SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 EURO CURRENCY UNIT 5338 Trading days from 880104 to 080728 Tue Jul 29 09:32:10 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<1.00> (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 Exit Short 1 775.00 775.00 0.00 0.00 MFE = 775.00 MAE = 0.00 880115 Exit Short 1 775.00 1550.00 0.00 0.00 MFE = 775.00 MAE = 0.00 880125 Enter Short 1 -37.50 1512.50 0.00 0.00 880126 Short 1 -425.00 1125.00 -387.50 -387.50 880127 Short 1 -712.50 837.50 -675.00 -675.00 880128 Short 1 -687.50 862.50 -650.00 -675.00 880129 Short 1 -25.00 1525.00 0.00 -675.00 1550.00 880201 Short 1 418.75 1968.75 0.00 -675.00 880202 Short 1 0.00 1550.00 -418.74 -675.00 880203 Short 1 456.25 2006.25 0.00 -675.00 880204 Short 1 50.00 1600.00 -406.25 -675.00 880205 Exit Short 1 775.00 2325.00 0.00 -675.00 MFE = 775.00 MAE = -712.50 880212 Exit Short 1 775.00 3100.00 0.00 -675.00 MFE = 775.00 MAE = 0.00 880222 Enter Long 1 -125.00 2975.00 -125.00 -675.00 880223 Long 1 75.00 3175.00 0.00 -675.00 880224 Long 1 6.25 3106.25 -68.75 -675.00 880225 Long 1 137.50 3237.50 0.00 -675.00 880226 Long 1 356.25 3456.25 0.00 -675.00 880229 Long 1 287.50 3387.50 -68.75 -675.00 1550.00 880301 Long 1 393.75 3493.75 0.00 -675.00 880302 Exit Long 1 6.25 3106.25 0.00 -675.00 MFE = 393.75 MAE = -125.00 880302 Enter Short 1 93.75 3200.00 -293.75 -675.00 880303 Short 1 -31.25 3075.00 -418.75 -675.00 880304 Short 1 -275.00 2831.25 -662.49 -675.00 880307 Exit Short 1 -568.75 2537.50 -956.25 -956.25 MFE = 93.75 MAE = -568.75 880307 Enter Long 1 481.25 3018.75 -474.99 -956.25 880308 Exit Long 1 775.00 3312.50 -181.25 -956.25 MFE = 775.00 MAE = 0.00 880317 Enter Short 1 -50.00 3262.50 -231.25 -956.25 880318 Short 1 68.75 3381.25 -112.49 -956.25 880321 Short 1 -131.25 3181.25 -312.50 -956.25 880322 Short 1 -50.00 3262.50 -231.25 -956.25 880323 Short 1 -87.50 3225.00 -268.75 -956.25 880324 Exit Short 1 -450.00 2862.50 -631.25 -956.25 MFE = 68.75 MAE = -450.00 880324 Enter Long 1 243.75 3106.25 -387.50 -956.25 880325 Long 1 450.00 3312.50 -181.25 -956.25 880328 Exit Long 1 775.00 3637.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 537.50 880405 Enter Short 1 93.75 3731.25 0.00 -956.25 880406 Short 1 443.75 4081.25 0.00 -956.25 880407 Short 1 368.75 4006.25 -75.00 -956.25 880408 Short 1 318.75 3956.25 -125.00 -956.25 880411 Exit Short 1 775.00 4412.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 880414 Enter Long 1 556.25 4968.75 0.00 -956.25 880415 Long 1 618.75 5031.25 0.00 -956.25 880418 Exit Long 1 775.00 5187.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 880422 Enter Short 1 -18.75 5168.75 0.00 -956.25 880425 Short 1 62.50 5250.00 0.00 -956.25 880426 Short 1 106.25 5293.75 0.00 -956.25 880427 Short 1 18.75 5206.25 -87.50 -956.25 880428 Short 1 -131.25 5056.25 -237.50 -956.25 880429 Short 1 175.00 5362.50 0.00 -956.25 1550.00 880502 Short 1 181.25 5368.75 0.00 -956.25 880503 Short 1 287.50 5475.00 0.00 -956.25 880504 Short 1 268.75 5456.25 -18.75 -956.25 880505 Short 1 618.75 5806.25 0.00 -956.25 880506 Short 1 356.25 5543.75 -262.50 -956.25 880509 Short 1 275.00 5462.50 -343.75 -956.25 880510 Short 1 118.75 5306.25 -500.00 -956.25 880511 Short 1 293.75 5481.25 -325.00 -956.25 880512 Short 1 618.75 5806.25 0.00 -956.25 880513 Short 1 281.25 5468.75 -337.50 -956.25 880516 Short 1 525.00 5712.50 -93.75 -956.25 880517 Exit Short 1 775.00 5962.50 0.00 -956.25 MFE = 775.00 MAE = -131.25 880524 Exit Short 1 775.00 6737.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 1550.00 880608 Enter Short 1 18.75 6756.25 0.00 -956.25 880609 Short 1 -462.50 6275.00 -481.25 -956.25 880610 Short 1 -225.00 6512.50 -243.75 -956.25 880613 Short 1 -168.75 6568.75 -187.50 -956.25 880614 Exit Short 1 775.00 7512.50 0.00 -956.25 MFE = 775.00 MAE = -462.50 880620 Enter Short 1 43.75 7556.25 0.00 -956.25 880621 Short 1 -168.75 7343.75 -212.50 -956.25 880622 Exit Short 1 775.00 8287.50 0.00 -956.25 MFE = 775.00 MAE = -168.75 880623 Enter Short 1 -325.00 7962.50 -325.00 -956.25 880624 Exit Short 1 775.00 9062.50 0.00 -956.25 MFE = 775.00 MAE = -325.00 2325.00 880708 Enter Short 1 237.50 9300.00 0.00 -956.25 880711 Short 1 456.25 9518.75 0.00 -956.25 880712 Short 1 268.75 9331.25 -187.50 -956.25 880713 Short 1 575.00 9637.50 0.00 -956.25 880714 Exit Short 1 775.00 9837.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 880715 Enter Short 1 693.75 10531.25 0.00 -956.25 880718 Exit Short 1 775.00 10612.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 1550.00 880805 Enter Short 1 18.75 10631.25 0.00 -956.25 880808 Short 1 87.50 10700.00 0.00 -956.25 880809 Exit Short 1 775.00 11387.50 0.00 -956.25 MFE = 775.00 MAE = 0.00 880811 Enter Long 1 -125.00 11262.50 0.00 -956.25 880812 Long 1 131.25 11518.75 0.00 -956.25 880815 Long 1 75.00 11462.50 -56.25 -956.25 880816 Exit Long 1 775.00 12162.50 0.00 -956.25 MFE = 775.00 MAE = -125.00 880817 Enter Short 1 225.00 12387.50 0.00 -956.25 880818 Short 1 -168.75 11993.75 -393.75 -956.25 880819 Short 1 -193.75 11968.75 -418.75 -956.25 880822 Short 1 156.25 12318.75 -68.75 -956.25 880823 Short 1 425.00 12587.50 0.00 -956.25 880824 Short 1 -581.25 11581.25 -1006.25 -1006.25 880825 Short 1 -1162.50 11000.00 -1587.50 -1587.50 880826 Short 1 -1293.75 10868.75 -1718.74 -1718.74 880829 Short 1 -862.50 11300.00 -1287.50 -1718.74 880830 Short 1 -1050.00 11112.50 -1475.00 -1718.74 880831 Short 1 -706.25 11456.25 -1131.24 -1718.74 1550.00 880901 Short 1 -743.75 11418.75 -1168.75 -1718.74 880902 Exit Short 1 -1262.50 10900.00 -1262.50 -1718.74 MFE = 425.00 MAE = -1293.75 880902 Enter Long 1 218.75 11118.75 -1468.75 -1718.74 880905 Long 1 125.00 11025.00 -1562.50 -1718.74 880906 Long 1 618.75 11518.75 -1068.75 -1718.74 880907 Long 1 637.50 11537.50 -1050.00 -1718.74 880908 Long 1 475.00 11375.00 -1212.50 -1718.74 880909 Long 1 300.00 11200.00 -1387.50 -1718.74 880912 Long 1 487.50 11387.50 -1200.00 -1718.74 880913 Long 1 243.75 11143.75 -1443.75 -1718.74 880914 Exit Long 1 -81.25 10818.75 -1768.75 -1768.75 MFE = 637.50 MAE = -81.25 880914 Exit Short 1 775.00 11593.75 -993.75 -1768.75 MFE = 775.00 MAE = 0.00 880922 Enter Short 1 -87.50 11506.25 -1081.24 -1768.75 880923 Short 1 -137.50 11456.25 -1131.25 -1768.75 880926 Short 1 18.75 11612.50 -975.00 -1768.75 880927 Short 1 -87.50 11506.25 -1081.24 -1768.75 880928 Short 1 -175.00 11418.75 -1168.74 -1768.75 880929 Short 1 -6.25 11587.50 -1000.00 -1768.75 880930 Exit Short 1 -400.00 11193.75 -1393.75 -1768.75 MFE = 18.75 MAE = -400.00 880930 Enter Long 1 93.75 11287.50 -1300.00 -1768.75 -968.75 881003 Long 1 393.75 11587.50 -1000.00 -1768.75 881004 Long 1 250.00 11443.75 -1143.75 -1768.75 881005 Long 1 250.00 11443.75 -1143.75 -1768.75 881006 Long 1 187.50 11381.25 -1206.25 -1768.75 881007 Long 1 300.00 11493.75 -1093.75 -1768.75 881010 Long 1 600.00 11793.75 -793.74 -1768.75 881011 Exit Long 1 775.00 11968.75 -618.75 -1768.75 MFE = 775.00 MAE = 0.00 881012 Enter Long 1 68.75 12037.50 -550.00 -1768.75 881013 Exit Long 1 775.00 12743.75 0.00 -1768.75 MFE = 775.00 MAE = 0.00 881020 Enter Long 1 31.25 12775.00 0.00 -1768.75 881021 Long 1 787.50 13531.25 0.00 -1768.75 881024 Long 1 193.75 12937.50 -593.75 -1768.75 881025 Long 1 387.50 13131.25 -400.00 -1768.75 881026 Exit Long 1 775.00 13518.75 -12.50 -1768.75 MFE = 787.50 MAE = 0.00 2325.00 881102 Enter Long 1 -125.00 13393.75 -137.50 -1768.75 881103 Long 1 -306.25 13212.50 -318.75 -1768.75 881104 Long 1 -781.25 12737.50 -793.75 -1768.75 881107 Long 1 -281.25 13237.50 -293.75 -1768.75 881108 Long 1 -706.25 12812.50 -718.75 -1768.75 881109 Long 1 325.00 13843.75 0.00 -1768.75 881110 Long 1 681.25 14200.00 0.00 -1768.75 881111 Exit Long 1 775.00 14293.75 0.00 -1768.75 MFE = 775.00 MAE = -781.25 881116 Enter Long 1 643.75 14937.50 0.00 -1768.75 881117 Long 1 337.50 14631.25 -306.25 -1768.75 881118 Long 1 -281.25 14012.50 -925.00 -1768.75 881121 Long 1 143.75 14437.50 -499.99 -1768.75 881122 Long 1 537.50 14831.25 -106.25 -1768.75 881123 Long 1 593.75 14887.50 -49.99 -1768.75 881124 Long 1 668.75 14962.50 0.00 -1768.75 881125 Exit Long 1 775.00 15068.75 0.00 -1768.75 MFE = 775.00 MAE = -281.25 881128 Enter Short 1 125.00 15193.75 0.00 -1768.75 881129 Short 1 -68.75 15000.00 -193.75 -1768.75 881130 Short 1 -237.50 14831.25 -362.50 -1768.75 1550.00 881201 Short 1 -212.50 14856.25 -337.50 -1768.75 881202 Exit Short 1 -612.50 14456.25 -612.50 -1768.75 MFE = 125.00 MAE = -612.50 881202 Enter Long 1 37.50 14493.75 -700.00 -1768.75 881205 Long 1 -81.25 14375.00 -818.76 -1768.75 881206 Long 1 -593.75 13862.50 -1331.25 -1768.75 881207 Exit Long 1 -1281.25 13175.00 -1893.75 -1893.75 MFE = 37.50 MAE = -1281.25 881207 Enter Short 1 262.50 13437.50 -1756.25 -1893.75 881208 Short 1 -612.50 12562.50 -2631.25 -2631.25 881209 Short 1 -625.00 12550.00 -2643.76 -2643.76 881212 Short 1 -443.75 12731.25 -2462.51 -2643.76 881213 Short 1 -6.25 13168.75 -2025.00 -2643.76 881214 Short 1 -406.25 12768.75 -2425.00 -2643.76 881215 Short 1 212.50 13387.50 -1806.25 -2643.76 881216 Short 1 281.25 13456.25 -1737.50 -2643.76 881219 Short 1 537.50 13712.50 -1481.25 -2643.76 881220 Exit Short 1 775.00 13950.00 -1243.75 -2643.76 MFE = 775.00 MAE = -625.00 881228 Enter Short 1 375.00 14325.00 -868.75 -2643.76 881229 Short 1 218.75 14168.75 -1025.01 -2643.76 881230 Short 1 -450.00 13500.00 -1693.76 -2643.76 -1118.75 890102 Short 1 -425.00 13525.00 -1668.75 -2643.76 890103 Short 1 -631.25 13318.75 -1875.01 -2643.76 890104 Short 1 156.25 14106.25 -1087.50 -2643.76 890105 Short 1 668.75 14618.75 -575.01 -2643.76 890106 Exit Short 1 775.00 14725.00 -468.75 -2643.76 MFE = 775.00 MAE = -631.25 890113 Enter Short 1 118.75 14843.75 -350.00 -2643.76 890116 Short 1 625.00 15350.00 0.00 -2643.76 890117 Short 1 312.50 15037.50 -312.50 -2643.76 890118 Exit Short 1 775.00 15500.00 0.00 -2643.76 MFE = 775.00 MAE = 0.00 890127 Enter Short 1 68.75 15568.75 0.00 -2643.76 890130 Short 1 -93.75 15406.25 -162.50 -2643.76 890131 Short 1 475.00 15975.00 0.00 -2643.76 1550.00 890201 Short 1 481.25 15981.25 0.00 -2643.76 890202 Short 1 550.00 16050.00 0.00 -2643.76 890203 Exit Short 1 775.00 16275.00 0.00 -2643.76 MFE = 775.00 MAE = -93.75 890209 Enter Long 1 43.75 16318.75 0.00 -2643.76 890210 Long 1 -762.50 15512.50 -806.26 -2643.76 890213 Long 1 -450.00 15825.00 -493.75 -2643.76 890214 Long 1 293.75 16568.75 0.00 -2643.76 890215 Long 1 293.75 16568.75 0.00 -2643.76 890216 Long 1 406.25 16681.25 0.00 -2643.76 890217 Long 1 437.50 16712.50 0.00 -2643.76 890220 Long 1 181.25 16456.25 -256.26 -2643.76 890221 Exit Long 1 -200.00 16075.00 -637.50 -2643.76 MFE = 437.50 MAE = -762.50 890221 Enter Short 1 -362.50 15712.50 -1000.00 -2643.76 890222 Short 1 -612.50 15462.50 -1250.00 -2643.76 890223 Exit Short 1 -1200.00 14875.00 -1837.50 -2643.76 MFE = 0.00 MAE = -1200.00 890223 Enter Long 1 -237.50 14637.50 -2075.00 -2643.76 890224 Long 1 -62.50 14812.50 -1900.00 -2643.76 890227 Long 1 -312.50 14562.50 -2150.00 -2643.76 890228 Long 1 -262.50 14612.50 -2100.00 -2643.76 -625.00 890301 Exit Long 1 -1043.75 13831.25 -2881.25 -2881.25 MFE = 0.00 MAE = -1043.75 890301 Enter Short 1 -168.75 13662.50 -3050.00 -3050.00 890302 Short 1 200.00 14031.25 -2681.25 -3050.00 890303 Short 1 12.50 13843.75 -2868.75 -3050.00 890306 Short 1 306.25 14137.50 -2575.00 -3050.00 890307 Short 1 331.25 14162.50 -2550.00 -3050.00 890308 Short 1 706.25 14537.50 -2175.00 -3050.00 890309 Short 1 362.50 14193.75 -2518.75 -3050.00 890310 Short 1 593.75 14425.00 -2287.50 -3050.00 890313 Exit Short 1 775.00 14606.25 -2106.25 -3050.00 MFE = 775.00 MAE = -168.75 890315 Enter Short 1 -12.50 14593.75 -2118.76 -3050.00 890316 Short 1 -118.75 14487.50 -2225.00 -3050.00 890317 Short 1 162.50 14768.75 -1943.75 -3050.00 890320 Short 1 -118.75 14487.50 -2225.00 -3050.00 890321 Short 1 37.50 14643.75 -2068.75 -3050.00 890322 Short 1 -218.75 14387.50 -2325.00 -3050.00 890323 Short 1 12.50 14618.75 -2093.75 -3050.00 890324 Short 1 81.25 14687.50 -2025.00 -3050.00 890327 Short 1 393.75 15000.00 -1712.50 -3050.00 890328 Exit Short 1 775.00 15381.25 -1331.25 -3050.00 MFE = 775.00 MAE = -218.75 506.25 890403 Enter Long 1 143.75 15525.00 -1187.50 -3050.00 890404 Long 1 281.25 15662.50 -1050.00 -3050.00 890405 Long 1 243.75 15625.00 -1087.50 -3050.00 890406 Long 1 162.50 15543.75 -1168.75 -3050.00 890407 Long 1 -6.25 15375.00 -1337.50 -3050.00 890410 Long 1 -187.50 15193.75 -1518.76 -3050.00 890411 Long 1 -343.75 15037.50 -1675.00 -3050.00 890412 Long 1 -187.50 15193.75 -1518.76 -3050.00 890413 Long 1 131.25 15512.50 -1200.00 -3050.00 890414 Long 1 462.50 15843.75 -868.75 -3050.00 890417 Long 1 575.00 15956.25 -756.26 -3050.00 890418 Exit Long 1 775.00 16156.25 -556.25 -3050.00 MFE = 775.00 MAE = -343.75 890420 Enter Long 1 -68.75 16087.50 -625.00 -3050.00 890421 Long 1 -87.50 16068.75 -643.75 -3050.00 890424 Long 1 -481.25 15675.00 -1037.50 -3050.00 890425 Long 1 -700.00 15456.25 -1256.25 -3050.00 890426 Long 1 -1125.00 15031.25 -1681.25 -3050.00 890427 Long 1 -1056.25 15100.00 -1612.50 -3050.00 890428 Long 1 -1200.00 14956.25 -1756.26 -3050.00 775.00 890501 Long 1 -1525.00 14631.25 -2081.25 -3050.00 890502 Long 1 -1575.00 14581.25 -2131.25 -3050.00 890503 Long 1 -1575.00 14581.25 -2131.25 -3050.00 890504 Long 1 -1618.75 14537.50 -2175.00 -3050.00 890505 Long 1 -1718.75 14437.50 -2275.00 -3050.00 890508 Exit Long 1 -2068.75 14087.50 -2625.00 -3050.00 MFE = 0.00 MAE = -2068.75 890508 Enter Short 1 81.25 14168.75 -2543.75 -3050.00 890509 Short 1 106.25 14193.75 -2518.75 -3050.00 890510 Short 1 -193.75 13893.75 -2818.75 -3050.00 890511 Short 1 275.00 14362.50 -2350.00 -3050.00 890512 Short 1 475.00 14562.50 -2150.00 -3050.00 890515 Exit Short 1 775.00 14862.50 -1850.00 -3050.00 MFE = 775.00 MAE = -193.75 890517 Enter Short 1 50.00 14912.50 -1800.00 -3050.00 890518 Short 1 -25.00 14837.50 -1875.00 -3050.00 890519 Short 1 243.75 15106.25 -1606.25 -3050.00 890522 Exit Short 1 775.00 15637.50 -1075.00 -3050.00 MFE = 775.00 MAE = -25.00 890529 Enter Short 1 -25.00 15612.50 -1100.00 -3050.00 890530 Short 1 -500.00 15137.50 -1575.00 -3050.00 890531 Short 1 -725.00 14912.50 -1800.00 -3050.00 -518.75 890601 Short 1 -825.00 14812.50 -1900.00 -3050.00 890602 Short 1 -2006.25 13631.25 -3081.25 -3081.25 890605 Short 1 -668.75 14968.75 -1743.75 -3081.25 890606 Short 1 -968.75 14668.75 -2043.75 -3081.25 890607 Short 1 -962.50 14675.00 -2037.50 -3081.25 890608 Short 1 -1100.00 14537.50 -2175.00 -3081.25 890609 Short 1 225.00 15862.50 -850.00 -3081.25 890612 Exit Short 1 775.00 16412.50 -300.00 -3081.25 MFE = 775.00 MAE = -2006.25 890615 Enter Short 1 -962.50 15450.00 -1262.50 -3081.25 890616 Exit Short 1 -1625.00 14787.50 -1925.00 -3081.25 MFE = 0.00 MAE = -1625.00 890616 Enter Long 1 250.00 15037.50 -1675.00 -3081.25 890619 Long 1 462.50 15250.00 -1462.50 -3081.25 890620 Exit Long 1 775.00 15562.50 -1150.00 -3081.25 MFE = 775.00 MAE = 0.00 890629 Enter Long 1 -700.00 14862.50 -1850.00 -3081.25 890630 Long 1 -343.75 15218.75 -1493.75 -3081.25 -75.00 890703 Long 1 450.00 16012.50 -700.01 -3081.25 890704 Exit Long 1 775.00 16337.50 -375.00 -3081.25 MFE = 775.00 MAE = -700.00 890705 Enter Long 1 400.00 16737.50 0.00 -3081.25 890706 Long 1 368.75 16706.25 -31.25 -3081.25 890707 Exit Long 1 775.00 17112.50 0.00 -3081.25 MFE = 775.00 MAE = 0.00 890714 Enter Short 1 206.25 17318.75 0.00 -3081.25 890717 Short 1 -143.75 16968.75 -350.00 -3081.25 890718 Short 1 -406.25 16706.25 -612.50 -3081.25 890719 Short 1 206.25 17318.75 0.00 -3081.25 890720 Short 1 -143.75 16968.75 -350.00 -3081.25 890721 Short 1 37.50 17150.00 -168.75 -3081.25 890724 Short 1 -487.50 16625.00 -693.75 -3081.25 890725 Exit Short 1 -987.50 16125.00 -987.50 -3081.25 MFE = 206.25 MAE = -987.50 890725 Enter Long 1 37.50 16162.50 -1156.25 -3081.25 890726 Long 1 675.00 16800.00 -518.75 -3081.25 890727 Long 1 375.00 16500.00 -818.75 -3081.25 890728 Long 1 250.00 16375.00 -943.75 -3081.25 890731 Exit Long 1 775.00 16900.00 -418.75 -3081.25 MFE = 775.00 MAE = 0.00 1337.50 890803 Enter Short 1 -137.50 16762.50 -556.25 -3081.25 890804 Exit Short 1 775.00 17675.00 0.00 -3081.25 MFE = 775.00 MAE = -137.50 890811 Exit Short 1 775.00 18450.00 0.00 -3081.25 MFE = 775.00 MAE = 0.00 890817 Enter Short 1 243.75 18693.75 0.00 -3081.25 890818 Short 1 -68.75 18381.25 -312.50 -3081.25 890821 Short 1 -56.25 18393.75 -300.00 -3081.25 890822 Short 1 -712.50 17737.50 -956.24 -3081.25 890823 Short 1 -200.00 18250.00 -443.75 -3081.25 890824 Short 1 -87.50 18362.50 -331.25 -3081.25 890825 Short 1 31.25 18481.25 -212.50 -3081.25 890828 Short 1 125.00 18575.00 -118.75 -3081.25 890829 Exit Short 1 -556.25 17893.75 -556.25 -3081.25 MFE = 243.75 MAE = -712.50 890829 Enter Long 1 200.00 18093.75 -600.00 -3081.25 890830 Long 1 -318.75 17575.00 -1118.74 -3081.25 890831 Exit Long 1 -806.25 17087.50 -1362.50 -3081.25 MFE = 200.00 MAE = -806.25 890831 Enter Short 1 -93.75 16993.75 -1700.00 -3081.25 187.50 890901 Short 1 393.75 17481.25 -1212.50 -3081.25 890904 Short 1 437.50 17525.00 -1168.75 -3081.25 890905 Exit Short 1 775.00 17862.50 -831.25 -3081.25 MFE = 775.00 MAE = -93.75 890908 Enter Short 1 -43.75 17818.75 -875.00 -3081.25 890911 Short 1 -331.25 17531.25 -1162.49 -3081.25 890912 Short 1 -331.25 17531.25 -1162.49 -3081.25 890913 Short 1 -843.75 17018.75 -1675.00 -3081.25 890914 Short 1 -700.00 17162.50 -1531.25 -3081.25 890915 Short 1 -993.75 16868.75 -1825.00 -3081.25 890918 Short 1 -1518.75 16343.75 -2350.00 -3081.25 890919 Short 1 -1375.00 16487.50 -2206.25 -3081.25 890920 Short 1 -1756.25 16106.25 -2587.50 -3081.25 890921 Short 1 -1668.75 16193.75 -2500.00 -3081.25 890922 Short 1 -1400.00 16462.50 -2231.25 -3081.25 890925 Exit Short 1 -2887.50 14975.00 -3718.75 -3718.75 MFE = 0.00 MAE = -2887.50 890925 Enter Long 1 312.50 15287.50 -3406.25 -3718.75 890926 Long 1 462.50 15437.50 -3256.24 -3718.75 890927 Exit Long 1 775.00 15750.00 -2943.75 -3718.75 MFE = 775.00 MAE = 0.00 -1337.50 891005 Enter Long 1 -412.50 15337.50 -3356.24 -3718.75 891006 Long 1 -612.50 15137.50 -3556.25 -3718.75 891009 Long 1 -743.75 15006.25 -3687.50 -3718.75 891010 Long 1 -1500.00 14250.00 -4443.75 -4443.75 891011 Long 1 -1781.25 13968.75 -4725.00 -4725.00 891012 Long 1 -1462.50 14287.50 -4406.25 -4725.00 891013 Long 1 -62.50 15687.50 -3006.24 -4725.00 891016 Long 1 -225.00 15525.00 -3168.75 -4725.00 891017 Long 1 -131.25 15618.75 -3075.00 -4725.00 891018 Long 1 500.00 16250.00 -2443.75 -4725.00 891019 Exit Long 1 775.00 16525.00 -2168.75 -4725.00 MFE = 775.00 MAE = -1781.25 891024 Enter Long 1 -31.25 16493.75 -2200.00 -4725.00 891025 Long 1 18.75 16543.75 -2149.99 -4725.00 891026 Long 1 -406.25 16118.75 -2575.00 -4725.00 891027 Exit Long 1 -1006.25 15518.75 -3175.00 -4725.00 MFE = 18.75 MAE = -1006.25 891027 Enter Short 1 -1000.00 14518.75 -4175.00 -4725.00 891030 Short 1 -900.00 14618.75 -4075.00 -4725.00 891031 Short 1 -637.50 14881.25 -3812.50 -4725.00 -231.25 891101 Short 1 -406.25 15112.50 -3581.25 -4725.00 891102 Short 1 -568.75 14950.00 -3743.74 -4725.00 891103 Short 1 -381.25 15137.50 -3556.25 -4725.00 891106 Short 1 -368.75 15150.00 -3543.75 -4725.00 891107 Exit Short 1 -743.75 14775.00 -3918.75 -4725.00 MFE = 0.00 MAE = -1000.00 891107 Enter Long 1 0.00 14775.00 -3918.75 -4725.00 891108 Long 1 -68.75 14706.25 -3987.49 -4725.00 891109 Long 1 -325.00 14450.00 -4243.75 -4725.00 891110 Exit Long 1 -743.75 14031.25 -4662.50 -4725.00 MFE = 0.00 MAE = -743.75 891110 Enter Short 1 106.25 14137.51 -4556.24 -4725.00 891113 Short 1 -118.75 13912.50 -4781.24 -4781.24 891114 Exit Short 1 -787.50 13243.75 -5450.00 -5450.00 MFE = 106.25 MAE = -787.50 891114 Enter Long 1 168.75 13412.50 -5281.25 -5450.00 891115 Long 1 -81.25 13162.50 -5531.25 -5531.25 891116 Long 1 -231.25 13012.50 -5681.25 -5681.25 891117 Long 1 -250.00 12993.75 -5699.99 -5699.99 891120 Long 1 -100.00 13143.75 -5550.00 -5699.99 891121 Long 1 587.50 13831.25 -4862.50 -5699.99 891122 Exit Long 1 775.00 14018.75 -4675.00 -5699.99 MFE = 775.00 MAE = -250.00 891127 Enter Long 1 -112.50 13906.25 -4787.50 -5699.99 891128 Long 1 350.00 14368.75 -4324.99 -5699.99 891129 Long 1 -12.50 14006.25 -4687.49 -5699.99 891130 Long 1 237.50 14256.25 -4437.50 -5699.99 -1500.00 891201 Long 1 -31.25 13987.50 -4706.25 -5699.99 891204 Long 1 18.75 14037.50 -4656.25 -5699.99 891205 Long 1 381.25 14400.00 -4293.75 -5699.99 891206 Exit Long 1 775.00 14793.75 -3900.00 -5699.99 MFE = 775.00 MAE = -112.50 891211 Enter Long 1 25.00 14818.75 -3874.99 -5699.99 891212 Exit Long 1 775.00 15568.75 -3125.00 -5699.99 MFE = 775.00 MAE = 0.00 891213 Enter Long 1 -581.25 14987.50 -3706.25 -5699.99 891214 Long 1 -731.25 14837.50 -3856.25 -5699.99 891215 Long 1 -150.00 15418.75 -3275.00 -5699.99 891218 Long 1 -331.25 15237.50 -3456.25 -5699.99 891219 Long 1 -756.25 14812.50 -3881.25 -5699.99 891220 Long 1 -462.50 15106.25 -3587.50 -5699.99 891221 Long 1 -306.25 15262.50 -3431.25 -5699.99 891222 Long 1 375.00 15943.75 -2749.99 -5699.99 891225 Long 1 375.00 15943.75 -2749.99 -5699.99 891226 Long 1 718.75 16287.50 -2406.25 -5699.99 891227 Exit Long 1 775.00 16343.75 -2350.00 -5699.99 MFE = 775.00 MAE = -756.25 2325.00 900104 Exit Long 1 775.00 17118.75 -1575.00 -5699.99 MFE = 775.00 MAE = 0.00 900116 Enter Short 1 -800.00 16318.75 -2374.99 -5699.99 900117 Short 1 -987.50 16131.25 -2562.49 -5699.99 900118 Short 1 18.75 17137.50 -1556.25 -5699.99 900119 Short 1 -31.25 17087.51 -1606.24 -5699.99 900122 Short 1 462.50 17581.26 -1112.49 -5699.99 900123 Exit Short 1 -687.50 16431.25 -2262.50 -5699.99 MFE = 462.50 MAE = -987.50 900123 Enter Long 1 112.50 16543.75 -2150.00 -5699.99 900124 Exit Long 1 775.00 17206.25 -1487.50 -5699.99 MFE = 775.00 MAE = 0.00 900129 Enter Long 1 -100.00 17106.25 -1587.50 -5699.99 900130 Long 1 -37.50 17168.75 -1525.00 -5699.99 900131 Long 1 -481.25 16725.00 -1968.75 -5699.99 862.50 900201 Long 1 -18.75 17187.50 -1506.25 -5699.99 900202 Long 1 -212.50 16993.75 -1700.00 -5699.99 900205 Exit Long 1 775.00 17981.25 -712.50 -5699.99 MFE = 775.00 MAE = -481.25 900213 Enter Short 1 -406.25 17575.00 -1118.75 -5699.99 900214 Short 1 -343.75 17637.50 -1056.24 -5699.99 900215 Short 1 400.00 18381.25 -312.50 -5699.99 900216 Short 1 -500.00 17481.25 -1212.50 -5699.99 900219 Short 1 -418.75 17562.50 -1131.25 -5699.99 900220 Short 1 -856.25 17125.00 -1568.75 -5699.99 900221 Short 1 -718.75 17262.50 -1431.25 -5699.99 900222 Short 1 -837.50 17143.75 -1549.99 -5699.99 900223 Short 1 -500.00 17481.25 -1212.50 -5699.99 900226 Short 1 -118.75 17862.50 -831.24 -5699.99 900227 Short 1 37.50 18018.75 -675.00 -5699.99 900228 Short 1 625.00 18606.25 -87.50 -5699.99 775.00 900301 Exit Short 1 775.00 18756.25 0.00 -5699.99 MFE = 775.00 MAE = -856.25 900312 Enter Short 1 25.00 18781.25 0.00 -5699.99 900313 Short 1 -56.25 18700.00 -81.25 -5699.99 900314 Short 1 -131.25 18625.00 -156.25 -5699.99 900315 Short 1 -700.00 18056.25 -725.00 -5699.99 900316 Short 1 -637.50 18118.75 -662.50 -5699.99 900319 Short 1 -1075.00 17681.25 -1100.00 -5699.99 900320 Short 1 -268.75 18487.50 -293.75 -5699.99 900321 Short 1 -18.75 18737.50 -43.75 -5699.99 900322 Short 1 -437.50 18318.76 -462.49 -5699.99 900323 Short 1 -106.25 18650.00 -131.25 -5699.99 900326 Short 1 -406.25 18350.00 -431.25 -5699.99 900327 Short 1 -256.25 18500.00 -281.25 -5699.99 900328 Short 1 -381.25 18375.00 -406.25 -5699.99 900329 Exit Short 1 -1050.00 17706.25 -1050.00 -5699.99 MFE = 25.00 MAE = -1075.00 900329 Enter Long 1 68.75 17775.00 -1006.25 -5699.99 900330 Long 1 12.50 17718.75 -1062.50 -5699.99 -275.00 900402 Long 1 -275.00 17431.26 -1349.99 -5699.99 900403 Long 1 -75.00 17631.25 -1150.00 -5699.99 900404 Long 1 -156.25 17550.00 -1231.25 -5699.99 900405 Long 1 -162.50 17543.75 -1237.50 -5699.99 900406 Long 1 37.50 17743.76 -1037.49 -5699.99 900409 Long 1 143.75 17850.00 -931.25 -5699.99 900410 Exit Long 1 775.00 18481.25 -300.00 -5699.99 MFE = 775.00 MAE = -275.00 900418 Enter Long 1 -93.75 18387.50 -393.75 -5699.99 900419 Long 1 -356.25 18125.00 -656.25 -5699.99 900420 Exit Long 1 -812.50 17668.75 -1112.50 -5699.99 MFE = 0.00 MAE = -812.50 900420 Enter Short 1 -131.25 17537.51 -1243.74 -5699.99 900423 Short 1 318.75 17987.51 -793.74 -5699.99 900424 Short 1 262.50 17931.25 -850.00 -5699.99 900425 Exit Short 1 -506.25 17162.50 -1618.75 -5699.99 MFE = 318.75 MAE = -506.25 900425 Enter Long 1 93.75 17256.26 -1525.00 -5699.99 900426 Long 1 0.00 17162.50 -1618.75 -5699.99 900427 Long 1 62.50 17225.00 -1556.25 -5699.99 900430 Long 1 81.25 17243.75 -1537.50 -5699.99 -543.75 900501 Long 1 50.00 17212.51 -1568.74 -5699.99 900502 Long 1 -131.25 17031.25 -1750.00 -5699.99 900503 Long 1 -31.25 17131.25 -1650.00 -5699.99 900504 Exit Long 1 775.00 17937.50 -843.75 -5699.99 MFE = 775.00 MAE = -131.25 900509 Enter Long 1 -162.50 17775.00 -1006.25 -5699.99 900510 Long 1 31.25 17968.75 -812.50 -5699.99 900511 Long 1 -387.50 17550.00 -1231.25 -5699.99 900514 Long 1 -456.25 17481.25 -1300.00 -5699.99 900515 Long 1 -643.75 17293.75 -1487.50 -5699.99 900516 Long 1 -650.00 17287.50 -1493.75 -5699.99 900517 Long 1 -656.25 17281.25 -1500.00 -5699.99 900518 Long 1 -656.25 17281.25 -1500.00 -5699.99 900521 Long 1 -1200.00 16737.50 -2043.75 -5699.99 900522 Long 1 -1487.50 16450.00 -2331.25 -5699.99 900523 Long 1 -1675.00 16262.50 -2518.75 -5699.99 900524 Long 1 -2062.50 15875.01 -2906.25 -5699.99 900525 Long 1 -1937.50 16000.00 -2781.25 -5699.99 900528 Long 1 -1737.50 16200.00 -2581.25 -5699.99 900529 Long 1 -1562.50 16375.00 -2406.25 -5699.99 900530 Long 1 -2000.00 15937.50 -2843.75 -5699.99 900531 Exit Long 1 -2375.00 15562.50 -3218.75 -5699.99 MFE = 31.25 MAE = -2375.00 900531 Enter Short 1 168.75 15731.25 -3050.00 -5699.99 -1600.00 900601 Short 1 306.25 15868.75 -2912.50 -5699.99 900604 Short 1 -143.75 15418.75 -3362.50 -5699.99 900605 Short 1 -268.75 15293.75 -3487.50 -5699.99 900606 Short 1 -162.50 15400.00 -3381.25 -5699.99 900607 Short 1 50.00 15612.50 -3168.75 -5699.99 900608 Short 1 200.00 15762.51 -3018.75 -5699.99 900611 Short 1 37.50 15600.00 -3181.25 -5699.99 900612 Short 1 -306.25 15256.25 -3525.00 -5699.99 900613 Short 1 -143.75 15418.75 -3362.50 -5699.99 900614 Short 1 -650.00 14912.51 -3868.74 -5699.99 900615 Short 1 -237.50 15325.00 -3456.25 -5699.99 900618 Exit Short 1 -943.75 14618.75 -4162.50 -5699.99 MFE = 306.25 MAE = -943.75 900618 Enter Long 1 75.00 14693.75 -4087.50 -5699.99 900619 Long 1 337.50 14956.25 -3825.00 -5699.99 900620 Long 1 106.25 14725.00 -4056.25 -5699.99 900621 Long 1 93.75 14712.50 -4068.75 -5699.99 900622 Long 1 168.75 14787.50 -3993.75 -5699.99 900625 Long 1 56.25 14675.00 -4106.25 -5699.99 900626 Long 1 356.25 14975.00 -3806.25 -5699.99 900627 Exit Long 1 775.00 15393.75 -3387.50 -5699.99 MFE = 775.00 MAE = 0.00 -168.75 900702 Enter Long 1 143.75 15537.51 -3243.75 -5699.99 900703 Long 1 418.75 15812.50 -2968.75 -5699.99 900704 Exit Long 1 775.00 16168.75 -2612.50 -5699.99 MFE = 775.00 MAE = 0.00 900709 Enter Long 1 -25.00 16143.75 -2637.50 -5699.99 900710 Long 1 250.00 16418.76 -2362.49 -5699.99 900711 Long 1 -162.50 16006.25 -2775.00 -5699.99 900712 Long 1 -568.75 15600.00 -3181.25 -5699.99 900713 Long 1 225.00 16393.75 -2387.50 -5699.99 900716 Long 1 -200.00 15968.76 -2812.49 -5699.99 900717 Long 1 68.75 16237.51 -2543.75 -5699.99 900718 Long 1 287.50 16456.25 -2325.00 -5699.99 900719 Long 1 381.25 16550.00 -2231.25 -5699.99 900720 Long 1 362.50 16531.25 -2250.00 -5699.99 900723 Exit Long 1 775.00 16943.75 -1837.50 -5699.99 MFE = 775.00 MAE = -568.75 900727 Enter Long 1 100.00 17043.76 -1737.49 -5699.99 900730 Long 1 356.25 17300.00 -1481.25 -5699.99 900731 Exit Long 1 775.00 17718.75 -1062.50 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 900802 Enter Short 1 -1200.00 16518.75 -2262.50 -5699.99 900803 Short 1 -1118.75 16600.00 -2181.25 -5699.99 900806 Exit Short 1 -2256.25 15462.50 -3318.75 -5699.99 MFE = 0.00 MAE = -2256.25 900806 Enter Long 1 -118.75 15343.75 -3437.50 -5699.99 900807 Long 1 -325.00 15137.50 -3643.75 -5699.99 900808 Long 1 -818.75 14643.75 -4137.50 -5699.99 900809 Long 1 -800.00 14662.50 -4118.75 -5699.99 900810 Long 1 -787.50 14675.00 -4106.25 -5699.99 900813 Long 1 56.25 15518.75 -3262.50 -5699.99 900814 Long 1 450.00 15912.51 -2868.75 -5699.99 900815 Exit Long 1 775.00 16237.50 -2543.75 -5699.99 MFE = 775.00 MAE = -818.75 900817 Enter Long 1 -100.00 16137.50 -2643.75 -5699.99 900820 Long 1 -468.75 15768.75 -3012.50 -5699.99 900821 Long 1 -993.75 15243.75 -3537.50 -5699.99 900822 Long 1 -650.00 15587.50 -3193.75 -5699.99 900823 Long 1 -318.75 15918.75 -2862.50 -5699.99 900824 Long 1 12.50 16250.00 -2531.25 -5699.99 900827 Long 1 125.00 16362.50 -2418.75 -5699.99 900828 Long 1 -37.50 16200.00 -2581.25 -5699.99 900829 Long 1 -118.75 16118.75 -2662.50 -5699.99 900830 Exit Long 1 -831.25 15406.25 -3375.00 -5699.99 MFE = 125.00 MAE = -993.75 900830 Enter Short 1 -81.25 15325.00 -3456.25 -5699.99 900831 Short 1 606.25 16012.50 -2768.75 -5699.99 -2312.50 900903 Exit Short 1 775.00 16181.25 -2600.00 -5699.99 MFE = 775.00 MAE = -81.25 775.00 901001 Enter Long 1 -156.25 16025.00 -2756.25 -5699.99 901002 Long 1 -31.25 16150.00 -2631.25 -5699.99 901003 Long 1 500.00 16681.25 -2100.00 -5699.99 901004 Exit Long 1 775.00 16956.25 -1825.00 -5699.99 MFE = 775.00 MAE = -156.25 901008 Enter Long 1 -81.25 16875.00 -1906.25 -5699.99 901009 Long 1 556.25 17512.50 -1268.75 -5699.99 901010 Long 1 337.50 17293.75 -1487.50 -5699.99 901011 Long 1 687.50 17643.75 -1137.50 -5699.99 901012 Exit Long 1 775.00 17731.25 -1050.00 -5699.99 MFE = 775.00 MAE = -81.25 901017 Enter Long 1 -300.00 17431.25 -1350.00 -5699.99 901018 Long 1 -256.25 17475.00 -1306.25 -5699.99 901019 Exit Long 1 775.00 18506.25 -275.00 -5699.99 MFE = 775.00 MAE = -300.00 901029 Enter Long 1 -500.00 18006.25 -775.00 -5699.99 901030 Long 1 -575.00 17931.25 -850.00 -5699.99 901031 Long 1 -375.00 18131.25 -650.00 -5699.99 2325.00 901101 Long 1 0.00 18506.25 -275.00 -5699.99 901102 Long 1 156.25 18662.50 -118.75 -5699.99 901105 Exit Long 1 775.00 19281.25 0.00 -5699.99 MFE = 775.00 MAE = -575.00 901116 Enter Long 1 0.00 19281.25 0.00 -5699.99 901119 Long 1 -12.50 19268.75 -12.50 -5699.99 901120 Long 1 -137.50 19143.75 -137.50 -5699.99 901121 Long 1 -343.75 18937.50 -343.75 -5699.99 901122 Long 1 -175.00 19106.25 -175.00 -5699.99 901123 Exit Long 1 -643.75 18637.50 -643.75 -5699.99 MFE = 0.00 MAE = -643.75 901123 Enter Short 1 0.00 18637.51 -643.75 -5699.99 901126 Short 1 337.50 18975.00 -306.25 -5699.99 901127 Short 1 -356.25 18281.25 -1000.01 -5699.99 901128 Short 1 -100.00 18537.50 -743.75 -5699.99 901129 Short 1 56.25 18693.75 -587.50 -5699.99 901130 Exit Short 1 906.25 19543.75 0.00 -5699.99 MFE = 906.25 MAE = -356.25 1037.50 901214 Enter Short 1 -206.25 19337.50 -206.25 -5699.99 901217 Short 1 187.50 19731.25 0.00 -5699.99 901218 Short 1 131.25 19675.00 -56.25 -5699.99 901219 Short 1 -175.00 19368.75 -362.50 -5699.99 901220 Exit Short 1 775.00 20318.75 0.00 -5699.99 MFE = 775.00 MAE = -206.25 901221 Enter Short 1 712.50 21031.25 0.00 -5699.99 901224 Exit Short 1 775.00 21093.75 0.00 -5699.99 MFE = 775.00 MAE = 0.00 901228 Enter Long 1 487.50 21581.25 0.00 -5699.99 901231 Exit Long 1 775.00 21868.75 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 910107 Exit Short 1 775.00 22643.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910117 Exit Long 1 775.00 23418.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910129 Enter Long 1 -262.50 23156.26 0.00 -5699.99 910130 Exit Long 1 -887.50 22531.26 -887.50 -5699.99 MFE = 0.00 MAE = -887.50 910130 Enter Short 1 -381.25 22150.01 -1006.25 -5699.99 910131 Exit Short 1 -956.25 21575.01 -1843.75 -5699.99 MFE = 0.00 MAE = -956.25 910131 Enter Long 1 12.50 21587.50 -1568.75 -5699.99 -293.75 910201 Long 1 475.00 22050.01 -1106.25 -5699.99 910204 Exit Long 1 775.00 22350.01 -806.25 -5699.99 MFE = 775.00 MAE = 0.00 910206 Enter Long 1 -31.25 22318.75 -837.50 -5699.99 910207 Long 1 112.50 22462.51 -693.75 -5699.99 910208 Long 1 -493.75 21856.26 -1300.00 -5699.99 910211 Long 1 118.75 22468.76 -687.50 -5699.99 910212 Long 1 -262.50 22087.50 -1068.75 -5699.99 910213 Long 1 -450.00 21900.01 -1256.25 -5699.99 910214 Long 1 -1100.00 21250.01 -1906.25 -5699.99 910215 Long 1 -1575.00 20775.01 -2381.25 -5699.99 910218 Long 1 -1850.00 20500.01 -2656.25 -5699.99 910219 Long 1 -2162.50 20187.51 -2968.75 -5699.99 910220 Long 1 -2493.75 19856.26 -3300.00 -5699.99 910221 Long 1 -2137.50 20212.51 -2943.75 -5699.99 910222 Long 1 -2968.75 19381.26 -3775.00 -5699.99 910225 Exit Long 1 -3468.75 18881.26 -4275.00 -5699.99 MFE = 118.75 MAE = -3468.75 910225 Enter Short 1 518.75 19400.01 -3756.25 -5699.99 910226 Exit Short 1 775.00 19656.26 -3500.00 -5699.99 MFE = 775.00 MAE = 0.00 -1918.75 910301 Enter Short 1 137.50 19793.76 -3362.50 -5699.99 910304 Short 1 -6.25 19650.00 -3506.25 -5699.99 910305 Short 1 93.75 19750.01 -3406.25 -5699.99 910306 Exit Short 1 775.00 20431.26 -2725.00 -5699.99 MFE = 775.00 MAE = -6.25 910308 Enter Short 1 506.25 20937.51 -2218.75 -5699.99 910311 Exit Short 1 775.00 21206.26 -1950.00 -5699.99 MFE = 775.00 MAE = 0.00 910315 Exit Short 1 775.00 21981.26 -1175.00 -5699.99 MFE = 775.00 MAE = 0.00 910318 Exit Short 1 775.00 22756.26 -400.00 -5699.99 MFE = 775.00 MAE = 0.00 910319 Exit Short 1 775.00 23531.26 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910325 Exit Short 1 775.00 24306.26 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910326 Enter Short 1 193.75 24500.01 0.00 -5699.99 910327 Exit Short 1 775.00 25081.26 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910328 Enter Short 1 -125.00 24956.26 0.00 -5699.99 910329 Short 1 -587.50 24493.76 -462.50 -5699.99 5425.00 910401 Short 1 -587.50 24493.76 -462.50 -5699.99 910402 Exit Short 1 -2018.75 23062.51 -2018.75 -5699.99 MFE = 0.00 MAE = -2018.75 910402 Enter Long 1 -587.50 22475.00 -2481.25 -5699.99 910403 Long 1 -243.75 22818.76 -2137.50 -5699.99 910404 Exit Long 1 -768.75 22293.76 -2787.50 -5699.99 MFE = 0.00 MAE = -768.75 910404 Enter Short 1 -625.00 21668.76 -3287.50 -5699.99 910405 Short 1 -450.00 21843.76 -3112.50 -5699.99 910408 Short 1 62.50 22356.26 -2600.00 -5699.99 910409 Short 1 -750.00 21543.76 -3412.50 -5699.99 910410 Short 1 -312.50 21981.26 -2975.00 -5699.99 910411 Short 1 -887.50 21406.26 -3550.00 -5699.99 910412 Short 1 -312.50 21981.26 -2975.00 -5699.99 910415 Short 1 -750.00 21543.76 -3412.50 -5699.99 910416 Short 1 -937.50 21356.26 -3600.00 -5699.99 910417 Short 1 -843.75 21450.01 -3506.25 -5699.99 910418 Short 1 0.00 22293.76 -2662.50 -5699.99 910419 Exit Short 1 775.00 23068.76 -1887.50 -5699.99 MFE = 775.00 MAE = -937.50 910429 Enter Short 1 -750.00 22318.76 -2637.50 -5699.99 910430 Exit Short 1 -2043.75 21025.01 -3931.25 -5699.99 MFE = 0.00 MAE = -2043.75 910430 Enter Long 1 81.25 21106.26 -3850.00 -5699.99 -4056.25 910501 Exit Long 1 775.00 21800.01 -3156.25 -5699.99 MFE = 775.00 MAE = 0.00 910509 Enter Short 1 -1081.25 20718.76 -4237.50 -5699.99 910510 Short 1 -756.25 21043.75 -3912.50 -5699.99 910513 Short 1 -1143.75 20656.26 -4300.00 -5699.99 910514 Short 1 -1968.75 19831.25 -5125.00 -5699.99 910515 Short 1 -2381.25 19418.76 -5537.50 -5699.99 910516 Short 1 -1937.50 19862.51 -5093.75 -5699.99 910517 Short 1 -456.25 21343.76 -3612.50 -5699.99 910520 Exit Short 1 775.00 22575.01 -2381.25 -5699.99 MFE = 775.00 MAE = -2381.25 910531 Enter Short 1 -18.75 22556.26 -2400.00 -5699.99 1550.00 910603 Short 1 175.00 22750.01 -2206.25 -5699.99 910604 Short 1 43.75 22618.76 -2337.50 -5699.99 910605 Short 1 106.25 22681.26 -2275.00 -5699.99 910606 Short 1 350.00 22925.01 -2031.25 -5699.99 910607 Exit Short 1 775.00 23350.01 -1606.25 -5699.99 MFE = 775.00 MAE = -18.75 910612 Enter Short 1 43.75 23393.76 -1562.50 -5699.99 910613 Short 1 412.50 23762.51 -1193.75 -5699.99 910614 Short 1 468.75 23818.76 -1137.50 -5699.99 910617 Short 1 375.00 23725.01 -1231.25 -5699.99 910618 Exit Short 1 775.00 24125.01 -831.25 -5699.99 MFE = 775.00 MAE = 0.00 910628 Enter Short 1 -6.25 24118.76 -837.50 -5699.99 1550.00 910701 Short 1 687.50 24812.51 -143.75 -5699.99 910702 Exit Short 1 775.00 24900.01 -56.25 -5699.99 MFE = 775.00 MAE = -6.25 910708 Enter Long 1 93.75 24993.76 0.00 -5699.99 910709 Long 1 -281.25 24618.76 -375.00 -5699.99 910710 Long 1 -106.25 24793.76 -200.00 -5699.99 910711 Exit Long 1 -693.75 24206.26 -750.00 -5699.99 MFE = 93.75 MAE = -693.75 910711 Enter Short 1 206.25 24412.51 -581.25 -5699.99 910712 Exit Short 1 -1000.00 23206.26 -1750.00 -5699.99 MFE = 206.25 MAE = -1000.00 910712 Enter Long 1 537.50 23743.76 -1249.99 -5699.99 910715 Long 1 456.25 23662.51 -1331.24 -5699.99 910716 Long 1 81.25 23287.51 -1706.25 -5699.99 910717 Long 1 443.75 23650.01 -1343.75 -5699.99 910718 Exit Long 1 775.00 23981.26 -1012.50 -5699.99 MFE = 775.00 MAE = 0.00 910719 Enter Long 1 150.00 24131.26 -862.49 -5699.99 910722 Long 1 -537.50 23443.76 -1550.00 -5699.99 910723 Long 1 -306.25 23675.01 -1318.75 -5699.99 910724 Long 1 587.50 24568.76 -425.00 -5699.99 910725 Long 1 -381.25 23600.01 -1393.74 -5699.99 910726 Long 1 212.50 24193.76 -800.00 -5699.99 910729 Long 1 25.00 24006.26 -987.49 -5699.99 910730 Long 1 -287.50 23693.75 -1300.00 -5699.99 910731 Long 1 212.50 24193.76 -800.00 -5699.99 -143.75 910801 Long 1 -256.25 23725.01 -1268.75 -5699.99 910802 Long 1 318.75 24300.01 -693.75 -5699.99 910805 Exit Long 1 775.00 24756.26 -237.50 -5699.99 MFE = 775.00 MAE = -537.50 910815 Enter Short 1 -112.50 24643.76 -350.00 -5699.99 910816 Short 1 500.00 25256.26 0.00 -5699.99 910819 Exit Short 1 775.00 25531.26 0.00 -5699.99 MFE = 775.00 MAE = -112.50 1550.00 910906 Enter Long 1 625.00 26156.26 0.00 -5699.99 910909 Exit Long 1 775.00 26306.26 0.00 -5699.99 MFE = 775.00 MAE = 0.00 910916 Enter Long 1 -168.75 26137.51 -18.75 -5699.99 910917 Long 1 -31.25 26275.01 0.00 -5699.99 910918 Long 1 -562.50 25743.76 -531.25 -5699.99 910919 Long 1 -725.00 25581.26 -693.75 -5699.99 910920 Long 1 -593.75 25712.51 -562.50 -5699.99 910923 Long 1 -93.75 26212.51 -62.50 -5699.99 910924 Long 1 -750.00 25556.26 -718.75 -5699.99 910925 Long 1 -381.25 25925.01 -350.00 -5699.99 910926 Long 1 -687.50 25618.76 -656.25 -5699.99 910927 Long 1 62.50 26368.76 0.00 -5699.99 910930 Long 1 187.50 26493.76 0.00 -5699.99 775.00 911001 Long 1 156.25 26462.51 -31.25 -5699.99 911002 Long 1 218.75 26525.01 0.00 -5699.99 911003 Long 1 381.25 26687.51 0.00 -5699.99 911004 Exit Long 1 -156.25 26150.01 -156.25 -5699.99 MFE = 381.25 MAE = -750.00 911004 Enter Short 1 118.75 26268.76 -418.75 -5699.99 911007 Short 1 212.50 26362.51 -325.00 -5699.99 911008 Exit Short 1 775.00 26925.01 0.00 -5699.99 MFE = 775.00 MAE = 0.00 911015 Enter Short 1 -25.00 26900.01 -25.00 -5699.99 911016 Short 1 -325.00 26600.01 -325.00 -5699.99 911017 Short 1 -743.75 26181.26 -743.75 -5699.99 911018 Short 1 -1100.00 25825.01 -1100.00 -5699.99 911021 Short 1 -837.50 26087.51 -837.50 -5699.99 911022 Short 1 -618.75 26306.26 -618.75 -5699.99 911023 Short 1 -56.25 26868.76 -56.25 -5699.99 911024 Short 1 -575.00 26350.01 -575.00 -5699.99 911025 Short 1 -562.50 26362.51 -562.50 -5699.99 911028 Short 1 181.25 27106.26 0.00 -5699.99 911029 Exit Short 1 -1112.50 25812.51 -1112.50 -5699.99 MFE = 181.25 MAE = -1112.50 911029 Enter Long 1 131.25 25943.76 -1162.50 -5699.99 911030 Exit Long 1 775.00 26587.51 -518.75 -5699.99 MFE = 775.00 MAE = 0.00 281.25 911107 Enter Long 1 -750.00 25837.51 -1268.75 -5699.99 911108 Long 1 -1093.75 25493.76 -1612.50 -5699.99 911111 Long 1 -700.00 25887.51 -1218.75 -5699.99 911112 Long 1 -718.75 25868.76 -1237.50 -5699.99 911113 Long 1 -437.50 26150.01 -956.25 -5699.99 911114 Long 1 -250.00 26337.51 -768.75 -5699.99 911115 Long 1 175.00 26762.51 -343.75 -5699.99 911118 Exit Long 1 775.00 27362.51 0.00 -5699.99 MFE = 775.00 MAE = -1093.75 911122 Enter Long 1 -81.25 27281.26 -81.25 -5699.99 911125 Long 1 -268.75 27093.76 -268.75 -5699.99 911126 Exit Long 1 -1318.75 26043.76 -1318.75 -5699.99 MFE = 0.00 MAE = -1318.75 911126 Enter Short 1 100.00 26143.76 -1218.75 -5699.99 911127 Short 1 68.75 26112.51 -1250.00 -5699.99 911128 Short 1 250.00 26293.76 -1068.75 -5699.99 911129 Exit Short 1 775.00 26818.76 -543.75 -5699.99 MFE = 775.00 MAE = 0.00 231.25 911205 Enter Long 1 175.00 26993.76 -368.75 -5699.99 911206 Exit Long 1 775.00 27593.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 911220 Enter Long 1 562.50 28156.26 0.00 -5699.99 911223 Exit Long 1 775.00 28368.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 911226 Enter Long 1 43.75 28412.51 0.00 -5699.99 911227 Long 1 -706.25 27662.51 -750.00 -5699.99 911230 Long 1 -600.00 27768.76 -643.75 -5699.99 911231 Long 1 -537.50 27831.26 -581.25 -5699.99 1550.00 920101 Long 1 -537.50 27831.26 -581.25 -5699.99 920102 Exit Long 1 -1231.25 27137.51 -1231.25 -5699.99 MFE = 43.75 MAE = -1231.25 920102 Enter Short 1 -125.00 27012.51 -1399.99 -5699.99 920103 Exit Short 1 775.00 27912.51 -500.00 -5699.99 MFE = 775.00 MAE = -125.00 920106 Enter Long 1 356.25 28268.76 -143.75 -5699.99 920107 Exit Long 1 775.00 28687.51 0.00 -5699.99 MFE = 775.00 MAE = 0.00 920109 Exit Short 1 775.00 29462.51 0.00 -5699.99 MFE = 775.00 MAE = 0.00 920115 Enter Short 1 162.50 29625.01 0.00 -5699.99 920116 Short 1 -225.00 29237.50 -387.50 -5699.99 920117 Short 1 -1681.25 27781.26 -1843.75 -5699.99 920120 Short 1 -1731.25 27731.26 -1893.75 -5699.99 920121 Short 1 -1837.50 27625.01 -2000.00 -5699.99 920122 Short 1 -1687.50 27775.01 -1850.00 -5699.99 920123 Short 1 -806.25 28656.26 -968.75 -5699.99 920124 Short 1 -1368.75 28093.76 -1531.25 -5699.99 920127 Short 1 -681.25 28781.26 -843.75 -5699.99 920128 Short 1 -1212.50 28250.00 -1375.00 -5699.99 920129 Short 1 -1118.75 28343.76 -1281.25 -5699.99 920130 Short 1 -431.25 29031.26 -593.75 -5699.99 920131 Short 1 -712.50 28750.01 -875.00 -5699.99 1093.75 920203 Short 1 -1200.00 28262.51 -1362.50 -5699.99 920204 Short 1 -1512.50 27950.01 -1675.00 -5699.99 920205 Short 1 -2137.50 27325.01 -2300.00 -5699.99 920206 Short 1 -2356.25 27106.26 -2518.75 -5699.99 920207 Short 1 -3262.50 26200.01 -3425.00 -5699.99 920210 Short 1 -2337.50 27125.01 -2500.00 -5699.99 920211 Short 1 -1431.25 28031.26 -1593.75 -5699.99 920212 Short 1 -900.00 28562.51 -1062.50 -5699.99 920213 Short 1 -168.75 29293.76 -331.25 -5699.99 920214 Short 1 -25.00 29437.51 -187.50 -5699.99 920217 Short 1 -187.50 29275.01 -350.00 -5699.99 920218 Exit Short 1 775.00 30237.51 0.00 -5699.99 MFE = 775.00 MAE = -3262.50 775.00 920303 Enter Short 1 287.50 30525.01 0.00 -5699.99 920304 Exit Short 1 775.00 31012.51 0.00 -5699.99 MFE = 775.00 MAE = 0.00 920312 Enter Short 1 -387.50 30625.01 0.00 -5699.99 920313 Short 1 -343.75 30668.76 0.00 -5699.99 920316 Short 1 -693.75 30318.76 -350.00 -5699.99 920317 Exit Short 1 -1312.50 29700.01 -1312.50 -5699.99 MFE = 0.00 MAE = -1312.50 920317 Enter Long 1 137.50 29837.51 -831.25 -5699.99 920318 Long 1 -243.75 29456.25 -1212.50 -5699.99 920319 Exit Long 1 -1137.50 28562.51 -2450.00 -5699.99 MFE = 137.50 MAE = -1137.50 920319 Enter Short 1 -87.50 28475.01 -2193.75 -5699.99 920320 Short 1 -112.50 28450.01 -2218.75 -5699.99 920323 Short 1 -343.75 28218.76 -2450.00 -5699.99 920324 Short 1 -443.75 28118.76 -2550.00 -5699.99 920325 Short 1 -1018.75 27543.76 -3125.00 -5699.99 920326 Short 1 -612.50 27950.01 -2718.75 -5699.99 920327 Short 1 -1462.50 27100.01 -3568.75 -5699.99 920330 Short 1 -1237.50 27325.01 -3343.75 -5699.99 920331 Short 1 -1325.00 27237.51 -3431.25 -5699.99 -1675.00 920401 Short 1 -925.00 27637.51 -3031.25 -5699.99 920402 Short 1 -1318.75 27243.76 -3425.00 -5699.99 920403 Exit Short 1 -1806.25 26756.26 -4256.25 -5699.99 MFE = 0.00 MAE = -1806.25 920403 Enter Long 1 331.25 27087.51 -3581.25 -5699.99 920406 Long 1 393.75 27150.01 -3518.75 -5699.99 920407 Long 1 612.50 27368.75 -3300.00 -5699.99 920408 Long 1 318.75 27075.01 -3593.75 -5699.99 920409 Exit Long 1 775.00 27531.26 -3137.50 -5699.99 MFE = 775.00 MAE = 0.00 920413 Enter Short 1 -137.50 27393.76 -3275.00 -5699.99 920414 Short 1 -43.75 27487.51 -3181.25 -5699.99 920415 Short 1 343.75 27875.01 -2793.75 -5699.99 920416 Short 1 581.25 28112.51 -2556.25 -5699.99 920417 Short 1 612.50 28143.76 -2525.00 -5699.99 920420 Exit Short 1 775.00 28306.26 -2362.50 -5699.99 MFE = 775.00 MAE = -137.50 920424 Enter Long 1 -87.50 28218.76 -2450.00 -5699.99 920427 Long 1 -175.00 28131.26 -2537.50 -5699.99 920428 Long 1 -118.75 28187.51 -2481.25 -5699.99 920429 Long 1 -375.00 27931.26 -2737.50 -5699.99 920430 Long 1 100.00 28406.26 -2262.50 -5699.99 -256.25 920501 Long 1 443.75 28750.01 -1918.75 -5699.99 920504 Long 1 162.50 28468.76 -2200.00 -5699.99 920505 Long 1 625.00 28931.26 -1737.50 -5699.99 920506 Exit Long 1 775.00 29081.26 -1587.50 -5699.99 MFE = 775.00 MAE = -375.00 920512 Enter Long 1 156.25 29237.51 -1431.25 -5699.99 920513 Exit Long 1 775.00 29856.26 -812.50 -5699.99 MFE = 775.00 MAE = 0.00 920518 Enter Long 1 243.75 30100.01 -568.75 -5699.99 920519 Long 1 368.75 30225.01 -443.75 -5699.99 920520 Long 1 -12.50 29843.76 -825.00 -5699.99 920521 Long 1 -793.75 29062.51 -1606.25 -5699.99 920522 Long 1 -731.25 29125.01 -1543.75 -5699.99 920525 Long 1 -712.50 29143.76 -1525.00 -5699.99 920526 Long 1 -637.50 29218.76 -1450.00 -5699.99 920527 Exit Long 1 -1425.00 28431.26 -2237.50 -5699.99 MFE = 368.75 MAE = -1425.00 920527 Enter Short 1 300.00 28731.26 -1937.50 -5699.99 920528 Short 1 -231.25 28200.00 -2468.75 -5699.99 920529 Exit Short 1 -1087.50 27343.76 -3325.00 -5699.99 MFE = 300.00 MAE = -1087.50 920529 Enter Long 1 12.50 27356.26 -3312.50 -5699.99 -962.50 920601 Long 1 81.25 27425.01 -3243.75 -5699.99 920602 Long 1 -418.75 26925.01 -3743.75 -5699.99 920603 Long 1 12.50 27356.26 -3312.50 -5699.99 920604 Long 1 581.25 27925.01 -2743.75 -5699.99 920605 Exit Long 1 775.00 28118.76 -2550.00 -5699.99 MFE = 775.00 MAE = -418.75 920611 Enter Long 1 93.75 28212.51 -2456.25 -5699.99 920612 Long 1 93.75 28212.51 -2456.25 -5699.99 920615 Long 1 500.00 28618.76 -2050.00 -5699.99 920616 Exit Long 1 775.00 28893.76 -1775.00 -5699.99 MFE = 775.00 MAE = 0.00 920624 Enter Long 1 162.50 29056.26 -1612.50 -5699.99 920625 Exit Long 1 775.00 29668.76 -1000.00 -5699.99 MFE = 775.00 MAE = 0.00 920629 Enter Long 1 -275.00 29393.76 -1275.00 -5699.99 920630 Long 1 -381.25 29287.51 -1381.25 -5699.99 2325.00 920701 Long 1 -350.00 29318.76 -1350.00 -5699.99 920702 Long 1 431.25 30100.01 -568.75 -5699.99 920703 Long 1 -81.25 29587.51 -1081.25 -5699.99 920706 Long 1 181.25 29850.01 -818.75 -5699.99 920707 Exit Long 1 775.00 30443.76 -225.00 -5699.99 MFE = 775.00 MAE = -381.25 920713 Enter Long 1 356.25 30800.01 0.00 -5699.99 920714 Long 1 -331.25 30112.51 -687.49 -5699.99 920715 Long 1 -268.75 30175.01 -625.00 -5699.99 920716 Long 1 43.75 30487.51 -312.50 -5699.99 920717 Exit Long 1 775.00 31218.76 0.00 -5699.99 MFE = 775.00 MAE = -331.25 920720 Enter Long 1 -2506.25 28712.51 -2506.25 -5699.99 920721 Long 1 -2006.25 29212.51 -2006.25 -5699.99 920722 Long 1 -2100.00 29118.76 -2100.00 -5699.99 920723 Long 1 -1850.00 29368.76 -1850.00 -5699.99 920724 Long 1 -3068.75 28150.01 -3068.75 -5699.99 920727 Long 1 -1631.25 29587.51 -1631.25 -5699.99 920728 Long 1 -1287.50 29931.26 -1287.50 -5699.99 920729 Long 1 -1775.00 29443.76 -1775.00 -5699.99 920730 Long 1 -1443.75 29775.01 -1443.75 -5699.99 920731 Long 1 -1375.00 29843.76 -1375.00 -5699.99 1550.00 920803 Long 1 -1312.50 29906.26 -1312.50 -5699.99 920804 Long 1 -1531.25 29687.51 -1531.25 -5699.99 920805 Long 1 -1787.50 29431.26 -1787.50 -5699.99 920806 Long 1 -1531.25 29687.51 -1531.25 -5699.99 920807 Long 1 -937.50 30281.26 -937.50 -5699.99 920810 Long 1 -781.25 30437.51 -781.25 -5699.99 920811 Long 1 -943.75 30275.01 -943.75 -5699.99 920812 Long 1 -825.00 30393.76 -825.00 -5699.99 920813 Long 1 -450.00 30768.76 -450.00 -5699.99 920814 Long 1 -1006.25 30212.51 -1006.25 -5699.99 920817 Long 1 -943.75 30275.01 -943.75 -5699.99 920818 Long 1 -531.25 30687.51 -531.25 -5699.99 920819 Long 1 -443.75 30775.01 -443.75 -5699.99 920820 Long 1 -68.75 31150.01 -68.75 -5699.99 920821 Exit Long 1 775.00 31993.76 0.00 -5699.99 MFE = 775.00 MAE = -3068.75 920824 Exit Long 1 775.00 32768.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 920831 Enter Long 1 -143.75 32625.01 -143.75 -5699.99 1550.00 920901 Long 1 631.25 33400.01 0.00 -5699.99 920902 Exit Long 1 775.00 33543.76 0.00 -5699.99 MFE = 775.00 MAE = -143.75 920914 Enter Short 1 -906.25 32637.51 -762.50 -5699.99 920915 Short 1 31.25 33575.01 0.00 -5699.99 920916 Exit Short 1 775.00 34318.76 0.00 -5699.99 MFE = 775.00 MAE = -906.25 920922 Enter Short 1 493.75 34812.51 0.00 -5699.99 920923 Exit Short 1 775.00 35093.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 921001 Enter Short 1 -687.50 34406.26 -406.25 -5699.99 921002 Short 1 -687.50 34406.26 -406.25 -5699.99 921005 Short 1 200.00 35293.76 0.00 -5699.99 921006 Exit Short 1 775.00 35868.76 0.00 -5699.99 MFE = 775.00 MAE = -687.50 921008 Enter Short 1 -18.75 35850.01 0.00 -5699.99 921009 Short 1 75.00 35943.76 0.00 -5699.99 921012 Short 1 -487.50 35381.26 -562.50 -5699.99 921013 Short 1 -987.50 34881.26 -1062.50 -5699.99 921014 Short 1 -1412.50 34456.26 -1487.50 -5699.99 921015 Short 1 -1531.25 34337.51 -1606.25 -5699.99 921016 Short 1 43.75 35912.50 -31.26 -5699.99 921019 Exit Short 1 775.00 36643.76 0.00 -5699.99 MFE = 775.00 MAE = -1531.25 921023 Enter Short 1 81.25 36725.01 0.00 -5699.99 921026 Exit Short 1 775.00 37418.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 921102 Exit Short 1 775.00 38193.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 921103 Enter Short 1 -518.75 37675.01 0.00 -5699.99 921104 Short 1 -343.75 37850.01 0.00 -5699.99 921105 Short 1 331.25 38525.01 0.00 -5699.99 921106 Exit Short 1 775.00 38968.76 0.00 -5699.99 MFE = 775.00 MAE = -518.75 921116 Enter Short 1 18.75 38987.51 0.00 -5699.99 921117 Short 1 -43.75 38925.00 -62.50 -5699.99 921118 Short 1 -31.25 38937.51 -50.00 -5699.99 921119 Short 1 -675.00 38293.76 -693.75 -5699.99 921120 Short 1 325.00 39293.76 0.00 -5699.99 921123 Exit Short 1 1412.50 40381.25 0.00 -5699.99 MFE = 1412.50 MAE = -675.00 2962.50 921201 Enter Long 1 25.00 40406.26 0.00 -5699.99 921202 Long 1 112.50 40493.76 0.00 -5699.99 921203 Long 1 -231.25 40150.00 -343.75 -5699.99 921204 Long 1 -450.00 39931.25 -562.50 -5699.99 921207 Exit Long 1 775.00 41156.25 0.00 -5699.99 MFE = 775.00 MAE = -450.00 921217 Enter Long 1 -612.50 40543.75 -612.50 -5699.99 921218 Long 1 -1068.75 40087.51 -1068.75 -5699.99 921221 Long 1 -1293.75 39862.51 -1293.75 -5699.99 921222 Long 1 -2293.75 38862.51 -2293.75 -5699.99 921223 Long 1 -2531.25 38625.00 -2531.25 -5699.99 921224 Long 1 -2768.75 38387.50 -2768.75 -5699.99 921225 Long 1 -2768.75 38387.50 -2768.75 -5699.99 921228 Exit Long 1 -3406.25 37750.00 -3406.25 -5699.99 MFE = 0.00 MAE = -3406.25 921228 Enter Short 1 406.25 38156.26 -3000.00 -5699.99 921229 Short 1 156.25 37906.26 -3250.00 -5699.99 921230 Short 1 331.25 38081.26 -3075.00 -5699.99 921231 Short 1 450.00 38200.00 -2956.25 -5699.99 -2631.25 930104 Exit Short 1 775.00 38525.00 -2631.25 -5699.99 MFE = 775.00 MAE = 0.00 930108 Enter Short 1 -143.75 38381.25 -2775.00 -5699.99 930111 Short 1 -1031.25 37493.75 -3662.50 -5699.99 930112 Short 1 -981.25 37543.75 -3612.50 -5699.99 930113 Short 1 -1300.00 37225.00 -3931.25 -5699.99 930114 Short 1 -1193.75 37331.26 -3825.00 -5699.99 930115 Short 1 -768.75 37756.25 -3400.00 -5699.99 930118 Short 1 -1768.75 36756.26 -4400.00 -5699.99 930119 Short 1 -1862.50 36662.51 -4493.75 -5699.99 930120 Short 1 -2262.50 36262.51 -4893.75 -5699.99 930121 Short 1 -1675.00 36850.01 -4306.25 -5699.99 930122 Exit Short 1 -2593.75 35931.25 -5225.00 -5699.99 MFE = 0.00 MAE = -2593.75 930122 Enter Long 1 131.25 36062.51 -5093.75 -5699.99 930125 Exit Long 1 775.00 36706.25 -4450.00 -5699.99 MFE = 775.00 MAE = 0.00 930129 Enter Short 1 68.75 36775.00 -4381.25 -5699.99 -1043.75 930201 Exit Short 1 775.00 37481.25 -3675.00 -5699.99 MFE = 775.00 MAE = 0.00 930216 Enter Long 1 287.50 37768.76 -3387.50 -5699.99 930217 Long 1 381.25 37862.51 -3293.75 -5699.99 930218 Exit Long 1 -618.75 36862.50 -4293.75 -5699.99 MFE = 381.25 MAE = -618.75 930218 Enter Short 1 -725.00 36137.51 -5018.75 -5699.99 930219 Short 1 -506.25 36356.26 -4800.00 -5699.99 930222 Short 1 -850.00 36012.51 -5143.75 -5699.99 930223 Short 1 -775.00 36087.51 -5068.75 -5699.99 930224 Short 1 -556.25 36306.25 -4850.00 -5699.99 930225 Short 1 -206.25 36656.25 -4500.00 -5699.99 930226 Short 1 68.75 36931.25 -4225.00 -5699.99 156.25 930301 Short 1 350.00 37212.51 -3943.75 -5699.99 930302 Short 1 -325.00 36537.51 -4618.75 -5699.99 930303 Short 1 -50.00 36812.51 -4343.75 -5699.99 930304 Short 1 -393.75 36468.75 -4687.50 -5699.99 930305 Exit Short 1 775.00 37637.50 -3518.75 -5699.99 MFE = 775.00 MAE = -850.00 930318 Enter Long 1 337.50 37975.01 -3181.25 -5699.99 930319 Exit Long 1 775.00 38412.50 -2743.75 -5699.99 MFE = 775.00 MAE = 0.00 1550.00 930401 Enter Long 1 -25.00 38387.51 -2768.75 -5699.99 930402 Long 1 -193.75 38218.76 -2937.50 -5699.99 930405 Long 1 -93.75 38318.75 -2837.50 -5699.99 930406 Long 1 -700.00 37712.50 -3443.75 -5699.99 930407 Long 1 -1031.25 37381.25 -3775.00 -5699.99 930408 Long 1 -368.75 38043.76 -3112.50 -5699.99 930409 Long 1 -293.75 38118.76 -3037.50 -5699.99 930412 Long 1 262.50 38675.01 -2481.25 -5699.99 930413 Exit Long 1 775.00 39187.50 -1968.75 -5699.99 MFE = 775.00 MAE = -1031.25 930420 Enter Long 1 -525.00 38662.50 -2493.75 -5699.99 930421 Long 1 -587.50 38600.01 -2556.25 -5699.99 930422 Long 1 -87.50 39100.01 -2056.25 -5699.99 930423 Long 1 262.50 39450.01 -1706.25 -5699.99 930426 Exit Long 1 775.00 39962.50 -1193.75 -5699.99 MFE = 775.00 MAE = -587.50 1550.00 930507 Enter Long 1 -818.75 39143.75 -2012.50 -5699.99 930510 Exit Long 1 -1337.50 38625.00 -2531.25 -5699.99 MFE = 0.00 MAE = -1337.50 930510 Enter Short 1 700.00 39325.00 -1831.25 -5699.99 930511 Exit Short 1 775.00 39400.00 -1756.25 -5699.99 MFE = 775.00 MAE = 0.00 930518 Enter Short 1 -281.25 39118.76 -2037.50 -5699.99 930519 Short 1 -287.50 39112.51 -2043.75 -5699.99 930520 Short 1 -587.50 38812.51 -2343.75 -5699.99 930521 Short 1 -275.00 39125.01 -2031.25 -5699.99 930524 Short 1 218.75 39618.76 -1537.50 -5699.99 930525 Short 1 -50.00 39350.01 -1806.25 -5699.99 930526 Short 1 -93.75 39306.26 -1850.00 -5699.99 930527 Exit Short 1 -881.25 38518.75 -2637.50 -5699.99 MFE = 218.75 MAE = -881.25 930527 Enter Long 1 187.50 38706.25 -2450.00 -5699.99 930528 Exit Long 1 775.00 39293.75 -1862.50 -5699.99 MFE = 775.00 MAE = 0.00 -668.75 930604 Enter Short 1 600.00 39893.76 -1262.50 -5699.99 930607 Short 1 218.75 39512.50 -1643.75 -5699.99 930608 Short 1 425.00 39718.75 -1437.50 -5699.99 930609 Exit Short 1 775.00 40068.75 -1087.50 -5699.99 MFE = 775.00 MAE = 0.00 930615 Enter Short 1 156.25 40225.01 -931.25 -5699.99 930616 Exit Short 1 775.00 40843.75 -312.50 -5699.99 MFE = 775.00 MAE = 0.00 930624 Enter Short 1 -68.75 40775.01 -381.25 -5699.99 930625 Short 1 -12.50 40831.26 -325.00 -5699.99 930628 Short 1 -531.25 40312.50 -843.75 -5699.99 930629 Short 1 -881.25 39962.51 -1193.75 -5699.99 930630 Short 1 -37.50 40806.25 -350.00 -5699.99 1550.00 930701 Short 1 -662.50 40181.25 -975.00 -5699.99 930702 Short 1 -468.75 40375.01 -781.25 -5699.99 930705 Short 1 -475.00 40368.76 -787.50 -5699.99 930706 Short 1 -131.25 40712.50 -443.75 -5699.99 930707 Short 1 -62.50 40781.26 -375.00 -5699.99 930708 Short 1 -75.00 40768.76 -387.50 -5699.99 930709 Exit Short 1 775.00 41618.75 0.00 -5699.99 MFE = 775.00 MAE = -881.25 930712 Enter Short 1 -112.50 41506.26 -112.50 -5699.99 930713 Short 1 -656.25 40962.51 -656.25 -5699.99 930714 Short 1 -668.75 40950.00 -668.75 -5699.99 930715 Short 1 -318.75 41300.00 -318.75 -5699.99 930716 Short 1 -400.00 41218.75 -400.00 -5699.99 930719 Short 1 -900.00 40718.75 -900.00 -5699.99 930720 Short 1 -1275.00 40343.76 -1275.00 -5699.99 930721 Short 1 -1293.75 40325.01 -1293.75 -5699.99 930722 Short 1 -912.50 40706.25 -912.50 -5699.99 930723 Short 1 -162.50 41456.26 -162.50 -5699.99 930726 Short 1 -56.25 41562.50 -56.25 -5699.99 930727 Short 1 62.50 41681.26 0.00 -5699.99 930728 Short 1 -287.50 41331.26 -350.00 -5699.99 930729 Exit Short 1 775.00 42393.75 0.00 -5699.99 MFE = 775.00 MAE = -1293.75 930730 Exit Short 1 775.00 43168.75 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 930810 Enter Short 1 175.00 43343.75 0.00 -5699.99 930811 Short 1 62.50 43231.26 -112.50 -5699.99 930812 Short 1 0.00 43168.75 -175.00 -5699.99 930813 Short 1 81.25 43250.00 -93.75 -5699.99 930816 Exit Short 1 -543.75 42625.00 -543.75 -5699.99 MFE = 175.00 MAE = -543.75 930816 Enter Long 1 425.00 43050.01 -293.75 -5699.99 930817 Long 1 368.75 42993.75 -350.00 -5699.99 930818 Exit Long 1 775.00 43400.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 231.25 930901 Enter Long 1 0.00 43400.00 0.00 -5699.99 930902 Long 1 387.50 43787.51 0.00 -5699.99 930903 Exit Long 1 775.00 44175.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 930909 Enter Long 1 162.50 44337.51 0.00 -5699.99 930910 Long 1 475.00 44650.01 0.00 -5699.99 930913 Exit Long 1 775.00 44950.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 930915 Enter Long 1 31.25 44981.26 0.00 -5699.99 930916 Long 1 -350.00 44600.00 -381.25 -5699.99 930917 Long 1 -793.75 44156.25 -825.00 -5699.99 930920 Long 1 -512.50 44437.51 -543.75 -5699.99 930921 Long 1 -868.75 44081.26 -900.00 -5699.99 930922 Exit Long 1 -1718.75 43231.25 -1718.75 -5699.99 MFE = 31.25 MAE = -1718.75 930922 Enter Short 1 -218.75 43012.51 -1968.75 -5699.99 930923 Short 1 187.50 43418.76 -1562.50 -5699.99 930924 Short 1 37.50 43268.75 -1712.50 -5699.99 930927 Short 1 -331.25 42900.00 -2081.25 -5699.99 930928 Short 1 -862.50 42368.75 -2612.50 -5699.99 930929 Short 1 -875.00 42356.25 -2625.01 -5699.99 930930 Short 1 125.00 43356.25 -1625.00 -5699.99 -168.75 931001 Short 1 31.25 43262.50 -1718.75 -5699.99 931004 Exit Short 1 775.00 44006.25 -975.00 -5699.99 MFE = 775.00 MAE = -875.00 931008 Enter Long 1 -6.25 44000.00 -981.25 -5699.99 931011 Long 1 12.50 44018.76 -962.50 -5699.99 931012 Long 1 556.25 44562.51 -418.75 -5699.99 931013 Long 1 243.75 44250.01 -731.25 -5699.99 931014 Exit Long 1 -256.25 43750.00 -1231.25 -5699.99 MFE = 556.25 MAE = -256.25 931014 Enter Short 1 181.25 43931.26 -1050.00 -5699.99 931015 Short 1 275.00 44025.01 -956.25 -5699.99 931018 Exit Short 1 775.00 44525.00 -456.25 -5699.99 MFE = 775.00 MAE = 0.00 931021 Enter Short 1 81.25 44606.25 -375.01 -5699.99 931022 Short 1 300.00 44825.00 -156.26 -5699.99 931025 Short 1 531.25 45056.25 0.00 -5699.99 931026 Short 1 268.75 44793.75 -262.50 -5699.99 931027 Short 1 387.50 44912.51 -143.74 -5699.99 931028 Exit Short 1 775.00 45300.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2068.75 931101 Enter Short 1 -81.25 45218.76 -81.25 -5699.99 931102 Short 1 -81.25 45218.76 -81.25 -5699.99 931103 Short 1 -331.25 44968.75 -331.25 -5699.99 931104 Short 1 -281.25 45018.75 -281.25 -5699.99 931105 Short 1 -350.00 44950.01 -350.00 -5699.99 931108 Short 1 -550.00 44750.00 -550.00 -5699.99 931109 Short 1 -175.00 45125.00 -175.00 -5699.99 931110 Short 1 -393.75 44906.26 -393.75 -5699.99 931111 Short 1 -156.25 45143.76 -156.25 -5699.99 931112 Short 1 -600.00 44700.00 -600.00 -5699.99 931115 Short 1 -325.00 44975.00 -325.00 -5699.99 931116 Short 1 50.00 45350.01 0.00 -5699.99 931117 Short 1 -37.50 45262.51 -87.50 -5699.99 931118 Short 1 300.00 45600.00 0.00 -5699.99 931119 Short 1 475.00 45775.00 0.00 -5699.99 931122 Short 1 106.25 45406.26 -368.74 -5699.99 931123 Short 1 75.00 45375.00 -400.00 -5699.99 931124 Short 1 18.75 45318.76 -456.24 -5699.99 931125 Short 1 200.00 45500.01 -274.99 -5699.99 931126 Short 1 356.25 45656.25 -118.75 -5699.99 931129 Short 1 125.00 45425.00 -350.00 -5699.99 931130 Short 1 450.00 45750.00 -25.00 -5699.99 0.00 931201 Short 1 750.00 46050.00 0.00 -5699.99 931202 Exit Short 1 775.00 46075.00 0.00 -5699.99 MFE = 775.00 MAE = -600.00 931206 Enter Long 1 512.50 46587.50 0.00 -5699.99 931207 Long 1 356.25 46431.26 -156.25 -5699.99 931208 Long 1 356.25 46431.26 -156.25 -5699.99 931209 Long 1 343.75 46418.76 -168.75 -5699.99 931210 Long 1 668.75 46743.76 0.00 -5699.99 931213 Exit Long 1 775.00 46850.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 931229 Enter Short 1 587.50 47437.51 0.00 -5699.99 931230 Exit Short 1 775.00 47625.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2325.00 940107 Enter Long 1 6.25 47631.26 0.00 -5699.99 940110 Long 1 -381.25 47243.76 -387.50 -5699.99 940111 Long 1 -581.25 47043.75 -587.50 -5699.99 940112 Long 1 -250.00 47375.01 -256.25 -5699.99 940113 Exit Long 1 -862.50 46762.50 -862.50 -5699.99 MFE = 6.25 MAE = -862.50 940113 Enter Short 1 -43.75 46718.75 -912.50 -5699.99 940114 Short 1 -12.50 46750.01 -881.25 -5699.99 940117 Short 1 106.25 46868.75 -762.50 -5699.99 940118 Short 1 -218.75 46543.75 -1087.50 -5699.99 940119 Short 1 -168.75 46593.75 -1037.50 -5699.99 940120 Exit Short 1 -681.25 46081.25 -1543.75 -5699.99 MFE = 106.25 MAE = -681.25 940120 Enter Long 1 -206.25 45875.01 -1756.25 -5699.99 940121 Long 1 -643.75 45437.50 -2193.75 -5699.99 940124 Long 1 -575.00 45506.26 -2125.00 -5699.99 940125 Long 1 -450.00 45631.25 -2000.00 -5699.99 940126 Long 1 -375.00 45706.25 -1925.00 -5699.99 940127 Long 1 250.00 46331.25 -1300.00 -5699.99 940128 Long 1 -243.75 45837.50 -1793.75 -5699.99 940131 Long 1 125.00 46206.25 -1425.00 -5699.99 -1543.75 940201 Long 1 231.25 46312.51 -1318.75 -5699.99 940202 Long 1 100.00 46181.26 -1450.00 -5699.99 940203 Long 1 -175.00 45906.26 -1725.00 -5699.99 940204 Exit Long 1 -725.00 45356.25 -2268.75 -5699.99 MFE = 250.00 MAE = -725.00 940204 Enter Short 1 68.75 45425.01 -2206.25 -5699.99 940207 Short 1 75.00 45431.26 -2200.00 -5699.99 940208 Short 1 293.75 45650.01 -1981.25 -5699.99 940209 Short 1 112.50 45468.76 -2162.50 -5699.99 940210 Short 1 31.25 45387.51 -2243.75 -5699.99 940211 Short 1 112.50 45468.76 -2162.50 -5699.99 940214 Exit Short 1 -325.00 45031.25 -2593.75 -5699.99 MFE = 293.75 MAE = -325.00 940214 Exit Long 1 775.00 45806.25 -1825.00 -5699.99 MFE = 775.00 MAE = 0.00 940225 Enter Long 1 -162.50 45643.76 -1987.50 -5699.99 940228 Long 1 -56.25 45750.00 -1881.25 -5699.99 -275.00 940301 Long 1 -256.25 45550.01 -2081.25 -5699.99 940302 Long 1 -31.25 45775.01 -1856.25 -5699.99 940303 Long 1 -256.25 45550.01 -2081.25 -5699.99 940304 Long 1 -525.00 45281.26 -2350.00 -5699.99 940307 Long 1 -462.50 45343.75 -2287.50 -5699.99 940308 Long 1 -350.00 45456.26 -2175.00 -5699.99 940309 Long 1 -25.00 45781.26 -1850.00 -5699.99 940310 Exit Long 1 775.00 46581.25 -1050.00 -5699.99 MFE = 775.00 MAE = -525.00 940317 Enter Long 1 -381.25 46200.00 -1431.25 -5699.99 940318 Long 1 -675.00 45906.26 -1725.00 -5699.99 940321 Long 1 -525.00 46056.25 -1575.00 -5699.99 940322 Long 1 -475.00 46106.25 -1525.00 -5699.99 940323 Long 1 -137.50 46443.76 -1187.50 -5699.99 940324 Long 1 356.25 46937.51 -693.75 -5699.99 940325 Long 1 356.25 46937.51 -693.75 -5699.99 940328 Long 1 287.50 46868.75 -762.50 -5699.99 940329 Long 1 106.25 46687.50 -943.75 -5699.99 940330 Long 1 106.25 46687.50 -943.75 -5699.99 940331 Long 1 181.25 46762.51 -868.75 -5699.99 775.00 940401 Exit Long 1 -475.00 46106.25 -1525.00 -5699.99 MFE = 356.25 MAE = -675.00 940401 Enter Short 1 287.50 46393.75 -1237.50 -5699.99 940404 Short 1 231.25 46337.50 -1293.75 -5699.99 940405 Exit Short 1 775.00 46881.25 -750.00 -5699.99 MFE = 775.00 MAE = 0.00 940412 Enter Short 1 -293.75 46587.51 -1043.75 -5699.99 940413 Short 1 -543.75 46337.50 -1293.75 -5699.99 940414 Short 1 -481.25 46400.01 -1231.25 -5699.99 940415 Short 1 -343.75 46537.51 -1093.75 -5699.99 940418 Short 1 -450.00 46431.25 -1200.00 -5699.99 940419 Exit Short 1 -912.50 45968.75 -1662.50 -5699.99 MFE = 0.00 MAE = -912.50 940419 Enter Long 1 -118.75 45850.01 -1781.25 -5699.99 940420 Long 1 312.50 46281.25 -1350.00 -5699.99 940421 Long 1 381.25 46350.01 -1281.25 -5699.99 940422 Long 1 325.00 46293.76 -1337.50 -5699.99 940425 Long 1 650.00 46618.76 -1012.50 -5699.99 940426 Exit Long 1 775.00 46743.75 -887.50 -5699.99 MFE = 775.00 MAE = -118.75 940429 Enter Long 1 -243.75 46500.00 -1131.25 -5699.99 162.50 940502 Long 1 -25.00 46718.75 -912.50 -5699.99 940503 Long 1 318.75 47062.50 -568.75 -5699.99 940504 Long 1 -462.50 46281.26 -1350.00 -5699.99 940505 Long 1 -1018.75 45725.00 -1906.25 -5699.99 940506 Long 1 -825.00 45918.76 -1712.50 -5699.99 940509 Long 1 -431.25 46312.50 -1318.75 -5699.99 940510 Long 1 -1187.50 45556.25 -2075.00 -5699.99 940511 Long 1 -1068.75 45675.00 -1956.25 -5699.99 940512 Long 1 -968.75 45775.00 -1856.25 -5699.99 940513 Long 1 -1056.25 45687.50 -1943.75 -5699.99 940516 Long 1 -1187.50 45556.25 -2075.00 -5699.99 940517 Long 1 -1143.75 45600.00 -2031.25 -5699.99 940518 Long 1 -456.25 46287.51 -1343.75 -5699.99 940519 Long 1 -575.00 46168.75 -1462.50 -5699.99 940520 Long 1 -118.75 46625.00 -1006.25 -5699.99 940523 Long 1 -18.75 46725.00 -906.25 -5699.99 940524 Long 1 -425.00 46318.75 -1312.50 -5699.99 940525 Long 1 -50.00 46693.76 -937.50 -5699.99 940526 Long 1 -237.50 46506.26 -1125.00 -5699.99 940527 Long 1 12.50 46756.25 -875.00 -5699.99 940530 Long 1 -112.50 46631.25 -1000.00 -5699.99 940531 Long 1 -62.50 46681.26 -950.00 -5699.99 0.00 940601 Long 1 -137.50 46606.26 -1025.00 -5699.99 940602 Exit Long 1 -456.25 46287.50 -1343.75 -5699.99 MFE = 318.75 MAE = -1187.50 940602 Enter Short 1 -31.25 46256.26 -1375.00 -5699.99 940603 Short 1 681.25 46968.76 -662.50 -5699.99 940606 Exit Short 1 775.00 47062.50 -568.75 -5699.99 MFE = 775.00 MAE = -31.25 940613 Enter Long 1 500.00 47562.51 -68.75 -5699.99 940614 Long 1 437.50 47500.00 -131.25 -5699.99 940615 Exit Long 1 775.00 47837.50 0.00 -5699.99 MFE = 775.00 MAE = 0.00 940617 Enter Long 1 312.50 48150.01 0.00 -5699.99 940620 Exit Long 1 775.00 48612.50 0.00 -5699.99 MFE = 775.00 MAE = 0.00 940624 Enter Long 1 237.50 48850.00 0.00 -5699.99 940627 Exit Long 1 775.00 49387.50 0.00 -5699.99 MFE = 775.00 MAE = 0.00 2643.75 940705 Enter Long 1 300.00 49687.50 0.00 -5699.99 940706 Exit Long 1 775.00 50162.50 0.00 -5699.99 MFE = 775.00 MAE = 0.00 940711 Exit Long 1 775.00 50937.51 0.00 -5699.99 MFE = 775.00 MAE = 0.00 1550.00 940811 Exit Long 1 -1018.75 49918.76 -1018.75 -5699.99 MFE = 0.00 MAE = -1018.75 940826 Exit Short 1 775.00 50693.76 -243.75 -5699.99 MFE = 775.00 MAE = 0.00 -243.75 940902 Enter Long 1 425.00 51118.76 0.00 -5699.99 940905 Long 1 475.00 51168.76 0.00 -5699.99 940906 Exit Long 1 775.00 51468.76 0.00 -5699.99 MFE = 775.00 MAE = 0.00 940909 Enter Long 1 12.50 51481.26 0.00 -5699.99 940912 Long 1 -206.25 51262.51 -218.75 -5699.99 940913 Long 1 -287.50 51181.26 -300.00 -5699.99 940914 Long 1 -106.25 51362.51 -118.75 -5699.99 940915 Long 1 -493.75 50975.00 -506.25 -5699.99 940916 Long 1 56.25 51525.01 0.00 -5699.99 940919 Long 1 -412.50 51056.25 -468.75 -5699.99 940920 Long 1 -443.75 51025.00 -500.00 -5699.99 940921 Long 1 -281.25 51187.51 -337.50 -5699.99 940922 Long 1 -281.25 51187.51 -337.50 -5699.99 940923 Long 1 -312.50 51156.25 -368.75 -5699.99 940926 Exit Long 1 -656.25 50812.51 -656.25 -5699.99 MFE = 56.25 MAE = -656.25 940926 Enter Short 1 -100.00 50712.51 -812.50 -5699.99 940927 Exit Short 1 -593.75 50218.76 -1250.00 -5699.99 MFE = 0.00 MAE = -593.75 940927 Enter Long 1 93.75 50312.51 -1212.50 -5699.99 940928 Long 1 -387.50 49831.25 -1693.75 -5699.99 940929 Long 1 -168.75 50050.00 -1475.00 -5699.99 940930 Long 1 -293.75 49925.00 -1600.00 -5699.99 -475.00 941003 Long 1 -362.50 49856.26 -1668.75 -5699.99 941004 Long 1 -31.25 50187.50 -1337.50 -5699.99 941005 Long 1 6.25 50225.01 -1300.00 -5699.99 941006 Long 1 56.25 50275.00 -1250.00 -5699.99 941007 Long 1 -81.25 50137.50 -1387.50 -5699.99 941010 Long 1 56.25 50275.00 -1250.00 -5699.99 941011 Long 1 -93.75 50125.01 -1400.00 -5699.99 941012 Long 1 118.75 50337.51 -1187.50 -5699.99 941013 Long 1 662.50 50881.26 -643.75 -5699.99 941014 Exit Long 1 775.00 50993.76 -531.25 -5699.99 MFE = 775.00 MAE = -387.50 941017 Enter Long 1 12.50 51006.25 -518.75 -5699.99 941018 Long 1 -6.25 50987.51 -537.50 -5699.99 941019 Long 1 0.00 50993.76 -531.25 -5699.99 941020 Long 1 387.50 51381.26 -143.75 -5699.99 941021 Long 1 -6.25 50987.51 -537.50 -5699.99 941024 Long 1 325.00 51318.75 -206.25 -5699.99 941025 Long 1 168.75 51162.51 -362.50 -5699.99 941026 Long 1 556.25 51550.00 0.00 -5699.99 941027 Long 1 293.75 51287.51 -262.50 -5699.99 941028 Exit Long 1 -418.75 50575.01 -950.00 -5699.99 MFE = 556.25 MAE = -418.75 941028 Enter Short 1 93.75 50668.76 -881.25 -5699.99 941031 Short 1 -337.50 50237.50 -1312.50 -5699.99 356.25 941101 Short 1 -656.25 49918.75 -1631.25 -5699.99 941102 Short 1 331.25 50906.25 -643.75 -5699.99 941103 Exit Short 1 775.00 51350.01 -200.00 -5699.99 MFE = 775.00 MAE = -656.25 941109 Enter Short 1 68.75 51418.76 -131.25 -5699.99 941110 Short 1 143.75 51493.76 -56.25 -5699.99 941111 Short 1 175.00 51525.00 -25.00 -5699.99 941114 Exit Short 1 775.00 52125.01 0.00 -5699.99 MFE = 775.00 MAE = 0.00 941118 Enter Short 1 -243.75 51881.26 -243.75 -5699.99 941121 Short 1 -168.75 51956.26 -168.75 -5699.99 941122 Short 1 -237.50 51887.50 -237.50 -5699.99 941123 Short 1 -331.25 51793.75 -331.25 -5699.99 941124 Short 1 -50.00 52075.00 -50.00 -5699.99 941125 Short 1 -43.75 52081.26 -43.75 -5699.99 941128 Short 1 300.00 52425.00 0.00 -5699.99 941129 Short 1 418.75 52543.76 0.00 -5699.99 941130 Short 1 356.25 52481.25 -62.50 -5699.99 1550.00 941201 Short 1 475.00 52600.00 0.00 -5699.99 941202 Exit Short 1 775.00 52900.01 0.00 -5699.99 MFE = 775.00 MAE = -331.25 941208 Enter Short 1 -112.50 52787.51 0.00 -5699.99 941209 Short 1 -106.25 52793.76 0.00 -5699.99 941212 Short 1 -175.00 52725.00 -68.75 -5699.99 941213 Short 1 -193.75 52706.26 -87.50 -5699.99 941214 Short 1 -312.50 52587.50 -206.25 -5699.99 941215 Short 1 -281.25 52618.76 -175.00 -5699.99 941216 Short 1 -187.50 52712.51 -81.25 -5699.99 941219 Short 1 -137.50 52762.51 -31.25 -5699.99 941220 Short 1 -256.25 52643.75 -150.00 -5699.99 941221 Short 1 175.00 53075.01 0.00 -5699.99 941222 Short 1 31.25 52931.26 -143.75 -5699.99 941223 Short 1 293.75 53193.76 0.00 -5699.99 941226 Short 1 293.75 53193.76 0.00 -5699.99 941227 Short 1 168.75 53068.76 -125.00 -5699.99 941228 Exit Short 1 -87.50 52812.51 -381.25 -5699.99 MFE = 293.75 MAE = -312.50 941228 Enter Long 1 68.75 52881.26 -312.50 -5699.99 941229 Exit Long 1 918.75 53731.25 0.00 -5699.99 MFE = 918.75 MAE = 0.00 1606.25 950105 Enter Long 1 -62.50 53668.75 -62.50 -5699.99 950106 Exit Long 1 -693.75 53037.50 -693.75 -5699.99 MFE = 0.00 MAE = -693.75 950106 Enter Short 1 6.25 53043.75 -687.50 -5699.99 950109 Exit Short 1 -793.75 52243.75 -1487.50 -5699.99 MFE = 6.25 MAE = -793.75 950109 Enter Long 1 318.75 52562.50 -1168.75 -5699.99 950110 Long 1 337.50 52581.26 -1150.00 -5699.99 950111 Long 1 206.25 52450.01 -1281.25 -5699.99 950112 Long 1 537.50 52781.25 -950.00 -5699.99 950113 Long 1 325.00 52568.75 -1162.50 -5699.99 950116 Long 1 487.50 52731.26 -1000.00 -5699.99 950117 Long 1 306.25 52550.01 -1181.25 -5699.99 950118 Long 1 281.25 52525.00 -1206.25 -5699.99 950119 Exit Long 1 775.00 53018.75 -712.50 -5699.99 MFE = 775.00 MAE = 0.00 950125 Exit Long 1 -725.00 52293.75 -1437.50 -5699.99 MFE = 0.00 MAE = -725.00 950130 Enter Long 1 -93.75 52200.00 -1531.25 -5699.99 950131 Exit Long 1 -981.25 51312.50 -2418.75 -5699.99 MFE = 0.00 MAE = -981.25 950131 Enter Short 1 37.50 51350.01 -2381.25 -5699.99 -2418.75 950201 Short 1 -218.75 51093.75 -2637.50 -5699.99 950202 Short 1 -200.00 51112.51 -2618.75 -5699.99 950203 Short 1 343.75 51656.26 -2075.00 -5699.99 950206 Short 1 450.00 51762.50 -1968.75 -5699.99 950207 Short 1 643.75 51956.25 -1775.00 -5699.99 950208 Short 1 456.25 51768.75 -1962.50 -5699.99 950209 Short 1 312.50 51625.00 -2106.25 -5699.99 950210 Exit Short 1 -137.50 51175.00 -2556.25 -5699.99 MFE = 643.75 MAE = -218.75 950210 Enter Long 1 -6.25 51168.75 -2562.50 -5699.99 950213 Long 1 -112.50 51062.51 -2668.75 -5699.99 950214 Long 1 493.75 51668.75 -2062.50 -5699.99 950215 Long 1 418.75 51593.76 -2137.50 -5699.99 950216 Exit Long 1 775.00 51950.00 -1781.25 -5699.99 MFE = 775.00 MAE = -112.50 637.50 950302 Enter Long 1 643.75 52593.75 -1137.50 -5699.99 950303 Exit Long 1 775.00 52725.00 -1006.25 -5699.99 MFE = 775.00 MAE = 0.00 950306 Enter Long 1 43.75 52768.76 -962.50 -5699.99 950307 Long 1 656.25 53381.25 -350.00 -5699.99 950308 Exit Long 1 775.00 53500.00 -231.25 -5699.99 MFE = 775.00 MAE = 0.00 950315 Enter Long 1 331.25 53831.25 0.00 -5699.99 950316 Exit Long 1 775.00 54275.00 0.00 -5699.99 MFE = 775.00 MAE = 0.00 950327 Enter Long 1 -356.25 53918.76 0.00 -5699.99 950328 Long 1 718.75 54993.76 0.00 -5699.99 950329 Exit Long 1 775.00 55050.00 0.00 -5699.99 MFE = 775.00 MAE = -356.25 950331 Enter Long 1 118.75 55168.76 0.00 -5699.99 3100.00 950403 Long 1 0.00 55050.00 -118.75 -5699.99 950404 Long 1 -293.75 54756.26 -412.50 -5699.99 950405 Long 1 -137.50 54912.50 -256.26 -5699.99 950406 Long 1 193.75 55243.75 0.00 -5699.99 950407 Long 1 325.00 55375.00 0.00 -5699.99 950410 Exit Long 1 -981.25 54068.75 -981.25 -5699.99 MFE = 325.00 MAE = -981.25 950410 Exit Short 1 775.00 54843.75 -206.25 -5699.99 MFE = 775.00 MAE = 0.00 950417 Enter Long 1 237.50 55081.25 -293.75 -5699.99 950418 Long 1 81.25 54925.01 -450.00 -5699.99 950419 Exit Long 1 775.00 55618.75 0.00 -5699.99 MFE = 775.00 MAE = 0.00 568.75 950508 Enter Long 1 -75.00 55543.75 -75.00 -5699.99 950509 Long 1 -712.50 54906.25 -712.50 -5699.99 950510 Long 1 -993.75 54625.01 -993.75 -5699.99 950511 Exit Long 1 -2056.25 53562.50 -2056.25 -5699.99 MFE = 0.00 MAE = -2056.25 950511 Enter Short 1 618.75 54181.25 -1437.50 -5699.99 950512 Exit Short 1 1150.00 54712.50 -906.25 -5699.99 MFE = 1150.00 MAE = 0.00 950518 Enter Short 1 25.00 54737.51 -881.25 -5699.99 950519 Short 1 -568.75 54143.76 -1475.00 -5699.99 950522 Short 1 -650.00 54062.51 -1556.25 -5699.99 950523 Short 1 -193.75 54518.75 -1100.00 -5699.99 950524 Short 1 -650.00 54062.51 -1556.25 -5699.99 950525 Exit Short 1 -1406.25 53306.25 -2312.50 -5699.99 MFE = 25.00 MAE = -1406.25 950525 Exit Long 1 775.00 54081.25 -1537.50 -5699.99 MFE = 775.00 MAE = 0.00 950531 Enter Short 1 281.25 54362.51 -1256.25 -5699.99 -1537.50 950601 Exit Short 1 775.00 54856.25 -762.50 -5699.99 MFE = 775.00 MAE = 0.00 950609 Enter Long 1 -287.50 54568.75 -1050.00 -5699.99 950612 Long 1 -218.75 54637.51 -981.25 -5699.99 950613 Long 1 -462.50 54393.75 -1225.00 -5699.99 950614 Long 1 75.00 54931.25 -687.50 -5699.99 950615 Long 1 -237.50 54618.75 -1000.00 -5699.99 950616 Long 1 50.00 54906.26 -712.50 -5699.99 950619 Long 1 181.25 55037.51 -581.25 -5699.99 950620 Long 1 537.50 55393.76 -225.00 -5699.99 950621 Long 1 600.00 55456.26 -162.50 -5699.99 950622 Exit Long 1 775.00 55631.25 0.00 -5699.99 MFE = 775.00 MAE = -462.50 950628 Enter Short 1 -87.50 55543.75 -87.50 -5699.99 950629 Exit Short 1 -1125.00 54506.25 -1125.00 -5699.99 MFE = 0.00 MAE = -1125.00 950629 Enter Long 1 18.75 54525.01 -1106.25 -5699.99 950630 Long 1 -181.25 54325.00 -1306.25 -5699.99 425.00 950703 Long 1 -62.50 54443.76 -1187.50 -5699.99 950704 Long 1 -137.50 54368.75 -1262.50 -5699.99 950705 Long 1 125.00 54631.26 -1000.00 -5699.99 950706 Long 1 200.00 54706.26 -925.00 -5699.99 950707 Exit Long 1 -356.25 54150.00 -1481.25 -5699.99 MFE = 200.00 MAE = -356.25 950707 Enter Short 1 68.75 54218.76 -1412.50 -5699.99 950710 Short 1 137.50 54287.50 -1343.75 -5699.99 950711 Short 1 718.75 54868.75 -762.50 -5699.99 950712 Short 1 506.25 54656.26 -975.00 -5699.99 950713 Exit Short 1 -106.25 54043.75 -1587.50 -5699.99 MFE = 718.75 MAE = -106.25 950713 Enter Long 1 50.00 54093.76 -1537.50 -5699.99 950714 Long 1 -31.25 54012.51 -1618.75 -5699.99 950717 Long 1 -281.25 53762.50 -1868.75 -5699.99 950718 Long 1 125.00 54168.75 -1462.50 -5699.99 950719 Exit Long 1 775.00 54818.75 -812.50 -5699.99 MFE = 775.00 MAE = -281.25 950726 Enter Long 1 -150.00 54668.76 -962.50 -5699.99 950727 Long 1 231.25 55050.00 -581.25 -5699.99 950728 Long 1 206.25 55025.00 -606.25 -5699.99 950731 Long 1 -50.00 54768.76 -862.50 -5699.99 312.50 950801 Long 1 543.75 55362.50 -268.75 -5699.99 950802 Exit Long 1 -375.00 54443.75 -1187.50 -5699.99 MFE = 543.75 MAE = -375.00 950802 Enter Short 1 218.75 54662.51 -968.75 -5699.99 950803 Short 1 -218.75 54225.00 -1406.25 -5699.99 950804 Short 1 131.25 54575.01 -1056.25 -5699.99 950807 Exit Short 1 775.00 55218.75 -412.50 -5699.99 MFE = 775.00 MAE = -218.75 950810 Enter Short 1 -250.00 54968.76 -662.50 -5699.99 950811 Short 1 575.00 55793.75 0.00 -5699.99 950814 Short 1 450.00 55668.75 -125.00 -5699.99 950815 Exit Short 1 775.00 55993.75 0.00 -5699.99 MFE = 775.00 MAE = -250.00 950822 Enter Short 1 87.50 56081.25 0.00 -5699.99 950823 Short 1 -125.00 55868.76 -212.50 -5699.99 950824 Short 1 -406.25 55587.50 -493.75 -5699.99 950825 Short 1 -312.50 55681.25 -400.00 -5699.99 950828 Short 1 -875.00 55118.76 -962.50 -5699.99 950829 Short 1 -106.25 55887.51 -193.74 -5699.99 950830 Short 1 -375.00 55618.76 -462.49 -5699.99 950831 Short 1 -600.00 55393.76 -687.49 -5699.99 1175.00 950901 Short 1 -718.75 55275.00 -806.25 -5699.99 950904 Short 1 -781.25 55212.51 -868.75 -5699.99 950905 Short 1 -875.00 55118.76 -962.50 -5699.99 950906 Short 1 -125.00 55868.76 -212.50 -5699.99 950907 Short 1 0.00 55993.75 -87.50 -5699.99 950908 Short 1 -250.00 55743.76 -337.50 -5699.99 950911 Short 1 -268.75 55725.00 -356.25 -5699.99 950912 Short 1 -231.25 55762.50 -318.75 -5699.99 950913 Short 1 493.75 56487.50 0.00 -5699.99 950914 Exit Short 1 775.00 56768.75 0.00 -5699.99 MFE = 775.00 MAE = -875.00 950920 Enter Long 1 175.00 56943.75 0.00 -5699.99 950921 Exit Long 1 775.00 57543.75 0.00 -5699.99 MFE = 775.00 MAE = 0.00 1550.00 951009 Enter Long 1 -131.25 57412.50 0.00 -5699.99 951010 Long 1 -287.50 57256.26 -156.25 -5699.99 951011 Long 1 -500.00 57043.76 -368.74 -5699.99 951012 Long 1 43.75 57587.50 0.00 -5699.99 951013 Long 1 -262.50 57281.25 -306.25 -5699.99 951016 Long 1 -256.25 57287.50 -300.00 -5699.99 951017 Long 1 -68.75 57475.01 -112.50 -5699.99 951018 Long 1 -418.75 57125.01 -462.49 -5699.99 951019 Long 1 275.00 57818.75 0.00 -5699.99 951020 Exit Long 1 775.00 58318.75 0.00 -5699.99 MFE = 775.00 MAE = -500.00 951026 Enter Short 1 -793.75 57525.01 -293.74 -5699.99 951027 Short 1 -412.50 57906.25 0.00 -5699.99 951030 Short 1 -431.25 57887.50 -18.75 -5699.99 951031 Short 1 -243.75 58075.00 0.00 -5699.99 775.00 951101 Short 1 50.00 58368.76 0.00 -5699.99 951102 Short 1 418.75 58737.51 0.00 -5699.99 951103 Short 1 237.50 58556.26 -181.25 -5699.99 951106 Short 1 56.25 58375.01 -362.50 -5699.99 951107 Short 1 56.25 58375.01 -362.50 -5699.99 951108 Short 1 275.00 58593.76 -143.75 -5699.99 951109 Exit Short 1 -331.25 57987.50 -331.25 -5699.99 MFE = 418.75 MAE = -793.75 951109 Enter Long 1 125.00 58112.51 -625.00 -5699.99 951110 Long 1 -656.25 57331.26 -1406.25 -5699.99 951113 Long 1 -687.50 57300.01 -1437.50 -5699.99 951114 Long 1 -375.00 57612.51 -1125.00 -5699.99 951115 Long 1 -87.50 57900.00 -837.51 -5699.99 951116 Long 1 -100.00 57887.51 -850.00 -5699.99 951117 Long 1 437.50 58425.01 -312.50 -5699.99 951120 Exit Long 1 -281.25 57706.25 -612.50 -5699.99 MFE = 437.50 MAE = -687.50 951120 Enter Short 1 -306.25 57400.01 -1337.50 -5699.99 951121 Short 1 -250.00 57456.26 -1281.25 -5699.99 951122 Short 1 -243.75 57462.50 -1275.01 -5699.99 951123 Short 1 -137.50 57568.75 -1168.75 -5699.99 951124 Short 1 -87.50 57618.76 -1118.75 -5699.99 951127 Exit Short 1 775.00 58481.25 -256.25 -5699.99 MFE = 775.00 MAE = -306.25 951130 Enter Short 1 -75.00 58406.26 -331.25 -5699.99 162.50 951201 Short 1 -87.50 58393.75 -343.75 -5699.99 951204 Short 1 -168.75 58312.51 -425.00 -5699.99 951205 Short 1 -675.00 57806.25 -931.25 -5699.99 951206 Short 1 -231.25 58250.00 -487.51 -5699.99 951207 Short 1 18.75 58500.01 -237.50 -5699.99 951208 Short 1 75.00 58556.25 -181.26 -5699.99 951211 Short 1 137.50 58618.75 -118.75 -5699.99 951212 Short 1 425.00 58906.26 0.00 -5699.99 951213 Exit Short 1 775.00 59256.25 0.00 -5699.99 MFE = 775.00 MAE = -675.00 951228 Enter Long 1 -581.25 58675.00 -231.26 -5699.99 951229 Long 1 -537.50 58718.75 -187.51 -5699.99 775.00 960102 Long 1 -400.00 58856.25 -50.01 -5699.99 960103 Long 1 -725.00 58531.26 -375.00 -5699.99 960104 Exit Long 1 -1162.50 58093.75 -1162.50 -5699.99 MFE = 0.00 MAE = -1162.50 960104 Enter Short 1 -756.25 57337.50 -1568.75 -5699.99 960105 Short 1 -1025.00 57068.75 -1837.50 -5699.99 960108 Short 1 -1137.50 56956.26 -1950.00 -5699.99 960109 Short 1 -1468.75 56625.01 -2281.25 -5699.99 960110 Short 1 -1612.50 56481.25 -2425.00 -5699.99 960111 Short 1 -1318.75 56775.01 -2131.25 -5699.99 960112 Short 1 -856.25 57237.50 -1668.75 -5699.99 960115 Short 1 -631.25 57462.50 -1443.75 -5699.99 960116 Short 1 331.25 58425.01 -481.25 -5699.99 960117 Short 1 587.50 58681.25 -225.00 -5699.99 960118 Exit Short 1 775.00 58868.75 -387.50 -5699.99 MFE = 775.00 MAE = -1612.50 960125 Enter Short 1 -100.00 58768.76 -137.50 -5699.99 960126 Short 1 362.50 59231.25 0.00 -5699.99 960129 Short 1 -43.75 58825.00 -406.25 -5699.99 960130 Short 1 81.25 58950.00 -281.25 -5699.99 960131 Short 1 -168.75 58700.00 -531.25 -5699.99 -387.50 960201 Short 1 -362.50 58506.25 -725.00 -5699.99 960202 Short 1 -437.50 58431.25 -800.00 -5699.99 960205 Exit Short 1 -925.00 57943.75 -1312.50 -5699.99 MFE = 362.50 MAE = -925.00 960205 Enter Long 1 268.75 58212.51 -1018.75 -5699.99 960206 Long 1 143.75 58087.50 -1143.75 -5699.99 960207 Long 1 -137.50 57806.26 -1425.00 -5699.99 960208 Long 1 -106.25 57837.50 -1393.75 -5699.99 960209 Long 1 -75.00 57868.75 -1362.50 -5699.99 960212 Long 1 18.75 57962.50 -1268.75 -5699.99 960213 Long 1 87.50 58031.26 -1200.00 -5699.99 960214 Long 1 375.00 58318.75 -912.50 -5699.99 960215 Long 1 281.25 58225.00 -1006.25 -5699.99 960216 Long 1 706.25 58650.01 -581.25 -5699.99 960219 Exit Long 1 775.00 58718.75 -512.50 -5699.99 MFE = 775.00 MAE = -137.50 -150.00 960307 Enter Short 1 -362.50 58356.26 -875.00 -5699.99 960308 Short 1 125.00 58843.76 -387.50 -5699.99 960311 Short 1 125.00 58843.76 -387.50 -5699.99 960312 Short 1 -281.25 58437.51 -793.75 -5699.99 960313 Short 1 -318.75 58400.01 -831.25 -5699.99 960314 Short 1 -337.50 58381.25 -850.00 -5699.99 960315 Short 1 -443.75 58275.01 -956.25 -5699.99 960318 Short 1 -87.50 58631.26 -600.00 -5699.99 960319 Short 1 -393.75 58325.00 -906.25 -5699.99 960320 Short 1 -387.50 58331.25 -900.00 -5699.99 960321 Short 1 -100.00 58618.76 -612.50 -5699.99 960322 Short 1 -168.75 58550.00 -681.25 -5699.99 960325 Short 1 -293.75 58425.00 -806.25 -5699.99 960326 Short 1 -281.25 58437.51 -793.75 -5699.99 960327 Short 1 6.25 58725.01 -506.25 -5699.99 960328 Short 1 -562.50 58156.25 -1075.00 -5699.99 960329 Short 1 -312.50 58406.26 -825.00 -5699.99 0.00 960401 Short 1 0.00 58718.76 -512.50 -5699.99 960402 Short 1 -381.25 58337.50 -893.75 -5699.99 960403 Short 1 -231.25 58487.51 -743.75 -5699.99 960404 Short 1 -400.00 58318.76 -912.50 -5699.99 960405 Short 1 -125.00 58593.75 -637.50 -5699.99 960408 Exit Short 1 -631.25 58087.50 -1143.75 -5699.99 MFE = 125.00 MAE = -631.25 960408 Enter Long 1 -350.00 57737.51 -1493.75 -5699.99 960409 Exit Long 1 -750.00 57337.50 -1893.75 -5699.99 MFE = 0.00 MAE = -750.00 960409 Enter Short 1 131.25 57468.75 -1762.50 -5699.99 960410 Short 1 125.00 57462.50 -1768.75 -5699.99 960411 Short 1 331.25 57668.76 -1562.50 -5699.99 960412 Short 1 325.00 57662.51 -1568.75 -5699.99 960415 Exit Short 1 775.00 58112.50 -1118.75 -5699.99 MFE = 775.00 MAE = 0.00 960418 Enter Long 1 -225.00 57887.50 -1343.75 -5699.99 960419 Long 1 -625.00 57487.50 -1743.75 -5699.99 960422 Long 1 -675.00 57437.50 -1793.75 -5699.99 960423 Long 1 -768.75 57343.75 -1887.50 -5699.99 960424 Long 1 -668.75 57443.75 -1787.50 -5699.99 960425 Exit Long 1 -1006.25 57106.25 -2125.00 -5699.99 MFE = 0.00 MAE = -1006.25 960425 Enter Short 1 406.25 57512.51 -1718.75 -5699.99 960426 Short 1 112.50 57218.75 -2012.50 -5699.99 960429 Short 1 56.25 57162.51 -2068.75 -5699.99 960430 Short 1 350.00 57456.25 -1775.00 -5699.99 -1612.50 960501 Short 1 656.25 57762.50 -1468.75 -5699.99 960502 Short 1 293.75 57400.00 -1831.25 -5699.99 960503 Short 1 50.00 57156.26 -2075.00 -5699.99 960506 Short 1 156.25 57262.50 -1968.75 -5699.99 960507 Short 1 131.25 57237.50 -1993.75 -5699.99 960508 Short 1 -250.00 56856.26 -2374.99 -5699.99 960509 Short 1 -62.50 57043.75 -2187.50 -5699.99 960510 Short 1 275.00 57381.26 -1850.00 -5699.99 960513 Short 1 343.75 57450.00 -1781.25 -5699.99 960514 Short 1 368.75 57475.01 -1756.25 -5699.99 960515 Short 1 431.25 57537.50 -1693.75 -5699.99 960516 Short 1 268.75 57375.01 -1856.25 -5699.99 960517 Exit Short 1 -18.75 57087.50 -2143.75 -5699.99 MFE = 656.25 MAE = -250.00 960517 Enter Long 1 -262.50 56825.00 -2406.25 -5699.99 960520 Long 1 -337.50 56750.01 -2481.25 -5699.99 960521 Long 1 -587.50 56500.00 -2731.25 -5699.99 960522 Long 1 -662.50 56425.01 -2806.25 -5699.99 960523 Long 1 -450.00 56637.50 -2593.75 -5699.99 960524 Long 1 -475.00 56612.51 -2618.75 -5699.99 960527 Long 1 -387.50 56700.01 -2531.25 -5699.99 960528 Long 1 -581.25 56506.25 -2725.00 -5699.99 960529 Long 1 -68.75 57018.76 -2212.50 -5699.99 960530 Long 1 -200.00 56887.51 -2343.75 -5699.99 960531 Long 1 425.00 57512.51 -1718.75 -5699.99 -18.75 960603 Long 1 506.25 57593.76 -1637.50 -5699.99 960604 Long 1 193.75 57281.26 -1950.00 -5699.99 960605 Long 1 212.50 57300.00 -1931.25 -5699.99 960606 Long 1 275.00 57362.50 -1868.75 -5699.99 960607 Exit Long 1 -143.75 56943.75 -2287.50 -5699.99 MFE = 506.25 MAE = -662.50 960607 Enter Short 1 -18.75 56925.01 -2306.25 -5699.99 960610 Short 1 -50.00 56893.75 -2337.50 -5699.99 960611 Short 1 -93.75 56850.00 -2381.25 -5699.99 960612 Short 1 -281.25 56662.50 -2568.75 -5699.99 960613 Exit Short 1 -450.00 56493.75 -2737.50 -5699.99 MFE = 0.00 MAE = -450.00 960613 Enter Long 1 -18.75 56475.01 -2756.25 -5699.99 960614 Long 1 -50.00 56443.75 -2787.50 -5699.99 960617 Long 1 325.00 56818.75 -2412.50 -5699.99 960618 Exit Long 1 775.00 57268.75 -1962.50 -5699.99 MFE = 775.00 MAE = -50.00 960621 Enter Short 1 -81.25 57187.50 -2043.75 -5699.99 960624 Short 1 -218.75 57050.00 -2181.25 -5699.99 960625 Short 1 -256.25 57012.50 -2218.75 -5699.99 960626 Short 1 -343.75 56925.00 -2306.25 -5699.99 960627 Exit Short 1 -693.75 56575.00 -2656.25 -5699.99 MFE = 0.00 MAE = -693.75 960627 Enter Long 1 81.25 56656.26 -2575.00 -5699.99 960628 Long 1 -156.25 56418.75 -2812.50 -5699.99 -512.50 960701 Long 1 -106.25 56468.75 -2762.50 -5699.99 960702 Long 1 -231.25 56343.76 -2887.50 -5699.99 960703 Long 1 87.50 56662.51 -2568.75 -5699.99 960704 Long 1 -87.50 56487.51 -2743.75 -5699.99 960705 Long 1 -168.75 56406.25 -2825.00 -5699.99 960708 Long 1 -281.25 56293.76 -2937.50 -5699.99 960709 Long 1 -287.50 56287.50 -2943.75 -5699.99 960710 Long 1 -281.25 56293.76 -2937.50 -5699.99 960711 Long 1 -31.25 56543.75 -2687.50 -5699.99 960712 Long 1 -137.50 56437.51 -2793.75 -5699.99 960715 Long 1 31.25 56606.26 -2625.00 -5699.99 960716 Exit Long 1 775.00 57350.00 -1881.25 -5699.99 MFE = 775.00 MAE = -287.50 960725 Enter Long 1 -50.00 57300.01 -1931.25 -5699.99 960726 Long 1 -337.50 57012.50 -2218.75 -5699.99 960729 Long 1 -162.50 57187.50 -2043.75 -5699.99 960730 Long 1 -62.50 57287.50 -1943.75 -5699.99 960731 Long 1 231.25 57581.26 -1650.00 -5699.99 775.00 960801 Long 1 93.75 57443.76 -1787.50 -5699.99 960802 Long 1 -62.50 57287.50 -1943.75 -5699.99 960805 Long 1 -206.25 57143.75 -2087.50 -5699.99 960806 Long 1 -431.25 56918.75 -2312.50 -5699.99 960807 Long 1 -562.50 56787.50 -2443.75 -5699.99 960808 Long 1 -443.75 56906.26 -2325.00 -5699.99 960809 Long 1 -187.50 57162.51 -2068.75 -5699.99 960812 Long 1 -212.50 57137.50 -2093.75 -5699.99 960813 Long 1 -187.50 57162.51 -2068.75 -5699.99 960814 Exit Long 1 -575.00 56775.00 -2456.25 -5699.99 MFE = 231.25 MAE = -575.00 960814 Enter Short 1 37.50 56812.50 -2418.75 -5699.99 960815 Short 1 -262.50 56512.51 -2718.75 -5699.99 960816 Short 1 75.00 56850.00 -2381.25 -5699.99 960819 Short 1 -106.25 56668.75 -2562.50 -5699.99 960820 Short 1 -43.75 56731.25 -2500.00 -5699.99 960821 Short 1 -293.75 56481.26 -2750.00 -5699.99 960822 Short 1 118.75 56893.75 -2337.50 -5699.99 960823 Short 1 -450.00 56325.00 -2906.25 -5699.99 960826 Short 1 -462.50 56312.50 -2918.75 -5699.99 960827 Short 1 -537.50 56237.50 -2993.75 -5699.99 960828 Short 1 -600.00 56175.00 -3056.25 -5699.99 960829 Short 1 -587.50 56187.50 -3043.75 -5699.99 960830 Short 1 -550.00 56225.00 -3006.25 -5699.99 -575.00 960902 Short 1 -262.50 56512.51 -2718.75 -5699.99 960903 Short 1 -362.50 56412.50 -2818.75 -5699.99 960904 Short 1 -593.75 56181.25 -3050.00 -5699.99 960905 Short 1 -325.00 56450.00 -2781.25 -5699.99 960906 Short 1 -75.00 56700.01 -2531.25 -5699.99 960909 Short 1 150.00 56925.01 -2306.25 -5699.99 960910 Short 1 725.00 57500.01 -1731.25 -5699.99 960911 Exit Short 1 775.00 57550.00 -1681.25 -5699.99 MFE = 775.00 MAE = -600.00 775.00 961008 Enter Long 1 -243.75 57306.25 -1925.00 -5699.99 961009 Long 1 -181.25 57368.76 -1862.50 -5699.99 961010 Long 1 -200.00 57350.00 -1881.25 -5699.99 961011 Long 1 -187.50 57362.50 -1868.75 -5699.99 961014 Long 1 -112.50 57437.50 -1793.75 -5699.99 961015 Exit Long 1 -443.75 57106.25 -2125.00 -5699.99 MFE = 0.00 MAE = -443.75 961015 Enter Short 1 106.25 57212.50 -2018.75 -5699.99 961016 Short 1 56.25 57162.51 -2068.75 -5699.99 961017 Short 1 268.75 57375.01 -1856.25 -5699.99 961018 Short 1 31.25 57137.50 -2093.75 -5699.99 961021 Short 1 -206.25 56900.00 -2331.25 -5699.99 961022 Short 1 -362.50 56743.76 -2487.50 -5699.99 961023 Short 1 -656.25 56450.00 -2781.25 -5699.99 961024 Short 1 -887.50 56218.76 -3012.50 -5699.99 961025 Short 1 -762.50 56343.76 -2887.50 -5699.99 961028 Short 1 -800.00 56306.26 -2925.00 -5699.99 961029 Exit Short 1 -1175.00 55931.25 -3300.00 -5699.99 MFE = 268.75 MAE = -1175.00 961029 Enter Long 1 43.75 55975.01 -3256.25 -5699.99 961030 Long 1 168.75 56100.01 -3131.25 -5699.99 961031 Long 1 -150.00 55781.26 -3450.00 -5699.99 -1618.75 961101 Long 1 -25.00 55906.25 -3325.00 -5699.99 961104 Long 1 150.00 56081.25 -3150.00 -5699.99 961105 Long 1 -256.25 55675.00 -3556.25 -5699.99 961106 Long 1 -243.75 55687.50 -3543.75 -5699.99 961107 Long 1 -18.75 55912.50 -3318.75 -5699.99 961108 Long 1 300.00 56231.26 -3000.00 -5699.99 961111 Long 1 718.75 56650.01 -2581.25 -5699.99 961112 Exit Long 1 906.25 56837.51 -2393.75 -5699.99 MFE = 906.25 MAE = -256.25 961118 Enter Long 1 -50.00 56787.51 -2443.75 -5699.99 961119 Long 1 -100.00 56737.51 -2493.75 -5699.99 961120 Long 1 368.75 57206.25 -2025.00 -5699.99 961121 Long 1 237.50 57075.00 -2156.25 -5699.99 961122