68 900323 Short 1 -117.41 5707.59 -668.48 -2522.68 900326 Short 1 -41.56 5783.44 -592.63 -2522.68 900327 Short 1 -90.29 5734.71 -641.36 -2522.68 900328 Short 1 -136.42 5688.58 -687.49 -2522.68 900329 Exit Short 1 -568.75 5256.25 -968.75 -2522.68 MFE = 149.54 MAE = -568.75 -568.75 900409 Enter Long 1 -107.30 5148.95 -1227.12 -2522.68 900410 Long 1 264.77 5521.02 -855.05 -2522.68 900411 Long 1 378.82 5635.07 -741.00 -2522.68 900412 Long 1 293.22 5549.47 -826.60 -2522.68 900413 Long 1 236.35 5492.60 -883.47 -2522.68 900416 Long 1 108.94 5365.19 -1010.89 -2522.68 900417 Long 1 66.64 5322.89 -1053.18 -2522.68 900418 Long 1 350.25 5606.50 -769.57 -2522.68 900419 Long 1 193.79 5450.04 -926.03 -2522.68 900420 Long 1 52.56 5308.81 -1067.26 -2522.68 900423 Long 1 -73.75 5182.50 -1193.57 -2522.68 900424 Long 1 142.84 5399.09 -976.98 -2522.68 900425 Exit Long 1 475.00 5731.25 -644.82 -2522.68 MFE = 475.00 MAE = -107.30 475.00 900504 Enter Long 1 81.05 5812.30 -563.77 -2522.68 900507 Exit Long 1 475.00 6206.25 -169.82 -2522.68 MFE = 475.00 MAE = 0.00 900509 Exit Long 1 475.00 6681.25 0.00 -2522.68 MFE = 475.00 MAE = 0.00 900517 Enter Long 1 -299.72 6381.53 -299.72 -2522.68 900518 Long 1 -331.43 6349.82 -331.43 -2522.68 900521 Exit Long 1 -893.75 5787.50 -893.75 -2522.68 MFE = 0.00 MAE = -893.75 900523 Enter Long 1 -345.62 5441.88 -1239.37 -2522.68 900524 Long 1 -608.07 5179.43 -1501.82 -2522.68 900525 Long 1 -484.95 5302.55 -1378.70 -2522.68 900528 Long 1 -438.61 5348.89 -1332.36 -2522.68 900529 Long 1 -89.44 5698.06 -983.19 -2522.68 900530 Long 1 -454.07 5333.43 -1347.82 -2522.68 900531 Long 1 -654.06 5133.44 -1547.81 -2522.68 56.25 900601 Long 1 -912.86 4874.64 -1806.61 -2522.68 900604 Long 1 -730.50 5057.00 -1624.25 -2522.68 900605 Long 1 -623.41 5164.09 -1517.16 -2522.68 900606 Long 1 -852.24 4935.26 -1745.99 -2522.68 900607 Long 1 -1138.68 4648.82 -2032.43 -2522.68 900608 Long 1 -1273.05 4514.45 -2166.80 -2522.68 900611 Long 1 -1003.47 4784.03 -1897.22 -2522.68 900612 Long 1 -934.04 4853.46 -1827.79 -2522.68 900613 Long 1 -500.38 5287.12 -1394.13 -2522.68 900614 Long 1 -806.67 4980.83 -1700.42 -2522.68 900615 Long 1 -761.00 5026.50 -1654.75 -2522.68 900618 Long 1 -205.40 5582.10 -1099.15 -2522.68 900619 Long 1 -70.58 5716.92 -964.33 -2522.68 900620 Long 1 -142.79 5644.71 -1036.54 -2522.68 900621 Long 1 -205.40 5582.10 -1099.15 -2522.68 900622 Long 1 -117.70 5669.80 -1011.45 -2522.68 900625 Long 1 -80.01 5707.49 -973.76 -2522.68 900626 Long 1 220.67 6008.17 -673.08 -2522.68 900627 Exit Long 1 -300.00 5487.50 -1193.75 -2522.68 MFE = 220.67 MAE = -1273.05 900627 Enter Short 1 -201.28 5286.22 -1395.03 -2522.68 900628 Short 1 86.15 5573.65 -1107.60 -2522.68 900629 Short 1 -53.97 5433.53 -1247.72 -2522.68 -300.00 900702 Exit Short 1 -543.75 4943.75 -1737.50 -2522.68 MFE = 86.15 MAE = -543.75 900702 Enter Long 1 168.93 5112.68 -1568.57 -2522.68 900703 Long 1 233.30 5177.05 -1504.20 -2522.68 900704 Long 1 314.03 5257.78 -1423.47 -2522.68 900705 Long 1 40.74 4984.49 -1696.76 -2522.68 900706 Long 1 56.72 5000.47 -1680.78 -2522.68 900709 Long 1 120.77 5064.52 -1616.73 -2522.68 900710 Exit Long 1 475.00 5418.75 -1262.50 -2522.68 MFE = 475.00 MAE = 0.00 900711 Enter Long 1 -642.97 4775.78 -1905.47 -2522.68 900712 Long 1 -161.21 5257.54 -1423.71 -2522.68 900713 Long 1 -658.85 4759.90 -1921.35 -2522.68 900716 Exit Long 1 -1237.50 4181.25 -2500.00 -2522.68 MFE = 0.00 MAE = -1237.50 900723 Enter Long 1 357.06 4538.31 -2142.94 -2522.68 900724 Exit Long 1 475.00 4656.25 -2025.00 -2522.68 MFE = 475.00 MAE = 0.00 900731 Enter Long 1 30.90 4687.15 -1994.10 -2522.68 -831.25 900801 Long 1 -260.92 4395.33 -2285.92 -2522.68 900802 Long 1 -209.69 4446.56 -2234.69 -2522.68 900803 Long 1 30.90 4687.15 -1994.10 -2522.68 900806 Exit Long 1 475.00 5131.25 -1550.00 -2522.68 MFE = 475.00 MAE = -260.92 900813 Exit Long 1 475.00 5606.25 -1075.00 -2522.68 MFE = 475.00 MAE = 0.00 900814 Enter Long 1 153.73 5759.98 -921.27 -2522.68 900815 Exit Long 1 475.00 6081.25 -600.00 -2522.68 MFE = 475.00 MAE = 0.00 900821 Enter Long 1 -287.92 5793.33 -887.92 -2522.68 900822 Exit Long 1 475.00 6556.25 -125.00 -2522.68 MFE = 475.00 MAE = -287.92 900823 Exit Long 1 475.00 7031.25 0.00 -2522.68 MFE = 475.00 MAE = 0.00 900824 Enter Long 1 -87.70 6943.55 -87.70 -2522.68 900827 Long 1 -691.92 6339.33 -691.92 -2522.68 900828 Long 1 -1149.69 5881.56 -1149.69 -2522.68 900829 Long 1 -1055.02 5976.23 -1055.02 -2522.68 900830 Long 1 -1450.15 5581.10 -1450.15 -2522.68 900831 Long 1 -1974.43 5056.82 -1974.43 -2522.68 2375.00 900903 Long 1 -2293.66 4737.59 -2293.66 -2522.68 900904 Long 1 -2149.09 4882.16 -2149.09 -2522.68 900905 Long 1 -1506.08 5525.17 -1506.08 -2522.68 900906 Long 1 -1543.29 5487.96 -1543.29 -2522.68 900907 Long 1 -1893.95 5137.30 -1893.95 -2522.68 900910 Long 1 -2257.60 4773.65 -2257.60 -2522.68 900911 Long 1 -2544.56 4486.69 -2544.56 -2544.56 900912 Long 1 -2686.75 4344.50 -2686.75 -2686.75 900913 Long 1 -1802.17 5229.08 -1802.17 -2686.75 900914 Long 1 -1468.81 5562.44 -1468.81 -2686.75 900917 Long 1 -768.81 6262.44 -768.81 -2686.75 900918 Long 1 -1345.42 5685.83 -1345.42 -2686.75 900919 Long 1 -2040.07 4991.18 -2040.07 -2686.75 900920 Long 1 -2401.52 4629.73 -2401.52 -2686.75 900921 Long 1 -2394.34 4636.91 -2394.34 -2686.75 900924 Long 1 -1580.44 5450.81 -1580.44 -2686.75 900925 Long 1 -1930.57 5100.68 -1930.57 -2686.75 900926 Long 1 -1721.11 5310.14 -1721.11 -2686.75 900927 Long 1 -1394.10 5637.15 -1394.10 -2686.75 900928 Long 1 -1543.29 5487.96 -1543.29 -2686.75 0.00 901001 Long 1 -1543.29 5487.96 -1543.29 -2686.75 901002 Long 1 -1243.98 5787.27 -1243.98 -2686.75 901003 Long 1 -998.05 6033.20 -998.05 -2686.75 901004 Long 1 -845.46 6185.79 -845.46 -2686.75 901005 Exit Long 1 -1568.75 5462.50 -1568.75 -2686.75 MFE = 0.00 MAE = -2686.75 901005 Enter Short 1 -198.33 5264.17 -1767.08 -2686.75 901008 Short 1 -526.69 4935.81 -2095.44 -2686.75 901009 Exit Short 1 -956.25 4506.25 -2525.00 -2686.75 MFE = 0.00 MAE = -956.25 901009 Enter Long 1 -156.31 4349.94 -2681.31 -2686.75 901010 Long 1 -423.55 4082.70 -2948.55 -2948.55 901011 Long 1 -60.15 4446.10 -2585.15 -2948.55 901012 Long 1 -518.29 3987.96 -3043.29 -3043.29 901015 Long 1 -706.66 3799.59 -3231.66 -3231.66 901016 Long 1 -110.20 4396.05 -2635.20 -3231.66 901017 Long 1 36.38 4542.63 -2488.62 -3231.66 901018 Exit Long 1 475.00 4981.25 -2050.00 -3231.66 MFE = 475.00 MAE = -706.66 -2050.00 901101 Enter Long 1 -72.13 4909.12 -2122.13 -3231.66 901102 Long 1 434.43 5415.68 -1615.57 -3231.66 901105 Exit Long 1 475.00 5456.25 -1575.00 -3231.66 MFE = 475.00 MAE = -72.13 901116 Enter Long 1 -64.06 5392.19 -1639.06 -3231.66 901119 Long 1 8.47 5464.72 -1566.53 -3231.66 901120 Long 1 8.47 5464.72 -1566.53 -3231.66 901121 Long 1 -51.99 5404.26 -1626.99 -3231.66 901122 Long 1 -152.43 5303.82 -1727.43 -3231.66 901123 Exit Long 1 -550.00 4906.25 -2125.00 -3231.66 MFE = 8.47 MAE = -550.00 -75.00 901207 Enter Long 1 118.95 5025.20 -2006.05 -3231.66 901210 Long 1 -197.75 4708.50 -2322.75 -3231.66 901211 Long 1 -381.94 4524.31 -2506.94 -3231.66 901212 Long 1 -217.41 4688.84 -2342.41 -3231.66 901213 Long 1 -393.65 4512.60 -2518.65 -3231.66 901214 Long 1 -665.34 4240.91 -2790.34 -3231.66 901217 Long 1 -684.63 4221.62 -2809.63 -3231.66 901218 Long 1 -374.14 4532.11 -2499.14 -3231.66 901219 Long 1 -452.13 4454.12 -2577.13 -3231.66 901220 Exit Long 1 -812.50 4093.75 -2937.50 -3231.66 MFE = 118.95 MAE = -812.50 901220 Exit Short 1 475.00 4568.75 -2462.50 -3231.66 MFE = 475.00 MAE = 0.00 901221 Enter Short 1 -109.93 4458.82 -2572.43 -3231.66 901224 Short 1 71.48 4640.23 -2391.02 -3231.66 901225 Short 1 -109.93 4458.82 -2572.43 -3231.66 901226 Short 1 -91.72 4477.03 -2554.22 -3231.66 901227 Short 1 -366.23 4202.52 -2828.73 -3231.66 901228 Exit Short 1 -1087.50 3481.25 -3550.00 -3550.00 MFE = 71.48 MAE = -1087.50 -1425.00 910107 Enter Short 1 -250.85 3230.40 -3800.85 -3800.85 910108 Short 1 -75.46 3405.79 -3625.46 -3800.85 910109 Short 1 -280.83 3200.42 -3830.83 -3830.83 910110 Short 1 -609.29 2871.96 -4159.29 -4159.29 910111 Short 1 -754.16 2727.09 -4304.16 -4304.16 910114 Short 1 -620.70 2860.55 -4170.70 -4304.16 910115 Short 1 -518.24 2963.01 -4068.24 -4304.16 910116 Short 1 -374.77 3106.48 -3924.77 -4304.16 910117 Exit Short 1 -906.25 2575.00 -4456.25 -4456.25 MFE = 0.00 MAE = -906.25 -906.25 910201 Enter Long 1 -6.98 2568.02 -4463.23 -4463.23 910204 Long 1 25.00 2600.00 -4431.25 -4463.23 910205 Long 1 306.58 2881.58 -4149.67 -4463.23 910206 Exit Long 1 475.00 3050.00 -3981.25 -4463.23 MFE = 475.00 MAE = -6.98 910225 Enter Short 1 -178.61 2871.39 -4159.86 -4463.23 910226 Short 1 49.32 3099.32 -3931.93 -4463.23 910227 Short 1 358.30 3408.30 -3622.95 -4463.23 910228 Exit Short 1 475.00 3525.00 -3506.25 -4463.23 MFE = 475.00 MAE = -178.61 950.00 910308 Enter Short 1 448.31 3973.31 -3057.94 -4463.23 910311 Exit Short 1 475.00 4000.00 -3031.25 -4463.23 MFE = 475.00 MAE = 0.00 910313 Enter Short 1 -183.15 3816.85 -3214.40 -4463.23 910314 Short 1 44.09 4044.09 -2987.16 -4463.23 910315 Exit Short 1 475.00 4475.00 -2556.25 -4463.23 MFE = 475.00 MAE = -183.15 910318 Exit Short 1 474.22 4949.22 -2082.03 -4463.23 MFE = 474.22 MAE = 0.00 910319 Exit Short 1 475.00 5424.22 -1607.03 -4463.23 MFE = 475.00 MAE = 0.00 910320 Enter Short 1 -297.72 5126.50 -1904.75 -4463.23 910321 Short 1 -596.49 4827.74 -2203.51 -4463.23 910322 Short 1 -344.63 5079.59 -1951.66 -4463.23 910325 Short 1 318.31 5742.54 -1288.71 -4463.23 910326 Exit Short 1 475.00 5899.22 -1132.03 -4463.23 MFE = 475.00 MAE = -596.49 910327 Exit Short 1 475.00 6374.22 -657.03 -4463.23 MFE = 475.00 MAE = 0.00 910328 Enter Short 1 -29.55 6344.68 -686.57 -4463.23 910329 Short 1 -312.24 6061.98 -969.27 -4463.23 2849.22 910401 Short 1 -919.72 5454.50 -1576.75 -4463.23 910402 Short 1 -1120.84 5253.38 -1777.87 -4463.23 910403 Short 1 -1012.32 5361.91 -1669.34 -4463.23 910404 Short 1 -1592.07 4782.15 -2249.10 -4463.23 910405 Short 1 -1027.79 5346.44 -1684.81 -4463.23 910408 Short 1 -568.35 5805.87 -1225.38 -4463.23 910409 Short 1 -1449.65 4924.58 -2106.67 -4463.23 910410 Short 1 -787.68 5586.55 -1444.70 -4463.23 910411 Short 1 -1308.14 5066.09 -1965.16 -4463.23 910412 Short 1 -904.33 5469.90 -1561.35 -4463.23 910415 Short 1 -1130.16 5244.06 -1787.19 -4463.23 910416 Short 1 -1183.09 5191.13 -1840.12 -4463.23 910417 Short 1 -996.85 5377.37 -1653.88 -4463.23 910418 Short 1 29.50 6403.72 -627.53 -4463.23 910419 Short 1 371.69 6745.92 -285.33 -4463.23 910422 Exit Short 1 474.07 6848.30 -182.95 -4463.23 MFE = 474.07 MAE = -1592.07 910429 Enter Short 1 -580.41 6267.89 -763.36 -4463.23 910430 Exit Short 1 -1581.25 5267.05 -1764.20 -4463.23 MFE = 0.00 MAE = -1581.25 -1107.18 910517 Enter Short 1 326.33 5593.38 -1437.87 -4463.23 910520 Exit Short 1 475.00 5742.05 -1289.20 -4463.23 MFE = 475.00 MAE = 0.00 910529 Enter Short 1 -83.22 5658.83 -1372.42 -4463.23 910530 Short 1 -10.04 5732.00 -1299.25 -4463.23 910531 Exit Short 1 475.00 6217.05 -814.20 -4463.23 MFE = 475.00 MAE = -83.22 950.00 910612 Enter Short 1 -18.42 6198.62 -832.63 -4463.23 910613 Short 1 201.99 6419.03 -612.22 -4463.23 910614 Short 1 246.83 6463.88 -567.37 -4463.23 910617 Short 1 273.17 6490.22 -541.03 -4463.23 910618 Exit Short 1 475.00 6692.05 -339.20 -4463.23 MFE = 475.00 MAE = -18.42 910621 Enter Short 1 31.07 6723.12 -308.13 -4463.23 910624 Short 1 -355.65 6336.39 -694.86 -4463.23 910625 Short 1 51.91 6743.96 -287.29 -4463.23 910626 Short 1 -13.27 6678.77 -352.48 -4463.23 910627 Short 1 64.92 6756.97 -274.28 -4463.23 910628 Short 1 129.85 6821.90 -209.35 -4463.23 475.00 910701 Exit Short 1 475.00 7167.05 0.00 -4463.23 MFE = 475.00 MAE = -355.65 910702 Enter Short 1 118.06 7285.11 0.00 -4463.23 910703 Short 1 88.03 7255.08 -30.03 -4463.23 910704 Short 1 168.00 7335.05 0.00 -4463.23 910705 Short 1 -45.14 7121.90 -213.15 -4463.23 910708 Short 1 -439.80 6727.25 -607.80 -4463.23 910709 Short 1 -45.14 7121.90 -213.15 -4463.23 910710 Short 1 -158.91 7008.13 -326.92 -4463.23 910711 Short 1 359.12 7526.17 0.00 -4463.23 910712 Exit Short 1 -543.75 6623.30 -543.75 -4463.23 MFE = 359.12 MAE = -543.75 -68.75 910802 Enter Long 1 154.73 6778.03 -748.14 -4463.23 910805 Exit Long 1 475.00 7098.30 -427.87 -4463.23 MFE = 475.00 MAE = 0.00 910821 Enter Long 1 -193.82 6904.47 -621.70 -4463.23 910822 Long 1 137.56 7235.86 -290.31 -4463.23 910823 Long 1 -287.91 6810.38 -715.79 -4463.23 910826 Long 1 -247.64 6850.65 -675.51 -4463.23 910827 Long 1 -199.21 6899.09 -627.08 -4463.23 910828 Long 1 -31.51 7066.78 -459.38 -4463.23 910829 Long 1 -193.82 6904.47 -621.70 -4463.23 910830 Long 1 -274.50 6823.80 -702.37 -4463.23 475.00 910902 Long 1 -408.26 6690.04 -836.13 -4463.23 910903 Long 1 -166.86 6931.44 -594.73 -4463.23 910904 Long 1 -201.91 6896.39 -629.78 -4463.23 910905 Long 1 -274.50 6823.80 -702.37 -4463.23 910906 Long 1 283.20 7381.50 -144.67 -4463.23 910909 Exit Long 1 475.00 7573.30 0.00 -4463.23 MFE = 475.00 MAE = -408.26 910923 Enter Long 1 62.90 7636.20 0.00 -4463.23 910924 Long 1 -258.31 7314.98 -321.21 -4463.23 910925 Long 1 -98.31 7474.99 -161.21 -4463.23 910926 Long 1 -214.80 7358.50 -277.69 -4463.23 910927 Long 1 225.33 7798.62 0.00 -4463.23 910930 Long 1 225.33 7798.62 0.00 -4463.23 475.00 911001 Long 1 130.67 7703.97 -94.65 -4463.23 911002 Long 1 107.07 7680.37 -118.25 -4463.23 911003 Long 1 180.91 7754.20 -44.42 -4463.23 911004 Exit Long 1 -450.00 7123.30 -450.00 -4463.23 MFE = 225.33 MAE = -450.00 911023 Enter Short 1 3.84 7127.14 -671.49 -4463.23 911024 Short 1 -243.43 6879.86 -918.76 -4463.23 911025 Short 1 -243.43 6879.86 -918.76 -4463.23 911028 Short 1 286.84 7410.14 -388.49 -4463.23 911029 Exit Short 1 -456.25 6667.05 -906.25 -4463.23 MFE = 286.84 MAE = -456.25 -906.25 911115 Enter Long 1 110.26 6777.31 -1021.32 -4463.23 911118 Exit Long 1 475.00 7142.05 -656.58 -4463.23 MFE = 475.00 MAE = 0.00 911119 Enter Long 1 -242.59 6899.46 -899.16 -4463.23 911120 Long 1 -258.12 6883.93 -914.70 -4463.23 911121 Long 1 -335.64 6806.41 -992.22 -4463.23 911122 Long 1 7.49 7149.54 -649.08 -4463.23 911125 Long 1 -55.29 7086.76 -711.87 -4463.23 911126 Exit Long 1 -793.75 6348.30 -1450.33 -4463.23 MFE = 7.49 MAE = -793.75 -318.75 911204 Enter Long 1 13.37 6361.67 -1436.96 -4463.23 911205 Long 1 286.54 6634.84 -1163.78 -4463.23 911206 Exit Long 1 475.00 6823.30 -975.33 -4463.23 MFE = 475.00 MAE = 0.00 911219 Enter Long 1 79.70 6903.00 -895.62 -4463.23 911220 Exit Long 1 475.00 7298.30 -500.33 -4463.23 MFE = 475.00 MAE = 0.00 911223 Enter Long 1 35.68 7333.98 -464.64 -4463.23 911224 Long 1 -153.71 7144.59 -654.03 -4463.23 911225 Long 1 21.86 7320.15 -478.47 -4463.23 911226 Long 1 87.60 7385.90 -412.72 -4463.23 911227 Long 1 -170.85 7127.45 -671.17 -4463.23 911230 Long 1 -334.75 6963.55 -835.07 -4463.23 911231 Long 1 -443.38 6854.92 -943.70 -4463.23 950.00 920101 Long 1 -443.38 6854.92 -943.70 -4463.23 920102 Long 1 -679.22 6619.08 -1179.55 -4463.23 920103 Long 1 -972.30 6326.00 -1472.63 -4463.23 920106 Long 1 70.28 7368.58 -430.04 -4463.23 920107 Long 1 191.79 7490.09 -308.54 -4463.23 920108 Long 1 52.98 7351.28 -447.35 -4463.23 920109 Exit Long 1 -1200.00 6098.30 -1700.33 -4463.23 MFE = 191.79 MAE = -1200.00 920127 Enter Short 1 -27.83 6070.47 -1728.16 -4463.23 920128 Short 1 -242.98 5855.32 -1943.30 -4463.23 920129 Short 1 -58.44 6039.86 -1758.76 -4463.23 920130 Short 1 154.92 6253.21 -1545.41 -4463.23 920131 Short 1 78.96 6177.25 -1621.37 -4463.23 -1200.00 920203 Short 1 -135.14 5963.15 -1835.47 -4463.23 920204 Short 1 -280.08 5818.22 -1980.40 -4463.23 920205 Short 1 -604.22 5494.08 -2304.54 -4463.23 920206 Short 1 -774.41 5323.89 -2474.74 -4463.23 920207 Short 1 -1270.28 4828.02 -2970.61 -4463.23 920210 Short 1 -679.70 5418.60 -2380.02 -4463.23 920211 Short 1 -73.76 6024.54 -1774.08 -4463.23 920212 Short 1 260.81 6359.11 -1439.52 -4463.23 920213 Exit Short 1 475.00 6573.30 -1225.33 -4463.23 MFE = 475.00 MAE = -1270.28 920226 Enter Short 1 -498.01 6075.29 -1723.33 -4463.23 920227 Short 1 -879.73 5693.57 -2105.06 -4463.23 920228 Short 1 -737.54 5835.76 -1962.87 -4463.23 475.00 920302 Short 1 -596.31 5976.99 -1821.63 -4463.23 920303 Short 1 -109.37 6463.93 -1334.69 -4463.23 920304 Short 1 231.58 6804.88 -993.75 -4463.23 920305 Exit Short 1 475.00 7048.30 -750.33 -4463.23 MFE = 475.00 MAE = -879.73 920311 Enter Short 1 -418.88 6629.42 -1169.21 -4463.23 920312 Short 1 -355.66 6692.64 -1105.98 -4463.23 920313 Short 1 -328.23 6720.07 -1078.55 -4463.23 920316 Short 1 -438.16 6610.14 -1188.49 -4463.23 920317 Exit Short 1 -893.75 6154.55 -1644.08 -4463.23 MFE = 0.00 MAE = -893.75 920319 Enter Short 1 187.38 6341.93 -1456.70 -4463.23 920320 Exit Short 1 475.00 6629.55 -1169.08 -4463.23 MFE = 475.00 MAE = 0.00 56.25 920403 Enter Long 1 -47.31 6582.23 -1216.39 -4463.23 920406 Long 1 -187.98 6441.57 -1357.05 -4463.23 920407 Long 1 -75.52 6554.03 -1244.59 -4463.23 920408 Long 1 -216.00 6413.55 -1385.07 -4463.23 920409 Long 1 -33.19 6596.36 -1202.27 -4463.23 920410 Exit Long 1 -493.75 6135.80 -1662.83 -4463.23 MFE = 0.00 MAE = -493.75 920410 Enter Short 1 127.38 6263.18 -1535.45 -4463.23 920413 Exit Short 1 475.00 6610.80 -1187.83 -4463.23 MFE = 475.00 MAE = 0.00 -18.75 920508 Enter Short 1 128.89 6739.69 -1058.93 -4463.23 920511 Short 1 102.00 6712.80 -1085.82 -4463.23 920512 Exit Short 1 -525.00 6085.80 -1712.83 -4463.23 MFE = 128.89 MAE = -525.00 920512 Enter Long 1 -62.17 6023.63 -1775.00 -4463.23 920513 Exit Long 1 475.00 6560.80 -1237.83 -4463.23 MFE = 475.00 MAE = -62.17 920528 Enter Long 1 62.25 6623.05 -1175.57 -4463.23 920529 Exit Long 1 475.00 7035.80 -762.83 -4463.23 MFE = 475.00 MAE = 0.00 425.00 920605 Enter Long 1 -90.14 6945.66 -852.97 -4463.23 920608 Long 1 46.64 7082.44 -716.18 -4463.23 920609 Long 1 -175.93 6859.87 -938.75 -4463.23 920610 Long 1 -42.66 6993.14 -805.49 -4463.23 920611 Exit Long 1 475.00 7510.80 -287.83 -4463.23 MFE = 475.00 MAE = -175.93 920612 Enter Long 1 -198.97 7311.83 -486.80 -4463.23 920615 Long 1 172.72 7683.52 -115.10 -4463.23 920616 Exit Long 1 475.00 7985.80 0.00 -4463.23 MFE = 475.00 MAE = -198.97 920624 Enter Long 1 108.81 8094.60 0.00 -4463.23 920625 Exit Long 1 475.00 8460.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 920629 Enter Long 1 -266.74 8194.05 0.00 -4463.23 920630 Long 1 -266.74 8194.05 0.00 -4463.23 1425.00 920701 Long 1 -177.05 8283.75 0.00 -4463.23 920702 Exit Long 1 475.00 8935.80 0.00 -4463.23 MFE = 475.00 MAE = -266.74 920707 Enter Long 1 323.04 9258.84 0.00 -4463.23 920708 Exit Long 1 475.00 9410.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 920713 Exit Long 1 475.00 9885.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 920716 Enter Long 1 -93.93 9791.87 0.00 -4463.23 920717 Exit Long 1 475.00 10360.80 0.00 -4463.23 MFE = 475.00 MAE = -93.93 920720 Exit Long 1 475.00 10835.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 920728 Enter Long 1 66.58 10902.38 0.00 -4463.23 920729 Long 1 -424.91 10410.89 -491.49 -4463.23 920730 Long 1 -352.73 10483.06 -419.31 -4463.23 920731 Long 1 -334.65 10501.14 -401.24 -4463.23 2375.00 920803 Long 1 -406.88 10428.91 -473.47 -4463.23 920804 Long 1 -675.81 10159.99 -742.39 -4463.23 920805 Long 1 -888.77 9947.03 -955.35 -4463.23 920806 Long 1 -800.27 10035.53 -866.85 -4463.23 920807 Long 1 -298.46 10537.34 -365.04 -4463.23 920810 Long 1 -334.65 10501.14 -401.24 -4463.23 920811 Long 1 -489.68 10346.12 -556.26 -4463.23 920812 Long 1 -514.82 10320.98 -581.40 -4463.23 920813 Long 1 -116.64 10719.16 -183.22 -4463.23 920814 Long 1 -514.82 10320.98 -581.40 -4463.23 920817 Long 1 -414.10 10421.70 -480.68 -4463.23 920818 Long 1 -25.20 10810.60 -91.78 -4463.23 920819 Long 1 73.94 10909.74 0.00 -4463.23 920820 Exit Long 1 475.00 11310.80 0.00 -4463.23 MFE = 475.00 MAE = -888.77 920821 Enter Long 1 -56.15 11254.65 0.00 -4463.23 920824 Exit Long 1 475.00 11785.80 0.00 -4463.23 MFE = 475.00 MAE = -56.15 920831 Enter Long 1 -226.75 11559.05 0.00 -4463.23 950.00 920901 Long 1 339.41 12125.21 0.00 -4463.23 920902 Exit Long 1 475.00 12260.80 0.00 -4463.23 MFE = 475.00 MAE = -226.75 920904 Enter Long 1 -150.00 12110.80 -14.41 -4463.23 920907 Long 1 -169.99 12090.81 -34.40 -4463.23 920908 Exit Long 1 475.00 12735.80 0.00 -4463.23 MFE = 475.00 MAE = -169.99 920911 Enter Long 1 -1706.67 11029.13 -1706.67 -4463.23 920914 Long 1 -2499.70 10236.10 -2499.70 -4463.23 920915 Long 1 -2795.36 9940.44 -2795.36 -4463.23 920916 Long 1 -2716.40 10019.40 -2716.40 -4463.23 920917 Long 1 -1518.44 11217.36 -1518.44 -4463.23 920918 Long 1 -2299.32 10436.48 -2299.32 -4463.23 920921 Long 1 -2015.92 10719.87 -2015.92 -4463.23 920922 Long 1 -2335.87 10399.92 -2335.87 -4463.23 920923 Long 1 -2262.70 10473.10 -2262.70 -4463.23 920924 Long 1 -2152.52 10583.28 -2152.52 -4463.23 920925 Long 1 -1912.04 10823.76 -1912.04 -4463.23 920928 Long 1 -906.15 11829.65 -906.15 -4463.23 920929 Exit Long 1 475.00 13210.80 0.00 -4463.23 MFE = 475.00 MAE = -2795.36 1425.00 921007 Enter Short 1 90.88 13301.68 0.00 -4463.23 921008 Exit Short 1 475.00 13685.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 921019 Enter Short 1 125.35 13811.15 0.00 -4463.23 921020 Exit Short 1 475.00 14160.80 0.00 -4463.23 MFE = 475.00 MAE = 0.00 921028 Enter Short 1 -94.25 14066.55 0.00 -4463.23 921029 Short 1 -127.39 14033.41 -33.14 -4463.23 921030 Short 1 -38.03 14122.77 0.00 -4463.23 950.00 921102 Exit Short 1 475.00 14635.80 0.00 -4463.23 MFE = 475.00 MAE = -127.39 921103 Enter Short 1 -62.83 14572.97 0.00 -4463.23 921104 Short 1 90.10 14725.90 0.00 -4463.23 921105 Exit Short 1 475.00 15110.80 0.00 -4463.23 MFE = 475.00 MAE = -62.83 921106 Exit Short 1 473.13 15583.93 0.00 -4463.23 MFE = 473.13 MAE = 0.00 921109 Enter Short 1 90.99 15674.92 0.00 -4463.23 921110 Short 1 15.19 15599.12 -75.80 -4463.23 921111 Short 1 -131.09 15452.84 -222.08 -4463.23 921112 Short 1 -235.29 15348.63 -326.29 -4463.23 921113 Short 1 -501.11 15082.82 -592.10 -4463.23 921116 Short 1 90.99 15674.92 0.00 -4463.23 921117 Exit Short 1 471.88 16055.81 0.00 -4463.23 MFE = 471.88 MAE = -501.11 921118 Enter Short 1 -232.75 15823.06 0.00 -4463.23 921119 Short 1 -1116.71 14939.10 -883.96 -4463.23 921120 Short 1 -247.68 15808.12 -14.94 -4463.23 921123 Short 1 -624.58 15431.23 -391.83 -4463.23 921124 Short 1 -746.58 15309.22 -513.84 -4463.23 921125 Short 1 -832.39 15223.42 -599.64 -4463.23 921126 Short 1 -655.02 15400.79 -422.27 -4463.23 921127 Short 1 -442.85 15612.96 -210.11 -4463.23 921130 Short 1 -624.58 15431.23 -391.83 -4463.23 1895.01 921201 Exit Short 1 -1250.00 14805.81 -1250.00 -4463.23 MFE = 0.00 MAE = -1250.00 921216 Enter Long 1 0.47 14806.28 -1016.78 -4463.23 921217 Long 1 0.47 14806.28 -1016.78 -4463.23 921218 Exit Long 1 -606.25 14199.56 -1856.25 -4463.23 MFE = 0.47 MAE = -606.25 -1856.25 930104 Enter Short 1 -58.28 14141.27 -1681.79 -4463.23 930105 Short 1 -267.90 13931.66 -1891.40 -4463.23 930106 Short 1 183.19 14382.75 -1440.31 -4463.23 930107 Short 1 351.99 14551.55 -1271.51 -4463.23 930108 Exit Short 1 475.00 14674.56 -1381.25 -4463.23 MFE = 475.00 MAE = -267.90 930115 Enter Short 1 123.39 14797.94 -1025.12 -4463.23 930118 Short 1 -370.78 14303.77 -1519.29 -4463.23 930119 Short 1 -557.32 14117.24 -1705.83 -4463.23 930120 Short 1 -672.94 14001.62 -1821.44 -4463.23 930121 Short 1 -370.78 14303.77 -1519.29 -4463.23 930122 Short 1 -979.44 13695.12 -2127.95 -4463.23 930125 Short 1 -1305.31 13369.25 -2453.82 -4463.23 930126 Short 1 -1171.40 13503.16 -2319.91 -4463.23 930127 Short 1 -847.54 13827.01 -1996.05 -4463.23 930128 Short 1 -862.16 13812.40 -2010.66 -4463.23 930129 Short 1 -115.19 14559.37 -1263.69 -4463.23 475.00 930201 Exit Short 1 475.00 15149.56 -673.50 -4463.23 MFE = 475.00 MAE = -1305.31 930215 Enter Short 1 -162.68 14986.87 -836.19 -4463.23 930216 Exit Short 1 -750.00 14399.56 -1423.50 -4463.23 MFE = 0.00 MAE = -750.00 930218 Enter Short 1 -521.99 13877.57 -1945.49 -4463.23 930219 Short 1 -453.12 13946.44 -1876.62 -4463.23 930222 Short 1 -1024.68 13374.87 -2448.19 -4463.23 930223 Short 1 -729.98 13669.58 -2153.48 -4463.23 930224 Short 1 -494.41 13905.15 -1917.92 -4463.23 930225 Short 1 -193.49 14206.07 -1616.99 -4463.23 930226 Short 1 49.50 14449.06 -1374.00 -4463.23 -275.00 930301 Short 1 350.56 14750.11 -1072.95 -4463.23 930302 Short 1 -71.63 14327.93 -1495.14 -4463.23 930303 Short 1 -44.65 14354.90 -1468.16 -4463.23 930304 Short 1 -125.70 14273.86 -1549.20 -4463.23 930305 Exit Short 1 475.00 14874.56 -948.50 -4463.23 MFE = 475.00 MAE = -1024.68 930318 Enter Long 1 306.91 15181.47 -641.59 -4463.23 930319 Exit Long 1 475.00 15349.56 -473.50 -4463.23 MFE = 475.00 MAE = 0.00 950.00 930408 Enter Long 1 -28.24 15321.31 -501.75 -4463.23 930409 Long 1 0.43 15349.98 -473.08 -4463.23 930412 Exit Long 1 475.00 15824.56 0.00 -4463.23 MFE = 475.00 MAE = -28.24 930413 Enter Long 1 81.38 15905.94 0.00 -4463.23 930414 Long 1 -289.31 15535.25 -370.69 -4463.23 930415 Long 1 -552.30 15272.26 -633.68 -4463.23 930416 Long 1 -983.51 14841.05 -1064.89 -4463.23 930419 Long 1 -566.81 15257.74 -648.20 -4463.23 930420 Long 1 -312.82 15511.74 -394.20 -4463.23 930421 Long 1 -200.93 15623.63 -282.31 -4463.23 930422 Long 1 111.32 15935.87 0.00 -4463.23 930423 Exit Long 1 475.00 16299.56 0.00 -4463.23 MFE = 475.00 MAE = -983.51 950.00 930504 Enter Long 1 107.60 16407.16 0.00 -4463.23 930505 Long 1 185.34 16484.89 0.00 -4463.23 930506 Long 1 272.73 16572.29 0.00 -4463.23 930507 Exit Long 1 475.00 16774.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 930525 Enter Long 1 -18.35 16756.21 0.00 -4463.23 930526 Long 1 84.87 16859.43 0.00 -4463.23 930527 Exit Long 1 475.00 17249.56 0.00 -4463.23 MFE = 475.00 MAE = -18.35 950.00 930604 Exit Short 1 475.00 17724.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 930615 Enter Short 1 11.89 17736.45 0.00 -4463.23 930616 Exit Short 1 475.00 18199.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 930630 Enter Short 1 126.32 18325.88 0.00 -4463.23 950.00 930701 Short 1 -117.40 18082.16 -243.72 -4463.23 930702 Short 1 -2.03 18197.53 -128.35 -4463.23 930705 Short 1 52.69 18252.24 -73.63 -4463.23 930706 Short 1 39.02 18238.58 -87.30 -4463.23 930707 Short 1 52.69 18252.24 -73.63 -4463.23 930708 Short 1 25.35 18224.90 -100.97 -4463.23 930709 Exit Short 1 475.00 18674.56 0.00 -4463.23 MFE = 475.00 MAE = -117.40 930712 Enter Short 1 -289.76 18384.80 -289.76 -4463.23 930713 Short 1 -559.04 18115.52 -559.04 -4463.23 930714 Short 1 -790.73 17883.83 -790.73 -4463.23 930715 Short 1 -594.30 18080.25 -594.30 -4463.23 930716 Short 1 -900.66 17773.90 -900.66 -4463.23 930719 Short 1 -1052.78 17621.77 -1052.78 -4463.23 930720 Short 1 -1178.07 17496.48 -1178.07 -4463.23 930721 Short 1 -1080.56 17594.00 -1080.56 -4463.23 930722 Short 1 -955.85 17718.71 -955.85 -4463.23 930723 Short 1 -545.49 18129.07 -545.49 -4463.23 930726 Short 1 -531.95 18142.61 -531.95 -4463.23 930727 Short 1 -504.90 18169.66 -504.90 -4463.23 930728 Short 1 -735.98 17938.58 -735.98 -4463.23 930729 Short 1 -303.14 18371.42 -303.14 -4463.23 930730 Short 1 -410.50 18264.06 -410.50 -4463.23 475.00 930802 Exit Short 1 -837.50 17837.06 -837.50 -4463.23 MFE = 0.00 MAE = -1178.07 930802 Enter Long 1 407.50 18244.56 -430.00 -4463.23 930803 Long 1 212.54 18049.60 -624.96 -4463.23 930804 Long 1 157.17 17994.23 -680.33 -4463.23 930805 Long 1 88.16 17925.22 -749.34 -4463.23 930806 Long 1 184.84 18021.89 -652.66 -4463.23 930809 Long 1 171.00 18008.06 -666.50 -4463.23 930810 Exit Long 1 -262.50 17574.56 -1100.00 -4463.23 MFE = 407.50 MAE = -262.50 930810 Enter Short 1 196.77 17771.33 -903.23 -4463.23 930811 Short 1 365.34 17939.89 -734.66 -4463.23 930812 Exit Short 1 475.00 18049.56 -625.00 -4463.23 MFE = 475.00 MAE = 0.00 930816 Enter Long 1 148.29 18197.85 -476.71 -4463.23 930817 Long 1 -46.41 18003.14 -671.41 -4463.23 930818 Exit Long 1 475.00 18524.56 -150.00 -4463.23 MFE = 475.00 MAE = -46.41 930826 Enter Long 1 -126.74 18397.81 -276.74 -4463.23 930827 Long 1 -25.27 18499.29 -175.27 -4463.23 930830 Long 1 -155.64 18368.91 -305.64 -4463.23 930831 Long 1 -371.18 18153.38 -521.18 -4463.23 -150.00 930901 Long 1 223.19 18747.75 0.00 -4463.23 930902 Exit Long 1 475.00 18999.56 0.00 -4463.23 MFE = 475.00 MAE = -371.18 930903 Enter Long 1 240.05 19239.60 0.00 -4463.23 930906 Exit Long 1 475.00 19474.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 930909 Enter Long 1 -83.33 19391.23 0.00 -4463.23 930910 Long 1 240.15 19714.71 0.00 -4463.23 930913 Long 1 -115.10 19359.46 -355.25 -4463.23 930914 Long 1 -41.95 19432.60 -282.11 -4463.23 930915 Exit Long 1 475.00 19949.56 0.00 -4463.23 MFE = 475.00 MAE = -115.10 1425.00 931008 Enter Long 1 181.07 20130.63 0.00 -4463.23 931011 Long 1 70.45 20020.01 -110.62 -4463.23 931012 Exit Long 1 475.00 20424.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 931014 Enter Short 1 -15.05 20409.51 -15.05 -4463.23 931015 Short 1 101.93 20526.49 0.00 -4463.23 931018 Exit Short 1 475.00 20899.56 0.00 -4463.23 MFE = 475.00 MAE = -15.05 950.00 931101 Enter Short 1 77.66 20977.22 0.00 -4463.23 931102 Short 1 243.11 21142.67 0.00 -4463.23 931103 Short 1 -83.53 20816.02 -326.65 -4463.23 931104 Short 1 38.86 20938.42 -204.25 -4463.23 931105 Short 1 -117.04 20782.51 -360.16 -4463.23 931108 Short 1 -426.71 20472.84 -669.83 -4463.23 931109 Short 1 -215.08 20684.48 -458.20 -4463.23 931110 Short 1 -299.48 20600.08 -542.60 -4463.23 931111 Short 1 -75.17 20824.39 -318.28 -4463.23 931112 Short 1 -313.58 20585.98 -556.69 -4463.23 931115 Short 1 -229.12 20670.44 -472.24 -4463.23 931116 Short 1 77.66 20977.22 -165.45 -4463.23 931117 Short 1 -97.49 20802.07 -340.61 -4463.23 931118 Short 1 119.15 21018.71 -123.97 -4463.23 931119 Short 1 132.96 21032.52 -110.15 -4463.23 931122 Short 1 -173.01 20726.55 -416.12 -4463.23 931123 Short 1 -248.80 20650.76 -491.91 -4463.23 931124 Short 1 -220.70 20678.86 -463.81 -4463.23 931125 Short 1 -61.23 20838.33 -304.35 -4463.23 931126 Short 1 -47.29 20852.26 -290.41 -4463.23 931129 Short 1 -271.31 20628.25 -514.42 -4463.23 931130 Short 1 -75.17 20824.39 -318.28 -4463.23 0.00 931201 Short 1 36.09 20935.65 -207.02 -4463.23 931202 Short 1 -97.49 20802.07 -340.61 -4463.23 931203 Exit Short 1 -381.25 20518.31 -381.25 -4463.23 MFE = 243.11 MAE = -426.71 931203 Enter Long 1 -70.86 20447.45 -695.23 -4463.23 931206 Exit Long 1 475.00 20993.31 -149.36 -4463.23 MFE = 475.00 MAE = -70.86 931221 Enter Long 1 75.49 21068.79 -73.88 -4463.23 931222 Exit Long 1 475.00 21468.31 0.00 -4463.23 MFE = 475.00 MAE = 0.00 568.75 940112 Enter Long 1 -7.48 21460.83 -7.48 -4463.23 940113 Exit Long 1 -531.25 20937.06 -531.25 -4463.23 MFE = 0.00 MAE = -531.25 940113 Enter Short 1 -68.12 20868.93 -599.37 -4463.23 940114 Short 1 -82.44 20854.62 -613.69 -4463.23 940117 Short 1 -154.13 20782.93 -685.38 -4463.23 940118 Short 1 -560.17 20376.89 -1091.42 -4463.23 940119 Short 1 -574.81 20362.24 -1106.06 -4463.23 940120 Short 1 -751.34 20185.71 -1282.59 -4463.23 940121 Short 1 -376.49 20560.57 -907.74 -4463.23 940124 Short 1 -405.54 20531.52 -936.79 -4463.23 940125 Short 1 -408.45 20528.61 -939.70 -4463.23 940126 Short 1 -283.80 20653.26 -815.05 -4463.23 940127 Short 1 -574.81 20362.24 -1106.06 -4463.23 940128 Short 1 -312.73 20624.33 -843.98 -4463.23 940131 Short 1 -721.82 20215.24 -1253.07 -4463.23 -531.25 940201 Exit Short 1 -1100.00 19837.06 -1631.25 -4463.23 MFE = 0.00 MAE = -1100.00 940201 Enter Long 1 -130.76 19706.29 -1762.01 -4463.23 940202 Long 1 -196.25 19640.81 -1827.50 -4463.23 940203 Long 1 -214.07 19622.99 -1845.32 -4463.23 940204 Exit Long 1 -843.75 18993.31 -2475.00 -4463.23 MFE = 0.00 MAE = -843.75 940204 Enter Short 1 1.33 18994.64 -2473.67 -4463.23 940207 Short 1 -99.93 18893.38 -2574.93 -4463.23 940208 Short 1 270.94 19264.24 -2204.06 -4463.23 940209 Short 1 130.82 19124.13 -2344.18 -4463.23 940210 Short 1 202.43 19195.74 -2272.57 -4463.23 940211 Short 1 231.00 19224.31 -2244.00 -4463.23 940214 Exit Short 1 -162.50 18830.81 -2637.50 -4463.23 MFE = 270.94 MAE = -162.50 940214 Enter Long 1 307.43 19138.24 -2330.07 -4463.23 940215 Exit Long 1 475.00 19305.81 -2162.50 -4463.23 MFE = 475.00 MAE = 0.00 940224 Enter Long 1 287.54 19593.35 -1874.96 -4463.23 940225 Exit Long 1 475.00 19780.81 -1687.50 -4463.23 MFE = 475.00 MAE = 0.00 -1156.25 940310 Enter Long 1 225.93 20006.74 -1461.57 -4463.23 940311 Long 1 107.84 19888.64 -1579.66 -4463.23 940314 Long 1 -367.42 19413.39 -2054.92 -4463.23 940315 Long 1 -578.69 19202.11 -2266.19 -4463.23 940316 Long 1 -261.00 19519.81 -1948.50 -4463.23 940317 Long 1 -458.22 19322.59 -2145.72 -4463.23 940318 Long 1 -518.54 19262.27 -2206.04 -4463.23 940321 Long 1 -221.34 19559.47 -1908.84 -4463.23 940322 Long 1 -123.41 19657.40 -1810.91 -4463.23 940323 Long 1 -86.58 19694.23 -1774.08 -4463.23 940324 Long 1 263.36 20044.17 -1424.14 -4463.23 940325 Long 1 216.59 19997.39 -1470.91 -4463.23 940328 Long 1 45.93 19826.74 -1641.57 -4463.23 940329 Long 1 30.48 19811.29 -1657.02 -4463.23 940330 Long 1 169.91 19950.72 -1517.59 -4463.23 940331 Exit Long 1 475.00 20255.81 -1212.50 -4463.23 MFE = 475.00 MAE = -578.69 475.00 940405 Enter Short 1 190.29 20446.09 -1022.21 -4463.23 940406 Short 1 208.17 20463.98 -1004.33 -4463.23 940407 Short 1 130.58 20386.39 -1081.92 -4463.23 940408 Short 1 97.67 20353.48 -1114.83 -4463.23 940411 Short 1 -31.46 20224.35 -1243.96 -4463.23 940412 Short 1 103.66 20359.46 -1108.84 -4463.23 940413 Short 1 -70.65 20185.16 -1283.15 -4463.23 940414 Short 1 151.49 20407.30 -1061.01 -4463.23 940415 Exit Short 1 475.00 20730.81 -737.50 -4463.23 MFE = 475.00 MAE = -70.65 940428 Enter Long 1 235.56 20966.37 -501.94 -4463.23 940429 Exit Long 1 475.00 21205.81 -262.50 -4463.23 MFE = 475.00 MAE = 0.00 950.00 940517 Enter Long 1 -297.75 20908.06 -560.25 -4463.23 940518 Long 1 145.45 21351.26 -117.05 -4463.23 940519 Long 1 4.04 21209.84 -258.46 -4463.23 940520 Long 1 192.79 21398.60 -69.71 -4463.23 940523 Long 1 256.07 21461.88 -6.43 -4463.23 940524 Long 1 -42.90 21162.91 -305.40 -4463.23 940525 Long 1 303.65 21509.46 0.00 -4463.23 940526 Long 1 224.41 21430.22 -79.24 -4463.23 940527 Long 1 319.53 21525.34 0.00 -4463.23 940530 Long 1 240.24 21446.04 -79.29 -4463.23 940531 Exit Long 1 475.00 21680.81 0.00 -4463.23 MFE = 475.00 MAE = -297.75 475.00 940603 Enter Short 1 283.12 21963.93 0.00 -4463.23 940606 Short 1 189.74 21870.55 -93.38 -4463.23 940607 Short 1 86.56 21767.37 -196.56 -4463.23 940608 Short 1 80.29 21761.10 -202.83 -4463.23 940609 Short 1 36.36 21717.17 -246.76 -4463.23 940610 Short 1 -124.41 21556.40 -407.53 -4463.23 940613 Exit Short 1 -456.25 21224.56 -456.25 -4463.23 MFE = 283.12 MAE = -456.25 940613 Enter Long 1 318.79 21543.35 -420.58 -4463.23 940614 Long 1 318.79 21543.35 -420.58 -4463.23 940615 Exit Long 1 475.00 21699.56 -264.37 -4463.23 MFE = 475.00 MAE = 0.00 940624 Enter Long 1 242.47 21942.03 -21.90 -4463.23 940627 Exit Long 1 475.00 22174.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 493.75 940705 Enter Long 1 252.99 22427.55 0.00 -4463.23 940706 Exit Long 1 475.00 22649.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 940708 Enter Long 1 97.95 22747.51 0.00 -4463.23 940711 Exit Long 1 475.00 23124.56 0.00 -4463.23 MFE = 475.00 MAE = 0.00 940718 Enter Long 1 -202.12 22922.44 0.00 -4463.23 940719 Long 1 -988.78 22135.78 -786.66 -4463.23 940720 Long 1 -695.93 22428.62 -493.81 -4463.23 940721 Long 1 -1619.10 21505.46 -1416.98 -4463.23 940722 Long 1 -1910.92 21213.64 -1708.80 -4463.23 940725 Long 1 -1705.31 21419.25 -1503.19 -4463.23 940726 Long 1 -1608.73 21515.83 -1406.61 -4463.23 940727 Long 1 -1239.44 21885.12 -1037.32 -4463.23 940728 Long 1 -1739.71 21384.85 -1537.59 -4463.23 940729 Long 1 -1410.88 21713.68 -1208.76 -4463.23 950.00 940801 Long 1 -1130.32 21994.23 -928.20 -4463.23 940802 Long 1 -1316.57 21807.99 -1114.45 -4463.23 940803 Long 1 -1158.53 21966.03 -956.41 -4463.23 940804 Long 1 -1449.19 21675.37 -1247.07 -4463.23 940805 Long 1 -1200.78 21923.78 -998.66 -4463.23 940808 Long 1 -1253.48 21871.08 -1051.36 -4463.23 940809 Long 1 -1204.29 21920.26 -1002.17 -4463.23 940810 Long 1 -1288.55 21836.01 -1086.43 -4463.23 940811 Long 1 -515.57 22608.99 -313.45 -4463.23 940812 Long 1 -84.43 23040.13 0.00 -4463.23 940815 Long 1 -99.17 23025.39 -14.74 -4463.23 940816 Long 1 -450.31 22674.25 -365.88 -4463.23 940817 Long 1 -128.63 22995.93 -44.20 -4463.23 940818 Long 1 141.53 23266.09 0.00 -4463.23 940819 Long 1 171.32 23295.88 0.00 -4463.23 940822 Exit Long 1 475.00 23599.56 0.00 -4463.23 MFE = 475.00 MAE = -1910.92 475.00 940909 Enter Long 1 -15.94 23583.61 0.00 -4463.23 940912 Long 1 -243.57 23355.98 -227.63 -4463.23 940913 Long 1 -179.30 23420.26 -163.35 -4463.23 940914 Long 1 -54.03 23545.53 -38.08 -4463.23 940915 Long 1 -220.91 23378.65 -204.97 -4463.23 940916 Long 1 -54.03 23545.53 -38.08 -4463.23 940919 Long 1 -224.69 23374.87 -208.74 -4463.23 940920 Long 1 -167.94 23431.62 -151.99 -4463.23 940921 Long 1 -92.06 23507.50 -76.11 -4463.23 940922 Long 1 -205.79 23393.77 -189.84 -4463.23 940923 Long 1 -224.69 23374.87 -208.74 -4463.23 940926 Long 1 -205.79 23393.77 -189.84 -4463.23 940927 Long 1 137.00 23736.56 0.00 -4463.23 940928 Exit Long 1 -368.75 23230.81 -368.75 -4463.23 MFE = 137.00 MAE = -368.75 -368.75 941005 Enter Long 1 -189.25 23041.56 -695.00 -4463.23 941006 Long 1 -139.59 23091.22 -645.34 -4463.23 941007 Long 1 -234.99 22995.82 -740.75 -4463.23 941010 Long 1 -284.46 22946.35 -790.21 -4463.23 941011 Long 1 -526.51 22704.30 -1032.27 -4463.23 941012 Long 1 -386.86 22843.94 -892.62 -4463.23 941013 Long 1 117.95 23348.75 -387.81 -4463.23 941014 Exit Long 1 475.00 23705.81 -30.75 -4463.23 MFE = 475.00 MAE = -526.51 941017 Enter Long 1 -13.15 23692.65 -43.91 -4463.23 941018 Long 1 59.14 23764.95 0.00 -4463.23 941019 Long 1 107.46 23813.27 0.00 -4463.23 941020 Long 1 395.25 24101.06 0.00 -4463.23 941021 Long 1 -1.12 23704.69 -396.37 -4463.23 941024 Long 1 240.81 23946.62 -154.44 -4463.23 941025 Exit Long 1 475.00 24180.81 0.00 -4463.23 MFE = 475.00 MAE = -13.15 950.00 941128 Enter Short 1 142.18 24322.99 0.00 -4463.23 941129 Short 1 177.60 24358.40 0.00 -4463.23 941130 Short 1 99.62 24280.43 -77.98 -4463.23 0.00 941201 Short 1 159.90 24340.70 -17.70 -4463.23 941202 Short 1 308.16 24488.97 0.00 -4463.23 941205 Short 1 71.20 24252.01 -236.96 -4463.23 941206 Short 1 106.72 24287.53 -201.44 -4463.23 941207 Short 1 35.63 24216.44 -272.53 -4463.23 941208 Exit Short 1 474.19 24654.99 0.00 -4463.23 MFE = 474.19 MAE = 0.00 941209 Enter Short 1 -90.94 24564.05 -90.94 -4463.23 941212 Short 1 -206.64 24448.35 -206.64 -4463.23 941213 Short 1 -354.72 24300.27 -354.72 -4463.23 941214 Short 1 -436.22 24218.78 -436.22 -4463.23 941215 Short 1 -453.97 24201.02 -453.97 -4463.23 941216 Short 1 -241.81 24413.18 -241.81 -4463.23 941219 Short 1 -277.04 24377.95 -277.04 -4463.23 941220 Short 1 -411.39 24243.61 -411.39 -4463.23 941221 Short 1 -241.81 24413.18 -241.81 -4463.23 941222 Short 1 -294.68 24360.32 -294.68 -4463.23 941223 Short 1 -245.34 24409.66 -245.34 -4463.23 941226 Short 1 -199.61 24455.38 -199.61 -4463.23 941227 Short 1 -340.58 24314.41 -340.58 -4463.23 941228 Exit Short 1 -606.25 24048.74 -606.25 -4463.23 MFE = 0.00 MAE = -606.25 941228 Exit Long 1 475.00 24523.74 -131.25 -4463.23 MFE = 475.00 MAE = 0.00 342.94 950109 Exit Long 1 475.00 24998.74 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950118 Enter Long 1 -431.67 24567.08 -431.67 -4463.23 950119 Long 1 183.55 25182.30 0.00 -4463.23 950120 Exit Long 1 475.00 25473.74 0.00 -4463.23 MFE = 475.00 MAE = -431.67 950127 Enter Long 1 -178.46 25295.28 0.00 -4463.23 950130 Long 1 135.29 25609.04 0.00 -4463.23 950131 Exit Long 1 -487.50 24986.24 -487.50 -4463.23 MFE = 135.29 MAE = -487.50 462.50 950210 Enter Long 1 -46.69 24939.55 -669.49 -4463.23 950213 Long 1 -171.90 24814.34 -794.70 -4463.23 950214 Long 1 263.39 25249.63 -359.40 -4463.23 950215 Long 1 190.30 25176.55 -432.49 -4463.23 950216 Exit Long 1 475.00 25461.24 -147.79 -4463.23 MFE = 475.00 MAE = -171.90 950227 Enter Long 1 -141.94 25319.31 -289.73 -4463.23 950228 Long 1 81.71 25542.96 -66.08 -4463.23 475.00 950301 Long 1 8.30 25469.54 -139.49 -4463.23 950302 Exit Long 1 475.00 25936.24 0.00 -4463.23 MFE = 475.00 MAE = -141.94 950303 Enter Long 1 380.39 26316.63 0.00 -4463.23 950306 Exit Long 1 595.00 26531.25 0.00 -4463.23 MFE = 595.00 MAE = 0.00 950307 Exit Long 1 475.00 27006.25 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950315 Exit Long 1 475.00 27481.25 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950316 Enter Long 1 -602.04 26879.20 0.00 -4463.23 950317 Long 1 37.78 27519.03 0.00 -4463.23 950320 Long 1 -707.99 26773.26 -745.77 -4463.23 950321 Long 1 -1018.77 26462.47 -1056.56 -4463.23 950322 Long 1 -602.04 26879.20 -639.83 -4463.23 950323 Long 1 -523.47 26957.78 -561.25 -4463.23 950324 Long 1 -1050.56 26430.69 -1088.34 -4463.23 950327 Long 1 -398.20 27083.05 -435.98 -4463.23 950328 Long 1 232.23 27713.48 0.00 -4463.23 950329 Exit Long 1 477.45 27958.70 0.00 -4463.23 MFE = 477.45 MAE = -1050.56 950331 Exit Long 1 475.00 28433.70 0.00 -4463.23 MFE = 475.00 MAE = 0.00 2972.46 950403 Enter Long 1 148.04 28581.74 0.00 -4463.23 950404 Long 1 -265.53 28168.17 -413.57 -4463.23 950405 Long 1 148.04 28581.74 0.00 -4463.23 950406 Exit Long 1 475.00 28908.70 0.00 -4463.23 MFE = 475.00 MAE = -265.53 950417 Enter Long 1 288.22 29196.92 0.00 -4463.23 950418 Exit Long 1 475.00 29383.70 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950.00 950502 Enter Long 1 -153.40 29230.30 0.00 -4463.23 950503 Long 1 -153.40 29230.30 0.00 -4463.23 950504 Long 1 -31.73 29351.97 0.00 -4463.23 950505 Long 1 -31.73 29351.97 0.00 -4463.23 950508 Long 1 213.22 29596.92 0.00 -4463.23 950509 Long 1 -385.50 28998.20 -598.72 -4463.23 950510 Exit Long 1 -850.00 28533.70 -850.00 -4463.23 MFE = 213.22 MAE = -850.00 950510 Enter Short 1 94.55 28628.25 -968.67 -4463.23 950511 Exit Short 1 475.00 29008.70 -588.22 -4463.23 MFE = 475.00 MAE = 0.00 -375.00 950615 Enter Short 1 -275.41 28733.30 -863.62 -4463.23 950616 Short 1 -437.34 28571.36 -1025.56 -4463.23 950619 Exit Short 1 -806.25 28202.45 -1394.47 -4463.23 MFE = 0.00 MAE = -806.25 950619 Enter Long 1 -250.93 27951.53 -1645.39 -4463.23 950620 Long 1 15.82 28218.27 -1378.64 -4463.23 950621 Exit Long 1 475.00 28677.45 -919.47 -4463.23 MFE = 475.00 MAE = -250.93 950623 Enter Long 1 -83.59 28593.86 -1003.06 -4463.23 950626 Long 1 -320.92 28356.53 -1240.39 -4463.23 950627 Long 1 -131.23 28546.22 -1050.70 -4463.23 950628 Exit Long 1 -831.25 27846.20 -1750.72 -4463.23 MFE = 0.00 MAE = -831.25 950629 Enter Long 1 -8.59 27837.61 -1759.31 -4463.23 950630 Long 1 -151.24 27694.96 -1901.96 -4463.23 -1162.50 950703 Long 1 39.11 27885.32 -1711.60 -4463.23 950704 Long 1 -151.24 27694.96 -1901.96 -4463.23 950705 Long 1 15.25 27861.45 -1735.47 -4463.23 950706 Long 1 77.35 27923.55 -1673.37 -4463.23 950707 Exit Long 1 -368.75 27477.45 -2119.47 -4463.23 MFE = 77.35 MAE = -368.75 950707 Exit Short 1 475.00 27952.45 -1644.47 -4463.23 MFE = 475.00 MAE = 0.00 950719 Enter Long 1 81.27 28033.72 -1563.20 -4463.23 950720 Long 1 -198.07 27754.38 -1842.54 -4463.23 950721 Long 1 -320.26 27632.19 -1964.73 -4463.23 950724 Long 1 -155.64 27796.81 -1800.11 -4463.23 950725 Long 1 -535.11 27417.35 -2179.57 -4463.23 950726 Long 1 -202.78 27749.68 -1847.24 -4463.23 950727 Long 1 -65.86 27886.60 -1710.32 -4463.23 950728 Long 1 -51.66 27900.80 -1696.12 -4463.23 950731 Long 1 -202.78 27749.68 -1847.24 -4463.23 106.25 950801 Exit Long 1 475.00 28427.45 -1169.47 -4463.23 MFE = 475.00 MAE = -535.11 950802 Enter Short 1 18.48 28445.93 -1150.99 -4463.23 950803 Short 1 -381.31 28046.14 -1550.78 -4463.23 950804 Short 1 -215.97 28211.48 -1385.44 -4463.23 950807 Short 1 485.96 28913.41 -683.51 -4463.23 950808 Exit Short 1 475.00 28902.45 -694.47 -4463.23 MFE = 485.96 MAE = -381.31 950810 Enter Short 1 -133.76 28768.69 -828.22 -4463.23 950811 Exit Short 1 475.00 29377.45 -219.47 -4463.23 MFE = 475.00 MAE = -133.76 950815 Exit Short 1 475.00 29852.45 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950824 Enter Short 1 -665.80 29186.65 -665.80 -4463.23 950825 Short 1 -1005.18 28847.27 -1005.18 -4463.23 950828 Short 1 -1082.16 28770.29 -1082.16 -4463.23 950829 Short 1 -699.54 29152.91 -699.54 -4463.23 950830 Short 1 -928.43 28924.02 -928.43 -4463.23 950831 Short 1 -1297.20 28555.25 -1297.20 -4463.23 1900.00 950901 Short 1 -1601.28 28251.18 -1601.28 -4463.23 950904 Short 1 -1470.52 28381.93 -1470.52 -4463.23 950905 Short 1 -1427.08 28425.37 -1427.08 -4463.23 950906 Short 1 -911.41 28941.05 -911.41 -4463.23 950907 Short 1 -729.10 29123.36 -729.10 -4463.23 950908 Short 1 -826.45 29026.00 -826.45 -4463.23 950911 Short 1 -1018.00 28834.46 -1018.00 -4463.23 950912 Short 1 -1275.62 28576.84 -1275.62 -4463.23 950913 Short 1 -657.38 29195.07 -657.38 -4463.23 950914 Short 1 -898.65 28953.80 -898.65 -4463.23 950915 Short 1 -1125.02 28727.43 -1125.02 -4463.23 950918 Short 1 -1189.46 28663.00 -1189.46 -4463.23 950919 Short 1 -1310.16 28542.30 -1310.16 -4463.23 950920 Exit Short 1 -1975.00 27877.45 -1975.00 -4463.23 MFE = 0.00 MAE = -1975.00 950920 Exit Long 1 475.00 28352.45 -1500.00 -4463.23 MFE = 475.00 MAE = 0.00 950921 Exit Long 1 475.00 28827.45 -1025.00 -4463.23 MFE = 475.00 MAE = 0.00 -1025.00 951005 Enter Long 1 264.01 29091.46 -760.99 -4463.23 951006 Exit Long 1 475.00 29302.45 -550.00 -4463.23 MFE = 475.00 MAE = 0.00 951009 Enter Long 1 -262.89 29039.57 -812.89 -4463.23 951010 Long 1 -558.77 28743.68 -1108.77 -4463.23 951011 Long 1 -982.63 28319.82 -1532.63 -4463.23 951012 Long 1 -582.49 28719.96 -1132.49 -4463.23 951013 Long 1 -865.56 28436.90 -1415.56 -4463.23 951016 Long 1 -907.76 28394.69 -1457.76 -4463.23 951017 Long 1 -511.26 28791.19 -1061.26 -4463.23 951018 Long 1 -959.26 28343.19 -1509.26 -4463.23 951019 Long 1 -573.00 28729.45 -1123.00 -4463.23 951020 Long 1 -224.47 29077.98 -774.47 -4463.23 951023 Exit Long 1 475.00 29777.45 -75.00 -4463.23 MFE = 475.00 MAE = -982.63 950.00 951109 Enter Long 1 -37.85 29739.60 -112.85 -4463.23 951110 Long 1 -134.46 29643.00 -209.46 -4463.23 951113 Long 1 -350.59 29426.87 -425.59 -4463.23 951114 Long 1 -245.13 29532.32 -320.13 -4463.23 951115 Long 1 -86.20 29691.25 -161.20 -4463.23 951116 Long 1 -110.34 29667.11 -185.34 -4463.23 951117 Long 1 -105.51 29671.94 -180.51 -4463.23 951120 Exit Long 1 -612.50 29164.95 -687.50 -4463.23 MFE = 0.00 MAE = -612.50 951120 Enter Short 1 -569.01 28595.94 -1256.51 -4463.23 951121 Short 1 -520.63 28644.32 -1208.13 -4463.23 951122 Short 1 -564.17 28600.78 -1251.67 -4463.23 951123 Short 1 -491.65 28673.30 -1179.15 -4463.23 951124 Short 1 -165.25 28999.71 -852.75 -4463.23 951127 Exit Short 1 475.00 29639.95 -212.50 -4463.23 MFE = 475.00 MAE = -569.01 -137.50 951212 Enter Short 1 13.20 29653.15 -199.30 -4463.23 951213 Short 1 58.51 29698.46 -153.99 -4463.23 951214 Exit Short 1 -406.25 29233.70 -618.75 -4463.23 MFE = 58.51 MAE = -406.25 -406.25 960103 Enter Short 1 53.90 29287.60 -564.85 -4463.23 960104 Exit Short 1 475.00 29708.70 -143.75 -4463.23 MFE = 475.00 MAE = 0.00 960116 Enter Short 1 315.15 30023.85 0.00 -4463.23 960117 Exit Short 1 475.00 30183.70 0.00 -4463.23 MFE = 475.00 MAE = 0.00 960125 Enter Short 1 -82.62 30101.09 0.00 -4463.23 960126 Exit Short 1 475.00 30658.70 0.00 -4463.23 MFE = 475.00 MAE = -82.62 1425.00 960202 Enter Short 1 -344.98 30313.72 0.00 -4463.23 960205 Exit Short 1 -1093.75 29564.95 -1093.75 -4463.23 MFE = 0.00 MAE = -1093.75 -1093.75 960308 Enter Long 1 -305.73 29259.22 -1054.50 -4463.23 960311 Long 1 -271.11 29293.84 -1019.88 -4463.23 960312 Long 1 99.58 29664.53 -649.19 -4463.23 960313 Long 1 333.40 29898.35 -415.37 -4463.23 960314 Long 1 351.13 29916.08 -397.64 -4463.23 960315 Exit Long 1 475.00 30039.95 -618.75 -4463.23 MFE = 475.00 MAE = -305.73 960327 Enter Short 1 10.97 30050.92 -262.80 -4463.23 960328 Exit Short 1 -387.50 29652.45 -1006.25 -4463.23 MFE = 10.97 MAE = -387.50 960328 Enter Long 1 12.59 29665.04 -648.68 -4463.23 960329 Long 1 21.43 29673.88 -639.84 -4463.23 87.50 960401 Long 1 -233.74 29418.71 -895.01 -4463.23 960402 Long 1 -233.74 29418.71 -895.01 -4463.23 960403 Long 1 -286.22 29366.23 -947.49 -4463.23 960404 Long 1 -124.05 29528.40 -785.32 -4463.23 960405 Long 1 -216.22 29436.23 -877.49 -4463.23 960408 Long 1 -251.25 29401.21 -912.51 -4463.23 960409 Exit Long 1 -512.50 29139.95 -1518.75 -4463.23 MFE = 21.43 MAE = -512.50 960409 Enter Short 1 446.01 29585.96 -727.76 -4463.23 960410 Exit Short 1 475.00 29614.95 -1043.75 -4463.23 MFE = 475.00 MAE = 0.00 960430 Enter Short 1 46.34 29661.29 -652.43 -4463.23 -37.50 960501 Short 1 295.50 29910.45 -403.27 -4463.23 960502 Exit Short 1 475.00 30089.95 -568.75 -4463.23 MFE = 475.00 MAE = 0.00 960510 Enter Short 1 151.12 30241.07 -72.65 -4463.23 960513 Short 1 231.25 30321.20 0.00 -4463.23 960514 Short 1 231.25 30321.20 0.00 -4463.23 960515 Short 1 307.13 30397.09 0.00 -4463.23 960516 Exit Short 1 475.00 30564.95 -93.75 -4463.23 MFE = 475.00 MAE = 0.00 960521 Enter Short 1 -91.06 30473.89 0.00 -4463.23 960522 Short 1 -102.72 30462.23 -11.66 -4463.23 960523 Short 1 -231.33 30333.62 -140.27 -4463.23 960524 Short 1 -180.59 30384.37 -89.53 -4463.23 960527 Short 1 -219.61 30345.34 -128.55 -4463.23 960528 Short 1 52.28 30617.23 0.00 -4463.23 960529 Exit Short 1 -393.75 30171.20 -487.50 -4463.23 MFE = 52.28 MAE = -393.75 556.25 960607 Enter Short 1 136.77 30307.97 -309.26 -4463.23 960610 Short 1 35.73 30206.93 -410.30 -4463.23 960611 Short 1 -65.72 30105.48 -511.75 -4463.23 960612 Short 1 -151.89 30019.31 -597.92 -4463.23 960613 Short 1 -483.68 29687.52 -929.71 -4463.23 960614 Exit Short 1 -931.25 29239.95 -1418.75 -4463.23 MFE = 136.77 MAE = -931.25 960621 Enter Short 1 102.13 29342.08 -1275.15 -4463.23 960624 Short 1 -152.25 29087.70 -1529.53 -4463.23 960625 Short 1 -175.86 29064.09 -1553.14 -4463.23 960626 Short 1 -290.31 28949.64 -1667.59 -4463.23 960627 Exit Short 1 -718.75 28521.20 -2137.50 -4463.23 MFE = 102.13 MAE = -718.75 960627 Enter Long 1 19.42 28540.62 -2076.61 -4463.23 960628 Long 1 -288.46 28232.74 -2384.49 -4463.23 -1650.00 960701 Long 1 -129.00 28392.20 -2225.03 -4463.23 960702 Long 1 -140.99 28380.21 -2237.02 -4463.23 960703 Long 1 -196.89 28324.31 -2292.92 -4463.23 960704 Long 1 -292.44 28228.77 -2388.46 -4463.23 960705 Exit Long 1 -550.00 27971.20 -2687.50 -4463.23 MFE = 19.42 MAE = -550.00 960705 Enter Short 1 63.66 28034.86 -2582.37 -4463.23 960708 Short 1 71.51 28042.71 -2574.52 -4463.23 960709 Short 1 142.06 28113.26 -2503.97 -4463.23 960710 Short 1 122.49 28093.69 -2523.54 -4463.23 960711 Short 1 -141.35 27829.86 -2787.37 -4463.23 960712 Short 1 -26.80 27944.40 -2672.83 -4463.23 960715 Exit Short 1 -418.75 27552.45 -3106.25 -4463.23 MFE = 142.06 MAE = -418.75 960715 Enter Long 1 26.26 27578.71 -3038.52 -4463.23 960716 Exit Long 1 475.00 28027.45 -2589.78 -4463.23 MFE = 475.00 MAE = 0.00 960725 Enter Long 1 -154.69 27872.76 -2744.47 -4463.23 960726 Long 1 -291.88 27735.57 -2881.66 -4463.23 960729 Long 1 -163.29 27864.16 -2753.06 -4463.23 960730 Long 1 0.52 28027.97 -2589.26 -4463.23 960731 Exit Long 1 475.00 28502.45 -2114.78 -4463.23 MFE = 475.00 MAE = -291.88 -18.75 960805 Enter Long 1 -366.28 28136.17 -2481.06 -4463.23 960806 Long 1 -633.55 27868.90 -2748.33 -4463.23 960807 Long 1 -753.36 27749.09 -2868.14 -4463.23 960808 Long 1 -753.36 27749.09 -2868.14 -4463.23 960809 Long 1 -413.90 28088.55 -2528.68 -4463.23 960812 Long 1 -448.48 28053.97 -2563.26 -4463.23 960813 Long 1 -288.17 28214.28 -2402.95 -4463.23 960814 Long 1 -697.80 27804.65 -2812.58 -4463.23 960815 Long 1 -500.26 28002.19 -2615.04 -4463.23 960816 Long 1 -719.18 27783.27 -2833.96 -4463.23 960819 Long 1 -607.81 27894.65 -2722.58 -4463.23 960820 Long 1 -607.81 27894.65 -2722.58 -4463.23 960821 Long 1 -279.48 28222.98 -2394.25 -4463.23 960822 Exit Long 1 -831.25 27671.20 -2946.03 -4463.23 MFE = 0.00 MAE = -831.25 960823 Enter Long 1 248.40 27919.60 -2697.63 -4463.23 960826 Long 1 200.10 27871.30 -2745.93 -4463.23 960827 Long 1 230.83 27902.03 -2715.20 -4463.23 960828 Long 1 265.98 27937.19 -2680.04 -4463.23 960829 Long 1 182.56 27853.76 -2763.47 -4463.23 960830 Long 1 -131.20 27540.00 -3077.23 -4463.23 -831.25 960902 Exit Long 1 -518.75 27152.45 -3464.78 -4463.23 MFE = 265.98 MAE = -518.75 960902 Enter Short 1 -26.87 27125.59 -3491.64 -4463.23 960903 Short 1 -26.87 27125.59 -3491.64 -4463.23 960904 Short 1 -189.87 26962.59 -3654.64 -4463.23 960905 Short 1 -91.09 27061.37 -3555.86 -4463.23 960906 Short 1 384.60 27537.05 -3080.18 -4463.23 960909 Exit Short 1 475.00 27627.45 -2989.78 -4463.23 MFE = 475.00 MAE = -189.87 960910 Enter Short 1 4.38 27631.83 -2985.40 -4463.23 960911 Short 1 123.32 27750.77 -2866.46 -4463.23 960912 Short 1 180.54 27807.99 -2809.24 -4463.23 960913 Short 1 436.43 28063.88 -2553.34 -4463.23 960916 Short 1 310.84 27938.29 -2678.94 -4463.23 960917 Exit Short 1 475.00 28102.45 -2514.78 -4463.23 MFE = 475.00 MAE = 0.00 960925 Enter Short 1 60.84 28163.29 -2453.94 -4463.23 960926 Exit Short 1 475.00 28577.45 -2039.78 -4463.23 MFE = 475.00 MAE = 0.00 906.25 961004 Enter Short 1 -51.79 28525.66 -2091.56 -4463.23 961007 Short 1 -154.77 28422.69 -2194.54 -4463.23 961008 Exit Short 1 -500.00 28077.45 -2539.78 -4463.23 MFE = 0.00 MAE = -500.00 961015 Enter Short 1 422.28 28499.73 -2117.50 -4463.23 961016 Exit Short 1 475.00 28552.45 -2064.78 -4463.23 MFE = 475.00 MAE = 0.00 961031 Enter Short 1 216.03 28768.48 -1848.75 -4463.23 -25.00 961101 Exit Short 1 475.00 29027.45 -1589.78 -4463.23 MFE = 475.00 MAE = 0.00 961111 Enter Long 1 -15.74 29011.72 -1605.51 -4463.23 961112 Long 1 -581.57 28445.88 -2171.35 -4463.23 961113 Long 1 -643.65 28383.80 -2233.43 -4463.23 961114 Long 1 -855.86 28171.59 -2445.64 -4463.23 961115 Long 1 -978.48 28048.97 -2568.26 -4463.23 961118 Long 1 -507.65 28519.80 -2097.43 -4463.23 961119 Long 1 -728.75 28298.70 -2318.53 -4463.23 961120 Long 1 -492.06 28535.39 -2081.84 -4463.23 961121 Long 1 -507.65 28519.80 -2097.43 -4463.23 961122 Long 1 -682.37 28345.08 -2272.15 -4463.23 961125 Exit Long 1 -1050.00 27977.45 -2639.78 -4463.23 MFE = 0.00 MAE = -1050.00 961125 Enter Short 1 332.76 28310.21 -2307.02 -4463.23 961126 Exit Short 1 475.00 28452.45 -2164.78 -4463.23 MFE = 475.00 MAE = 0.00 -100.00 961202 Enter Short 1 -50.99 28401.46 -2215.77 -4463.23 961203 Short 1 -104.73 28347.72 -2269.51 -4463.23 961204 Short 1 -58.15 28394.30 -2222.93 -4463.23 961205 Short 1 -375.30 28077.15 -2540.08 -4463.23 961206 Short 1 -248.65 28203.80 -2413.43 -4463.23 961209 Short 1 198.21 28650.66 -1966.57 -4463.23 961210 Short 1 134.38 28586.83 -2030.40 -4463.23 961211 Short 1 -455.25 27997.20 -2620.03 -4463.23 961212 Short 1 -429.78 28022.67 -2594.56 -4463.23 961213 Short 1 66.82 28519.27 -2097.96 -4463.23 961216 Short 1 -104.73 28347.72 -2269.51 -4463.23 961217 Short 1 66.82 28519.27 -2097.96 -4463.23 961218 Short 1 198.21 28650.66 -1966.57 -4463.23 961219 Exit Short 1 475.00 28927.45 -1689.78 -4463.23 MFE = 475.00 MAE = -455.25 961224 Enter Short 1 -2.63 28924.82 -1692.41 -4463.23 961225 Short 1 -9.53 28917.93 -1699.30 -4463.23 961226 Short 1 -89.03 28838.42 -1778.81 -4463.23 961227 Short 1 134.96 29062.41 -1554.82 -4463.23 961230 Short 1 83.46 29010.91 -1606.32 -4463.23 961231 Short 1 -210.54 28716.91 -1900.32 -4463.23 475.00 970102 Short 1 49.06 28976.51 -1640.72 -4463.23 970103 Exit Short 1 475.00 29402.45 -1214.78 -4463.23 MFE = 475.00 MAE = -210.54 970108 Enter Short 1 37.45 29439.91 -1177.32 -4463.23 970109 Short 1 191.24 29593.69 -1023.54 -4463.23 970110 Short 1 393.58 29796.04 -821.19 -4463.23 970113 Exit Short 1 475.00 29877.45 -739.78 -4463.23 MFE = 475.00 MAE = 0.00 970117 Exit Short 1 475.00 30352.45 -264.78 -4463.23 MFE = 475.00 MAE = 0.00 970120 Enter Short 1 264.66 30617.11 -0.11 -4463.23 970121 Short 1 367.22 30719.67 0.00 -4463.23 970122 Exit Short 1 475.00 30827.45 0.00 -4463.23 MFE = 475.00 MAE = 0.00 970127 Enter Short 1 209.40 31036.85 0.00 -4463.23 970128 Short 1 120.57 30948.02 -88.83 -4463.23 970129 Short 1 114.43 30941.88 -94.97 -4463.23 970130 Short 1 22.13 30849.59 -187.27 -4463.23 970131 Short 1 -17.98 30809.47 -227.38 -4463.23 1900.00 970203 Short 1 -141.88 30685.57 -351.28 -4463.23 970204 Short 1 197.17 31024.62 -12.23 -4463.23 970205 Short 1 28.30 30855.75 -181.10 -4463.23 970206 Short 1 114.43 30941.88 -94.97 -4463.23 970207 Exit Short 1 475.00 31302.45 0.00 -4463.23 MFE = 475.00 MAE = -141.88 970211 Enter Short 1 99.76 31402.22 0.00 -4463.23 970212 Exit Short 1 475.00 31777.45 0.00 -4463.23 MFE = 475.00 MAE = 0.00 970217 Enter Short 1 48.29 31825.74 0.00 -4463.23 970218 Short 1 -352.55 31424.90 -400.83 -4463.23 970219 Short 1 76.62 31854.08 0.00 -4463.23 970220 Short 1 -251.63 31525.82 -328.25 -4463.23 970221 Short 1 -320.78 31456.67 -397.40 -4463.23 970224 Short 1 -769.93 31007.52 -846.55 -4463.23 970225 Short 1 -649.42 31128.03 -726.05 -4463.23 970226 Short 1 -82.58 31694.87 -159.21 -4463.23 970227 Short 1 -300.58 31476.87 -377.21 -4463.23 970228 Short 1 -122.57 31654.88 -199.19 -4463.23 950.00 970303 Short 1 -108.28 31669.17 -184.91 -4463.23 970304 Short 1 104.93 31882.38 0.00 -4463.23 970305 Short 1 -8.52 31768.93 -113.45 -4463.23 970306 Short 1 -65.47 31711.99 -170.39 -4463.23 970307 Short 1 -79.73 31697.72 -184.66 -4463.23 970310 Short 1 -329.44 31448.01 -434.37 -4463.23 970311 Short 1 -294.82 31482.63 -399.75 -4463.23 970312 Exit Short 1 -837.50 30939.95 -837.50 -4463.23 MFE = 104.93 MAE = -837.50 970331 Enter Long 1 -316.80 30623.15 -1259.23 -4463.23 -837.50 970401 Long 1 -122.44 30817.51 -1064.87 -4463.23 970402 Long 1 -137.45 30802.50 -1079.88 -4463.23 970403 Long 1 119.19 31059.14 -823.24 -4463.23 970404 Long 1 -116.44 30823.52 -1058.86 -4463.23 970407 Exit Long 1 -600.00 30339.95 -1437.50 -4463.23 MFE = 119.19 MAE = -600.00 970418 Enter Long 1 -22.39 30317.56 -1564.82 -4463.23 970421 Long 1 408.81 30748.76 -1133.62 -4463.23 970422 Long 1 -198.31 30141.64 -1740.74 -4463.23 970423 Long 1 -169.09 30170.86 -1711.52 -4463.23 970424 Long 1 -154.47 30185.48 -1696.90 -4463.23 970425 Long 1 -372.80 29967.15 -1915.23 -4463.23 970428 Long 1 -517.12 29822.83 -2059.55 -4463.23 970429 Long 1 -343.82 29996.13 -1886.25 -4463.23 970430 Long 1 -473.93 29866.02 -2016.36 -4463.23 -600.00 970501 Long 1 -401.74 29938.21 -1944.17 -4463.23 970502 Long 1 -436.42 29903.53 -1978.85 -4463.23 970505 Long 1 -560.23 29779.72 -2102.66 -4463.23 970506 Long 1 -177.86 30162.09 -1720.29 -4463.23 970507 Long 1 -110.53 30229.42 -1652.96 -4463.23 970508 Long 1 303.93 30643.89 -1238.49 -4463.23 970509 Exit Long 1 475.00 30814.95 -1067.43 -4463.23 MFE = 475.00 MAE = -560.23 970520 Exit Long 1 475.00 31289.95 -592.43 -4463.23 MFE = 475.00 MAE = 0.00 950.00 970617 Enter Short 1 -220.05 31069.90 -812.48 -4463.23 970618 Short 1 -97.50 31192.45 -689.93 -4463.23 970619 Exit Short 1 -487.50 30802.45 -1079.93 -4463.23 MFE = 0.00 MAE = -487.50 970627 Enter Short 1 346.93 31149.38 -733.00 -4463.23 970630 Exit Short 1 475.00 31277.45 -604.93 -4463.23 MFE = 475.00 MAE = 0.00 -12.50 970711 Enter Short 1 106.32 31383.77 -498.61 -4463.23 970714 Short 1 236.43 31513.88 -368.50 -4463.23 970715 Short 1 273.87 31551.32 -331.06 -4463.23 970716 Exit Short 1 475.00 31752.45 -129.93 -4463.23 MFE = 475.00 MAE = 0.00 970722 Enter Short 1 2.85 31755.30 -127.08 -4463.23 970723 Short 1 11.36 31763.81 -118.57 -4463.23 970724 Exit Short 1 475.00 32227.45 0.00 -4463.23 MFE = 475.00 MAE = 0.00 950.00 970801 Enter Short 1 137.00 32364.45 0.00 -4463.23 970804 Short 1 120.89 32348.34 -16.11 -4463.23 970805 Short 1 358.56 32586.01 0.00 -4463.23 970806 Short 1 316.04 32543.49 -42.52 -4463.23 970807 Short 1 262.76 32490.21 -95.80 -4463.23 970808 Exit Short 1 -437.50 31789.95 -437.50 -4463.23 MFE = 358.56 MAE = -437.50 -437.50 970905 Enter Long 1 130.62 31920.58 -665.44 -4463.23 970908 Long 1 -139.44 31650.51 -935.50 -4463.23 970909 Long 1 -111.18 31678.77 -907.24 -4463.23 970910 Long 1 107.75 31897.70 -688.32 -4463.23 970911 Long 1 216.63 32006.58 -579.43 -4463.23 970912 Exit Long 1 475.00 32264.95 -321.06 -4463.23 MFE = 475.00 MAE = -139.44 970915 Enter Long 1 178.93 32443.89 -142.13 -4463.23 970916 Long 1 44.84 32309.79 -276.22 -4463.23 970917 Long 1 -250.19 32014.77 -571.25 -4463.23 970918 Long 1 -410.73 31854.22 -731.80 -4463.23 970919 Long 1 -294.09 31970.86 -615.15 -4463.23 970922 Long 1 -520.96 31743.99 -842.02 -4463.23 970923 Long 1 -523.85 31741.10 -844.91 -4463.23 970924 Long 1 -191.50 32073.45 -512.57 -4463.23 970925 Long 1 38.90 32303.85 -282.16 -4463.23 970926 Long 1 -23.37 32241.58 -344.44 -4463.23 970929 Long 1 -61.84 32203.11 -382.90 -4463.23 970930 Long 1 98.38 32363.33 -222.68 -4463.23 475.00 971001 Long 1 -229.67 32035.29 -550.73 -4463.23 971002 Long 1 -114.98 32149.98 -436.04 -4463.23 971003 Long 1 92.42 32357.37 -228.64 -4463.23 971006 Long 1 140.11 32405.06 -180.95 -4463.23 971007 Long 1 155.03 32419.99 -166.03 -4463.23 971008 Long 1 283.81 32548.76 -37.26 -4463.23 971009 Long 1 -112.03 32152.92 -433.09 -4463.23 971010 Long 1 -123.82 32141.13 -444.88 -4463.23 971013 Long 1 -288.24 31976.71 -609.30 -4463.23 971014 Long 1 -267.76 31997.19 -588.82 -4463.23 971015 Long 1 -197.38 32067.57 -518.44 -4463.23 971016 Long 1 -88.43 32176.53 -409.49 -4463.23 971017 Exit Long 1 -393.75 31871.20 -714.81 -4463.23 MFE = 283.81 MAE = -523.85 971017 Enter Short 1 296.37 32167.58 -418.44 -4463.23 971020 Short 1 212.87 32084.08 -501.94 -4463.23 971021 Exit Short 1 475.00 32346.20 -239.81 -4463.23 MFE = 475.00 MAE = 0.00 971027 Enter Long 1 154.81 32501.01 -85.00 -4463.23 971028 Exit Long 1 475.00 32821.20 0.00 -4463.23 MFE = 475.00 MAE = 0.00 556.25 971107 Enter Long 1 210.36 33031.56 0.00 -4463.23 971110 Long 1 307.54 33128.75 0.00 -4463.23 971111 Long 1 258.90 33080.10 -48.64 -4463.23 971112 Long 1 103.94 32925.14 -203.61 -4463.23 971113 Long 1 -110.58 32710.62 -418.13 -4463.23 971114 Long 1 -196.45 32624.75 -503.99 -4463.23 971117 Long 1 -351.45 32469.75 -658.99 -4463.23 971118 Long 1 -253.51 32567.69 -561.06 -4463.23 971119 Long 1 -199.63 32621.57 -507.17 -4463.23 971120 Long 1 -442.67 32378.53 -750.22 -4463.23 971121 Exit Long 1 -856.25 31964.95 -856.25 -4463.23 MFE = 307.54 MAE = -856.25 971124 Enter Long 1 -56.76 31908.19 -1220.55 -4463.23 971125 Long 1 -220.72 31744.23 -1384.52 -4463.23 971126 Long 1 -417.76 31547.20 -1581.55 -4463.23 971127 Long 1 -619.22 31345.74 -1783.01 -4463.23 971128 Long 1 -702.36 31262.60 -1866.15 -4463.23 -856.25 971201 Long 1 -864.66 31100.30 -2028.45 -4463.23 971202 Long 1 -940.79 31024.16 -2104.58 -4463.23 971203 Long 1 -818.84 31146.11 -1982.64 -4463.23 971204 Long 1 -898.19 31066.76 -2061.98 -4463.23 971205 Long 1 -1122.44 30842.51 -2286.24 -4463.23 971208 Exit Long 1 -1375.00 30589.95 -2538.79 -4463.23 MFE = 0.00 MAE = -1375.00 971208 Enter Short 1 308.43 30898.38 -2230.36 -4463.23 971209 Short 1 146.06 30736.02 -2392.73 -4463.23 971210 Short 1 -41.43 30548.52 -2580.23 -4463.23 971211 Short 1 -699.96 29889.99 -3238.75 -4463.23 971212 Short 1 -333.33 30256.62 -2872.13 -4463.23 971215 Short 1 -448.77 30141.18 -2987.56 -4463.23 971216 Short 1 -236.60 30353.35 -2775.40 -4463.23 971217 Short 1 -363.65 30226.30 -2902.45 -4463.23 971218 Short 1 -248.67 30341.28 -2787.47 -4463.23 971219 Short 1 -378.83 30211.13 -2917.62 -4463.23 971222 Short 1 -257.73 30332.22 -2796.52 -4463.23 971223 Short 1 -394.01 30195.94 -2932.81 -4463.23 971224 Short 1 -397.05 30192.90 -2935.84 -4463.23 971225 Short 1 -397.05 30192.90 -2935.84 -4463.23 971226 Short 1 -439.63 30150.32 -2978.42 -4463.23 971229 Short 1 45.08 30635.03 -2493.72 -4463.23 971230 Short 1 205.25 30795.20 -2333.54 -4463.23 971231 Short 1 419.89 31009.84 -2118.90 -4463.23 -1375.00 980102 Exit Short 1 475.00 31064.95 -2063.79 -4463.23 MFE = 475.00 MAE = -699.96 980114 Enter Short 1 -37.49 31027.47 -2101.28 -4463.23 980115 Short 1 392.99 31457.94 -1670.81 -4463.23 980116 Short 1 395.78 31460.73 -1668.02 -4463.23 980119 Exit Short 1 475.00 31539.95 -1588.79 -4463.23 MFE = 475.00 MAE = -37.49 950.00 980223 Enter Long 1 289.45 31829.40 -1299.35 -4463.23 980224 Long 1 238.90 31778.85 -1349.90 -4463.23 980225 Long 1 -277.52 31262.43 -1866.31 -4463.23 980226 Long 1 -268.82 31271.13 -1857.61 -4463.23 980227 Long 1 -190.37 31349.58 -1779.16 -4463.23 0.00 980302 Long 1 -219.46 31320.49 -1808.25 -4463.23 980303 Long 1 -283.31 31256.64 -1872.11 -4463.23 980304 Long 1 -599.75 30940.20 -2188.55 -4463.23 980305 Exit Long 1 -987.50 30552.45 -2576.29 -4463.23 MFE = 289.45 MAE = -987.50 980305 Enter Short 1 19.23 30571.68 -2557.07 -4463.23 980306 Short 1 -28.49 30523.96 -2604.79 -4463.23 980309 Short 1 -146.86 30405.60 -2723.15 -4463.23 980310 Short 1 -70.69 30481.76 -2646.98 -4463.23 980311 Short 1 -65.06 30487.40 -2641.35 -4463.23 980312 Short 1 -192.13 30360.33 -2768.42 -4463.23 980313 Exit Short 1 -450.00 30102.45 -3026.29 -4463.23 MFE = 19.23 MAE = -450.00 980318 Enter Short 1 -12.86 30089.59 -3039.16 -4463.23 980319 Short 1 155.30 30257.75 -2870.99 -4463.23 980320 Short 1 202.71 30305.16 -2823.59 -4463.23 980323 Short 1 -83.33 30019.12 -3109.63 -4463.23 980324 Short 1 -29.76 30072.70 -3056.05 -4463.23 980325 Short 1 48.95 30151.40 -2977.34 -4463.23 980326 Short 1 -125.73 29976.72 -3152.02 -4463.23 980327 Short 1 183.20 30285.65 -2843.09 -4463.23 980330 Exit Short 1 475.00 30577.45 -2551.29 -4463.23 MFE = 475.00 MAE = -125.73 -962.50 980501 Enter Long 1 -79.30 30498.15 -2630.60 -4463.23 980504 Long 1 10.76 30588.21 -2540.54 -4463.23 980505 Long 1 277.57 30855.02 -2273.72 -4463.23 980506 Long 1 461.18 31038.63 -2090.12 -4463.23 980507 Exit Long 1 475.00 31052.45 -2076.29 -4463.23 MFE = 475.00 MAE = -79.30 980521 Enter Long 1 136.68 31189.13 -1939.62 -4463.23 980522 Long 1 92.94 31145.39 -1983.35 -4463.23 980525 Long 1 -112.87 30939.58 -2189.17 -4463.23 980526 Long 1 -66.67 30985.79 -2142.96 -4463.23 980527 Long 1 -158.98 30893.47 -2235.28 -4463.23 980528 Long 1 -216.48 30835.97 -2292.77 -4463.23 980529 Long 1 -461.93 30590.52 -2538.23 -4463.23 475.00 980601 Long 1 -210.73 30841.72 -2287.03 -4463.23 980602 Long 1 -345.27 30707.18 -2421.56 -4463.23 980603 Long 1 -167.62 30884.83 -2243.91 -4463.23 980604 Long 1 -43.52 31008.93 -2119.82 -4463.23 980605 Long 1 -253.77 30798.69 -2330.06 -4463.23 980608 Long 1 -325.29 30727.17 -2401.58 -4463.23 980609 Long 1 -225.09 30827.36 -2301.38 -4463.23 980610 Exit Long 1 -575.00 30477.45 -2651.29 -4463.23 MFE = 136.68 MAE = -575.00 980610 Enter Short 1 -22.90 30454.55 -2674.19 -4463.23 980611 Short 1 255.30 30732.75 -2395.99 -4463.23 980612 Short 1 330.53 30807.99 -2320.76 -4463.23 980615 Exit Short 1 475.00 30952.45 -2176.29 -4463.23 MFE = 475.00 MAE = -22.90 980626 Enter Short 1 -50.54 30901.91 -2226.84 -4463.23 980629 Short 1 -50.54 30901.91 -2226.84 -4463.23 980630 Short 1 -185.31 30767.15 -2361.60 -4463.23 -100.00 980701 Short 1 11.15 30963.60 -2165.14 -4463.23 980702 Short 1 141.97 31094.42 -2034.33 -4463.23 980703 Short 1 64.65 31017.10 -2111.65 -4463.23 980706 Short 1 -98.96 30853.49 -2275.25 -4463.23 980707 Short 1 -10.29 30942.16 -2186.58 -4463.23 980708 Short 1 43.26 30995.71 -2133.03 -4463.23 980709 Short 1 348.49 31300.94 -1827.80 -4463.23 980710 Exit Short 1 475.00 31427.45 -1701.29 -4463.23 MFE = 475.00 MAE = -185.31 980724 Enter Long 1 37.00 31464.45 -1664.30 -4463.23 980727 Long 1 -157.37 31270.08 -1858.67 -4463.23 980728 Long 1 269.83 31697.28 -1431.47 -4463.23 980729 Exit Long 1 475.00 31902.45 -1226.29 -4463.23 MFE = 475.00 MAE = -157.37 950.00 980811 Enter Long 1 -122.14 31780.32 -1348.43 -4463.23 980812 Long 1 -57.38 31845.07 -1283.68 -4463.23 980813 Long 1 -63.02 31839.43 -1289.31 -4463.23 980814 Exit Long 1 -443.75 31458.70 -1670.04 -4463.23 MFE = 0.00 MAE = -443.75 980827 Enter Long 1 426.70 31885.41 -1243.34 -4463.23 980828 Exit Long 1 475.00 31933.70 -1195.04 -4463.23 MFE = 475.00 MAE = 0.00 31.25 980907 Enter Long 1 -189.15 31744.55 -1384.19 -4463.23 980908 Long 1 -442.73 31490.97 -1637.78 -4463.23 980909 Long 1 -289.68 31644.03 -1484.72 -4463.23 980910 Exit Long 1 475.00 32408.70 -720.04 -4463.23 MFE = 475.00 MAE = -442.73 980917 Enter Long 1 -174.66 32234.04 -894.70 -4463.23 980918 Long 1 -361.96 32046.75 -1082.00 -4463.23 980921 Long 1 -239.42 32169.28 -959.47 -4463.23 980922 Long 1 -207.07 32201.64 -927.11 -4463.23 980923 Long 1 -207.07 32201.64 -927.11 -4463.23 980924 Long 1 -93.45 32315.25 -813.49 -4463.23 980925 Long 1 -116.22 32292.48 -836.26 -4463.23 980928 Long 1 -168.18 32240.52 -888.22 -4463.23 980929 Long 1 -116.22 32292.48 -836.26 -4463.23 980930 Long 1 168.42 32577.12 -551.62 -4463.23 475.00 981001 Exit Long 1 475.00 32883.70 -245.04 -4463.23 MFE = 475.00 MAE = -361.96 981002 Enter Long 1 -118.20 32765.50 -363.25 -4463.23 981005 Long 1 338.28 33221.99 0.00 -4463.23 981006 Exit Long 1 475.00 33358.70 0.00 -4463.23 MFE = 475.00 MAE = -118.20 981007 Exit Long 1 475.00 33833.70 0.00 -4463.23 MFE = 475.00 MAE = 0.00 981008 Enter Long 1 -1121.71 32711.99 -509.99 -4463.23 981009 Long 1 -1236.51 32597.20 -624.79 -4463.23 981012 Long 1 -1927.72 31905.99 -1316.00 -4463.23 981013 Long 1 -1307.98 32525.72 -696.26 -4463.23 981014 Long 1 -1697.23 32136.47 -1085.51 -4463.23 981015 Long 1 -977.42 32856.29 -365.70 -4463.23 981016 Long 1 -1085.71 32747.99 -474.00 -4463.23 981019 Long 1 -1425.43 32408.27 -813.71 -4463.23 981020 Long 1 -2021.35 31812.35 -1409.63 -4463.23 981021 Long 1 -2375.13 31458.57 -1763.41 -4463.23 981022 Long 1 -1865.08 31968.62 -1253.37 -4463.23 981023 Long 1 -1812.76 32020.95 -1201.04 -4463.23 981026 Long 1 -2612.51 31221.20 -2000.79 -4463.23 981027 Long 1 -2021.35 31812.35 -1409.63 -4463.23 981028 Long 1 -2138.73 31694.97 -1527.02 -4463.23 981029 Long 1 -2066.30 31767.40 -1454.59 -4463.23 981030 Long 1 -2282.91 31550.79 -1671.20 -4463.23 1425.00 981102 Long 1 -2252.10 31581.61 -1640.38 -4463.23 981103 Long 1 -2517.85 31315.85 -1906.13 -4463.23 981104 Long 1 -2787.27 31046.43 -2175.55 -4463.23 981105 Long 1 -2700.06 31133.64 -2088.34 -4463.23 981106 Exit Long 1 -3275.00 30558.70 -3275.00 -4463.23 MFE = 0.00 MAE = -3275.00 981106 Enter Short 1 -48.02 30510.68 -2711.30 -4463.23 981109 Exit Short 1 475.00 31033.70 -2800.00 -4463.23 MFE = 475.00 MAE = -48.02 981119 Enter Short 1 -4.54 31029.16 -2192.82 -4463.23 981120 Short 1 186.22 31219.92 -2002.07 -4463.23 981123 Exit Short 1 475.00 31508.70 -2325.00 -4463.23 MFE = 475.00 MAE = -4.54 -2325.00 981210 Enter Long 1 257.19 31765.89 -1456.09 -4463.23 981211 Exit Long 1 475.00 31983.70 -1850.00 -4463.23 MFE = 475.00 MAE = 0.00 981229 Enter Long 1 -239.91 31743.79 -1478.19 -4463.23 981230 Exit Long 1 -675.00 31308.70 -2525.00 -4463.23 MFE = 0.00 MAE = -675.00 -200.00 990104 Enter Long 1 -39.48 31269.23 -1952.76 -4463.23 990105 Long 1 -156.19 31152.52 -2069.47 -4463.23 990106 Exit Long 1 -693.75 30614.95 -3218.75 -4463.23 MFE = 0.00 MAE = -693.75 990127 Exit Short 1 475.00 31089.95 -2743.75 -4463.23 MFE = 475.00 MAE = 0.00 -218.75 990204 Enter Short 1 -275.85 3