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<0.00> (4) Tomorrow's open<0.00> Compute volatility using: (max high - min low) 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 880105 Enter Short 1 126.94 126.94 0.00 0.00 880106 Exit Short 1 225.00 225.00 0.00 0.00 MFE = 225.00 MAE = 0.00 880115 Exit Short 1 225.00 450.00 0.00 0.00 MFE = 225.00 MAE = 0.00 450.00 880201 Enter Short 1 -110.34 339.66 0.00 0.00 880202 Short 1 -403.94 46.06 -293.60 -293.60 880203 Short 1 -80.86 369.14 0.00 -293.60 880204 Short 1 -278.12 171.88 -197.26 -293.60 880205 Exit Short 1 225.00 675.00 0.00 -293.60 MFE = 225.00 MAE = -403.94 880212 Exit Short 1 225.00 900.00 0.00 -293.60 MFE = 225.00 MAE = 0.00 450.00 880307 Enter Long 1 55.27 955.27 0.00 -293.60 880308 Exit Long 1 225.00 1125.00 0.00 -293.60 MFE = 225.00 MAE = 0.00 880317 Exit Short 1 225.00 1350.00 0.00 -293.60 MFE = 225.00 MAE = 0.00 880328 Enter Long 1 2.03 1352.03 0.00 -293.60 880329 Long 1 -367.04 982.96 -369.06 -369.06 880330 Long 1 -198.21 1151.79 -200.24 -369.06 880331 Long 1 12.09 1362.09 0.00 -369.06 450.00 880401 Long 1 89.35 1439.35 0.00 -369.06 880404 Exit Long 1 225.00 1575.00 0.00 -369.06 MFE = 225.00 MAE = -367.04 880406 Enter Short 1 -69.32 1505.68 0.00 -369.06 880407 Short 1 -108.28 1466.72 -38.96 -369.06 880408 Short 1 -192.92 1382.08 -123.60 -369.06 880411 Exit Short 1 225.00 1800.00 0.00 -369.06 MFE = 225.00 MAE = -192.92 880414 Exit Long 1 225.00 2025.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 675.00 880517 Exit Short 1 225.00 2250.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 880527 Enter Short 1 37.41 2287.41 0.00 -369.06 880530 Exit Short 1 225.00 2475.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 450.00 880614 Exit Short 1 225.00 2700.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 880624 Enter Short 1 80.43 2780.43 0.00 -369.06 880627 Exit Short 1 225.00 2925.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 450.00 880708 Enter Short 1 -9.40 2915.60 0.00 -369.06 880711 Exit Short 1 225.00 3150.00 0.00 -369.06 MFE = 225.00 MAE = -9.40 880715 Enter Short 1 -31.93 3118.07 0.00 -369.06 880718 Exit Short 1 225.00 3375.00 0.00 -369.06 MFE = 225.00 MAE = -31.93 450.00 880914 Exit Short 1 225.00 3600.00 0.00 -369.06 MFE = 225.00 MAE = 0.00 880926 Enter Short 1 -180.70 3419.30 0.00 -369.06 880927 Short 1 -210.39 3389.61 -29.69 -369.06 880928 Short 1 -173.29 3426.71 0.00 -369.06 880929 Short 1 -96.84 3503.16 0.00 -369.06 880930 Short 1 -386.95 3213.05 -290.11 -369.06 225.00 881003 Short 1 -409.44 3190.56 -312.60 -369.06 881004 Short 1 -379.45 3220.55 -282.62 -369.06 881005 Short 1 -349.52 3250.48 -252.68 -369.06 881006 Short 1 -334.56 3265.44 -237.73 -369.06 881007 Short 1 -409.44 3190.56 -312.60 -369.06 881010 Short 1 -625.68 2974.32 -528.85 -528.85 881011 Short 1 -666.17 2933.83 -569.34 -569.34 881012 Exit Short 1 -1075.00 2525.00 -1075.00 -1075.00 MFE = 0.00 MAE = -1075.00 881012 Exit Long 1 225.00 2750.00 -850.00 -1075.00 MFE = 225.00 MAE = 0.00 881013 Enter Long 1 -113.49 2636.51 -866.66 -1075.00 881014 Long 1 106.07 2856.07 -647.09 -1075.00 881017 Exit Long 1 225.00 2975.00 -528.16 -1075.00 MFE = 225.00 MAE = -113.49 -625.00 881109 Enter Long 1 -173.23 2801.77 -701.39 -1075.00 881110 Long 1 81.83 3056.83 -446.33 -1075.00 881111 Exit Long 1 225.00 3200.00 -303.16 -1075.00 MFE = 225.00 MAE = -173.23 225.00 881207 Exit Short 1 225.00 3425.00 -78.16 -1075.00 MFE = 225.00 MAE = 0.00 881228 Enter Short 1 -90.28 3334.72 -168.44 -1075.00 881229 Short 1 -117.63 3307.37 -195.79 -1075.00 881230 Short 1 -437.50 2987.50 -515.66 -1075.00 225.00 890102 Short 1 -473.66 2951.34 -551.82 -1075.00 890103 Short 1 -576.91 2848.09 -655.07 -1075.00 890104 Short 1 83.88 3508.88 0.00 -1075.00 890105 Exit Short 1 225.00 3650.00 0.00 -1075.00 MFE = 225.00 MAE = -576.91 225.00 890209 Enter Long 1 49.74 3699.74 0.00 -1075.00 890210 Exit Long 1 225.00 3875.00 0.00 -1075.00 MFE = 225.00 MAE = 0.00 225.00 890515 Exit Short 1 225.00 4100.00 0.00 -1075.00 MFE = 225.00 MAE = 0.00 890526 Enter Long 1 -672.87 3427.13 -272.61 -1075.00 890529 Long 1 -1085.32 3014.68 -685.06 -1075.00 890530 Long 1 -685.38 3414.62 -285.12 -1075.00 890531 Long 1 -291.29 3808.71 0.00 -1075.00 225.00 890601 Long 1 5.09 4105.09 0.00 -1075.00 890602 Exit Long 1 225.00 4325.00 0.00 -1075.00 MFE = 225.00 MAE = -1085.32 225.00 890705 Enter Long 1 26.57 4351.57 0.00 -1075.00 890706 Long 1 -57.58 4267.42 -84.15 -1075.00 890707 Long 1 26.57 4351.57 0.00 -1075.00 890710 Exit Long 1 225.00 4550.00 0.00 -1075.00 MFE = 225.00 MAE = -57.58 225.00 890804 Enter Short 1 122.04 4672.04 0.00 -1075.00 890807 Exit Short 1 225.00 4775.00 0.00 -1075.00 MFE = 225.00 MAE = 0.00 890829 Enter Long 1 -19.07 4755.93 0.00 -1075.00 890830 Long 1 -336.70 4438.30 -317.63 -1075.00 890831 Exit Long 1 -656.25 4118.75 -656.25 -1075.00 MFE = 0.00 MAE = -656.25 890831 Enter Short 1 -51.68 4067.07 -688.86 -1075.00 -431.25 890901 Exit Short 1 225.00 4343.75 -412.18 -1075.00 MFE = 225.00 MAE = -51.68 890915 Enter Short 1 -662.56 3681.19 -1074.74 -1075.00 890918 Short 1 -923.20 3420.55 -1335.38 -1335.38 890919 Short 1 -756.32 3587.43 -1168.49 -1335.38 890920 Short 1 -954.11 3389.64 -1366.28 -1366.28 890921 Short 1 -923.20 3420.55 -1335.38 -1366.28 890922 Short 1 -756.32 3587.43 -1168.49 -1366.28 890925 Exit Short 1 -1837.50 2506.25 -2249.68 -2249.68 MFE = 0.00 MAE = -1837.50 890925 Enter Long 1 -66.36 2439.89 -2316.04 -2316.04 890926 Long 1 30.68 2536.93 -2219.00 -2316.04 890927 Exit Long 1 225.00 2731.25 -2024.68 -2316.04 MFE = 225.00 MAE = -66.36 -1387.50 891006 Enter Short 1 -172.82 2558.43 -2197.50 -2316.04 891009 Short 1 -108.05 2623.20 -2132.73 -2316.04 891010 Exit Short 1 225.00 2956.25 -1799.68 -2316.04 MFE = 225.00 MAE = -172.82 891016 Enter Long 1 -588.48 2367.77 -2388.16 -2388.16 891017 Long 1 -567.45 2388.80 -2367.13 -2388.16 891018 Long 1 -299.05 2657.20 -2098.73 -2388.16 891019 Long 1 -122.79 2833.46 -1922.47 -2388.16 891020 Long 1 -386.57 2569.68 -2186.25 -2388.16 891023 Long 1 -172.97 2783.28 -1972.65 -2388.16 891024 Long 1 67.16 3023.41 -1732.52 -2388.16 891025 Long 1 93.75 3050.00 -1705.92 -2388.16 891026 Long 1 -46.07 2910.18 -1845.75 -2388.16 891027 Exit Long 1 225.00 3181.25 -1574.68 -2388.16 MFE = 225.00 MAE = -588.48 450.00 891110 Exit Short 1 225.00 3406.25 -1349.68 -2388.16 MFE = 225.00 MAE = 0.00 891114 Enter Long 1 -40.25 3366.00 -1389.93 -2388.16 891115 Long 1 -230.18 3176.07 -1579.86 -2388.16 891116 Long 1 -324.45 3081.80 -1674.13 -2388.16 891117 Long 1 -333.85 3072.40 -1683.53 -2388.16 891120 Long 1 -289.15 3117.10 -1638.83 -2388.16 891121 Long 1 67.42 3473.67 -1282.26 -2388.16 891122 Exit Long 1 225.00 3631.25 -1124.68 -2388.16 MFE = 225.00 MAE = -333.85 450.00 891212 Enter Long 1 120.63 3751.88 -1004.05 -2388.16 891213 Exit Long 1 225.00 3856.25 -899.68 -2388.16 MFE = 225.00 MAE = 0.00 891227 Enter Long 1 14.75 3871.00 -884.93 -2388.16 891228 Long 1 -282.96 3573.29 -1182.64 -2388.16 891229 Long 1 -309.33 3546.92 -1209.01 -2388.16 225.00 900102 Exit Long 1 -1200.00 2656.25 -2099.68 -2388.16 MFE = 14.75 MAE = -1200.00 900102 Exit Short 1 225.00 2881.25 -1874.68 -2388.16 MFE = 225.00 MAE = 0.00 900124 Enter Long 1 -241.84 2639.41 -2116.52 -2388.16 900125 Long 1 45.46 2926.71 -1829.21 -2388.16 900126 Long 1 -124.01 2757.24 -1998.69 -2388.16 900129 Exit Long 1 225.00 3106.25 -1649.68 -2388.16 MFE = 225.00 MAE = -241.84 -750.00 900312 Enter Short 1 5.79 3112.04 -1643.89 -2388.16 900313 Short 1 -131.30 2974.95 -1780.98 -2388.16 900314 Short 1 -144.78 2961.47 -1794.46 -2388.16 900315 Short 1 -247.59 2858.66 -1897.27 -2388.16 900316 Short 1 -487.67 2618.58 -2137.35 -2388.16 900319 Short 1 -509.63 2596.62 -2159.31 -2388.16 900320 Short 1 -139.39 2966.86 -1789.07 -2388.16 900321 Short 1 -77.43 3028.82 -1727.11 -2388.16 900322 Short 1 -386.39 2719.86 -2036.07 -2388.16 900323 Short 1 -261.16 2845.09 -1910.84 -2388.16 900326 Short 1 -185.31 2920.94 -1834.99 -2388.16 900327 Short 1 -234.04 2872.21 -1883.72 -2388.16 900328 Short 1 -280.17 2826.08 -1929.85 -2388.16 900329 Exit Short 1 -818.75 2287.50 -2468.43 -2468.43 MFE = 5.79 MAE = -818.75 900329 Enter Long 1 129.26 2416.76 -2339.17 -2468.43 900330 Long 1 -2.03 2285.47 -2470.45 -2470.45 -818.75 900402 Long 1 -118.65 2168.85 -2587.07 -2587.07 900403 Long 1 -126.95 2160.55 -2595.38 -2595.38 900404 Long 1 -190.51 2096.99 -2658.94 -2658.94 900405 Long 1 -52.08 2235.42 -2520.51 -2658.94 900406 Long 1 -52.08 2235.42 -2520.51 -2658.94 900409 Long 1 67.70 2355.20 -2400.72 -2658.94 900410 Exit Long 1 225.00 2512.50 -2243.43 -2658.94 MFE = 225.00 MAE = -190.51 900425 Exit Long 1 225.00 2737.50 -2018.43 -2658.94 MFE = 225.00 MAE = 0.00 450.00 900507 Enter Long 1 -89.50 2648.00 -2107.93 -2658.94 900508 Long 1 -89.50 2648.00 -2107.93 -2658.94 900509 Exit Long 1 225.00 2962.50 -1793.43 -2658.94 MFE = 225.00 MAE = -89.50 225.00 900618 Enter Long 1 19.60 2982.10 -1773.83 -2658.94 900619 Exit Long 1 225.00 3187.50 -1568.43 -2658.94 MFE = 225.00 MAE = 0.00 225.00 900702 Enter Long 1 81.43 3268.93 -1487.00 -2658.94 900703 Exit Long 1 225.00 3412.50 -1343.43 -2658.94 MFE = 225.00 MAE = 0.00 900712 Enter Short 1 -757.54 2654.96 -2100.97 -2658.94 900713 Short 1 -259.90 3152.60 -1603.33 -2658.94 900716 Exit Short 1 225.00 3637.50 -1118.43 -2658.94 MFE = 225.00 MAE = -757.54 900723 Enter Long 1 44.56 3682.06 -1073.87 -2658.94 900724 Exit Long 1 225.00 3862.50 -893.43 -2658.94 MFE = 225.00 MAE = 0.00 675.00 900806 Enter Long 1 -138.77 3723.73 -1032.20 -2658.94 900807 Exit Long 1 225.00 4087.50 -668.43 -2658.94 MFE = 225.00 MAE = -138.77 225.00 901102 Enter Long 1 9.43 4096.93 -659.00 -2658.94 901105 Exit Long 1 225.00 4312.50 -443.43 -2658.94 MFE = 225.00 MAE = 0.00 901123 Enter Short 1 -30.07 4282.43 -473.50 -2658.94 901126 Exit Short 1 225.00 4537.50 -218.43 -2658.94 MFE = 225.00 MAE = -30.07 450.00 901220 Exit Short 1 225.00 4762.50 0.00 -2658.94 MFE = 225.00 MAE = 0.00 901221 Enter Short 1 -91.18 4671.32 -91.18 -2658.94 901224 Exit Short 1 225.00 4987.50 0.00 -2658.94 MFE = 225.00 MAE = -91.18 450.00 910117 Enter Long 1 -43.22 4944.28 -43.22 -2658.94 910118 Exit Long 1 225.00 5212.50 0.00 -2658.94 MFE = 225.00 MAE = -43.22 225.00 910315 Enter Short 1 -61.72 5150.78 -61.72 -2658.94 910318 Exit Short 1 225.00 5437.50 0.00 -2658.94 MFE = 225.00 MAE = -61.72 225.00 910418 Exit Short 1 225.00 5662.50 0.00 -2658.94 MFE = 225.00 MAE = 0.00 910430 Enter Long 1 -57.42 5605.08 -57.42 -2658.94 225.00 910501 Exit Long 1 225.00 5887.50 0.00 -2658.94 MFE = 225.00 MAE = -57.42 910517 Enter Short 1 13.83 5901.33 0.00 -2658.94 910520 Exit Short 1 225.00 6112.50 0.00 -2658.94 MFE = 225.00 MAE = 0.00 910531 Enter Short 1 66.45 6178.95 0.00 -2658.94 450.00 910603 Exit Short 1 225.00 6337.50 0.00 -2658.94 MFE = 225.00 MAE = 0.00 225.00 910712 Exit Long 1 225.00 6562.50 0.00 -2658.94 MFE = 225.00 MAE = 0.00 225.00 910802 Enter Long 1 -132.77 6429.73 0.00 -2658.94 910805 Exit Long 1 225.00 6787.50 0.00 -2658.94 MFE = 225.00 MAE = -132.77 910821 Enter Long 1 -475.07 6312.43 -117.31 -2658.94 910822 Long 1 -143.69 6643.81 0.00 -2658.94 910823 Long 1 -569.16 6218.34 -425.48 -2658.94 910826 Long 1 -528.89 6258.61 -385.21 -2658.94 910827 Long 1 -480.46 6307.04 -336.77 -2658.94 910828 Long 1 -312.76 6474.74 -169.08 -2658.94 910829 Long 1 -475.07 6312.43 -331.39 -2658.94 910830 Long 1 -555.75 6231.75 -412.06 -2658.94 225.00 910902 Long 1 -689.51 6097.99 -545.82 -2658.94 910903 Long 1 -448.11 6339.39 -304.42 -2658.94 910904 Long 1 -483.16 6304.34 -339.47 -2658.94 910905 Long 1 -555.75 6231.75 -412.06 -2658.94 910906 Long 1 1.95 6789.45 0.00 -2658.94 910909 Exit Long 1 225.00 7012.50 0.00 -2658.94 MFE = 225.00 MAE = -689.51 225.00 911004 Enter Short 1 -193.68 6818.82 0.00 -2658.94 911007 Short 1 -46.29 6966.21 0.00 -2658.94 911008 Exit Short 1 225.00 7237.50 0.00 -2658.94 MFE = 225.00 MAE = -193.68 911028 Enter Short 1 74.34 7311.84 0.00 -2658.94 911029 Exit Short 1 -931.25 6306.25 -931.25 -2658.94 MFE = 74.34 MAE = -931.25 911029 Enter Long 1 -108.37 6197.88 -1113.96 -2658.94 911030 Exit Long 1 225.00 6531.25 -780.59 -2658.94 MFE = 225.00 MAE = -108.37 -481.25 911118 Exit Long 1 225.00 6756.25 -555.59 -2658.94 MFE = 225.00 MAE = 0.00 225.00 911206 Enter Long 1 -38.60 6717.65 -594.19 -2658.94 911209 Long 1 -168.65 6587.60 -724.23 -2658.94 911210 Long 1 -410.48 6345.77 -966.06 -2658.94 911211 Long 1 -265.69 6490.56 -821.28 -2658.94 911212 Long 1 -506.48 6249.77 -1062.07 -2658.94 911213 Long 1 -617.97 6138.28 -1173.56 -2658.94 911216 Long 1 -323.72 6432.53 -879.31 -2658.94 911217 Long 1 -178.37 6577.88 -733.96 -2658.94 911218 Long 1 -281.82 6474.43 -837.41 -2658.94 911219 Long 1 92.20 6848.45 -463.39 -2658.94 911220 Exit Long 1 225.00 6981.25 -330.59 -2658.94 MFE = 225.00 MAE = -617.97 911223 Enter Long 1 -189.32 6791.93 -519.90 -2658.94 911224 Long 1 -378.71 6602.54 -709.29 -2658.94 911225 Long 1 -203.14 6778.11 -533.73 -2658.94 911226 Long 1 -137.40 6843.85 -467.99 -2658.94 911227 Long 1 -395.85 6585.40 -726.43 -2658.94 911230 Long 1 -559.75 6421.50 -890.34 -2658.94 911231 Long 1 -668.38 6312.87 -998.96 -2658.94 225.00 920101 Long 1 -668.38 6312.87 -998.96 -2658.94 920102 Long 1 -904.22 6077.03 -1234.81 -2658.94 920103 Long 1 -1197.30 5783.95 -1527.89 -2658.94 920106 Long 1 -154.72 6826.53 -485.31 -2658.94 920107 Long 1 -33.21 6948.04 -363.80 -2658.94 920108 Long 1 -172.02 6809.23 -502.61 -2658.94 920109 Exit Long 1 -1350.00 5631.25 -1680.59 -2658.94 MFE = 0.00 MAE = -1350.00 920109 Exit Short 1 225.00 5856.25 -1455.59 -2658.94 MFE = 225.00 MAE = 0.00 -1125.00 920303 Enter Short 1 -96.87 5759.38 -1552.46 -2658.94 920304 Exit Short 1 225.00 6081.25 -1230.59 -2658.94 MFE = 225.00 MAE = -96.87 920317 Enter Long 1 10.39 6091.64 -1220.20 -2658.94 920318 Long 1 -185.89 5895.36 -1416.47 -2658.94 920319 Long 1 -668.63 5412.62 -1899.22 -2658.94 920320 Long 1 -763.84 5317.41 -1994.43 -2658.94 920323 Long 1 -693.15 5388.10 -1923.74 -2658.94 920324 Long 1 -641.34 5439.91 -1871.93 -2658.94 920325 Long 1 -311.09 5770.16 -1541.68 -2658.94 920326 Long 1 -668.63 5412.62 -1899.22 -2658.94 920327 Long 1 -73.95 6007.30 -1304.54 -2658.94 920330 Long 1 -311.09 5770.16 -1541.68 -2658.94 920331 Long 1 -249.98 5831.27 -1480.56 -2658.94 225.00 920401 Long 1 -540.08 5541.17 -1770.66 -2658.94 920402 Long 1 -311.09 5770.16 -1541.68 -2658.94 920403 Long 1 52.69 6133.94 -1177.90 -2658.94 920406 Long 1 -87.98 5993.27 -1318.57 -2658.94 920407 Long 1 24.48 6105.73 -1206.11 -2658.94 920408 Long 1 -116.00 5965.25 -1346.58 -2658.94 920409 Long 1 66.81 6148.06 -1163.78 -2658.94 920410 Long 1 -496.13 5585.12 -1726.72 -2658.94 920413 Exit Long 1 -893.75 5187.50 -2124.34 -2658.94 MFE = 66.81 MAE = -893.75 920413 Enter Short 1 16.86 5204.36 -2107.48 -2658.94 920414 Short 1 11.47 5198.97 -2112.87 -2658.94 920415 Exit Short 1 225.00 5412.50 -1899.34 -2658.94 MFE = 225.00 MAE = 0.00 -668.75 920513 Exit Long 1 225.00 5637.50 -1674.34 -2658.94 MFE = 225.00 MAE = 0.00 920529 Enter Long 1 21.82 5659.32 -1652.52 -2658.94 225.00 920601 Exit Long 1 225.00 5862.50 -1449.34 -2658.94 MFE = 225.00 MAE = 0.00 920611 Enter Long 1 44.50 5907.00 -1404.84 -2658.94 920612 Exit Long 1 225.00 6087.50 -1224.34 -2658.94 MFE = 225.00 MAE = 0.00 920625 Enter Long 1 143.06 6230.56 -1081.28 -2658.94 920626 Exit Long 1 225.00 6312.50 -999.34 -2658.94 MFE = 225.00 MAE = 0.00 675.00 920713 Enter Long 1 204.98 6517.48 -794.36 -2658.94 920714 Long 1 -225.63 6086.87 -1224.97 -2658.94 920715 Long 1 -145.71 6166.79 -1145.05 -2658.94 920716 Exit Long 1 225.00 6537.50 -774.34 -2658.94 MFE = 225.00 MAE = -225.63 920717 Enter Long 1 107.92 6645.42 -666.42 -2658.94 920720 Exit Long 1 225.00 6762.50 -549.34 -2658.94 MFE = 225.00 MAE = 0.00 450.00 920914 Exit Short 1 225.00 6987.50 -324.34 -2658.94 MFE = 225.00 MAE = 0.00 920928 Enter Long 1 -218.65 6768.85 -542.99 -2658.94 920929 Exit Long 1 225.00 7212.50 -99.34 -2658.94 MFE = 225.00 MAE = -218.65 450.00 921008 Enter Short 1 -21.60 7190.90 -120.93 -2658.94 921009 Exit Short 1 225.00 7437.50 0.00 -2658.94 MFE = 225.00 MAE = -21.60 225.00 921102 Enter Short 1 -158.27 7279.23 -158.27 -2658.94 921103 Exit Short 1 225.00 7662.50 0.00 -2658.94 MFE = 225.00 MAE = -158.27 921117 Enter Short 1 -117.81 7544.69 -117.81 -2658.94 921118 Short 1 -132.75 7529.75 -132.75 -2658.94 921119 Short 1 -1016.71 6645.79 -1016.71 -2658.94 921120 Short 1 -147.68 7514.82 -147.68 -2658.94 921123 Short 1 -524.58 7137.92 -524.58 -2658.94 921124 Short 1 -646.58 7015.92 -646.58 -2658.94 921125 Short 1 -732.39 6930.11 -732.39 -2658.94 921126 Short 1 -555.02 7107.48 -555.02 -2658.94 921127 Short 1 -342.85 7319.65 -342.85 -2658.94 921130 Short 1 -524.58 7137.92 -524.58 -2658.94 225.00 921201 Exit Short 1 -1606.25 6056.25 -1606.25 -2658.94 MFE = 0.00 MAE = -1606.25 921201 Enter Long 1 -92.97 5963.28 -1699.22 -2658.94 921202 Exit Long 1 225.00 6281.25 -1381.25 -2658.94 MFE = 225.00 MAE = -92.97 921222 Enter Short 1 114.84 6396.09 -1266.41 -2658.94 921223 Short 1 189.96 6471.21 -1191.29 -2658.94 921224 Exit Short 1 225.00 6506.25 -1156.25 -2658.94 MFE = 225.00 MAE = 0.00 -1156.25 930129 Enter Short 1 -40.19 6466.06 -1196.44 -2658.94 0.00 930201 Exit Short 1 225.00 6731.25 -931.25 -2658.94 MFE = 225.00 MAE = -40.19 930216 Exit Long 1 225.00 6956.25 -706.25 -2658.94 MFE = 225.00 MAE = 0.00 450.00 930423 Enter Long 1 -103.42 6852.83 -809.67 -2658.94 930426 Exit Long 1 225.00 7181.25 -481.25 -2658.94 MFE = 225.00 MAE = -103.42 225.00 930510 Exit Short 1 225.00 7406.25 -256.25 -2658.94 MFE = 225.00 MAE = 0.00 930527 Exit Long 1 225.00 7631.25 -31.25 -2658.94 MFE = 225.00 MAE = 0.00 450.00 930604 Enter Short 1 2.49 7633.74 -28.76 -2658.94 930607 Short 1 -276.34 7354.91 -307.59 -2658.94 930608 Short 1 -79.31 7551.94 -110.56 -2658.94 930609 Exit Short 1 225.00 7856.25 0.00 -2658.94 MFE = 225.00 MAE = -276.34 930616 Enter Short 1 -64.76 7791.49 -64.76 -2658.94 930617 Short 1 -121.63 7734.62 -121.63 -2658.94 930618 Exit Short 1 225.00 8081.25 0.00 -2658.94 MFE = 225.00 MAE = -121.63 450.00 930701 Enter Short 1 -479.90 7601.35 -479.90 -2658.94 930702 Short 1 -364.53 7716.72 -364.53 -2658.94 930705 Short 1 -309.81 7771.44 -309.81 -2658.94 930706 Short 1 -323.48 7757.77 -323.48 -2658.94 930707 Short 1 -309.81 7771.44 -309.81 -2658.94 930708 Short 1 -337.15 7744.10 -337.15 -2658.94 930709 Exit Short 1 225.00 8306.25 0.00 -2658.94 MFE = 225.00 MAE = -479.90 225.00 930802 Exit Long 1 225.00 8531.25 0.00 -2658.94 MFE = 225.00 MAE = 0.00 930816 Enter Long 1 -14.21 8517.04 -14.21 -2658.94 930817 Long 1 -208.91 8322.34 -208.91 -2658.94 930818 Exit Long 1 225.00 8756.25 0.00 -2658.94 MFE = 225.00 MAE = -208.91 450.00 930901 Enter Long 1 -33.06 8723.19 -33.06 -2658.94 930902 Exit Long 1 225.00 8981.25 0.00 -2658.94 MFE = 225.00 MAE = -33.06 930903 Enter Long 1 -41.20 8940.05 -41.20 -2658.94 930906 Exit Long 1 225.00 9206.25 0.00 -2658.94 MFE = 225.00 MAE = -41.20 450.00 931008 Enter Long 1 -150.18 9056.07 -150.18 -2658.94 931011 Long 1 -260.80 8945.45 -260.80 -2658.94 931012 Long 1 24.77 9231.02 0.00 -2658.94 931013 Long 1 -150.18 9056.07 -174.94 -2658.94 931014 Long 1 -728.70 8477.55 -753.47 -2658.94 931015 Long 1 -845.68 8360.57 -870.45 -2658.94 931018 Long 1 -1427.32 7778.93 -1452.08 -2658.94 931019 Long 1 -1487.01 7719.24 -1511.78 -2658.94 931020 Long 1 -1546.55 7659.70 -1571.32 -2658.94 931021 Long 1 -2132.99 7073.26 -2157.76 -2658.94 931022 Long 1 -2334.49 6871.76 -2359.26 -2658.94 931025 Long 1 -2534.10 6672.15 -2558.86 -2658.94 931026 Long 1 -2328.77 6877.48 -2353.53 -2658.94 931027 Long 1 -2431.68 6774.57 -2456.45 -2658.94 931028 Long 1 -2348.81 6857.44 -2373.58 -2658.94 931029 Long 1 -2765.53 6440.72 -2790.30 -2790.30 0.00 931101 Long 1 -3052.66 6153.59 -3077.43 -3077.43 931102 Long 1 -3218.11 5988.14 -3242.88 -3242.88 931103 Long 1 -2891.47 6314.78 -2916.23 -3242.88 931104 Long 1 -3013.86 6192.39 -3038.63 -3242.88 931105 Long 1 -2857.96 6348.29 -2882.72 -3242.88 931108 Long 1 -2548.29 6657.96 -2573.05 -3242.88 931109 Long 1 -2759.92 6446.33 -2784.68 -3242.88 931110 Long 1 -2675.52 6530.73 -2700.28 -3242.88 931111 Long 1 -2899.83 6306.42 -2924.60 -3242.88 931112 Long 1 -2661.42 6544.83 -2686.19 -3242.88 931115 Long 1 -2745.88 6460.37 -2770.64 -3242.88 931116 Long 1 -3052.66 6153.59 -3077.43 -3242.88 931117 Long 1 -2877.51 6328.74 -2902.27 -3242.88 931118 Long 1 -3094.15 6112.10 -3118.91 -3242.88 931119 Long 1 -3107.96 6098.29 -3132.73 -3242.88 931122 Long 1 -2801.99 6404.26 -2826.76 -3242.88 931123 Long 1 -2726.20 6480.05 -2750.97 -3242.88 931124 Long 1 -2754.30 6451.95 -2779.07 -3242.88 931125 Long 1 -2913.77 6292.48 -2938.54 -3242.88 931126 Long 1 -2927.71 6278.54 -2952.47 -3242.88 931129 Long 1 -2703.69 6502.56 -2728.46 -3242.88 931130 Long 1 -2899.83 6306.42 -2924.60 -3242.88 0.00 931201 Long 1 -3011.09 6195.16 -3035.86 -3242.88 931202 Long 1 -2877.51 6328.74 -2902.27 -3242.88 931203 Long 1 -2689.61 6516.64 -2714.38 -3242.88 931206 Long 1 -1856.44 7349.81 -1881.20 -3242.88 931207 Long 1 -1806.57 7399.68 -1831.33 -3242.88 931208 Long 1 -2089.56 7116.69 -2114.33 -3242.88 931209 Long 1 -2002.44 7203.81 -2027.21 -3242.88 931210 Long 1 -1656.26 7549.99 -1681.02 -3242.88 931213 Long 1 -1987.89 7218.36 -2012.65 -3242.88 931214 Long 1 -1967.49 7238.76 -1992.26 -3242.88 931215 Long 1 -2095.36 7110.89 -2120.13 -3242.88 931216 Long 1 -1841.78 7364.47 -1866.55 -3242.88 931217 Long 1 -1876.94 7329.31 -1901.70 -3242.88 931220 Long 1 -1768.35 7437.90 -1793.12 -3242.88 931221 Long 1 -1487.01 7719.24 -1511.78 -3242.88 931222 Long 1 -1095.99 8110.26 -1120.76 -3242.88 931223 Long 1 -1004.75 8201.50 -1029.51 -3242.88 931224 Long 1 -1171.74 8034.51 -1196.50 -3242.88 931227 Long 1 -1331.45 7874.80 -1356.22 -3242.88 931228 Long 1 -1214.04 7992.21 -1238.81 -3242.88 931229 Exit Long 1 -2062.50 7143.75 -2062.50 -3242.88 MFE = 24.77 MAE = -3218.11 931229 Enter Short 1 -20.52 7123.23 -2107.78 -3242.88 931230 Exit Short 1 225.00 7368.75 -1862.27 -3242.88 MFE = 225.00 MAE = -20.52 -1837.50 940201 Enter Long 1 -143.26 7225.49 -2005.53 -3242.88 940202 Long 1 -208.75 7160.00 -2071.01 -3242.88 940203 Long 1 -226.57 7142.18 -2088.83 -3242.88 940204 Long 1 -832.58 6536.17 -2694.85 -3242.88 940207 Long 1 -731.32 6637.43 -2593.58 -3242.88 940208 Long 1 -1102.19 6266.56 -2964.45 -3242.88 940209 Long 1 -962.07 6406.68 -2824.34 -3242.88 940210 Long 1 -1033.68 6335.07 -2895.94 -3242.88 940211 Long 1 -1062.25 6306.50 -2924.52 -3242.88 940214 Long 1 -386.32 6982.43 -2248.59 -3242.88 940215 Long 1 -350.93 7017.82 -2213.19 -3242.88 940216 Long 1 -276.99 7091.76 -2139.26 -3242.88 940217 Long 1 -365.68 7003.07 -2227.94 -3242.88 940218 Long 1 -20.71 7348.04 -1882.97 -3242.88 940221 Long 1 -365.68 7003.07 -2227.94 -3242.88 940222 Long 1 -158.17 7210.58 -2020.43 -3242.88 940223 Long 1 -285.87 7082.88 -2148.14 -3242.88 940224 Exit Long 1 225.00 7593.75 -1637.27 -3242.88 MFE = 225.00 MAE = -1102.19 225.00 940310 Enter Long 1 19.68 7613.43 -1617.58 -3242.88 940311 Long 1 -98.41 7495.34 -1735.68 -3242.88 940314 Long 1 -573.67 7020.08 -2210.93 -3242.88 940315 Long 1 -784.94 6808.81 -2422.21 -3242.88 940316 Long 1 -467.25 7126.50 -2104.51 -3242.88 940317 Long 1 -664.47 6929.28 -2301.73 -3242.88 940318 Long 1 -724.79 6868.96 -2362.05 -3242.88 940321 Long 1 -427.59 7166.16 -2064.85 -3242.88 940322 Long 1 -329.66 7264.09 -1966.93 -3242.88 940323 Long 1 -292.83 7300.92 -1930.09 -3242.88 940324 Long 1 57.11 7650.86 -1580.15 -3242.88 940325 Long 1 10.34 7604.09 -1626.93 -3242.88 940328 Long 1 -160.32 7433.43 -1797.59 -3242.88 940329 Long 1 -175.77 7417.98 -1813.04 -3242.88 940330 Long 1 -36.34 7557.41 -1673.60 -3242.88 940331 Exit Long 1 225.00 7818.75 -1412.27 -3242.88 MFE = 225.00 MAE = -784.94 225.00 940405 Enter Short 1 77.79 7896.54 -1334.48 -3242.88 940406 Short 1 95.67 7914.42 -1316.60 -3242.88 940407 Short 1 18.08 7836.83 -1394.19 -3242.88 940408 Short 1 -14.83 7803.92 -1427.10 -3242.88 940411 Short 1 -143.96 7674.79 -1556.23 -3242.88 940412 Short 1 -8.84 7809.91 -1421.11 -3242.88 940413 Short 1 -183.15 7635.60 -1595.42 -3242.88 940414 Short 1 38.99 7857.74 -1373.27 -3242.88 940415 Exit Short 1 225.00 8043.75 -1187.27 -3242.88 MFE = 225.00 MAE = -183.15 940429 Enter Long 1 -221.35 7822.40 -1408.62 -3242.88 225.00 940502 Long 1 -167.31 7876.44 -1354.57 -3242.88 940503 Long 1 8.44 8052.19 -1178.83 -3242.88 940504 Long 1 -344.84 7698.91 -1532.11 -3242.88 940505 Long 1 -630.33 7413.42 -1817.60 -3242.88 940506 Long 1 -505.29 7538.46 -1692.56 -3242.88 940509 Long 1 -470.78 7572.97 -1658.05 -3242.88 940510 Long 1 -1135.69 6908.06 -2322.95 -3242.88 940511 Long 1 -906.02 7137.73 -2093.29 -3242.88 940512 Long 1 -906.02 7137.73 -2093.29 -3242.88 940513 Long 1 -933.71 7110.04 -2120.98 -3242.88 940516 Long 1 -946.01 7097.74 -2133.27 -3242.88 940517 Long 1 -822.75 7221.00 -2010.01 -3242.88 940518 Long 1 -379.55 7664.20 -1566.81 -3242.88 940519 Long 1 -520.96 7522.79 -1708.23 -3242.88 940520 Long 1 -332.21 7711.54 -1519.47 -3242.88 940523 Long 1 -268.93 7774.82 -1456.19 -3242.88 940524 Long 1 -567.90 7475.85 -1755.17 -3242.88 940525 Long 1 -221.35 7822.40 -1408.62 -3242.88 940526 Long 1 -300.59 7743.16 -1487.85 -3242.88 940527 Long 1 -205.47 7838.28 -1392.74 -3242.88 940530 Long 1 -284.76 7758.99 -1472.03 -3242.88 940531 Long 1 -173.67 7870.08 -1360.94 -3242.88 0.00 940601 Long 1 -167.31 7876.44 -1354.57 -3242.88 940602 Long 1 -205.47 7838.28 -1392.74 -3242.88 940603 Exit Long 1 -675.00 7368.75 -1862.27 -3242.88 MFE = 8.44 MAE = -1135.69 940603 Enter Short 1 58.12 7426.87 -1804.14 -3242.88 940606 Short 1 -35.26 7333.49 -1897.52 -3242.88 940607 Short 1 -138.44 7230.31 -2000.70 -3242.88 940608 Short 1 -144.71 7224.04 -2006.98 -3242.88 940609 Short 1 -188.64 7180.11 -2050.90 -3242.88 940610 Short 1 -349.41 7019.34 -2211.68 -3242.88 940613 Exit Short 1 -918.75 6450.00 -2781.02 -3242.88 MFE = 58.12 MAE = -918.75 940613 Enter Long 1 81.29 6531.29 -2699.72 -3242.88 940614 Long 1 81.29 6531.29 -2699.72 -3242.88 940615 Exit Long 1 225.00 6675.00 -2556.02 -3242.88 MFE = 225.00 MAE = 0.00 -1368.75 940711 Exit Long 1 225.00 6900.00 -2331.02 -3242.88 MFE = 225.00 MAE = 0.00 225.00 940811 Enter Long 1 21.93 6921.93 -2309.08 -3242.88 940812 Exit Long 1 225.00 7125.00 -2106.02 -3242.88 MFE = 225.00 MAE = 0.00 940826 Enter Short 1 67.02 7192.02 -2039.00 -3242.88 940829 Exit Short 1 225.00 7350.00 -1881.02 -3242.88 MFE = 225.00 MAE = 0.00 450.00 941014 Enter Long 1 -47.55 7302.45 -1928.57 -3242.88 941017 Exit Long 1 225.00 7575.00 -1656.02 -3242.88 MFE = 225.00 MAE = -47.55 941028 Enter Short 1 -159.43 7415.57 -1815.44 -3242.88 941031 Short 1 -345.14 7229.86 -2001.16 -3242.88 225.00 941101 Short 1 -728.84 6846.16 -2384.86 -3242.88 941102 Exit Short 1 225.00 7800.00 -1431.02 -3242.88 MFE = 225.00 MAE = -728.84 225.00 941208 Enter Short 1 -13.93 7786.07 -1444.95 -3242.88 941209 Short 1 -3.44 7796.56 -1434.46 -3242.88 941212 Short 1 -119.14 7680.86 -1550.16 -3242.88 941213 Short 1 -267.22 7532.78 -1698.24 -3242.88 941214 Short 1 -348.72 7451.28 -1779.73 -3242.88 941215 Short 1 -366.47 7433.53 -1797.48 -3242.88 941216 Short 1 -154.31 7645.69 -1585.33 -3242.88 941219 Short 1 -189.54 7610.46 -1620.56 -3242.88 941220 Short 1 -323.89 7476.11 -1754.90 -3242.88 941221 Short 1 -154.31 7645.69 -1585.33 -3242.88 941222 Short 1 -207.18 7592.82 -1638.19 -3242.88 941223 Short 1 -157.84 7642.16 -1588.85 -3242.88 941226 Short 1 -112.11 7687.89 -1543.13 -3242.88 941227 Short 1 -253.08 7546.92 -1684.10 -3242.88 941228 Exit Short 1 -556.25 7243.75 -1987.27 -3242.88 MFE = 0.00 MAE = -556.25 941228 Exit Long 1 225.00 7468.75 -1762.27 -3242.88 MFE = 225.00 MAE = 0.00 -331.25 950109 Enter Long 1 107.60 7576.35 -1654.67 -3242.88 950110 Exit Long 1 225.00 7693.75 -1537.27 -3242.88 MFE = 225.00 MAE = 0.00 950119 Enter Long 1 39.80 7733.55 -1497.46 -3242.88 950120 Exit Long 1 225.00 7918.75 -1312.27 -3242.88 MFE = 225.00 MAE = 0.00 950131 Enter Short 1 57.10 7975.85 -1255.17 -3242.88 450.00 950201 Short 1 -26.23 7892.52 -1338.49 -3242.88 950202 Short 1 7.90 7926.65 -1304.37 -3242.88 950203 Exit Short 1 225.00 8143.75 -1087.27 -3242.88 MFE = 225.00 MAE = -26.23 225.00 950302 Exit Long 1 225.00 8368.75 -862.27 -3242.88 MFE = 225.00 MAE = 0.00 950303 Enter Long 1 205.39 8574.14 -656.88 -3242.88 950306 Exit Long 1 420.00 8788.75 -442.26 -3242.88 MFE = 420.00 MAE = 0.00 950328 Enter Long 1 -120.22 8668.53 -562.48 -3242.88 950329 Exit Long 1 225.00 9013.75 -217.26 -3242.88 MFE = 225.00 MAE = -120.22 950330 Enter Short 1 -374.88 8638.88 -592.14 -3242.88 950331 Exit Short 1 -2556.25 6457.50 -2773.51 -3242.88 MFE = 0.00 MAE = -2556.25 950331 Enter Long 1 -285.02 6172.48 -3058.53 -3242.88 -1686.25 950403 Long 1 35.54 6493.05 -2737.97 -3242.88 950404 Exit Long 1 225.00 6682.50 -2548.51 -3242.88 MFE = 225.00 MAE = -285.02 225.00 950510 Enter Short 1 -249.20 6433.30 -2797.71 -3242.88 950511 Exit Short 1 225.00 6907.50 -2323.51 -3242.88 MFE = 225.00 MAE = -249.20 225.00 950707 Enter Short 1 -281.52 6625.99 -2605.03 -3242.88 950710 Short 1 -258.18 6649.32 -2581.69 -3242.88 950711 Exit Short 1 225.00 7132.50 -2098.51 -3242.88 MFE = 225.00 MAE = -281.52 950719 Enter Long 1 -49.98 7082.52 -2148.49 -3242.88 950720 Long 1 -329.32 6803.18 -2427.83 -3242.88 950721 Long 1 -451.51 6680.99 -2550.02 -3242.88 950724 Long 1 -286.89 6845.61 -2385.40 -3242.88 950725 Long 1 -666.36 6466.15 -2764.87 -3242.88 950726 Long 1 -334.03 6798.48 -2432.54 -3242.88 950727 Long 1 -197.11 6935.40 -2295.62 -3242.88 950728 Long 1 -182.91 6949.60 -2281.42 -3242.88 950731 Long 1 -334.03 6798.48 -2432.54 -3242.88 225.00 950801 Exit Long 1 225.00 7357.50 -1873.51 -3242.88 MFE = 225.00 MAE = -666.36 225.00 950920 Exit Long 1 225.00 7582.50 -1648.51 -3242.88 MFE = 225.00 MAE = 0.00 950921 Exit Long 1 225.00 7807.50 -1423.51 -3242.88 MFE = 225.00 MAE = 0.00 450.00 951023 Exit Long 1 225.00 8032.50 -1198.51 -3242.88 MFE = 225.00 MAE = 0.00 225.00 951127 Exit Short 1 225.00 8257.50 -973.51 -3242.88 MFE = 225.00 MAE = 0.00 225.00 951214 Enter Long 1 -17.81 8239.69 -991.32 -3242.88 951215 Long 1 -40.92 8216.58 -1014.43 -3242.88 951218 Exit Long 1 225.00 8482.50 -748.51 -3242.88 MFE = 225.00 MAE = -40.92 225.00 960104 Enter Short 1 -555.33 7927.18 -1303.84 -3242.88 960105 Short 1 -601.65 7880.85 -1350.16 -3242.88 960108 Short 1 -569.21 7913.29 -1317.72 -3242.88 960109 Short 1 -578.48 7904.03 -1326.99 -3242.88 960110 Short 1 -648.06 7834.44 -1396.57 -3242.88 960111 Short 1 -578.48 7904.03 -1326.99 -3242.88 960112 Short 1 -532.19 7950.32 -1280.70 -3242.88 960115 Short 1 -370.81 8111.70 -1119.32 -3242.88 960116 Exit Short 1 225.00 8707.50 -523.51 -3242.88 MFE = 225.00 MAE = -648.06 960126 Enter Short 1 99.69 8807.20 -423.82 -3242.88 960129 Exit Short 1 225.00 8932.50 -298.51 -3242.88 MFE = 225.00 MAE = 0.00 450.00 960228 Enter Short 1 55.00 8987.50 -243.52 -3242.88 960229 Exit Short 1 225.00 9157.50 -73.51 -3242.88 MFE = 225.00 MAE = 0.00 225.00 960313 Enter Long 1 -116.60 9040.90 -190.11 -3242.88 960314 Long 1 -98.87 9058.64 -172.38 -3242.88 960315 Long 1 -54.49 9103.01 -128.00 -3242.88 960318 Long 1 -275.65 8881.85 -349.16 -3242.88 960319 Long 1 -213.92 8943.59 -287.43 -3242.88 960320 Long 1 -306.47 8851.04 -379.98 -3242.88 960321 Long 1 -516.79 8640.71 -590.30 -3242.88 960322 Long 1 -354.81 8802.69 -428.32 -3242.88 960325 Long 1 -293.26 8864.24 -366.77 -3242.88 960326 Long 1 -337.25 8820.26 -410.76 -3242.88 960327 Long 1 -573.47 8584.04 -646.98 -3242.88 960328 Long 1 -187.41 8970.09 -260.92 -3242.88 960329 Long 1 -178.57 8978.93 -252.08 -3242.88 0.00 960401 Long 1 -433.74 8723.76 -507.25 -3242.88 960402 Long 1 -433.74 8723.76 -507.25 -3242.88 960403 Long 1 -486.22 8671.28 -559.73 -3242.88 960404 Long 1 -324.05 8833.45 -397.57 -3242.88 960405 Long 1 -416.22 8741.29 -489.73 -3242.88 960408 Long 1 -451.25 8706.26 -524.76 -3242.88 960409 Exit Long 1 -862.50 8295.00 -936.01 -3242.88 MFE = 0.00 MAE = -862.50 960409 Exit Short 1 225.00 8520.00 -711.01 -3242.88 MFE = 225.00 MAE = 0.00 960410 Enter Short 1 -196.58 8323.43 -907.59 -3242.88 960411 Short 1 77.15 8597.16 -633.86 -3242.88 960412 Exit Short 1 225.00 8745.00 -486.01 -3242.88 MFE = 225.00 MAE = -196.58 -412.50 960530 Enter Long 1 -258.39 8486.62 -744.40 -3242.88 960531 Exit Long 1 225.00 8970.00 -261.01 -3242.88 MFE = 225.00 MAE = -258.39 225.00 960614 Enter Long 1 -476.97 8493.04 -737.98 -3242.88 960617 Long 1 -325.88 8644.12 -586.89 -3242.88 960618 Long 1 -89.49 8880.52 -350.50 -3242.88 960619 Long 1 -377.68 8592.33 -638.69 -3242.88 960620 Long 1 -469.04 8500.97 -730.05 -3242.88 960621 Long 1 -920.88 8049.13 -1181.89 -3242.88 960624 Long 1 -666.50 8303.51 -927.51 -3242.88 960625 Long 1 -642.89 8327.12 -903.90 -3242.88 960626 Long 1 -528.44 8441.57 -789.45 -3242.88 960627 Long 1 -105.58 8864.42 -366.60 -3242.88 960628 Long 1 -413.46 8556.54 -674.47 -3242.88 0.00 960701 Long 1 -254.00 8716.00 -515.01 -3242.88 960702 Long 1 -265.99 8704.01 -527.00 -3242.88 960703 Long 1 -321.89 8648.11 -582.90 -3242.88 960704 Long 1 -417.44 8552.57 -678.45 -3242.88 960705 Exit Long 1 -862.50 8107.50 -1123.51 -3242.88 MFE = 0.00 MAE = -920.88 960705 Enter Short 1 -123.84 7983.66 -1247.35 -3242.88 960708 Short 1 -115.99 7991.51 -1239.50 -3242.88 960709 Short 1 -45.44 8062.06 -1168.95 -3242.88 960710 Short 1 -65.01 8042.49 -1188.53 -3242.88 960711 Short 1 -328.85 7778.66 -1452.36 -3242.88 960712 Short 1 -214.30 7893.20 -1337.82 -3242.88 960715 Short 1 -607.51 7500.00 -1731.02 -3242.88 960716 Exit Short 1 -893.75 7213.75 -2017.26 -3242.88 MFE = 0.00 MAE = -893.75 960716 Exit Long 1 225.00 7438.75 -1792.26 -3242.88 MFE = 225.00 MAE = 0.00 960731 Exit Long 1 225.00 7663.75 -1567.26 -3242.88 MFE = 225.00 MAE = 0.00 -1306.25 960823 Enter Long 1 85.90 7749.65 -1481.36 -3242.88 960826 Exit Long 1 225.00 7888.75 -1342.26 -3242.88 MFE = 225.00 MAE = 0.00 225.00 960924 Enter Long 1 -23.33 7865.42 -1365.59 -3242.88 960925 Long 1 -648.34 7240.42 -1990.60 -3242.88 960926 Exit Long 1 -1025.00 6863.75 -2367.26 -3242.88 MFE = 0.00 MAE = -1025.00 960926 Exit Short 1 225.00 7088.75 -2142.26 -3242.88 MFE = 225.00 MAE = 0.00 -800.00 961008 Enter Long 1 -285.61 6803.15 -2427.87 -3242.88 961009 Long 1 -206.05 6882.70 -2348.31 -3242.88 961010 Long 1 -38.15 7050.60 -2180.42 -3242.88 961011 Long 1 -245.86 6842.90 -2388.12 -3242.88 961014 Long 1 -186.12 6902.63 -2328.38 -3242.88 961015 Exit Long 1 -637.50 6451.25 -2779.76 -3242.88 MFE = 0.00 MAE = -637.50 961015 Exit Short 1 225.00 6676.25 -2554.76 -3242.88 MFE = 225.00 MAE = 0.00 961031 Enter Short 1 103.53 6779.78 -2451.23 -3242.88 -412.50 961101 Exit Short 1 225.00 6901.25 -2329.76 -3242.88 MFE = 225.00 MAE = 0.00 961125 Exit Short 1 225.00 7126.25 -2104.76 -3242.88 MFE = 225.00 MAE = 0.00 450.00 970103 Enter Short 1 77.22 7203.47 -2027.54 -3242.88 970106 Short 1 -126.58 6999.68 -2231.34 -3242.88 970107 Short 1 -109.53 7016.73 -2214.29 -3242.88 970108 Exit Short 1 225.00 7351.25 -1879.76 -3242.88 MFE = 225.00 MAE = -126.58 970117 Enter Short 1 128.69 7479.95 -1751.07 -3242.88 970120 Exit Short 1 225.00 7576.25 -1654.76 -3242.88 MFE = 225.00 MAE = 0.00 450.00 970207 Enter Short 1 -331.43 7244.82 -1986.19 -3242.88 970210 Short 1 -466.29 7109.96 -2121.05 -3242.88 970211 Short 1 -106.49 7469.77 -1761.25 -3242.88 970212 Exit Short 1 225.00 7801.25 -1429.76 -3242.88 MFE = 225.00 MAE = -466.29 225.00 970312 Enter Long 1 32.59 7833.85 -1397.17 -3242.88 970313 Long 1 -304.48 7496.77 -1734.25 -3242.88 970314 Long 1 -55.85 7745.40 -1485.61 -3242.88 970317 Long 1 -158.58 7642.67 -1588.34 -3242.88 970318 Exit Long 1 225.00 8026.25 -1204.76 -3242.88 MFE = 225.00 MAE = -304.48 225.00 970407 Enter Short 1 166.55 8192.80 -1038.21 -3242.88 970408 Exit Short 1 225.00 8251.25 -979.76 -3242.88 MFE = 225.00 MAE = 0.00 970421 Enter Long 1 -9.94 8241.31 -989.71 -3242.88 970422 Long 1 -617.06 7634.19 -1596.82 -3242.88 970423 Long 1 -587.84 7663.41 -1567.60 -3242.88 970424 Long 1 -573.22 7678.03 -1552.98 -3242.88 970425 Long 1 -791.55 7459.71 -1771.31 -3242.88 970428 Long 1 -935.87 7315.38 -1915.63 -3242.88 970429 Long 1 -762.57 7488.69 -1742.33 -3242.88 970430 Long 1 -892.68 7358.58 -1872.44 -3242.88 225.00 970501 Long 1 -820.49 7430.76 -1800.25 -3242.88 970502 Long 1 -855.17 7396.08 -1834.93 -3242.88 970505 Long 1 -978.98 7272.28 -1958.74 -3242.88 970506 Long 1 -596.61 7654.64 -1576.37 -3242.88 970507 Long 1 -529.28 7721.97 -1509.04 -3242.88 970508 Long 1 -114.82 8136.44 -1094.58 -3242.88 970509 Exit Long 1 225.00 8476.25 -754.76 -3242.88 MFE = 225.00 MAE = -978.98 970520 Exit Long 1 225.00 8701.25 -529.76 -3242.88 MFE = 225.00 MAE = 0.00 450.00 970627 Enter Short 1 59.43 8760.68 -470.33 -3242.88 970630 Exit Short 1 225.00 8926.25 -304.76 -3242.88 MFE = 225.00 MAE = 0.00 225.00 970710 Enter Long 1 27.89 8954.15 -276.87 -3242.88 970711 Long 1 -575.07 8351.19 -879.83 -3242.88 970714 Exit Long 1 -868.75 8057.50 -1173.51 -3242.88 MFE = 27.89 MAE = -868.75 970714 Enter Short 1 -138.57 7918.93 -1312.08 -3242.88 970715 Short 1 -101.13 7956.37 -1274.64 -3242.88 970716 Short 1 -23.58 8033.92 -1197.09 -3242.88 970717 Short 1 47.97 8105.47 -1125.55 -3242.88 970718 Short 1 -109.77 7947.74 -1283.28 -3242.88 970721 Short 1 -23.58 8033.92 -1197.09 -3242.88 970722 Exit Short 1 225.00 8282.50 -948.51 -3242.88 MFE = 225.00 MAE = -138.57 970724 Enter Short 1 88.11 8370.61 -860.40 -3242.88 970725 Exit Short 1 225.00 8507.50 -723.51 -3242.88 MFE = 225.00 MAE = 0.00 -418.75 970808 Enter Long 1 -146.77 8360.73 -870.28 -3242.88 970811 Long 1 -561.96 7945.55 -1285.47 -3242.88 970812 Long 1 -548.51 7958.99 -1272.03 -3242.88 970813 Long 1 -201.52 8305.99 -925.03 -3242.88 970814 Long 1 -370.33 8137.17 -1093.84 -3242.88 970815 Long 1 59.84 8567.34 -663.67 -3242.88 970818 Exit Long 1 225.00 8732.50 -498.51 -3242.88 MFE = 225.00 MAE = -561.96 970822 Enter Long 1 -165.16 8567.34 -663.67 -3242.88 970825 Long 1 -26.27 8706.23 -524.78 -3242.88 970826 Exit Long 1 225.00 8957.50 -273.51 -3242.88 MFE = 225.00 MAE = -165.16 450.00 970905 Enter Long 1 -31.88 8925.63 -305.39 -3242.88 970908 Long 1 -301.94 8655.56 -575.45 -3242.88 970909 Long 1 -273.68 8683.83 -547.19 -3242.88 970910 Long 1 -54.75 8902.75 -328.27 -3242.88 970911 Long 1 54.13 9011.64 -219.38 -3242.88 970912 Exit Long 1 225.00 9182.50 -48.51 -3242.88 MFE = 225.00 MAE = -301.94 970915 Enter Long 1 -127.32 9055.19 -175.83 -3242.88 970916 Long 1 -261.41 8921.09 -309.92 -3242.88 970917 Long 1 -556.44 8626.07 -604.95 -3242.88 970918 Long 1 -716.98 8465.52 -765.50 -3242.88 970919 Long 1 -600.34 8582.16 -648.85 -3242.88 970922 Long 1 -827.21 8355.30 -875.72 -3242.88 970923 Long 1 -830.10 8352.40 -878.61 -3242.88 970924 Long 1 -497.75 8684.75 -546.27 -3242.88 970925 Long 1 -267.35 8915.15 -315.86 -3242.88 970926 Long 1 -329.62 8852.88 -378.14 -3242.88 970929 Long 1 -368.09 8814.42 -416.60 -3242.88 970930 Long 1 -207.87 8974.63 -256.38 -3242.88 225.00 971001 Long 1 -535.92 8646.59 -584.43 -3242.88 971002 Long 1 -421.23 8761.28 -469.74 -3242.88 971003 Long 1 -213.83 8968.68 -262.34 -3242.88 971006 Long 1 -166.14 9016.36 -214.65 -3242.88 971007 Long 1 -151.22 9031.29 -199.73 -3242.88 971008 Long 1 -22.44 9160.06 -70.96 -3242.88 971009 Long 1 -418.28 8764.22 -466.79 -3242.88 971010 Long 1 -430.07 8752.43 -478.58 -3242.88 971013 Long 1 -594.49 8588.01 -643.00 -3242.88 971014 Long 1 -574.01 8608.50 -622.52 -3242.88 971015 Long 1 -503.63 8678.87 -552.14 -3242.88 971016 Long 1 -394.68 8787.83 -443.19 -3242.88 971017 Exit Long 1 -1037.50 8145.00 -1086.01 -3242.88 MFE = 0.00 MAE = -1037.50 971017 Enter Short 1 -41.13 8103.88 -1127.14 -3242.88 971020 Short 1 -124.63 8020.38 -1210.64 -3242.88 971021 Exit Short 1 225.00 8370.00 -861.01 -3242.88 MFE = 225.00 MAE = -124.63 971028 Exit Long 1 225.00 8595.00 -636.01 -3242.88 MFE = 225.00 MAE = 0.00 -587.50 971208 Enter Short 1 152.18 8747.18 -483.83 -3242.88 971209 Exit Short 1 225.00 8820.00 -411.01 -3242.88 MFE = 225.00 MAE = 0.00 971229 Enter Short 1 20.08 8840.08 -390.93 -3242.88 971230 Exit Short 1 225.00 9045.00 -186.01 -3242.88 MFE = 225.00 MAE = 0.00 450.00 980115 Enter Short 1 61.74 9106.74 -124.27 -3242.88 980116 Short 1 64.53 9109.53 -121.49 -3242.88 980119 Exit Short 1 225.00 9270.00 0.00 -3242.88 MFE = 225.00 MAE = 0.00 980123 Enter Long 1 -51.33 9218.68 -51.33 -3242.88 980126 Exit Long 1 225.00 9495.00 0.00 -3242.88 MFE = 225.00 MAE = -51.33 450.00 980223 Enter Long 1 1.95 9496.95 0.00 -3242.88 980224 Long 1 -48.60 9446.40 -50.55 -3242.88 980225 Long 1 -565.02 8929.99 -566.96 -3242.88 980226 Long 1 -556.32 8938.69 -558.26 -3242.88 980227 Long 1 -477.87 9017.14 -479.81 -3242.88 0.00 980302 Long 1 -506.96 8988.05 -508.90 -3242.88 980303 Long 1 -570.81 8924.19 -572.76 -3242.88 980304 Long 1 -887.25 8607.75 -889.20 -3242.88 980305 Long 1 -1269.23 8225.78 -1271.17 -3242.88 980306 Long 1 -1221.51 8273.50 -1223.45 -3242.88 980309 Long 1 -1103.14 8391.86 -1105.09 -3242.88 980310 Long 1 -1179.31 8315.69 -1181.26 -3242.88 980311 Long 1 -1184.94 8310.06 -1186.89 -3242.88 980312 Long 1 -1057.87 8437.13 -1059.82 -3242.88 980313 Long 1 -766.98 8728.02 -768.93 -3242.88 980316 Long 1 -901.52 8593.48 -903.46 -3242.88 980317 Long 1 -895.81 8599.19 -897.76 -3242.88 980318 Long 1 -1193.39 8301.62 -1195.33 -3242.88 980319 Long 1 -1361.55 8133.45 -1363.50 -3242.88 980320 Long 1 -1408.96 8086.05 -1410.90 -3242.88 980323 Long 1 -1122.92 8372.09 -1124.86 -3242.88 980324 Long 1 -1176.49 8318.51 -1178.44 -3242.88 980325 Long 1 -1255.20 8239.80 -1257.15 -3242.88 980326 Long 1 -1080.52 8414.48 -1082.47 -3242.88 980327 Long 1 -1389.45 8105.55 -1391.40 -3242.88 980330 Exit Long 1 -1581.25 7913.75 -1581.25 -3242.88 MFE = 1.95 MAE = -1581.25 980330 Exit Short 1 225.00 8138.75 -1358.20 -3242.88 MFE = 225.00 MAE = 0.00 -1356.25 980414 Enter Long 1 -65.14 8073.62 -1423.33 -3242.88 980415 Long 1 -135.09 8003.66 -1493.28 -3242.88 980416 Long 1 -338.02 7800.74 -1696.21 -3242.88 980417 Long 1 -218.73 7920.03 -1576.92 -3242.88 980420 Long 1 -204.81 7933.95 -1563.00 -3242.88 980421 Exit Long 1 225.00 8363.75 -1133.20 -3242.88 MFE = 225.00 MAE = -338.02 225.00 980521 Enter Long 1 42.93 8406.68 -1090.27 -3242.88 980522 Long 1 -0.81 8362.94 -1134.01 -3242.88 980525 Long 1 -206.62 8157.13 -1339.82 -3242.88 980526 Long 1 -160.42 8203.34 -1293.61 -3242.88 980527 Exit Long 1 225.00 8588.75 -908.20 -3242.88 MFE = 225.00 MAE = -206.62 225.00 980709 Enter Short 1 -57.76 8530.99 -965.96 -3242.88 980710 Short 1 -123.73 8465.03 -1031.92 -3242.88 980713 Exit Short 1 -612.50 7976.25 -1520.70 -3242.88 MFE = 0.00 MAE = -612.50 980713 Enter Long 1 44.66 8020.91 -1476.04 -3242.88 980714 Long 1 -1.35 7974.91 -1522.04 -3242.88 980715 Exit Long 1 225.00 8201.25 -1295.70 -3242.88 MFE = 225.00 MAE = -1.35 980724 Enter Long 1 -56.75 8144.50 -1352.45 -3242.88 980727 Long 1 -251.12 7950.13 -1546.82 -3242.88 980728 Long 1 176.08 8377.33 -1119.62 -3242.88 980729 Exit Long 1 225.00 8426.25 -1070.70 -3242.88 MFE = 225.00 MAE = -251.12 -162.50 980814 Enter Short 1 75.88 8502.13 -994.82 -3242.88 980817 Short 1 12.58 8438.83 -1058.12 -3242.88 980818 Short 1 128.02 8554.28 -942.67 -3242.88 980819 Exit Short 1 225.00 8651.25 -845.70 -3242.88 MFE = 225.00 MAE = 0.00 980827 Exit Long 1 225.00 8876.25 -620.70 -3242.88 MFE = 225.00 MAE = 0.00 980828 Exit Long 1 225.00 9101.25 -395.70 -3242.88 MFE = 225.00 MAE = 0.00 675.00 980910 Exit Long 1 225.00 9326.25 -170.70 -3242.88 MFE = 225.00 MAE = 0.00 980925 Enter Long 1 -528.72 8797.54 -699.41 -3242.88 980928 Long 1 -580.68 8745.58 -751.37 -3242.88 980929 Long 1 -528.72 8797.54 -699.41 -3242.88 980930 Long 1 -244.08 9082.17 -414.77 -3242.88 225.00 981001 Exit Long 1 225.00 9551.25 0.00 -3242.88 MFE = 225.00 MAE = -580.68 981007 Exit Long 1 225.00 9776.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 981201 Enter Long 1 -50.39 9725.86 -50.39 -3242.88 981202 Exit Long 1 225.00 10001.25 0.00 -3242.88 MFE = 225.00 MAE = -50.39 225.00 990104 Enter Long 1 -239.48 9761.78 -239.48 -3242.88 990105 Long 1 -356.19 9645.07 -356.19 -3242.88 990106 Exit Long 1 -918.75 9082.50 -918.75 -3242.88 MFE = 0.00 MAE = -918.75 990106 Exit Short 1 225.00 9307.50 -693.75 -3242.88 MFE = 225.00 MAE = 0.00 990113 Exit Long 1 225.00 9532.50 -468.75 -3242.88 MFE = 225.00 MAE = 0.00 990127 Exit Short 1 225.00 9757.50 -243.75 -3242.88 MFE = 225.00 MAE = 0.00 -243.75 990219 Enter Short 1 73.78 9831.29 -169.97 -3242.88 990222 Exit Short 1 225.00 9982.50 -18.75 -3242.88 MFE = 225.00 MAE = 0.00 225.00 990311 Enter Short 1 -661.82 9320.68 -680.57 -3242.88 990312 Short 1 -332.93 9649.57 -351.68 -3242.88 990315 Short 1 -347.51 9635.00 -366.26 -3242.88 990316 Short 1 -649.99 9332.51 -668.74 -3242.88 990317 Short 1 -727.02 9255.48 -745.77 -3242.88 990318 Short 1 -537.90 9444.61 -556.65 -3242.88 990319 Short 1 -271.82 9710.68 -290.57 -3242.88 990322 Short 1 -376.69 9605.82 -395.44 -3242.88 990323 Short 1 -543.78 9438.72 -562.53 -3242.88 990324 Short 1 -347.51 9635.00 -366.26 -3242.88 990325 Short 1 -135.69 9846.81 -154.44 -3242.88 990326 Exit Short 1 225.00 10207.50 0.00 -3242.88 MFE = 225.00 MAE = -727.02 225.00 990505 Exit Long 1 225.00 10432.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 990521 Enter Short 1 -47.29 10385.22 -47.29 -3242.88 990524 Short 1 -167.23 10265.27 -167.23 -3242.88 990525 Short 1 -389.86 10042.64 -389.86 -3242.88 990526 Short 1 107.06 10539.56 0.00 -3242.88 990527 Exit Short 1 225.00 10657.50 0.00 -3242.88 MFE = 225.00 MAE = -389.86 450.00 990719 Enter Long 1 -15.34 10642.16 0.00 -3242.88 990720 Exit Long 1 225.00 10882.50 0.00 -3242.88 MFE = 225.00 MAE = -15.34 225.00 990823 Enter Short 1 61.96 10944.46 0.00 -3242.88 990824 Exit Short 1 225.00 11107.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 990910 Exit Short 1 225.00 11332.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 991012 Enter Long 1 5.96 11338.47 0.00 -3242.88 991013 Long 1 235.69 11568.19 0.00 -3242.88 991014 Exit Long 1 225.00 11557.50 0.00 -3242.88 MFE = 235.69 MAE = 0.00 991022 Enter Short 1 -69.59 11487.91 -80.28 -3242.88 991025 Short 1 -58.44 11499.06 -69.13 -3242.88 991026 Exit Short 1 225.00 11782.50 0.00 -3242.88 MFE = 225.00 MAE = -69.59 450.00 991206 Exit Long 1 225.00 12007.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 000103 Exit Long 1 225.00 12232.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 000104 Enter Long 1 -120.11 12112.40 -120.11 -3242.88 000105 Exit Long 1 225.00 12457.50 0.00 -3242.88 MFE = 225.00 MAE = -120.11 000114 Enter Short 1 -13.73 12443.78 -13.73 -3242.88 000117 Exit Short 1 225.00 12682.50 0.00 -3242.88 MFE = 225.00 MAE = -13.73 000127 Enter Short 1 5.78 12688.28 0.00 -3242.88 000128 Exit Short 1 225.00 12907.50 0.00 -3242.88 MFE = 225.00 MAE = 0.00 900.00 000222 Enter Long 1 34.60 12942.10 0.00 -3242.88 000223 Long 1 -72.34 12835.16 -106.94 -3242.88 000224 Long 1 -425.41 12482.10 -460.01 -3242.88 000225 Exit Long 1 -1143.75 11763.75 -1143.75 -3242.88 MFE = 34.60 MAE = -1143.75 000225 Enter Short 1 26.03 11789.79 -1152.32 -3242.88 000228 Exit Short 1 225.00 11988.75 -953.35 -3242.88 MFE = 225.00 MAE = 0.00 -918.75 000323 Exit Long 1 225.00 12213.75 -728.35 -3242.88 MFE = 225.00 MAE = 0.00 000324 Enter Long 1 205.29 12419.04 -523.06 -3242.88 000327 Exit Long 1 225.00 12438.75 -503.35 -3242.88 MFE = 225.00 MAE = 0.00 450.00 000404 Enter Long 1 -529.71 11909.05 -1033.06 -3242.88 000405 Long 1 -383.05 12055.70 -886.40 -3242.88 000406 Long 1 -471.64 11967.11 -974.99 -3242.88 000407 Long 1 -573.72 11865.04 -1077.07 -3242.88 000410 Long 1 -357.33 12081.43 -860.68 -3242.88 000411 Long 1 -522.75 11916.00 -1026.10 -3242.88 000412 Long 1 -548.25 11890.50 -1051.60 -3242.88 000413 Long 1 -661.43 11777.32 -1164.78 -3242.88 000414 Long 1 -333.91 12104.84 -837.26 -3242.88 000417 Long 1 -689.04 11749.71 -1192.39 -3242.88 000418 Exit Long 1 -1012.50 11426.25 -1515.85 -3242.88 MFE = 0.00 MAE = -1012.50 000418 Enter Short 1 99.75 11526.00 -1416.10 -3242.88 000419 Exit Short 1 225.00 11651.25 -1290.85 -3242.88 MFE = 225.00 MAE = 0.00 -787.50 000512 Enter Long 1 11.05 11662.31 -1279.80 -3242.88 000515 Long 1 -300.52 11350.74 -1591.37 -3242.88 000516 Long 1 -608.98 11042.27 -1899.83 -3242.88 000517 Long 1 -883.23 10768.02 -2174.08 -3242.88 000518 Long 1 -955.81 10695.45 -2246.66 -3242.88 000519 Long 1 -787.41 10863.85 -2078.26 -3242.88 000522 Long 1 -611.09 11040.16 -1901.94 -3242.88 000523 Long 1 -606.87 11044.38 -1897.72 -3242.88 000524 Long 1 -674.26 10976.99 -1965.11 -3242.88 000525 Long 1 -456.47 11194.79 -1747.32 -3242.88 000526 Exit Long 1 225.00 11876.25 -1065.85 -3242.88 MFE = 225.00 MAE = -955.81 225.00 000712 Enter Short 1 120.41 11996.66 -945.44 -3242.88 000713 Exit Short 1 225.00 12101.25 -840.85 -3242.88 MFE = 225.00 MAE = 0.00 225.00 000821 Enter Short 1 -29.22 12072.04 -870.07 -3242.88 000822 Short 1 122.45 12223.70 -718.40 -3242.88 000823 Exit Short 1 225.00 12326.25 -615.85 -3242.88 MFE = 225.00 MAE = -29.22 225.00 000906 Enter Short 1 131.05 12457.31 -484.80 -3242.88 000907 Exit Short 1 225.00 12551.25 -390.85 -3242.88 MFE = 225.00 MAE = 0.00 000922 Exit Long 1 225.00 12776.25 -165.85 -3242.88 MFE = 225.00 MAE = 0.00 450.00 001005 Enter Short 1 -27.31 12748.94 -193.16 -3242.88 001006 Short 1 -64.04 12712.22 -229.89 -3242.88 001009 Short 1 -21.20 12755.06 -187.05 -3242.88 001010 Short 1 -186.99 12589.26 -352.84 -3242.88 001011 Short 1 -242.60 12533.66 -408.45 -3242.88 001012 Short 1 -215.80 12560.45 -381.65 -3242.88 001013 Exit Short 1 225.00 13001.25 0.00 -3242.88 MFE = 225.00 MAE = -242.60 225.00 001127 Enter Long 1 40.83 13042.09 0.00 -3242.88 001128 Exit Long 1 225.00 13226.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 001214 Enter Long 1 181.80 13408.05 0.00 -3242.88 001215 Exit Long 1 225.00 13451.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 010301 Enter Long 1 -82.28 13368.97 -39.08 -3242.88 010302 Long 1 71.91 13523.17 0.00 -3242.88 010305 Long 1 -98.32 13352.93 -170.23 -3242.88 010306 Long 1 -6.49 13444.76 -78.40 -3242.88 010307 Long 1 -210.20 13241.05 -282.12 -3242.88 010308 Long 1 -70.82 13380.43 -142.73 -3242.88 010309 Long 1 -100.61 13350.64 -172.52 -3242.88 010312 Long 1 -223.86 13227.39 -295.77 -3242.88 010313 Exit Long 1 -650.00 12801.25 -650.00 -3242.88 MFE = 71.91 MAE = -650.00 010313 Enter Short 1 163.56 12964.82 -558.35 -3242.88 010314 Exit Short 1 225.00 13026.25 -496.91 -3242.88 MFE = 225.00 MAE = 0.00 -425.00 010403 Enter Long 1 113.32 13139.57 -383.59 -3242.88 010404 Exit Long 1 225.00 13251.25 -271.91 -3242.88 MFE = 225.00 MAE = 0.00 010418 Enter Short 1 -487.54 12763.72 -759.45 -3242.88 010419 Short 1 -1026.44 12224.81 -1298.35 -3242.88 010420 Short 1 -1283.48 11967.77 -1555.39 -3242.88 010423 Short 1 -1097.36 12153.89 -1369.27 -3242.88 010424 Short 1 -887.55 12363.70 -1159.46 -3242.88 010425 Short 1 -1015.72 12235.53 -1287.63 -3242.88 010426 Short 1 -1093.06 12158.20 -1364.97 -3242.88 010427 Short 1 -629.69 12621.57 -901.60 -3242.88 010430 Short 1 -437.63 12813.62 -709.54 -3242.88 225.00 010501 Short 1 -629.69 12621.57 -901.60 -3242.88 010502 Short 1 -621.29 12629.96 -893.21 -3242.88 010503 Short 1 -508.37 12742.89 -780.28 -3242.88 010504 Short 1 -575.20 12676.05 -847.12 -3242.88 010507 Short 1 -504.20 12747.05 -776.12 -3242.88 010508 Short 1 -284.62 12966.63 -556.54 -3242.88 010509 Short 1 -317.60 12933.66 -589.51 -3242.88 010510 Short 1 -272.27 12978.98 -544.19 -3242.88 010511 Short 1 -120.66 13130.59 -392.57 -3242.88 010514 Short 1 -106.39 13144.87 -378.30 -3242.88 010515 Short 1 -257.88 12993.38 -529.79 -3242.88 010516 Short 1 -450.09 12801.16 -722.01 -3242.88 010517 Short 1 -367.17 12884.09 -639.08 -3242.88 010518 Short 1 -280.51 12970.75 -552.42 -3242.88 010521 Short 1 -192.21 13059.04 -464.12 -3242.88 010522 Exit Short 1 225.00 13476.25 -46.91 -3242.88 MFE = 225.00 MAE = -1283.48 225.00 010628 Enter Short 1 200.94 13677.19 0.00 -3242.88 010629 Short 1 32.77 13509.02 -168.17 -3242.88 0.00 010702 Short 1 81.26 13557.51 -119.68 -3242.88 010703 Short 1 61.88 13538.13 -139.06 -3242.88 010704 Exit Short 1 225.00 13701.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 010718 Exit Long 1 225.00 13926.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 010809 Enter Long 1 108.20 14034.46 0.00 -3242.88 010810 Long 1 -5.36 13920.89 -113.56 -3242.88 010813 Exit Long 1 225.00 14151.25 0.00 -3242.88 MFE = 225.00 MAE = -5.36 225.00 010904 Exit Short 1 225.00 14376.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 011011 Enter Short 1 -31.42 14344.83 -31.42 -3242.88 011012 Short 1 -475.38 13900.87 -475.38 -3242.88 011015 Short 1 -470.66 13905.60 -470.66 -3242.88 011016 Short 1 -280.17 14096.08 -280.17 -3242.88 011017 Short 1 -182.14 14194.11 -182.14 -3242.88 011018 Short 1 -238.10 14138.16 -238.10 -3242.88 011019 Short 1 -79.99 14296.27 -79.99 -3242.88 011022 Exit Short 1 225.00 14601.25 0.00 -3242.88 MFE = 225.00 MAE = -475.38 225.00 011113 Exit Short 1 225.00 14826.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 011128 Enter Long 1 -54.52 14771.73 -54.52 -3242.88 011129 Long 1 -201.39 14624.86 -201.39 -3242.88 011130 Long 1 74.93 14901.19 0.00 -3242.88 225.00 011204 Long 1 -199.10 14627.15 -274.04 -3242.88 011205 Long 1 -344.86 14481.39 -419.80 -3242.88 011206 Long 1 -77.54 14748.71 -152.48 -3242.88 011207 Long 1 -335.78 14490.47 -410.72 -3242.88 011210 Long 1 -451.19 14375.07 -526.12 -3242.88 011211 Long 1 -208.25 14618.01 -283.18 -3242.88 011212 Long 1 67.97 14894.23 -6.96 -3242.88 011213 Long 1 -144.16 14682.10 -219.09 -3242.88 011214 Exit Long 1 225.00 15051.25 0.00 -3242.88 MFE = 225.00 MAE = -451.19 011224 Exit Short 1 225.00 15276.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 020125 Exit Short 1 225.00 15501.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 020226 Enter Short 1 -40.02 15461.24 -40.02 -3242.88 020227 Short 1 -123.69 15377.56 -123.69 -3242.88 020228 Short 1 -272.67 15228.58 -272.67 -3242.88 0.00 020301 Short 1 -65.72 15435.53 -65.72 -3242.88 020304 Short 1 -266.17 15235.08 -266.17 -3242.88 020305 Short 1 -350.89 15150.36 -350.89 -3242.88 020306 Exit Short 1 -675.00 14826.25 -675.00 -3242.88 MFE = 0.00 MAE = -675.00 020306 Enter Long 1 -60.26 14766.00 -735.26 -3242.88 020307 Exit Long 1 225.00 15051.25 -450.00 -3242.88 MFE = 225.00 MAE = -60.26 -450.00 020425 Enter Long 1 -76.65 14974.60 -526.65 -3242.88 020426 Long 1 65.18 15116.44 -384.82 -3242.88 020429 Long 1 143.65 15194.90 -306.35 -3242.88 020430 Exit Long 1 225.00 15276.25 -225.00 -3242.88 MFE = 225.00 MAE = -76.65 225.00 020619 Enter Long 1 114.59 15390.84 -110.41 -3242.88 020620 Exit Long 1 225.00 15501.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 020715 Enter Long 1 -134.92 15366.34 -134.92 -3242.88 020716 Exit Long 1 225.00 15726.25 0.00 -3242.88 MFE = 225.00 MAE = -134.92 020729 Enter Short 1 22.49 15748.74 0.00 -3242.88 020730 Short 1 -133.57 15592.68 -156.06 -3242.88 020731 Short 1 -53.98 15672.28 -76.47 -3242.88 225.00 020801 Short 1 -402.99 15323.27 -425.48 -3242.88 020802 Short 1 -501.29 15224.97 -523.78 -3242.88 020805 Short 1 -88.05 15638.20 -110.54 -3242.88 020806 Exit Short 1 225.00 15951.25 0.00 -3242.88 MFE = 225.00 MAE = -501.29 225.00 020903 Enter Long 1 18.88 15970.13 0.00 -3242.88 020904 Long 1 -125.09 15826.17 -143.97 -3242.88 020905 Exit Long 1 225.00 16176.25 0.00 -3242.88 MFE = 225.00 MAE = -125.09 020930 Enter Long 1 116.63 16292.89 0.00 -3242.88 225.00 021001 Long 1 -259.20 15917.05 -375.84 -3242.88 021002 Long 1 36.34 16212.60 -80.29 -3242.88 021003 Long 1 36.34 16212.60 -80.29 -3242.88 021004 Long 1 -293.05 15883.21 -409.68 -3242.88 021007 Long 1 -247.92 15928.34 -364.55 -3242.88 021008 Long 1 -533.96 15642.30 -650.59 -3242.88 021009 Long 1 13.46 16189.72 -103.17 -3242.88 021010 Long 1 -160.20 16016.05 -276.83 -3242.88 021011 Long 1 -77.82 16098.44 -194.45 -3242.88 021014 Long 1 -55.03 16121.22 -171.67 -3242.88 021015 Long 1 -439.04 15737.21 -555.68 -3242.88 021016 Long 1 -416.65 15759.61 -533.28 -3242.88 021017 Long 1 -898.39 15277.87 -1015.02 -3242.88 021018 Long 1 -931.21 15245.05 -1047.84 -3242.88 021021 Long 1 -862.78 15313.47 -979.41 -3242.88 021022 Long 1 -625.66 15550.59 -742.29 -3242.88 021023 Long 1 -681.05 15495.20 -797.68 -3242.88 021024 Long 1 -603.47 15572.79 -720.10 -3242.88 021025 Long 1 -672.75 15503.50 -789.38 -3242.88 021028 Long 1 -253.56 15922.69 -370.20 -3242.88 021029 Long 1 -309.94 15866.31 -426.58 -3242.88 021030 Long 1 -281.77 15894.49 -398.40 -3242.88 021031 Long 1 76.45 16252.71 -40.18 -3242.88 0.00 021101 Exit Long 1 225.00 16401.25 0.00 -3242.88 MFE = 225.00 MAE = -931.21 225.00 030204 Enter Long 1 84.53 16485.78 0.00 -3242.88 030205 Exit Long 1 225.00 16626.25 0.00 -3242.88 MFE = 225.00 MAE = 0.00 030217 Enter Short 1 -250.06 16376.19 -109.59 -3242.88 030218 Short 1 -61.26 16564.99 0.00 -3242.88 030219 Short 1 -353.41 16272.85 -292.14 -3242.88 030220 Short 1 -696.77 15929.49 -635.50 -3242.88 030221 Short 1 -470.65 16155.61 -409.39 -3242.88 030224 Short 1 -730.70 15895.55 -669.44 -3242.88 030225 Short 1 -686.59 15939.66 -625.33 -3242.88 030226 Short 1 -768.10 15858.16 -706.84 -3242.88 030227 Short 1 -585.12 16041.14 -523.85 -3242.88 030228 Short 1 -873.80 15752.45 -812.54 -3242.88 225.00 030303 Exit Short 1 -1325.00 15301.25 -1325.00 -3242.88 MFE = 0.00 MAE = -1325.00 030303 Enter Long 1 39.85 15341.10 -1223.89 -3242.88 030304 Long 1 18.93 15320.19 -1244.80 -3242.88 030305 Exit Long 1 225.00 15526.25 -1038.74 -3242.88 MFE = 225.00 MAE = 0.00 030313 Exit Short 1 225.00 15751.25 -813.74 -3242.88 MFE = 225.00 MAE = 0.00 -875.00 030416 Enter Long 1 29.61 15780.86 -784.13 -3242.88 030417 Long 1 -304.21 15447.05 -1117.95 -3242.88 030418 Long 1 -346.82 15404.44 -1160.56 -3242.88 030421 Long 1 -607.29 15143.96 -1421.03 -3242.88 030422 Long 1 -6.99 15744.27 -820.72 -3242.88 030423 Long 1 -103.18 15648.07 -916.92 -3242.88 030424 Exit Long 1 225.00 15976.25 -588.74 -3242.88 MFE = 225.00 MAE = -607.29 225.00 030519 Exit Long 1 224.54 16200.79 -364.20 -3242.88 MFE = 224.54 MAE = 0.00 224.54 030618 Enter Short 1 -32.21 16168.59 -396.41 -3242.88 030619 Exit Short 1 225.00 16425.79 -139.20 -3242.88 MFE = 225.00 MAE = -32.21 225.00 030707 Enter Short 1 10.49 16436.28 -128.71 -3242.88 030708 Short 1 -129.18 16296.61 -268.38 -3242.88 030709 Short 1 -411.12 16014.67 -550.32 -3242.88 030710 Short 1 -363.89 16061.90 -503.09 -3242.88 030711 Short 1 93.22 16519.02 -45.98 -3242.88 030714 Exit Short 1 225.00 16650.79 0.00 -3242.88 MFE = 225.00 MAE = -411.12 225.00 030902 Enter Short 1 1.98 16652.77 0.00 -3242.88 030903 Short 1 -66.52 16584.27 -68.50 -3242.88 030904 Short 1 -437.59 16213.20 -439.57 -3242.88 030905 Exit Short 1 -831.25 15819.54 -831.25 -3242.88 MFE = 1.98 MAE = -831.25 030905 Exit Long 1 225.00 16044.54 -606.25 -3242.88 MFE = 225.00 MAE = 0.00 030919 Enter Long 1 -82.90 15961.65 -691.12 -3242.88 030922 Exit Long 1 225.00 16269.54 -383.23 -3242.88 MFE = 225.00 MAE = -82.90 -381.25 031126 Enter Long 1 34.75 16304.29 -348.48 -3242.88 031127 Long 1 -236.45 16033.09 -619.67 -3242.88 031128 Long 1 94.60 16364.14 -288.62 -3242.88 0.00 031201 Long 1 -129.07 16140.47 -512.30 -3242.88 031202 Exit Long 1 225.00 16494.54 -158.23 -3242.88 MFE = 225.00 MAE = -236.45 031208 Enter Long 1 -90.44 16404.10 -248.67 -3242.88 031209 Long 1 30.61 16525.15 -127.62 -3242.88 031210 Long 1 -117.70 16376.84 -275.92 -3242.88 031211 Long 1 -168.22 16326.32 -326.45 -3242.88 031212 Long 1 97.24 16591.78 -60.99 -3242.88 031215 Long 1 140.45 16634.99 -17.78 -3242.88 031216 Exit Long 1 225.00 16719.54 0.00 -3242.88 MFE = 225.00 MAE = -168.22 031231 Enter Long 1 -325.21 16394.33 -325.21 -3242.88 450.00 040102 Long 1 -239.80 16479.74 -239.80 -3242.88 040105 Long 1 -27.06 16692.48 -27.06 -3242.88 040106 Exit Long 1 225.00 16944.54 0.00 -3242.88 MFE = 225.00 MAE = -325.21 040116 Enter Short 1 128.53 17073.07 0.00 -3242.88 040119 Exit Short 1 225.00 17169.54 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 040220 Enter Short 1 -131.18 17038.36 -34.71 -3242.88 040223 Short 1 -269.27 16900.27 -172.80 -3242.88 040224 Short 1 -853.66 16315.88 -757.19 -3242.88 040225 Short 1 -139.05 17030.49 -42.58 -3242.88 040226 Exit Short 1 225.00 17394.54 0.00 -3242.88 MFE = 225.00 MAE = -853.66 225.00 040302 Enter Short 1 34.93 17429.47 0.00 -3242.88 040303 Exit Short 1 225.00 17619.54 0.00 -3242.88 MFE = 225.00 MAE = 0.00 040318 Exit Long 1 225.00 17844.54 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 040402 Enter Short 1 -40.86 17803.69 0.00 -3242.88 040405 Exit Short 1 225.00 18069.54 0.00 -3242.88 MFE = 225.00 MAE = -40.86 040420 Enter Short 1 83.83 18153.37 0.00 -3242.88 040421 Exit Short 1 225.00 18294.54 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 040517 Enter Long 1 -27.91 18266.63 0.00 -3242.88 040518 Long 1 -329.11 17965.44 -301.20 -3242.88 040519 Long 1 -89.21 18205.33 -61.30 -3242.88 040520 Long 1 -483.97 17810.57 -456.06 -3242.88 040521 Long 1 -203.74 18090.80 -175.83 -3242.88 040524 Long 1 -108.34 18186.20 -80.43 -3242.88 040525 Exit Long 1 225.00 18519.54 0.00 -3242.88 MFE = 225.00 MAE = -483.97 040527 Exit Long 1 225.00 18744.54 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 040629 Enter Short 1 16.25 18760.79 0.00 -3242.88 040630 Short 1 -619.25 18125.29 -635.50 -3242.88 0.00 040701 Short 1 -679.30 18065.25 -695.55 -3242.88 040702 Exit Short 1 -1406.25 17338.29 -1406.25 -3242.88 MFE = 16.25 MAE = -1406.25 040702 Enter Long 1 -27.71 17310.58 -1450.22 -3242.88 040705 Long 1 -208.19 17130.10 -1630.70 -3242.88 040706 Long 1 -191.84 17146.46 -1614.34 -3242.88 040707 Long 1 145.77 17484.06 -1276.74 -3242.88 040708 Exit Long 1 225.00 17563.29 -1197.50 -3242.88 MFE = 225.00 MAE = -208.19 040720 Enter Short 1 72.38 17635.67 -1125.12 -3242.88 040721 Exit Short 1 225.00 17788.29 -972.50 -3242.88 MFE = 225.00 MAE = 0.00 -956.25 040806 Exit Long 1 225.00 18013.29 -747.50 -3242.88 MFE = 225.00 MAE = 0.00 040823 Enter Short 1 140.40 18153.69 -607.10 -3242.88 040824 Exit Short 1 225.00 18238.29 -522.50 -3242.88 MFE = 225.00 MAE = 0.00 450.00 040921 Enter Long 1 66.07 18304.36 -456.43 -3242.88 040922 Long 1 -238.48 17999.81 -760.99 -3242.88 040923 Long 1 -226.68 18011.61 -749.18 -3242.88 040924 Long 1 -309.14 17929.15 -831.64 -3242.88 040927 Long 1 -265.98 17972.31 -788.49 -3242.88 040928 Long 1 -187.32 18050.97 -709.83 -3242.88 040929 Long 1 -191.26 18047.03 -713.76 -3242.88 040930 Exit Long 1 225.00 18463.29 -297.50 -3242.88 MFE = 225.00 MAE = -309.14 225.00 041004 Enter Short 1 35.85 18499.14 -261.65 -3242.88 041005 Short 1 -97.41 18365.88 -394.91 -3242.88 041006 Short 1 82.71 18546.00 -214.80 -3242.88 041007 Short 1 4.56 18467.85 -292.94 -3242.88 041008 Exit Short 1 -681.25 17782.04 -978.75 -3242.88 MFE = 82.71 MAE = -681.25 041008 Enter Long 1 -154.72 17627.32 -1133.48 -3242.88 041011 Long 1 -158.72 17623.32 -1137.47 -3242.88 041012 Long 1 -321.92 17460.12 -1300.68 -3242.88 041013 Long 1 -242.44 17539.60 -1221.20 -3242.88 041014 Long 1 106.26 17888.30 -872.49 -3242.88 041015 Exit Long 1 225.00 18007.04 -753.75 -3242.88 MFE = 225.00 MAE = -321.92 -456.25 041104 Enter Long 1 -10.11 17996.94 -763.86 -3242.88 041105 Exit Long 1 225.00 18232.04 -528.75 -3242.88 MFE = 225.00 MAE = -10.11 041117 Enter Long 1 169.45 18401.49 -359.30 -3242.88 041118 Long 1 -202.83 18029.21 -731.58 -3242.88 041119 Exit Long 1 225.00 18457.04 -303.75 -3242.88 MFE = 225.00 MAE = -202.83 041124 Enter Long 1 37.82 18494.86 -265.94 -3242.88 041125 Exit Long 1 225.00 18682.04 -78.75 -3242.88 MFE = 225.00 MAE = 0.00 675.00 041208 Enter Short 1 -418.10 18263.94 -496.85 -3242.88 041209 Short 1 -470.12 18211.92 -548.88 -3242.88 041210 Exit Short 1 225.00 18907.04 0.00 -3242.88 MFE = 225.00 MAE = -470.12 225.00 050103 Enter Short 1 -372.48 18534.56 -372.48 -3242.88 050104 Exit Short 1 225.00 19132.04 0.00 -3242.88 MFE = 225.00 MAE = -372.48 225.00 050222 Enter Long 1 110.11 19242.15 0.00 -3242.88 050223 Long 1 -70.81 19061.23 -180.91 -3242.88 050224 Long 1 -346.77 18785.27 -456.88 -3242.88 050225 Long 1 -56.94 19075.11 -167.04 -3242.88 050228 Long 1 -19.90 19112.14 -130.01 -3242.88 0.00 050301 Long 1 -209.15 18922.89 -319.25 -3242.88 050302 Long 1 -624.46 18507.58 -734.56 -3242.88 050303 Long 1 -894.78 18237.26 -1004.89 -3242.88 050304 Long 1 -378.79 18753.26 -488.89 -3242.88 050307 Long 1 -683.26 18448.78 -793.37 -3242.88 050308 Long 1 -6.00 19126.04 -116.11 -3242.88 050309 Exit Long 1 225.00 19357.04 0.00 -3242.88 MFE = 225.00 MAE = -894.78 050321 Enter Short 1 -39.32 19317.73 -39.32 -3242.88 050322 Exit Short 1 225.00 19582.04 0.00 -3242.88 MFE = 225.00 MAE = -39.32 450.00 050404 Enter Short 1 -110.42 19471.62 -110.42 -3242.88 050405 Short 1 -234.76 19347.28 -234.76 -3242.88 050406 Short 1 -243.36 19338.69 -243.36 -3242.88 050407 Short 1 -170.37 19411.67 -170.37 -3242.88 050408 Short 1 -567.83 19014.21 -567.83 -3242.88 050411 Short 1 -760.08 18821.96 -760.08 -3242.88 050412 Short 1 -533.02 19049.02 -533.02 -3242.88 050413 Short 1 -459.22 19122.82 -459.22 -3242.88 050414 Exit Short 1 225.00 19807.04 0.00 -3242.88 MFE = 225.00 MAE = -760.08 050418 Enter Long 1 -103.86 19703.19 -103.86 -3242.88 050419 Exit Long 1 225.00 20032.04 0.00 -3242.88 MFE = 225.00 MAE = -103.86 450.00 050506 Enter Short 1 -0.78 20031.26 -0.78 -3242.88 050509 Short 1 -22.26 20009.78 -22.26 -3242.88 050510 Short 1 -216.39 19815.65 -216.39 -3242.88 050511 Short 1 -26.56 20005.48 -26.56 -3242.88 050512 Exit Short 1 225.00 20257.04 0.00 -3242.88 MFE = 225.00 MAE = -216.39 050531 Enter Short 1 -13.61 20243.43 -13.61 -3242.88 225.00 050601 Exit Short 1 225.00 20482.04 0.00 -3242.88 MFE = 225.00 MAE = -13.61 050610 Enter Short 1 20.59 20502.63 0.00 -3242.88 050613 Exit Short 1 225.00 20707.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 050712 Enter Long 1 91.14 20798.18 0.00 -3242.88 050713 Long 1 -625.39 20081.65 -716.53 -3242.88 050714 Long 1 -610.36 20096.68 -701.50 -3242.88 050715 Long 1 -801.27 19905.77 -892.41 -3242.88 050718 Long 1 -786.35 19920.69 -877.49 -3242.88 050719 Long 1 -961.07 19745.98 -1052.21 -3242.88 050720 Long 1 -463.35 20243.69 -554.49 -3242.88 050721 Long 1 -436.86 20270.18 -528.01 -3242.88 050722 Long 1 -857.13 19849.91 -948.28 -3242.88 050725 Long 1 -771.42 19935.62 -862.56 -3242.88 050726 Long 1 -979.58 19727.46 -1070.72 -3242.88 050727 Long 1 -771.42 19935.62 -862.56 -3242.88 050728 Long 1 -455.79 20251.25 -546.93 -3242.88 050729 Long 1 -584.04 20123.00 -675.18 -3242.88 0.00 050801 Long 1 -189.59 20517.45 -280.73 -3242.88 050802 Long 1 -113.00 20594.05 -204.14 -3242.88 050803 Exit Long 1 225.00 20932.04 0.00 -3242.88 MFE = 225.00 MAE = -979.58 225.00 050901 Exit Long 1 225.00 21157.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 051006 Exit Long 1 225.00 21382.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 051104 Enter Short 1 98.69 21480.73 0.00 -3242.88 051107 Exit Short 1 225.00 21607.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 051128 Enter Long 1 -142.60 21464.45 -16.29 -3242.88 051129 Long 1 -441.84 21165.20 -315.53 -3242.88 051130 Long 1 -517.87 21089.17 -391.56 -3242.88 225.00 051201 Long 1 -611.67 20995.37 -485.36 -3242.88 051202 Long 1 -608.07 20998.97 -481.76 -3242.88 051205 Long 1 -226.91 21380.13 -100.60 -3242.88 051206 Long 1 -193.95 21413.09 -67.64 -3242.88 051207 Long 1 -459.96 21147.08 -333.65 -3242.88 051208 Long 1 15.83 21622.87 0.00 -3242.88 051209 Long 1 -69.04 21538.00 -84.87 -3242.88 051212 Exit Long 1 225.00 21832.04 0.00 -3242.88 MFE = 225.00 MAE = -611.67 225.00 060103 Exit Long 1 225.00 22057.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 060104 Exit Long 1 225.00 22282.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 060123 Exit Long 1 225.00 22507.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 675.00 060404 Enter Long 1 47.09 22554.13 0.00 -3242.88 060405 Exit Long 1 225.00 22732.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 060417 Enter Long 1 32.27 22764.32 0.00 -3242.88 060418 Exit Long 1 225.00 22957.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 060428 Exit Long 1 225.00 23182.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 675.00 060512 Enter Long 1 25.97 23208.01 0.00 -3242.88 060515 Exit Long 1 225.00 23407.04 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 060623 Enter Short 1 -54.78 23352.26 0.00 -3242.88 060626 Short 1 -316.51 23090.53 -261.74 -3242.88 060627 Short 1 -292.24 23114.80 -237.46 -3242.88 060628 Short 1 -195.37 23211.67 -140.59 -3242.88 060629 Short 1 -544.21 22862.83 -489.44 -3242.88 060630 Exit Short 1 -981.25 22425.79 -981.25 -3242.88 MFE = 0.00 MAE = -981.25 060630 Enter Long 1 170.52 22596.31 -755.95 -3242.88 -981.25 060703 Long 1 124.59 22550.38 -801.88 -3242.88 060704 Long 1 103.75 22529.54 -822.73 -3242.88 060705 Exit Long 1 225.00 22650.79 -701.47 -3242.88 MFE = 225.00 MAE = 0.00 060717 Enter Short 1 52.90 22703.69 -648.57 -3242.88 060718 Exit Short 1 225.00 22875.79 -476.47 -3242.88 MFE = 225.00 MAE = 0.00 450.00 060811 Enter Short 1 -49.61 22826.18 -526.08 -3242.88 060814 Short 1 -65.81 22809.98 -542.29 -3242.88 060815 Short 1 -273.30 22602.49 -749.77 -3242.88 060816 Short 1 -569.16 22306.64 -1045.63 -3242.88 060817 Short 1 -449.58 22426.21 -926.05 -3242.88 060818 Short 1 -441.35 22434.44 -917.82 -3242.88 060821 Short 1 -780.83 22094.96 -1257.30 -3242.88 060822 Short 1 -367.44 22508.36 -843.91 -3242.88 060823 Short 1 -346.94 22528.85 -823.41 -3242.88 060824 Short 1 -171.38 22704.41 -647.85 -3242.88 060825 Short 1 -163.24 22712.55 -639.71 -3242.88 060828 Short 1 -273.30 22602.49 -749.77 -3242.88 060829 Short 1 -589.83 22285.96 -1066.30 -3242.88 060830 Short 1 -660.25 22215.54 -1136.72 -3242.88 060831 Short 1 -527.86 22347.93 -1004.33 -3242.88 0.00 060901 Short 1 -531.98 22343.81 -1008.46 -3242.88 060904 Short 1 -627.08 22248.71 -1103.56 -3242.88 060905 Short 1 -412.58 22463.21 -889.05 -3242.88 060906 Short 1 -355.13 22520.66 -831.61 -3242.88 060907 Short 1 -37.47 22838.32 -513.94 -3242.88 060908 Exit Short 1 225.00 23100.79 -251.47 -3242.88 MFE = 225.00 MAE = -780.83 060922 Enter Long 1 -168.77 22932.03 -420.24 -3242.88 060925 Long 1 -258.55 22842.24 -510.02 -3242.88 060926 Long 1 -457.39 22643.40 -708.86 -3242.88 060927 Long 1 -473.55 22627.24 -725.02 -3242.88 060928 Long 1 -586.40 22514.39 -837.87 -3242.88 060929 Long 1 -734.74 22366.05 -986.21 -3242.88 225.00 061002 Long 1 -461.43 22639.36 -712.90 -3242.88 061003 Long 1 -534.07 22566.72 -785.54 -3242.88 061004 Long 1 -670.70 22430.09 -922.18 -3242.88 061005 Long 1 -786.66 22314.13 -1038.13 -3242.88 061006 Long 1 -1127.38 21973.41 -1378.86 -3242.88 061009 Long 1 -1174.56 21926.23 -1426.03 -3242.88 061010 Long 1 -1490.65 21610.14 -1742.12 -3242.88 061011 Long 1 -1598.98 21501.82 -1850.45 -3242.88 061012 Long 1 -1436.30 21664.49 -1687.78 -3242.88 061013 Long 1 -1614.41 21486.38 -1865.89 -3242.88 061016 Long 1 -1541.00 21559.79 -1792.47 -3242.88 061017 Long 1 -1444.07 21656.72 -1695.54 -3242.88 061018 Long 1 -1513.90 21586.89 -1765.37 -3242.88 061019 Long 1 -1032.77 22068.03 -1284.24 -3242.88 061020 Long 1 -1064.34 22036.45 -1315.82 -3242.88 061023 Long 1 -1358.46 21742.33 -1609.93 -3242.88 061024 Long 1 -1374.05 21726.74 -1625.52 -3242.88 061025 Long 1 -1264.72 21836.07 -1516.20 -3242.88 061026 Long 1 -878.24 22222.55 -1129.71 -3242.88 061027 Long 1 -674.71 22426.08 -926.18 -3242.88 061030 Long 1 -642.64 22458.15 -894.11 -3242.88 061031 Long 1 -461.43 22639.36 -712.90 -3242.88 0.00 061101 Long 1 -526.01 22574.78 -777.48 -3242.88 061102 Long 1 -513.91 22586.88 -765.39 -3242.88 061103 Long 1 -850.40 22250.39 -1101.87 -3242.88 061106 Long 1 -953.64 22147.15 -1205.12 -3242.88 061107 Long 1 -702.75 22398.05 -954.22 -3242.88 061108 Long 1 -734.74 22366.05 -986.21 -3242.88 061109 Long 1 -449.30 22651.49 -700.77 -3242.88 061110 Long 1 -335.84 22764.95 -587.31 -3242.88 061113 Long 1 -521.98 22578.81 -773.45 -3242.88 061114 Long 1 -425.03 22675.76 -676.50 -3242.88 061115 Long 1 -538.10 22562.69 -789.57 -3242.88 061116 Long 1 -634.61 22466.18 -886.08 -3242.88 061117 Long 1 -469.52 22631.27 -720.99 -3242.88 061120 Long 1 -485.67 22615.12 -737.14 -3242.88 061121 Long 1 -348.02 22752.77 -599.50 -3242.88 061122 Exit Long 1 225.00 23325.79 -26.47 -3242.88 MFE = 225.00 MAE = -1614.41 225.00 070103 Enter Short 1 -3.79 23322.00 -30.27 -3242.88 070104 Exit Short 1 225.00 23550.79 0.00 -3242.88 MFE = 225.00 MAE = -3.79 070123 Enter Long 1 -120.63 23430.16 -120.63 -3242.88 070124 Long 1 -370.22 23180.57 -370.22 -3242.88 070125 Long 1 -354.20 23196.60 -354.20 -3242.88 070126 Long 1 -541.88 23008.91 -541.88 -3242.88 070129 Long 1 -553.82 22996.98 -553.82 -3242.88 070130 Long 1 -502.07 23048.72 -502.07 -3242.88 070131 Long 1 -157.02 23393.77 -157.02 -3242.88 225.00 070201 Long 1 -136.80 23413.99 -136.80 -3242.88 070202 Long 1 -273.90 23276.89 -273.90 -3242.88 070205 Long 1 -358.20 23192.59 -358.20 -3242.88 070206 Long 1 5.11 23555.90 0.00 -3242.88 070207 Long 1 -67.98 23482.81 -73.09 -3242.88 070208 Long 1 -261.83 23288.96 -266.94 -3242.88 070209 Long 1 -346.18 23204.61 -351.29 -3242.88 070212 Long 1 -537.90 23012.89 -543.01 -3242.88 070213 Long 1 -302.03 23248.76 -307.14 -3242.88 070214 Long 1 -7.09 23543.70 -12.20 -3242.88 070215 Exit Long 1 225.00 23775.79 0.00 -3242.88 MFE = 225.00 MAE = -553.82 070227 Exit Long 1 225.00 24000.79 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 070409 Enter Short 1 -70.51 23930.28 -70.51 -3242.88 070410 Short 1 -447.21 23553.59 -447.21 -3242.88 070411 Short 1 -321.02 23679.77 -321.02 -3242.88 070412 Short 1 -485.18 23515.61 -485.18 -3242.88 070413 Exit Short 1 -912.50 23088.29 -912.50 -3242.88 MFE = 0.00 MAE = -912.50 070413 Enter Long 1 -309.26 22779.03 -1221.76 -3242.88 070416 Long 1 -278.30 22809.99 -1190.80 -3242.88 070417 Long 1 -72.97 23015.32 -985.47 -3242.88 070418 Long 1 96.09 23184.38 -816.41 -3242.88 070419 Exit Long 1 225.00 23313.29 -687.50 -3242.88 MFE = 225.00 MAE = -309.26 -687.50 070529 Enter Long 1 -178.75 23134.54 -866.25 -3242.88 070530 Long 1 -161.26 23152.03 -848.76 -3242.88 070531 Long 1 -169.17 23144.12 -856.67 -3242.88 0.00 070601 Long 1 -370.36 22942.93 -1057.86 -3242.88 070604 Long 1 -105.80 23207.49 -793.30 -3242.88 070605 Long 1 138.77 23452.06 -548.73 -3242.88 070606 Exit Long 1 225.00 23538.29 -462.50 -3242.88 MFE = 225.00 MAE = -370.36 070608 Enter Short 1 41.88 23580.17 -420.62 -3242.88 070611 Short 1 154.21 23692.50 -308.29 -3242.88 070612 Exit Short 1 225.00 23763.29 -237.50 -3242.88 MFE = 225.00 MAE = 0.00 070622 Enter Long 1 111.80 23875.09 -125.70 -3242.88 070625 Long 1 145.35 23908.64 -92.15 -3242.88 070626 Long 1 162.35 23925.64 -75.15 -3242.88 070627 Long 1 120.91 23884.20 -116.59 -3242.88 070628 Long 1 -28.13 23735.16 -265.63 -3242.88 070629 Exit Long 1 225.00 23988.29 -12.50 -3242.88 MFE = 225.00 MAE = -28.13 675.00 070702 Enter Long 1 39.79 24028.08 0.00 -3242.88 070703 Long 1 -195.82 23792.47 -235.61 -3242.88 070704 Long 1 -214.40 23773.89 -254.20 -3242.88 070705 Long 1 -239.30 23748.99 -279.10 -3242.88 070706 Long 1 -275.98 23712.31 -315.77 -3242.88 070709 Long 1 -214.82 23773.47 -254.61 -3242.88 070710 Exit Long 1 225.00 24213.29 0.00 -3242.88 MFE = 225.00 MAE = -275.98 070725 Enter Short 1 20.04 24233.33 0.00 -3242.88 070726 Short 1 -413.33 23799.96 -433.37 -3242.88 070727 Short 1 -195.95 24017.34 -215.99 -3242.88 070730 Short 1 -399.95 23813.34 -420.00 -3242.88 070731 Short 1 -491.96 23721.33 -512.00 -3242.88 225.00 070801 Short 1 -417.21 23796.08 -437.25 -3242.88 070802 Short 1 -394.78 23818.51 -414.83 -3242.88 070803 Exit Short 1 -931.25 23282.04 -931.25 -3242.88 MFE = 20.04 MAE = -931.25 070803 Enter Long 1 197.32 23479.36 -753.97 -3242.88 070806 Exit Long 1 265.51 23547.55 -685.79 -3242.88 MFE = 265.51 MAE = 0.00 -665.74 070907 Enter Long 1 70.01 23617.56 -615.78 -3242.88 070910 Long 1 80.65 23628.20 -605.14 -3242.88 070911 Long 1 25.29 23572.84 -660.49 -3242.88 070912 Exit Long 1 225.00 23772.55 -460.79 -3242.88 MFE = 225.00 MAE = 0.00 070920 Exit Long 1 225.00 23997.55 -235.79 -3242.88 MFE = 225.00 MAE = 0.00 450.00 071018 Enter Long 1 93.32 24090.87 -142.47 -3242.88 071019 Exit Long 1 225.00 24222.55 -10.79 -3242.88 MFE = 225.00 MAE = 0.00 225.00 071107 Exit Long 1 225.00 24447.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 071120 Enter Long 1 124.37 24571.92 0.00 -3242.88 071121 Exit Long 1 225.00 24672.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 071227 Exit Long 1 225.00 24897.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 071228 Enter Long 1 82.72 24980.26 0.00 -3242.88 225.00 080102 Exit Long 1 225.00 25122.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 225.00 080215 Enter Long 1 -136.21 24986.33 0.00 -3242.88 080218 Long 1 -573.17 24549.38 -436.95 -3242.88 080219 Long 1 -171.23 24951.32 -35.01 -3242.88 080220 Long 1 -468.43 24654.11 -332.22 -3242.88 080221 Long 1 41.09 25163.64 0.00 -3242.88 080222 Exit Long 1 225.00 25347.55 0.00 -3242.88 MFE = 225.00 MAE = -573.17 080227 Enter Long 1 -29.14 25318.41 0.00 -3242.88 080228 Exit Long 1 225.00 25572.55 0.00 -3242.88 MFE = 225.00 MAE = -29.14 450.00 080313 Enter Long 1 -155.94 25416.61 0.00 -3242.88 080314 Exit Long 1 225.00 25797.55 0.00 -3242.88 MFE = 225.00 MAE = -155.94 080317 Exit Long 1 225.00 26022.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 080418 Exit Short 1 225.00 26247.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 080424 Enter Short 1 3.09 26250.64 0.00 -3242.88 080425 Exit Short 1 225.00 26472.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 080521 Enter Long 1 83.07 26555.62 0.00 -3242.88 080522 Long 1 -236.23 26236.32 -319.30 -3242.88 080523 Exit Long 1 225.00 26697.55 0.00 -3242.88 MFE = 225.00 MAE = -236.23 225.00 080606 Exit Long 1 225.00 26922.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 080626 Enter Long 1 92.28 27014.83 0.00 -3242.88 080627 Exit Long 1 225.00 27147.55 0.00 -3242.88 MFE = 225.00 MAE = 0.00 450.00 080715 Enter Long 1 -257.26 26890.29 -124.54 -3242.88 080716 Long 1 -762.44 26385.11 -629.72 -3242.88 080717 Long 1 -858.87 26288.67 -726.16 -3242.88 080718 Long 1 -1062.81 26084.74 -930.09 -3242.88 080721 Long 1 -762.44 26385.11 -629.72 -3242.88 080722 Long 1 -1549.10 25598.45 -1416.38 -3242.88 080723 Long 1 -1946.54 25201.01 -1813.82 -3242.88 080724 Long 1 -1946.54 25201.01 -1813.82 -3242.88 080725 Long 1 -1888.42 25259.13 -1755.70 -3242.88 080728 Long 1 -1771.84 25375.71 -1639.12 -3242.88 ================================================================================================================================= N K1 K2 K3 K4 K5 K6 K7 K8 K9 K10 Model Fixed Trail Profit Net Ave Open Total Total Biggest Biggest Stop Stop Obj HF LF TDS %W Profit PVDraw R/R Profit %A Equity Profits Losses Win Loss ================================================================================================================================= 7 0.72 0.00 0.00 0.00 0.00 0.00 0.00 20 0.05 33 2 5000 50000 250 9999 0 319 89 23603.87 -3242.88 7.28 73.99 0.0 -3543.68 64135.05 -36987.50 420.00 -2556.25 start time = Tue Jul 29 09:32:09 2008 stop time = Tue Jul 29 09:32:09 2008 run time = 0 seconds