SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 BRITISH POUND SPOT 5339 Trading days from 880104 to 080728 Tue Jul 29 09:32:12 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): weighted average with the following weights: (1) Today's high<1.00> (2) Today's low<1.00> (3) Today's close<2.00> (4) Tomorrow's open<0.00> Compute volatility using: (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 880129 Enter Short 1 -9.38 1540.62 0.00 0.00 1550.00 880201 Short 1 231.25 1781.25 0.00 0.00 880202 Short 1 -115.62 1434.38 -346.87 -346.87 880203 Short 1 96.87 1646.87 -134.37 -346.87 880204 Short 1 -100.00 1450.00 -331.25 -346.87 880205 Short 1 403.13 1953.13 0.00 -346.87 880208 Short 1 500.00 2050.00 0.00 -346.87 880209 Short 1 443.75 1993.75 -56.25 -346.87 880210 Short 1 231.25 1781.25 -268.75 -346.87 880211 Short 1 168.75 1718.75 -331.25 -346.87 880212 Exit Short 1 775.00 2325.00 0.00 -346.87 MFE = 775.00 MAE = -115.62 880222 Enter Long 1 34.37 2359.37 0.00 -346.87 880223 Long 1 131.25 2456.25 0.00 -346.87 880224 Long 1 153.13 2478.13 0.00 -346.87 880225 Long 1 253.12 2578.12 0.00 -346.87 880226 Long 1 371.87 2696.87 0.00 -346.87 880229 Long 1 465.62 2790.62 0.00 -346.87 775.00 880301 Long 1 493.75 2818.75 0.00 -346.87 880302 Long 1 237.50 2562.50 -256.25 -346.87 880303 Long 1 331.25 2656.25 -162.50 -346.87 880304 Long 1 478.12 2803.12 -15.63 -346.87 880307 Exit Long 1 775.00 3100.00 0.00 -346.87 MFE = 775.00 MAE = 0.00 880308 Enter Long 1 59.37 3159.37 0.00 -346.87 880309 Long 1 137.50 3237.50 0.00 -346.87 880310 Long 1 193.75 3293.75 0.00 -346.87 880311 Long 1 525.00 3625.00 0.00 -346.87 880314 Long 1 340.63 3440.63 -184.38 -346.87 880315 Long 1 150.00 3250.00 -375.00 -375.00 880316 Long 1 228.13 3328.13 -296.88 -375.00 880317 Exit Long 1 -362.50 2737.50 -362.50 -375.00 MFE = 525.00 MAE = -362.50 880328 Enter Long 1 646.88 3384.38 -240.63 -375.00 880329 Long 1 528.12 3265.62 -359.38 -375.00 880330 Exit Long 1 775.00 3512.50 -112.50 -375.00 MFE = 775.00 MAE = 0.00 1187.50 880414 Enter Long 1 234.37 3746.87 0.00 -375.00 880415 Long 1 715.63 4228.13 0.00 -375.00 880418 Exit Long 1 775.00 4287.50 0.00 -375.00 MFE = 775.00 MAE = 0.00 880425 Enter Short 1 21.88 4309.38 0.00 -375.00 880426 Short 1 -71.87 4215.63 -93.75 -375.00 880427 Short 1 -6.25 4281.25 -28.13 -375.00 880428 Short 1 21.88 4309.38 0.00 -375.00 880429 Short 1 -100.00 4187.50 -121.88 -375.00 775.00 880502 Short 1 -21.87 4265.63 -43.75 -375.00 880503 Short 1 128.13 4415.63 0.00 -375.00 880504 Short 1 275.00 4562.50 0.00 -375.00 880505 Short 1 381.25 4668.75 0.00 -375.00 880506 Short 1 381.25 4668.75 0.00 -375.00 880509 Exit Short 1 -12.50 4275.00 -12.50 -375.00 MFE = 381.25 MAE = -100.00 880509 Enter Long 1 275.00 4550.00 -118.75 -375.00 880510 Long 1 325.00 4600.00 -68.75 -375.00 880511 Exit Long 1 -228.12 4046.87 -240.62 -375.00 MFE = 325.00 MAE = -228.12 880511 Enter Short 1 -478.13 3568.75 -1100.00 -1100.00 880512 Short 1 -512.50 3534.38 -1134.38 -1134.38 880513 Short 1 -753.12 3293.75 -1375.00 -1375.00 880516 Short 1 -681.25 3365.62 -1303.13 -1375.00 880517 Short 1 215.62 4262.50 -406.25 -1375.00 880518 Short 1 -56.25 3990.63 -678.12 -1375.00 880519 Short 1 93.75 4140.63 -528.13 -1375.00 880520 Short 1 93.75 4140.63 -528.13 -1375.00 880523 Short 1 -93.75 3953.12 -715.63 -1375.00 880524 Short 1 -9.38 4037.50 -631.25 -1375.00 880525 Short 1 93.75 4140.63 -528.13 -1375.00 880526 Short 1 140.63 4187.50 -481.25 -1375.00 880527 Short 1 309.37 4356.25 -312.50 -1375.00 880530 Short 1 534.37 4581.25 -87.50 -1375.00 880531 Exit Short 1 775.00 4821.87 0.00 -1375.00 MFE = 775.00 MAE = -753.12 534.38 880601 Enter Short 1 178.13 5000.00 0.00 -1375.00 880602 Short 1 506.25 5328.12 0.00 -1375.00 880603 Short 1 750.00 5571.87 0.00 -1375.00 880606 Exit Short 1 775.00 5596.87 0.00 -1375.00 MFE = 775.00 MAE = 0.00 880614 Enter Short 1 606.25 6203.13 0.00 -1375.00 880615 Short 1 559.38 6156.25 -46.88 -1375.00 880616 Short 1 512.50 6109.37 -93.75 -1375.00 880617 Exit Short 1 775.00 6371.87 0.00 -1375.00 MFE = 775.00 MAE = 0.00 880622 Enter Short 1 550.00 6921.87 0.00 -1375.00 880623 Exit Short 1 775.00 7146.87 0.00 -1375.00 MFE = 775.00 MAE = 0.00 880624 Enter Short 1 328.12 7475.00 0.00 -1375.00 880627 Exit Short 1 775.00 7921.87 0.00 -1375.00 MFE = 775.00 MAE = 0.00 3100.00 880704 Enter Short 1 25.00 7946.87 0.00 -1375.00 880705 Short 1 -1012.50 6909.37 -1037.50 -1375.00 880706 Short 1 -1218.75 6703.13 -1243.75 -1375.00 880707 Short 1 -1031.25 6890.62 -1056.25 -1375.00 880708 Short 1 -675.00 7246.87 -700.00 -1375.00 880711 Short 1 -368.75 7553.13 -393.75 -1375.00 880712 Short 1 -593.75 7328.13 -618.75 -1375.00 880713 Short 1 -481.25 7440.63 -506.25 -1375.00 880714 Short 1 -50.00 7871.88 -75.00 -1375.00 880715 Exit Short 1 775.00 8696.87 0.00 -1375.00 MFE = 775.00 MAE = -1218.75 775.00 880805 Enter Short 1 65.62 8762.50 0.00 -1375.00 880808 Short 1 -300.00 8396.88 -365.62 -1375.00 880809 Short 1 234.38 8931.25 0.00 -1375.00 880810 Short 1 -196.88 8500.00 -431.25 -1375.00 880811 Short 1 -568.75 8128.13 -803.12 -1375.00 880812 Short 1 -765.63 7931.25 -1000.00 -1375.00 880815 Short 1 -765.63 7931.25 -1000.00 -1375.00 880816 Short 1 -315.63 8381.25 -550.00 -1375.00 880817 Short 1 28.12 8725.00 -206.25 -1375.00 880818 Short 1 -234.37 8462.50 -468.75 -1375.00 880819 Short 1 -206.25 8490.63 -440.62 -1375.00 880822 Short 1 159.37 8856.25 -75.00 -1375.00 880823 Short 1 571.88 9268.75 0.00 -1375.00 880824 Short 1 131.25 8828.12 -440.63 -1375.00 880825 Short 1 -268.75 8428.12 -840.63 -1375.00 880826 Short 1 215.63 8912.50 -356.25 -1375.00 880829 Short 1 356.25 9053.12 -215.63 -1375.00 880830 Short 1 121.88 8818.75 -450.00 -1375.00 880831 Short 1 206.25 8903.12 -365.63 -1375.00 0.00 880901 Exit Short 1 775.00 9471.87 0.00 -1375.00 MFE = 775.00 MAE = -765.63 880905 Enter Long 1 -493.75 8978.12 -493.75 -1375.00 880906 Long 1 68.75 9540.63 0.00 -1375.00 880907 Long 1 168.75 9640.63 0.00 -1375.00 880908 Long 1 -6.25 9465.62 -175.00 -1375.00 880909 Long 1 -156.25 9315.62 -325.00 -1375.00 880912 Long 1 -71.88 9400.00 -240.63 -1375.00 880913 Long 1 -165.63 9306.25 -334.38 -1375.00 880914 Exit Long 1 -571.88 8900.00 -571.88 -1375.00 MFE = 168.75 MAE = -571.88 880914 Enter Short 1 134.38 9034.38 -606.25 -1375.00 880915 Short 1 171.88 9071.88 -568.75 -1375.00 880916 Short 1 165.62 9065.62 -575.00 -1375.00 880919 Short 1 140.62 9040.62 -600.00 -1375.00 880920 Short 1 84.38 8984.38 -656.25 -1375.00 880921 Short 1 343.75 9243.75 -396.88 -1375.00 880922 Short 1 503.12 9403.12 -237.50 -1375.00 880923 Short 1 381.25 9281.25 -359.38 -1375.00 880926 Short 1 371.87 9271.87 -368.75 -1375.00 880927 Short 1 175.00 9075.00 -565.63 -1375.00 880928 Short 1 -178.12 8721.88 -918.75 -1375.00 880929 Short 1 56.25 8956.25 -684.38 -1375.00 880930 Short 1 -262.50 8637.50 -1003.13 -1375.00 203.12 881003 Short 1 -540.62 8359.38 -1281.25 -1375.00 881004 Short 1 -362.50 8537.50 -1103.13 -1375.00 881005 Short 1 -325.00 8575.00 -1065.63 -1375.00 881006 Short 1 -262.50 8637.50 -1003.13 -1375.00 881007 Short 1 -456.25 8443.75 -1196.88 -1375.00 881010 Exit Short 1 -743.75 8156.25 -1315.62 -1375.00 MFE = 503.12 MAE = -743.75 881010 Enter Long 1 221.88 8378.13 -1262.50 -1375.00 881011 Long 1 268.75 8425.00 -1215.63 -1375.00 881012 Exit Long 1 775.00 8931.25 -709.38 -1375.00 MFE = 775.00 MAE = 0.00 881020 Enter Long 1 -50.00 8881.25 -759.38 -1375.00 881021 Long 1 -121.88 8809.37 -831.25 -1375.00 881024 Long 1 -625.00 8306.25 -1334.37 -1375.00 881025 Long 1 -356.25 8575.00 -1065.63 -1375.00 881026 Long 1 -168.75 8762.50 -878.13 -1375.00 881027 Long 1 118.75 9050.00 -590.63 -1375.00 881028 Long 1 203.13 9134.38 -506.25 -1375.00 881031 Long 1 90.63 9021.88 -618.75 -1375.00 31.25 881101 Long 1 193.75 9125.00 -515.63 -1375.00 881102 Long 1 509.38 9440.63 -200.00 -1375.00 881103 Long 1 306.25 9237.50 -403.13 -1375.00 881104 Long 1 53.12 8984.37 -656.25 -1375.00 881107 Long 1 406.25 9337.50 -303.13 -1375.00 881108 Long 1 156.25 9087.50 -553.13 -1375.00 881109 Exit Long 1 775.00 9706.25 0.00 -1375.00 MFE = 775.00 MAE = -625.00 881116 Enter Long 1 -168.75 9537.50 -168.75 -1375.00 881117 Long 1 -325.00 9381.25 -325.00 -1375.00 881118 Long 1 -734.37 8971.88 -734.37 -1375.00 881121 Long 1 -446.88 9259.37 -446.88 -1375.00 881122 Long 1 -131.25 9575.00 -131.25 -1375.00 881123 Long 1 -46.88 9659.37 -46.88 -1375.00 881124 Long 1 -56.25 9650.00 -56.25 -1375.00 881125 Long 1 131.25 9837.50 0.00 -1375.00 881128 Long 1 -9.37 9696.88 -140.62 -1375.00 881129 Long 1 168.75 9875.00 0.00 -1375.00 881130 Long 1 475.00 10181.25 0.00 -1375.00 775.00 881201 Long 1 437.50 10143.75 -37.50 -1375.00 881202 Exit Long 1 775.00 10481.25 0.00 -1375.00 MFE = 775.00 MAE = -734.37 881220 Enter Short 1 184.38 10665.63 0.00 -1375.00 881221 Short 1 -150.00 10331.25 -334.38 -1375.00 881222 Short 1 137.50 10618.75 -46.88 -1375.00 881223 Short 1 62.50 10543.75 -121.88 -1375.00 881226 Short 1 -21.87 10459.38 -206.25 -1375.00 881227 Short 1 -3.12 10478.13 -187.50 -1375.00 881228 Short 1 443.75 10925.00 0.00 -1375.00 881229 Short 1 378.13 10859.38 -65.62 -1375.00 881230 Exit Short 1 -225.00 10256.25 -225.00 -1375.00 MFE = 443.75 MAE = -225.00 881230 Enter Long 1 53.12 10309.37 -615.63 -1375.00 550.00 890102 Long 1 71.87 10328.12 -596.88 -1375.00 890103 Long 1 471.87 10728.12 -196.88 -1375.00 890104 Long 1 43.75 10300.00 -625.00 -1375.00 890105 Long 1 -459.37 9796.88 -1128.12 -1375.00 890106 Exit Long 1 -1021.88 9234.37 -1246.88 -1375.00 MFE = 471.87 MAE = -1021.88 890106 Enter Short 1 -71.88 9162.50 -1762.50 -1762.50 890109 Short 1 65.62 9300.00 -1625.00 -1762.50 890110 Short 1 346.88 9581.25 -1343.75 -1762.50 890111 Short 1 -268.75 8965.62 -1959.38 -1959.38 890112 Short 1 -175.00 9059.37 -1865.63 -1959.38 890113 Short 1 365.63 9600.00 -1325.00 -1959.38 890116 Short 1 384.37 9618.75 -1306.25 -1959.38 890117 Short 1 225.00 9459.37 -1465.63 -1959.38 890118 Exit Short 1 775.00 10009.37 -915.63 -1959.38 MFE = 775.00 MAE = -268.75 -246.88 890206 Enter Short 1 -240.62 9768.75 -1156.25 -1959.38 890207 Short 1 -200.00 9809.37 -1115.63 -1959.38 890208 Short 1 -428.13 9581.25 -1343.75 -1959.38 890209 Exit Short 1 -940.62 9068.75 -1856.25 -1959.38 MFE = 0.00 MAE = -940.62 890209 Enter Long 1 106.25 9175.00 -1750.00 -1959.38 890210 Long 1 -375.00 8693.75 -2231.25 -2231.25 890213 Long 1 -90.63 8978.12 -1946.88 -2231.25 890214 Long 1 478.13 9546.88 -1378.12 -2231.25 890215 Long 1 487.50 9556.25 -1368.75 -2231.25 890216 Long 1 340.63 9409.38 -1515.62 -2231.25 890217 Exit Long 1 775.00 9843.75 -1081.25 -2231.25 MFE = 775.00 MAE = -375.00 890221 Enter Short 1 -125.00 9718.75 -1206.25 -2231.25 890222 Short 1 -78.12 9765.63 -1159.37 -2231.25 890223 Short 1 -353.12 9490.63 -1434.37 -2231.25 890224 Short 1 -296.88 9546.87 -1378.13 -2231.25 890227 Short 1 206.25 10050.00 -875.00 -2231.25 890228 Short 1 125.00 9968.75 -956.25 -2231.25 -165.62 890301 Exit Short 1 775.00 10618.75 -306.25 -2231.25 MFE = 775.00 MAE = -353.12 890314 Enter Long 1 93.75 10712.50 -212.50 -2231.25 890315 Long 1 -125.00 10493.75 -431.25 -2231.25 890316 Long 1 -134.37 10484.38 -440.62 -2231.25 890317 Long 1 -378.13 10240.62 -684.38 -2231.25 890320 Long 1 -209.37 10409.38 -515.62 -2231.25 890321 Long 1 -28.12 10590.63 -334.37 -2231.25 890322 Long 1 53.12 10671.87 -253.13 -2231.25 890323 Long 1 -118.75 10500.00 -425.00 -2231.25 890324 Long 1 -150.00 10468.75 -456.25 -2231.25 890327 Exit Long 1 -559.37 10059.37 -865.63 -2231.25 MFE = 93.75 MAE = -559.37 890327 Enter Short 1 -25.00 10034.38 -890.62 -2231.25 890328 Short 1 706.25 10765.62 -159.38 -2231.25 890329 Short 1 646.88 10706.25 -218.75 -2231.25 890330 Exit Short 1 775.00 10834.37 -90.63 -2231.25 MFE = 775.00 MAE = -25.00 990.63 890424 Enter Short 1 -125.00 10709.38 -215.62 -2231.25 890425 Short 1 118.75 10953.12 0.00 -2231.25 890426 Short 1 362.50 11196.87 0.00 -2231.25 890427 Short 1 403.12 11237.50 0.00 -2231.25 890428 Short 1 515.62 11350.00 0.00 -2231.25 0.00 890501 Short 1 693.75 11528.12 0.00 -2231.25 890502 Short 1 734.38 11568.75 0.00 -2231.25 890503 Exit Short 1 775.00 11609.37 0.00 -2231.25 MFE = 775.00 MAE = -125.00 890505 Enter Short 1 -75.00 11534.37 -34.38 -2231.25 890508 Short 1 256.25 11865.63 0.00 -2231.25 890509 Short 1 231.25 11840.63 -25.00 -2231.25 890510 Short 1 -18.75 11590.63 -275.00 -2231.25 890511 Short 1 184.38 11793.75 -71.88 -2231.25 890512 Short 1 346.88 11956.25 0.00 -2231.25 890515 Exit Short 1 775.00 12384.37 0.00 -2231.25 MFE = 775.00 MAE = -75.00 890517 Enter Short 1 153.12 12537.50 0.00 -2231.25 890518 Short 1 37.50 12421.87 -115.63 -2231.25 890519 Short 1 200.00 12584.37 0.00 -2231.25 890522 Exit Short 1 775.00 13159.37 0.00 -2231.25 MFE = 775.00 MAE = 0.00 890529 Enter Short 1 18.75 13178.13 0.00 -2231.25 890530 Short 1 -150.00 13009.37 -168.75 -2231.25 890531 Short 1 -75.00 13084.37 -93.75 -2231.25 2325.00 890601 Short 1 -287.50 12871.88 -306.25 -2231.25 890602 Short 1 -1084.38 12075.00 -1103.13 -2231.25 890605 Short 1 68.75 13228.13 0.00 -2231.25 890606 Short 1 -178.12 12981.25 -246.87 -2231.25 890607 Short 1 -200.00 12959.38 -268.75 -2231.25 890608 Short 1 -321.88 12837.50 -390.63 -2231.25 890609 Short 1 637.50 13796.87 0.00 -2231.25 890612 Exit Short 1 775.00 13934.37 0.00 -2231.25 MFE = 775.00 MAE = -1084.38 775.00 890703 Enter Long 1 178.13 14112.50 0.00 -2231.25 890704 Long 1 471.88 14406.25 0.00 -2231.25 890705 Exit Long 1 775.00 14709.37 0.00 -2231.25 MFE = 775.00 MAE = 0.00 890718 Enter Long 1 -193.75 14515.62 0.00 -2231.25 890719 Long 1 -584.38 14125.00 -390.63 -2231.25 890720 Long 1 -165.62 14543.75 0.00 -2231.25 890721 Long 1 -384.37 14325.00 -218.75 -2231.25 890724 Long 1 -68.75 14640.62 0.00 -2231.25 890725 Long 1 321.87 15031.25 0.00 -2231.25 890726 Exit Long 1 775.00 15484.37 0.00 -2231.25 MFE = 775.00 MAE = -584.38 1550.00 890804 Enter Short 1 265.63 15750.00 0.00 -2231.25 890807 Short 1 450.00 15934.37 0.00 -2231.25 890808 Short 1 -418.75 15065.62 -868.75 -2231.25 890809 Short 1 -296.87 15187.50 -746.87 -2231.25 890810 Short 1 -137.50 15346.88 -587.50 -2231.25 890811 Exit Short 1 775.00 16259.37 0.00 -2231.25 MFE = 775.00 MAE = -418.75 890831 Enter Short 1 -125.00 16134.37 -125.00 -2231.25 775.00 890901 Exit Short 1 775.00 17034.37 0.00 -2231.25 MFE = 775.00 MAE = -125.00 890915 Exit Long 1 -1531.25 15503.12 -1531.25 -2231.25 MFE = 0.00 MAE = -1531.25 890925 Enter Long 1 725.00 16228.12 -806.25 -2231.25 890926 Exit Long 1 775.00 16278.12 -756.25 -2231.25 MFE = 775.00 MAE = 0.00 18.75 891005 Enter Long 1 -271.88 16006.25 -1028.13 -2231.25 891006 Long 1 -481.25 15796.88 -1237.50 -2231.25 891009 Exit Long 1 -1187.50 15090.62 -1943.75 -2231.25 MFE = 0.00 MAE = -1187.50 891026 Enter Short 1 671.88 15762.50 -1271.87 -2231.25 891027 Exit Short 1 775.00 15865.62 -1168.75 -2231.25 MFE = 775.00 MAE = 0.00 -412.50 891114 Enter Long 1 25.00 15890.63 -1143.75 -2231.25 891115 Long 1 -381.25 15484.38 -1550.00 -2231.25 891116 Long 1 -490.62 15375.00 -1659.37 -2231.25 891117 Long 1 -793.75 15071.87 -1962.50 -2231.25 891120 Long 1 -1037.50 14828.13 -2206.25 -2231.25 891121 Long 1 -725.00 15140.63 -1893.75 -2231.25 891122 Long 1 -740.62 15125.00 -1909.37 -2231.25 891123 Long 1 -943.75 14921.88 -2112.50 -2231.25 891124 Long 1 -912.50 14953.12 -2081.25 -2231.25 891127 Long 1 -1084.37 14781.25 -2253.12 -2253.12 891128 Long 1 -781.25 15084.37 -1950.00 -2253.12 891129 Long 1 -787.50 15078.13 -1956.25 -2253.12 891130 Long 1 -668.75 15196.87 -1837.50 -2253.12 0.00 891201 Long 1 -975.00 14890.62 -2143.75 -2253.12 891204 Long 1 -928.13 14937.50 -2096.88 -2253.12 891205 Long 1 -721.87 15143.75 -1890.62 -2253.12 891206 Long 1 -475.00 15390.63 -1643.75 -2253.12 891207 Long 1 -490.62 15375.00 -1659.37 -2253.12 891208 Long 1 -287.50 15578.12 -1456.25 -2253.12 891211 Long 1 40.63 15906.25 -1128.12 -2253.12 891212 Long 1 400.00 16265.63 -768.75 -2253.12 891213 Long 1 159.38 16025.00 -1009.37 -2253.12 891214 Long 1 259.37 16125.00 -909.38 -2253.12 891215 Long 1 353.13 16218.75 -815.62 -2253.12 891218 Long 1 415.62 16281.25 -753.13 -2253.12 891219 Long 1 243.75 16109.38 -925.00 -2253.12 891220 Long 1 540.63 16406.25 -628.12 -2253.12 891221 Long 1 650.00 16515.63 -518.75 -2253.12 891222 Exit Long 1 775.00 16640.62 -393.75 -2253.12 MFE = 775.00 MAE = -1084.37 891228 Enter Short 1 109.38 16750.00 -284.37 -2253.12 891229 Short 1 -109.37 16531.25 -503.12 -2253.12 775.00 900102 Short 1 -43.75 16596.88 -437.50 -2253.12 900103 Short 1 -56.25 16584.37 -450.00 -2253.12 900104 Exit Short 1 -643.75 15996.87 -1037.50 -2253.12 MFE = 109.38 MAE = -643.75 900104 Enter Long 1 318.75 16315.63 -718.75 -2253.12 900105 Long 1 225.00 16221.88 -812.50 -2253.12 900108 Exit Long 1 775.00 16771.87 -262.50 -2253.12 MFE = 775.00 MAE = 0.00 900123 Enter Long 1 56.25 16828.12 -206.25 -2253.12 900124 Long 1 9.37 16781.25 -253.13 -2253.12 900125 Long 1 181.25 16953.13 -81.25 -2253.12 900126 Long 1 306.25 17078.12 0.00 -2253.12 900129 Exit Long 1 775.00 17546.87 0.00 -2253.12 MFE = 775.00 MAE = 0.00 906.25 900216 Enter Long 1 31.25 17578.13 0.00 -2253.12 900219 Long 1 218.75 17765.62 0.00 -2253.12 900220 Long 1 437.50 17984.38 0.00 -2253.12 900221 Long 1 453.13 18000.00 0.00 -2253.12 900222 Long 1 478.13 18025.00 0.00 -2253.12 900223 Long 1 312.50 17859.37 -165.63 -2253.12 900226 Exit Long 1 -143.75 17403.12 -621.88 -2253.12 MFE = 478.13 MAE = -143.75 900226 Enter Short 1 53.12 17456.25 -568.75 -2253.12 900227 Short 1 153.13 17556.25 -468.75 -2253.12 900228 Short 1 559.38 17962.50 -62.50 -2253.12 -143.75 900301 Exit Short 1 775.00 18178.12 0.00 -2253.12 MFE = 775.00 MAE = 0.00 900309 Enter Short 1 268.75 18446.88 0.00 -2253.12 900312 Short 1 384.38 18562.50 0.00 -2253.12 900313 Exit Short 1 775.00 18953.12 0.00 -2253.12 MFE = 775.00 MAE = 0.00 900320 Enter Short 1 21.88 18975.00 0.00 -2253.12 900321 Short 1 178.13 19131.25 0.00 -2253.12 900322 Short 1 -90.62 18862.50 -268.75 -2253.12 900323 Short 1 -9.37 18943.75 -187.50 -2253.12 900326 Short 1 -540.62 18412.50 -718.75 -2253.12 900327 Short 1 -759.38 18193.75 -937.50 -2253.12 900328 Short 1 -821.88 18131.25 -1000.00 -2253.12 900329 Short 1 -1337.50 17615.62 -1515.63 -2253.12 900330 Short 1 -1384.38 17568.75 -1562.50 -2253.12 1550.00 900402 Short 1 -1025.00 17928.12 -1203.13 -2253.12 900403 Short 1 -1093.75 17859.37 -1271.88 -2253.12 900404 Short 1 -1218.75 17734.38 -1396.88 -2253.12 900405 Short 1 -1337.50 17615.62 -1515.63 -2253.12 900406 Short 1 -1228.13 17725.00 -1406.25 -2253.12 900409 Short 1 -1046.88 17906.25 -1225.00 -2253.12 900410 Short 1 -1415.62 17537.50 -1593.75 -2253.12 900411 Short 1 -1334.37 17618.75 -1512.50 -2253.12 900412 Short 1 -1259.37 17693.75 -1437.50 -2253.12 900413 Short 1 -1165.63 17787.50 -1343.75 -2253.12 900416 Short 1 -915.63 18037.50 -1093.75 -2253.12 900417 Short 1 -1118.75 17834.37 -1296.88 -2253.12 900418 Short 1 -1190.62 17762.50 -1368.75 -2253.12 900419 Short 1 -1362.50 17590.62 -1540.63 -2253.12 900420 Short 1 -1165.63 17787.50 -1343.75 -2253.12 900423 Short 1 -1034.37 17918.75 -1212.50 -2253.12 900424 Short 1 -1040.62 17912.50 -1218.75 -2253.12 900425 Short 1 -1206.25 17746.87 -1384.38 -2253.12 900426 Short 1 -1025.00 17928.12 -1203.13 -2253.12 900427 Short 1 -978.13 17975.00 -1156.25 -2253.12 900430 Exit Short 1 -1284.38 17668.75 -1284.38 -2253.12 MFE = 178.13 MAE = -1415.62 900430 Enter Long 1 -15.63 17653.12 -1478.13 -2253.12 -1284.38 900501 Long 1 106.25 17775.00 -1356.25 -2253.12 900502 Long 1 21.87 17690.62 -1440.63 -2253.12 900503 Long 1 -78.12 17590.63 -1540.63 -2253.12 900504 Long 1 687.50 18356.25 -775.00 -2253.12 900507 Exit Long 1 775.00 18443.75 -687.50 -2253.12 MFE = 775.00 MAE = -78.12 900516 Enter Short 1 -493.75 17950.00 -1181.25 -2253.12 900517 Exit Short 1 -893.75 17550.00 -1581.25 -2253.12 MFE = 0.00 MAE = -893.75 900517 Enter Long 1 125.00 17675.00 -1456.25 -2253.12 900518 Long 1 0.00 17550.00 -1581.25 -2253.12 900521 Long 1 -118.75 17431.25 -1700.00 -2253.12 900522 Long 1 46.87 17596.87 -1534.38 -2253.12 900523 Long 1 28.13 17578.13 -1553.13 -2253.12 900524 Long 1 -125.00 17425.00 -1706.25 -2253.12 900525 Long 1 15.63 17565.63 -1565.62 -2253.12 900528 Long 1 140.63 17690.63 -1440.63 -2253.12 900529 Long 1 171.88 17721.88 -1409.38 -2253.12 900530 Long 1 109.37 17659.37 -1471.88 -2253.12 900531 Exit Long 1 -303.12 17246.88 -1884.38 -2253.12 MFE = 171.88 MAE = -303.12 900531 Enter Short 1 87.50 17334.37 -1796.88 -2253.12 -421.87 900601 Short 1 3.12 17250.00 -1881.25 -2253.12 900604 Short 1 18.75 17265.63 -1865.63 -2253.12 900605 Short 1 -184.37 17062.50 -2068.75 -2253.12 900606 Short 1 -203.13 17043.75 -2087.50 -2253.12 900607 Short 1 -231.25 17015.63 -2115.63 -2253.12 900608 Short 1 -106.25 17140.62 -1990.63 -2253.12 900611 Short 1 -153.13 17093.75 -2037.50 -2253.12 900612 Exit Short 1 -418.75 16828.13 -2303.13 -2303.13 MFE = 87.50 MAE = -418.75 900612 Enter Long 1 290.62 17118.75 -2012.50 -2303.13 900613 Long 1 540.63 17368.75 -1762.50 -2303.13 900614 Long 1 446.87 17275.00 -1856.25 -2303.13 900615 Long 1 493.75 17321.87 -1809.38 -2303.13 900618 Long 1 665.62 17493.75 -1637.50 -2303.13 900619 Exit Long 1 775.00 17603.13 -1528.13 -2303.13 MFE = 775.00 MAE = 0.00 356.25 900702 Enter Long 1 512.50 18115.62 -1015.63 -2303.13 900703 Long 1 496.88 18100.00 -1031.25 -2303.13 900704 Exit Long 1 775.00 18378.13 -753.13 -2303.13 MFE = 775.00 MAE = 0.00 900709 Enter Long 1 -18.75 18359.38 -771.88 -2303.13 900710 Long 1 450.00 18828.13 -303.13 -2303.13 900711 Long 1 -315.62 18062.50 -1068.75 -2303.13 900712 Long 1 115.63 18493.75 -637.50 -2303.13 900713 Long 1 -290.62 18087.50 -1043.75 -2303.13 900716 Long 1 -175.00 18203.13 -928.12 -2303.13 900717 Long 1 215.62 18593.75 -537.50 -2303.13 900718 Long 1 215.62 18593.75 -537.50 -2303.13 900719 Long 1 168.75 18546.87 -584.38 -2303.13 900720 Long 1 278.12 18656.25 -475.00 -2303.13 900723 Long 1 481.25 18859.37 -271.88 -2303.13 900724 Long 1 106.25 18484.38 -646.88 -2303.13 900725 Long 1 53.12 18431.25 -700.00 -2303.13 900726 Long 1 168.75 18546.87 -584.38 -2303.13 900727 Exit Long 1 775.00 19153.13 0.00 -2303.13 MFE = 775.00 MAE = -315.62 900731 Enter Long 1 -40.63 19112.50 -40.63 -2303.13 1550.00 900801 Long 1 -275.00 18878.12 -275.00 -2303.13 900802 Long 1 -337.50 18815.62 -337.50 -2303.13 900803 Long 1 -181.25 18971.87 -181.25 -2303.13 900806 Long 1 256.25 19409.38 0.00 -2303.13 900807 Long 1 193.75 19346.88 -62.50 -2303.13 900808 Long 1 162.50 19315.63 -93.75 -2303.13 900809 Long 1 115.62 19268.75 -140.63 -2303.13 900810 Long 1 256.25 19409.38 0.00 -2303.13 900813 Long 1 600.00 19753.12 0.00 -2303.13 900814 Exit Long 1 775.00 19928.13 0.00 -2303.13 MFE = 775.00 MAE = -337.50 900822 Enter Long 1 -121.88 19806.25 0.00 -2303.13 900823 Exit Long 1 775.00 20703.13 0.00 -2303.13 MFE = 775.00 MAE = -121.88 1550.00 900910 Enter Short 1 100.00 20803.12 0.00 -2303.13 900911 Short 1 106.25 20809.38 0.00 -2303.13 900912 Short 1 75.00 20778.12 -31.25 -2303.13 900913 Short 1 -65.62 20637.50 -171.87 -2303.13 900914 Short 1 -1081.25 19621.88 -1187.50 -2303.13 900917 Short 1 -1643.75 19059.38 -1750.00 -2303.13 900918 Exit Short 1 -1825.00 18878.13 -1825.00 -2303.13 MFE = 106.25 MAE = -1825.00 900921 Enter Short 1 -9.38 18868.75 -1940.63 -2303.13 900924 Short 1 -571.88 18306.25 -2503.13 -2503.13 900925 Short 1 -728.13 18150.00 -2659.38 -2659.38 900926 Short 1 -884.38 17993.75 -2815.63 -2815.63 900927 Short 1 -1040.63 17837.50 -2971.88 -2971.88 900928 Short 1 -993.75 17884.38 -2925.00 -2971.88 -1825.00 901001 Exit Short 1 -1825.00 17053.13 -3650.00 -3650.00 MFE = 0.00 MAE = -1825.00 901005 Enter Long 1 487.50 17540.63 -3268.75 -3650.00 901008 Exit Long 1 775.00 17828.13 -2981.25 -3650.00 MFE = 775.00 MAE = 0.00 901024 Enter Long 1 -221.87 17606.25 -3203.12 -3650.00 901025 Long 1 -378.12 17450.00 -3359.37 -3650.00 901026 Long 1 -159.38 17668.75 -3140.63 -3650.00 901029 Long 1 -425.00 17403.13 -3406.25 -3650.00 901030 Long 1 -200.00 17628.13 -3181.25 -3650.00 901031 Long 1 -628.13 17200.00 -3609.38 -3650.00 -1050.00 901101 Long 1 -550.00 17278.13 -3531.25 -3650.00 901102 Long 1 -128.12 17700.00 -3109.37 -3650.00 901105 Long 1 340.63 18168.75 -2640.62 -3650.00 901106 Long 1 59.37 17887.50 -2921.88 -3650.00 901107 Long 1 184.38 18012.50 -2796.87 -3650.00 901108 Long 1 59.37 17887.50 -2921.88 -3650.00 901109 Long 1 90.62 17918.75 -2890.63 -3650.00 901112 Long 1 121.88 17950.00 -2859.37 -3650.00 901113 Long 1 -18.75 17809.38 -3000.00 -3650.00 901114 Long 1 -65.62 17762.50 -3046.88 -3650.00 901115 Long 1 -175.00 17653.13 -3156.25 -3650.00 901116 Long 1 90.62 17918.75 -2890.63 -3650.00 901119 Long 1 350.00 18178.12 -2631.25 -3650.00 901120 Long 1 84.37 17912.50 -2896.88 -3650.00 901121 Long 1 215.62 18043.75 -2765.63 -3650.00 901122 Long 1 231.25 18059.38 -2750.00 -3650.00 901123 Long 1 131.25 17959.37 -2850.00 -3650.00 901126 Long 1 178.12 18006.25 -2803.13 -3650.00 901127 Long 1 590.63 18418.75 -2390.62 -3650.00 901128 Long 1 159.38 17987.50 -2821.88 -3650.00 901129 Exit Long 1 -184.38 17643.75 -3165.63 -3650.00 MFE = 590.63 MAE = -628.13 901129 Enter Short 1 453.13 18096.88 -2712.50 -3650.00 901130 Short 1 453.13 18096.88 -2712.50 -3650.00 -184.38 901203 Exit Short 1 775.00 18418.75 -2390.63 -3650.00 MFE = 775.00 MAE = 0.00 901220 Exit Short 1 775.00 19193.75 -1615.63 -3650.00 MFE = 775.00 MAE = 0.00 1550.00 910107 Enter Short 1 -46.88 19146.87 -1662.50 -3650.00 910108 Short 1 128.13 19321.88 -1487.50 -3650.00 910109 Short 1 81.25 19275.00 -1534.37 -3650.00 910110 Short 1 -356.25 18837.50 -1971.88 -3650.00 910111 Short 1 -190.62 19003.13 -1806.25 -3650.00 910114 Short 1 -75.00 19118.75 -1690.62 -3650.00 910115 Short 1 -215.62 18978.13 -1831.25 -3650.00 910116 Short 1 -90.63 19103.12 -1706.25 -3650.00 910117 Exit Short 1 -843.75 18350.00 -2459.38 -3650.00 MFE = 128.13 MAE = -843.75 910117 Enter Long 1 171.88 18521.88 -2287.50 -3650.00 910118 Exit Long 1 775.00 19125.00 -1684.38 -3650.00 MFE = 775.00 MAE = 0.00 -68.75 910201 Enter Long 1 -96.87 19028.13 -1781.25 -3650.00 910204 Long 1 65.63 19190.63 -1618.75 -3650.00 910205 Long 1 403.13 19528.13 -1281.25 -3650.00 910206 Exit Long 1 775.00 19900.00 -909.38 -3650.00 MFE = 775.00 MAE = -96.87 910225 Enter Short 1 56.25 19956.25 -853.13 -3650.00 910226 Short 1 259.37 20159.37 -650.00 -3650.00 910227 Short 1 306.25 20206.25 -603.13 -3650.00 910228 Short 1 493.75 20393.75 -415.62 -3650.00 775.00 910301 Exit Short 1 775.00 20675.00 -134.38 -3650.00 MFE = 775.00 MAE = 0.00 910308 Enter Short 1 278.13 20953.13 0.00 -3650.00 910311 Exit Short 1 775.00 21450.00 0.00 -3650.00 MFE = 775.00 MAE = 0.00 910315 Enter Short 1 450.00 21900.00 0.00 -3650.00 910318 Exit Short 1 775.00 22225.00 0.00 -3650.00 MFE = 775.00 MAE = 0.00 910319 Enter Short 1 -384.38 21840.62 -59.37 -3650.00 910320 Short 1 -587.50 21637.50 -262.50 -3650.00 910321 Short 1 -962.50 21262.50 -637.50 -3650.00 910322 Short 1 -493.75 21731.25 -168.75 -3650.00 910325 Short 1 584.38 22809.38 0.00 -3650.00 910326 Exit Short 1 775.00 23000.00 0.00 -3650.00 MFE = 775.00 MAE = -962.50 3100.00 910402 Enter Short 1 -915.63 22084.37 -725.00 -3650.00 910403 Short 1 -728.12 22271.88 -537.50 -3650.00 910404 Short 1 -1118.75 21881.25 -928.13 -3650.00 910405 Short 1 -587.50 22412.50 -396.87 -3650.00 910408 Short 1 -531.25 22468.75 -340.63 -3650.00 910409 Short 1 -1406.25 21593.75 -1215.63 -3650.00 910410 Short 1 -796.87 22203.13 -606.25 -3650.00 910411 Short 1 -1306.25 21693.75 -1115.62 -3650.00 910412 Short 1 -931.25 22068.75 -740.63 -3650.00 910415 Short 1 -1384.38 21615.62 -1193.75 -3650.00 910416 Short 1 -1275.00 21725.00 -1084.38 -3650.00 910417 Short 1 -1165.63 21834.37 -975.00 -3650.00 910418 Short 1 -71.87 22928.13 0.00 -3650.00 910419 Exit Short 1 775.00 23775.00 0.00 -3650.00 MFE = 775.00 MAE = -1406.25 910429 Enter Short 1 -862.50 22912.50 -15.62 -3650.00 910430 Exit Short 1 -1756.25 22018.75 -1756.25 -3650.00 MFE = 0.00 MAE = -1756.25 910430 Enter Long 1 250.00 22268.75 -659.37 -3650.00 -981.25 910501 Long 1 -109.37 21909.38 -1018.75 -3650.00 910502 Long 1 -218.75 21800.00 -1128.12 -3650.00 910503 Long 1 -1009.37 21009.38 -1918.75 -3650.00 910506 Long 1 -468.75 21550.00 -1378.12 -3650.00 910507 Long 1 46.88 22065.63 -862.50 -3650.00 910508 Long 1 -196.87 21821.88 -1106.25 -3650.00 910509 Long 1 -171.88 21846.87 -1081.25 -3650.00 910510 Long 1 -31.25 21987.50 -940.63 -3650.00 910513 Long 1 250.00 22268.75 -659.37 -3650.00 910514 Long 1 625.00 22643.75 -284.38 -3650.00 910515 Exit Long 1 775.00 22793.75 -981.25 -3650.00 MFE = 775.00 MAE = -1009.37 910517 Enter Short 1 440.63 23234.38 0.00 -3650.00 910520 Short 1 228.12 23021.87 -212.50 -3650.00 910521 Short 1 -425.00 22368.75 -865.63 -3650.00 910522 Short 1 -121.87 22671.88 -562.50 -3650.00 910523 Short 1 -318.75 22475.00 -759.37 -3650.00 910524 Short 1 -356.25 22437.50 -796.88 -3650.00 910527 Short 1 -365.62 22428.13 -806.25 -3650.00 910528 Short 1 -762.50 22031.25 -1203.12 -3650.00 910529 Short 1 -106.25 22687.50 -546.88 -3650.00 910530 Short 1 300.00 23093.75 -140.63 -3650.00 910531 Exit Short 1 775.00 23568.75 -206.25 -3650.00 MFE = 775.00 MAE = -762.50 1550.00 910607 Enter Short 1 -121.88 23446.87 0.00 -3650.00 910610 Short 1 -131.25 23437.50 -9.37 -3650.00 910611 Short 1 268.75 23837.50 0.00 -3650.00 910612 Short 1 696.88 24265.63 0.00 -3650.00 910613 Exit Short 1 775.00 24343.75 0.00 -3650.00 MFE = 775.00 MAE = -131.25 775.00 910712 Enter Long 1 453.12 24796.87 0.00 -3650.00 910715 Long 1 540.62 24884.37 0.00 -3650.00 910716 Long 1 265.63 24609.38 -275.00 -3650.00 910717 Long 1 437.50 24781.25 -103.12 -3650.00 910718 Exit Long 1 775.00 25118.75 0.00 -3650.00 MFE = 775.00 MAE = 0.00 775.00 910802 Enter Long 1 -6.25 25112.50 -6.25 -3650.00 910805 Long 1 618.75 25737.50 0.00 -3650.00 910806 Exit Long 1 775.00 25893.75 0.00 -3650.00 MFE = 775.00 MAE = -6.25 910819 Enter Short 1 225.00 26118.75 0.00 -3650.00 910820 Short 1 -400.00 25493.75 -625.00 -3650.00 910821 Exit Short 1 -1825.00 24068.75 -1825.00 -3650.00 MFE = 225.00 MAE = -1825.00 -1050.00 910906 Enter Long 1 303.12 24371.87 -1746.88 -3650.00 910909 Exit Long 1 775.00 24843.75 -1275.00 -3650.00 MFE = 775.00 MAE = 0.00 910917 Enter Long 1 -143.75 24700.00 -1418.75 -3650.00 910918 Exit Long 1 -756.25 24087.50 -2031.25 -3650.00 MFE = 0.00 MAE = -756.25 910918 Enter Short 1 -134.37 23953.13 -2165.62 -3650.00 910919 Short 1 -150.00 23937.50 -2181.25 -3650.00 910920 Short 1 -250.00 23837.50 -2281.25 -3650.00 910923 Exit Short 1 -621.88 23465.63 -2653.12 -3650.00 MFE = 0.00 MAE = -621.88 910923 Enter Long 1 37.50 23503.12 -2615.62 -3650.00 910924 Long 1 -493.75 22971.88 -3146.87 -3650.00 910925 Long 1 -212.50 23253.12 -2865.62 -3650.00 910926 Long 1 -415.63 23050.00 -3068.75 -3650.00 910927 Long 1 21.88 23487.50 -2631.25 -3650.00 910930 Long 1 193.75 23659.37 -2459.37 -3650.00 -603.13 911001 Long 1 106.25 23571.88 -2546.87 -3650.00 911002 Long 1 225.00 23690.63 -2428.12 -3650.00 911003 Long 1 293.75 23759.38 -2359.37 -3650.00 911004 Long 1 -165.63 23300.00 -2818.75 -3650.00 911007 Long 1 -243.75 23221.88 -2896.87 -3650.00 911008 Exit Long 1 -815.63 22650.00 -3468.75 -3650.00 MFE = 293.75 MAE = -815.63 911008 Enter Short 1 484.37 23134.37 -2984.38 -3650.00 911009 Short 1 -31.25 22618.75 -3500.00 -3650.00 911010 Short 1 109.37 22759.37 -3359.37 -3650.00 911011 Short 1 -171.87 22478.13 -3640.62 -3650.00 911014 Short 1 140.63 22790.63 -3328.12 -3650.00 911015 Short 1 546.88 23196.88 -2921.87 -3650.00 911016 Short 1 328.12 22978.12 -3140.63 -3650.00 911017 Short 1 -21.88 22628.12 -3490.62 -3650.00 911018 Short 1 -265.62 22384.38 -3734.37 -3734.37 911021 Short 1 15.62 22665.62 -3453.13 -3734.37 911022 Short 1 250.00 22900.00 -3218.75 -3734.37 911023 Short 1 578.12 23228.12 -2890.63 -3734.37 911024 Short 1 218.75 22868.75 -3250.00 -3734.37 911025 Short 1 153.12 22803.12 -3315.62 -3734.37 911028 Exit Short 1 775.00 23425.00 -2693.75 -3734.37 MFE = 775.00 MAE = -265.62 911029 Enter Long 1 387.50 23812.50 -2306.25 -3734.37 911030 Exit Long 1 775.00 24200.00 -1918.75 -3734.37 MFE = 775.00 MAE = 0.00 734.38 911115 Enter Long 1 -25.00 24175.00 -1943.75 -3734.37 911118 Long 1 53.12 24253.12 -1865.63 -3734.37 911119 Long 1 350.00 24550.00 -1568.75 -3734.37 911120 Long 1 350.00 24550.00 -1568.75 -3734.37 911121 Long 1 131.25 24331.25 -1787.50 -3734.37 911122 Long 1 225.00 24425.00 -1693.75 -3734.37 911125 Long 1 209.37 24409.37 -1709.38 -3734.37 911126 Exit Long 1 -168.75 24031.25 -2087.50 -3734.37 MFE = 350.00 MAE = -168.75 -168.75 911205 Enter Long 1 -15.62 24015.63 -2103.12 -3734.37 911206 Long 1 578.12 24609.37 -1509.37 -3734.37 911209 Long 1 421.87 24453.12 -1665.62 -3734.37 911210 Long 1 281.25 24312.50 -1806.25 -3734.37 911211 Long 1 312.50 24343.75 -1775.00 -3734.37 911212 Long 1 281.25 24312.50 -1806.25 -3734.37 911213 Long 1 562.50 24593.75 -1525.00 -3734.37 911216 Exit Long 1 775.00 24806.25 -1312.50 -3734.37 MFE = 775.00 MAE = -15.62 911220 Enter Long 1 259.38 25065.63 -1053.12 -3734.37 911223 Exit Long 1 775.00 25581.25 -537.50 -3734.37 MFE = 775.00 MAE = 0.00 1550.00 920102 Enter Long 1 -490.62 25090.63 -1028.12 -3734.37 920103 Exit Long 1 -1100.00 24481.25 -1637.50 -3734.37 MFE = 0.00 MAE = -1100.00 920106 Enter Long 1 393.75 24875.00 -1243.75 -3734.37 920107 Long 1 456.25 24937.50 -1181.25 -3734.37 920108 Long 1 253.13 24734.38 -1384.37 -3734.37 920109 Exit Long 1 -818.75 23662.50 -2456.25 -3734.37 MFE = 456.25 MAE = -818.75 920123 Enter Short 1 -359.38 23303.12 -2815.62 -3734.37 920124 Short 1 -687.50 22975.00 -3143.75 -3734.37 920127 Short 1 -290.62 23371.88 -2746.87 -3734.37 920128 Short 1 -578.12 23084.38 -3034.37 -3734.37 920129 Short 1 -781.25 22881.25 -3237.50 -3734.37 920130 Short 1 -250.00 23412.50 -2706.25 -3734.37 920131 Short 1 -375.00 23287.50 -2831.25 -3734.37 -1918.75 920203 Short 1 -696.88 22965.62 -3153.12 -3734.37 920204 Short 1 -906.25 22756.25 -3362.50 -3734.37 920205 Short 1 -1343.75 22318.75 -3800.00 -3800.00 920206 Short 1 -1484.38 22178.12 -3940.62 -3940.62 920207 Exit Short 1 -1825.00 21837.50 -4281.25 -4281.25 MFE = 0.00 MAE = -1825.00 920211 Enter Short 1 -46.87 21790.63 -4328.12 -4328.12 920212 Short 1 281.25 22118.75 -4000.00 -4328.12 920213 Exit Short 1 775.00 22612.50 -3506.25 -4328.12 MFE = 775.00 MAE = -46.87 -1050.00 920303 Enter Short 1 -103.12 22509.38 -3609.37 -4328.12 920304 Short 1 287.50 22900.00 -3218.75 -4328.12 920305 Exit Short 1 775.00 23387.50 -2731.25 -4328.12 MFE = 775.00 MAE = -103.12 920312 Enter Short 1 -71.88 23315.62 -2803.12 -4328.12 920313 Short 1 125.00 23512.50 -2606.25 -4328.12 920316 Short 1 -328.12 23059.38 -3059.37 -4328.12 920317 Exit Short 1 -806.25 22581.25 -3537.50 -4328.12 MFE = 125.00 MAE = -806.25 920319 Enter Short 1 -71.87 22509.38 -3609.37 -4328.12 920320 Short 1 -93.75 22487.50 -3631.25 -4328.12 920323 Short 1 -312.50 22268.75 -3850.00 -4328.12 920324 Short 1 -281.25 22300.00 -3818.75 -4328.12 920325 Short 1 -687.50 21893.75 -4225.00 -4328.12 920326 Short 1 -453.12 22128.13 -3990.62 -4328.12 920327 Short 1 -1031.25 21550.00 -4568.75 -4568.75 920330 Short 1 -812.50 21768.75 -4350.00 -4568.75 920331 Short 1 -828.12 21753.13 -4365.62 -4568.75 -31.25 920401 Short 1 -500.00 22081.25 -4037.50 -4568.75 920402 Short 1 -662.50 21918.75 -4200.00 -4568.75 920403 Exit Short 1 -1100.00 21481.25 -4637.50 -4637.50 MFE = 0.00 MAE = -1100.00 920403 Enter Long 1 -3.12 21478.13 -4640.62 -4640.62 920406 Long 1 81.25 21562.50 -4556.25 -4640.62 920407 Long 1 193.75 21675.00 -4443.75 -4640.62 920408 Long 1 153.13 21634.38 -4484.37 -4640.62 920409 Long 1 550.00 22031.25 -4087.50 -4640.62 920410 Exit Long 1 775.00 22256.25 -3862.50 -4640.62 MFE = 775.00 MAE = -3.12 920422 Enter Long 1 -68.75 22187.50 -3931.25 -4640.62 920423 Long 1 93.75 22350.00 -3768.75 -4640.62 920424 Long 1 290.62 22546.87 -3571.87 -4640.62 920427 Long 1 368.75 22625.00 -3493.75 -4640.62 920428 Long 1 384.37 22640.62 -3478.12 -4640.62 920429 Long 1 212.50 22468.75 -3650.00 -4640.62 920430 Long 1 462.50 22718.75 -3400.00 -4640.62 -325.00 920501 Long 1 681.25 22937.50 -3181.25 -4640.62 920504 Long 1 431.25 22687.50 -3431.25 -4640.62 920505 Long 1 696.87 22953.12 -3165.62 -4640.62 920506 Exit Long 1 775.00 23031.25 -3087.50 -4640.62 MFE = 775.00 MAE = -68.75 920512 Enter Long 1 6.25 23037.50 -3081.25 -4640.62 920513 Long 1 443.75 23475.00 -2643.75 -4640.62 920514 Long 1 84.37 23115.62 -3003.12 -4640.62 920515 Long 1 318.75 23350.00 -2768.75 -4640.62 920518 Exit Long 1 775.00 23806.25 -2312.50 -4640.62 MFE = 775.00 MAE = 0.00 920527 Enter Short 1 209.37 24015.62 -2103.13 -4640.62 920528 Short 1 -71.87 23734.38 -2384.37 -4640.62 920529 Exit Short 1 -643.75 23162.50 -2956.25 -4640.62 MFE = 209.37 MAE = -643.75 920529 Enter Long 1 171.87 23334.37 -2784.37 -4640.62 906.25 920601 Long 1 109.38 23271.88 -2846.87 -4640.62 920602 Long 1 -321.88 22840.62 -3278.12 -4640.62 920603 Long 1 -125.00 23037.50 -3081.25 -4640.62 920604 Long 1 218.75 23381.25 -2737.50 -4640.62 920605 Long 1 296.88 23459.38 -2659.37 -4640.62 920608 Long 1 384.38 23546.88 -2571.87 -4640.62 920609 Long 1 328.12 23490.62 -2628.12 -4640.62 920610 Long 1 375.00 23537.50 -2581.25 -4640.62 920611 Exit Long 1 775.00 23937.50 -2181.25 -4640.62 MFE = 775.00 MAE = -321.88 920624 Enter Long 1 62.50 24000.00 -2118.75 -4640.62 920625 Long 1 581.25 24518.75 -1600.00 -4640.62 920626 Long 1 546.87 24484.37 -1634.37 -4640.62 920629 Exit Long 1 775.00 24712.50 -1406.25 -4640.62 MFE = 775.00 MAE = 0.00 1550.00 920702 Enter Long 1 -78.13 24634.37 -1484.37 -4640.62 920703 Long 1 -531.25 24181.25 -1937.50 -4640.62 920706 Long 1 -500.00 24212.50 -1906.25 -4640.62 920707 Long 1 250.00 24962.50 -1156.25 -4640.62 920708 Long 1 78.12 24790.62 -1328.12 -4640.62 920709 Long 1 -781.25 23931.25 -2187.50 -4640.62 920710 Long 1 -203.12 24509.38 -1609.37 -4640.62 920713 Long 1 171.87 24884.37 -1234.37 -4640.62 920714 Long 1 -187.50 24525.00 -1593.75 -4640.62 920715 Long 1 -109.37 24603.13 -1515.62 -4640.62 920716 Long 1 406.25 25118.75 -1000.00 -4640.62 920717 Exit Long 1 775.00 25487.50 -631.25 -4640.62 MFE = 775.00 MAE = -781.25 775.00 920805 Enter Short 1 18.75 25506.25 -612.50 -4640.62 920806 Short 1 -231.25 25256.25 -862.50 -4640.62 920807 Exit Short 1 -718.75 24768.75 -1350.00 -4640.62 MFE = 18.75 MAE = -718.75 920807 Enter Long 1 6.25 24775.00 -1343.75 -4640.62 920810 Long 1 59.37 24828.12 -1290.63 -4640.62 920811 Long 1 -9.37 24759.38 -1359.37 -4640.62 920812 Long 1 6.25 24775.00 -1343.75 -4640.62 920813 Long 1 112.50 24881.25 -1237.50 -4640.62 920814 Exit Long 1 -468.75 24300.00 -1818.75 -4640.62 MFE = 112.50 MAE = -468.75 920814 Enter Short 1 -200.00 24100.00 -2018.75 -4640.62 920817 Short 1 -284.37 24015.63 -2103.12 -4640.62 920818 Short 1 -443.75 23856.25 -2262.50 -4640.62 920819 Short 1 -590.63 23709.37 -2409.38 -4640.62 920820 Short 1 -746.88 23553.12 -2565.63 -4640.62 920821 Exit Short 1 -1331.25 22968.75 -3150.00 -4640.62 MFE = 0.00 MAE = -1331.25 920821 Enter Long 1 -12.50 22956.25 -3162.50 -4640.62 920824 Exit Long 1 775.00 23743.75 -2375.00 -4640.62 MFE = 775.00 MAE = -12.50 -1743.75 920901 Enter Long 1 65.62 23809.37 -2309.38 -4640.62 920902 Long 1 -59.38 23684.37 -2434.38 -4640.62 920903 Long 1 -559.37 23184.38 -2934.37 -4640.62 920904 Long 1 -106.25 23637.50 -2481.25 -4640.62 920907 Long 1 -168.75 23575.00 -2543.75 -4640.62 920908 Long 1 143.75 23887.50 -2231.25 -4640.62 920909 Long 1 -903.13 22840.62 -3278.12 -4640.62 920910 Long 1 -1403.13 22340.62 -3778.13 -4640.62 920911 Exit Long 1 -1825.00 21918.75 -4200.00 -4640.62 MFE = 143.75 MAE = -1825.00 920914 Enter Short 1 -812.50 21106.25 -5012.50 -5012.50 920915 Short 1 381.25 22300.00 -3818.75 -5012.50 920916 Exit Short 1 775.00 22693.75 -3425.00 -5012.50 MFE = 775.00 MAE = -812.50 -1050.00 921001 Exit Short 1 775.00 23468.75 -2650.00 -5012.50 MFE = 775.00 MAE = 0.00 921002 Exit Short 1 775.00 24243.75 -1875.00 -5012.50 MFE = 775.00 MAE = 0.00 921005 Enter Short 1 -21.88 24221.87 -1896.87 -5012.50 921006 Short 1 -21.88 24221.87 -1896.87 -5012.50 921007 Short 1 56.25 24300.00 -1818.75 -5012.50 921008 Exit Short 1 775.00 25018.75 -1100.00 -5012.50 MFE = 775.00 MAE = -21.88 921015 Enter Short 1 115.62 25134.37 -984.38 -5012.50 921016 Exit Short 1 775.00 25793.75 -325.00 -5012.50 MFE = 775.00 MAE = 0.00 921019 Enter Short 1 125.00 25918.75 -200.00 -5012.50 921020 Short 1 31.25 25825.00 -293.75 -5012.50 921021 Short 1 671.87 26465.62 0.00 -5012.50 921022 Short 1 62.50 25856.25 -609.38 -5012.50 921023 Short 1 93.75 25887.50 -578.12 -5012.50 921026 Exit Short 1 775.00 26568.75 0.00 -5012.50 MFE = 775.00 MAE = 0.00 3875.00 921102 Enter Short 1 121.88 26690.63 0.00 -5012.50 921103 Short 1 -418.75 26150.00 -540.63 -5012.50 921104 Short 1 -246.88 26321.87 -368.75 -5012.50 921105 Short 1 43.75 26612.50 -78.13 -5012.50 921106 Short 1 231.25 26800.00 0.00 -5012.50 921109 Exit Short 1 775.00 27343.75 0.00 -5012.50 MFE = 775.00 MAE = -418.75 921116 Enter Short 1 100.00 27443.75 0.00 -5012.50 921117 Short 1 162.50 27506.25 0.00 -5012.50 921118 Short 1 65.63 27409.38 -96.88 -5012.50 921119 Short 1 -362.50 26981.25 -525.00 -5012.50 921120 Short 1 506.25 27850.00 0.00 -5012.50 921123 Short 1 193.75 27537.50 -312.50 -5012.50 921124 Short 1 68.75 27412.50 -437.50 -5012.50 921125 Short 1 21.88 27365.63 -484.37 -5012.50 921126 Short 1 178.13 27521.88 -328.12 -5012.50 921127 Short 1 490.62 27834.38 -15.62 -5012.50 921130 Exit Short 1 775.00 28118.75 0.00 -5012.50 MFE = 775.00 MAE = -362.50 1550.00 921201 Enter Long 1 428.13 28546.88 0.00 -5012.50 921202 Long 1 568.75 28687.50 0.00 -5012.50 921203 Exit Long 1 775.00 28893.75 0.00 -5012.50 MFE = 775.00 MAE = 0.00 921222 Enter Short 1 87.50 28981.25 0.00 -5012.50 921223 Short 1 384.37 29278.12 0.00 -5012.50 921224 Short 1 415.63 29309.38 0.00 -5012.50 921225 Short 1 540.62 29434.37 0.00 -5012.50 921228 Exit Short 1 775.00 29668.75 0.00 -5012.50 MFE = 775.00 MAE = 0.00 1550.00 930105 Exit Long 1 775.00 30443.75 0.00 -5012.50 MFE = 775.00 MAE = 0.00 930121 Enter Short 1 190.63 30634.38 0.00 -5012.50 930122 Short 1 -59.37 30384.38 -250.00 -5012.50 930125 Exit Short 1 -806.25 29637.50 -806.25 -5012.50 MFE = 190.63 MAE = -806.25 930125 Enter Long 1 106.25 29743.75 -890.63 -5012.50 930126 Long 1 -456.25 29181.25 -1453.13 -5012.50 930127 Exit Long 1 -1393.75 28243.75 -2200.00 -5012.50 MFE = 106.25 MAE = -1393.75 930127 Enter Short 1 -21.87 28221.88 -2412.50 -5012.50 930128 Short 1 -178.12 28065.63 -2568.75 -5012.50 930129 Exit Short 1 775.00 29018.75 -1615.63 -5012.50 MFE = 775.00 MAE = -178.12 -650.00 930209 Enter Short 1 -262.50 28756.25 -1878.13 -5012.50 930210 Short 1 -65.62 28953.13 -1681.25 -5012.50 930211 Short 1 106.25 29125.00 -1509.38 -5012.50 930212 Short 1 28.12 29046.87 -1587.50 -5012.50 930215 Short 1 59.38 29078.13 -1556.25 -5012.50 930216 Exit Short 1 -750.00 28268.75 -2365.63 -5012.50 MFE = 106.25 MAE = -750.00 930224 Enter Short 1 315.62 28584.37 -2050.00 -5012.50 930225 Short 1 228.12 28496.87 -2137.50 -5012.50 930226 Short 1 471.87 28740.62 -1893.75 -5012.50 -750.00 930301 Short 1 12.50 28281.25 -2353.13 -5012.50 930302 Short 1 -262.50 28006.25 -2628.13 -5012.50 930303 Short 1 -340.63 27928.12 -2706.25 -5012.50 930304 Short 1 -490.63 27778.12 -2856.25 -5012.50 930305 Short 1 -184.38 28084.37 -2550.00 -5012.50 930308 Short 1 -75.00 28193.75 -2440.62 -5012.50 930309 Short 1 -12.50 28256.25 -2378.13 -5012.50 930310 Short 1 206.25 28475.00 -2159.38 -5012.50 930311 Short 1 268.75 28537.50 -2096.88 -5012.50 930312 Short 1 221.87 28490.62 -2143.75 -5012.50 930315 Short 1 134.37 28403.12 -2231.25 -5012.50 930316 Exit Short 1 -262.50 28006.25 -2628.13 -5012.50 MFE = 471.87 MAE = -490.63 930316 Enter Long 1 40.62 28046.87 -2587.50 -5012.50 930317 Long 1 181.25 28187.50 -2446.88 -5012.50 930318 Exit Long 1 775.00 28781.25 -1853.13 -5012.50 MFE = 775.00 MAE = 0.00 930326 Enter Long 1 -93.75 28687.50 -1946.88 -5012.50 930329 Long 1 56.25 28837.50 -1796.88 -5012.50 930330 Long 1 96.87 28878.12 -1756.25 -5012.50 930331 Long 1 775.00 29556.25 -1078.13 -5012.50 512.50 930401 Exit Long 1 775.00 29556.25 -1078.13 -5012.50 MFE = 775.00 MAE = -93.75 930412 Enter Long 1 246.87 29803.12 -831.25 -5012.50 930413 Long 1 621.88 30178.13 -456.25 -5012.50 930414 Long 1 450.00 30006.25 -628.13 -5012.50 930415 Long 1 -34.37 29521.88 -1112.50 -5012.50 930416 Long 1 -425.00 29131.25 -1503.13 -5012.50 930419 Long 1 81.25 29637.50 -996.88 -5012.50 930420 Long 1 268.75 29825.00 -809.38 -5012.50 930421 Long 1 28.12 29584.38 -1050.00 -5012.50 930422 Long 1 762.50 30318.75 -315.63 -5012.50 930423 Exit Long 1 775.00 30331.25 -303.13 -5012.50 MFE = 775.00 MAE = -425.00 1550.00 930510 Enter Short 1 481.25 30812.50 0.00 -5012.50 930511 Short 1 225.00 30556.25 -256.25 -5012.50 930512 Short 1 450.00 30781.25 -31.25 -5012.50 930513 Exit Short 1 775.00 31106.25 0.00 -5012.50 MFE = 775.00 MAE = 0.00 775.00 930602 Enter Short 1 -6.25 31100.00 -6.25 -5012.50 930603 Short 1 -256.25 30850.00 -256.25 -5012.50 930604 Exit Short 1 775.00 31881.25 0.00 -5012.50 MFE = 775.00 MAE = -256.25 930616 Enter Short 1 -121.87 31759.38 -121.87 -5012.50 930617 Short 1 -390.63 31490.62 -390.63 -5012.50 930618 Short 1 125.00 32006.25 0.00 -5012.50 930621 Short 1 406.25 32287.50 0.00 -5012.50 930622 Exit Short 1 775.00 32656.25 0.00 -5012.50 MFE = 775.00 MAE = -390.63 930629 Enter Long 1 -53.12 32603.13 0.00 -5012.50 930630 Long 1 -787.50 31868.75 -734.38 -5012.50 1550.00 930701 Long 1 65.62 32721.87 0.00 -5012.50 930702 Long 1 -225.00 32431.25 -290.62 -5012.50 930705 Long 1 -156.25 32500.00 -221.87 -5012.50 930706 Long 1 -365.62 32290.63 -431.25 -5012.50 930707 Long 1 -631.25 32025.00 -696.88 -5012.50 930708 Long 1 -553.12 32103.13 -618.75 -5012.50 930709 Long 1 -1068.75 31587.50 -1134.37 -5012.50 930712 Long 1 -1178.12 31478.13 -1243.75 -5012.50 930713 Long 1 -537.50 32118.75 -603.12 -5012.50 930714 Long 1 -390.62 32265.63 -456.25 -5012.50 930715 Long 1 -818.75 31837.50 -884.37 -5012.50 930716 Long 1 -881.25 31775.00 -946.88 -5012.50 930719 Long 1 -490.63 32165.62 -556.25 -5012.50 930720 Long 1 -75.00 32581.25 -140.62 -5012.50 930721 Long 1 31.25 32687.50 -34.37 -5012.50 930722 Long 1 -46.88 32609.37 -112.50 -5012.50 930723 Long 1 -318.75 32337.50 -384.38 -5012.50 930726 Long 1 -396.87 32259.38 -462.50 -5012.50 930727 Long 1 -818.75 31837.50 -884.37 -5012.50 930728 Long 1 -600.00 32056.25 -665.62 -5012.50 930729 Long 1 -1068.75 31587.50 -1134.37 -5012.50 930730 Long 1 -1021.87 31634.38 -1087.50 -5012.50 0.00 930802 Long 1 -396.87 32259.38 -462.50 -5012.50 930803 Long 1 -443.75 32212.50 -509.37 -5012.50 930804 Long 1 -412.50 32243.75 -478.12 -5012.50 930805 Long 1 -587.50 32068.75 -653.13 -5012.50 930806 Long 1 -506.25 32150.00 -571.87 -5012.50 930809 Long 1 -725.00 31931.25 -790.62 -5012.50 930810 Exit Long 1 -1150.00 31506.25 -1150.00 -5012.50 MFE = 65.62 MAE = -1178.12 930810 Enter Short 1 356.25 31862.50 -859.37 -5012.50 930811 Short 1 209.37 31715.62 -1006.25 -5012.50 930812 Short 1 412.50 31918.75 -803.12 -5012.50 930813 Short 1 600.00 32106.25 -615.62 -5012.50 930816 Exit Short 1 -309.37 31196.88 -1459.37 -5012.50 MFE = 600.00 MAE = -309.37 930816 Enter Long 1 62.50 31259.38 -1462.50 -5012.50 930817 Long 1 21.88 31218.75 -1503.12 -5012.50 930818 Exit Long 1 775.00 31971.88 -750.00 -5012.50 MFE = 775.00 MAE = 0.00 930826 Enter Long 1 3.13 31975.00 -746.87 -5012.50 930827 Long 1 -231.25 31740.62 -981.25 -5012.50 930830 Long 1 -571.88 31400.00 -1321.87 -5012.50 930831 Long 1 -618.75 31353.12 -1368.75 -5012.50 -684.37 930901 Long 1 -231.25 31740.62 -981.25 -5012.50 930902 Long 1 -278.13 31693.75 -1028.12 -5012.50 930903 Long 1 596.87 32568.75 -153.12 -5012.50 930906 Exit Long 1 775.00 32746.88 0.00 -5012.50 MFE = 775.00 MAE = -618.75 930916 Enter Short 1 40.63 32787.50 0.00 -5012.50 930917 Short 1 40.63 32787.50 0.00 -5012.50 930920 Short 1 40.63 32787.50 0.00 -5012.50 930921 Exit Short 1 775.00 33521.88 0.00 -5012.50 MFE = 775.00 MAE = 0.00 930930 Enter Short 1 -12.50 33509.38 0.00 -5012.50 1550.00 931001 Short 1 -340.62 33181.25 -328.12 -5012.50 931004 Exit Short 1 -821.87 32700.00 -821.87 -5012.50 MFE = 0.00 MAE = -821.87 931004 Enter Long 1 -168.75 32531.25 -978.12 -5012.50 931005 Long 1 -125.00 32575.00 -934.37 -5012.50 931006 Long 1 134.37 32834.38 -675.00 -5012.50 931007 Long 1 75.00 32775.00 -734.37 -5012.50 931008 Long 1 434.38 33134.38 -375.00 -5012.50 931011 Long 1 334.37 33034.37 -475.00 -5012.50 931012 Long 1 403.12 33103.12 -406.25 -5012.50 931013 Long 1 43.75 32743.75 -765.63 -5012.50 931014 Exit Long 1 -281.25 32418.75 -1103.12 -5012.50 MFE = 434.38 MAE = -281.25 931014 Enter Short 1 -81.25 32337.50 -1171.88 -5012.50 931015 Short 1 43.75 32462.50 -1046.87 -5012.50 931018 Exit Short 1 775.00 33193.75 -315.62 -5012.50 MFE = 775.00 MAE = -81.25 -328.12 931109 Enter Short 1 128.12 33321.87 -187.50 -5012.50 931110 Short 1 -200.00 32993.75 -515.62 -5012.50 931111 Short 1 -75.00 33118.75 -390.63 -5012.50 931112 Exit Short 1 -650.00 32543.75 -965.62 -5012.50 MFE = 128.12 MAE = -650.00 931112 Enter Long 1 -3.13 32540.62 -968.75 -5012.50 931115 Long 1 -118.75 32425.00 -1084.37 -5012.50 931116 Long 1 -384.38 32159.37 -1350.00 -5012.50 931117 Long 1 -418.75 32125.00 -1384.37 -5012.50 931118 Long 1 -550.00 31993.75 -1515.62 -5012.50 931119 Long 1 -612.50 31931.25 -1578.12 -5012.50 931122 Long 1 -525.00 32018.75 -1490.62 -5012.50 931123 Long 1 -237.50 32306.25 -1203.12 -5012.50 931124 Long 1 -143.75 32400.00 -1109.37 -5012.50 931125 Long 1 -140.62 32403.13 -1106.25 -5012.50 931126 Long 1 -440.62 32103.13 -1406.25 -5012.50 931129 Long 1 -96.87 32446.88 -1062.50 -5012.50 931130 Long 1 -221.88 32321.87 -1187.50 -5012.50 -650.00 931201 Long 1 -487.50 32056.25 -1453.12 -5012.50 931202 Long 1 -284.37 32259.38 -1250.00 -5012.50 931203 Long 1 -65.63 32478.12 -1031.25 -5012.50 931206 Long 1 353.13 32896.88 -612.50 -5012.50 931207 Long 1 -3.13 32540.62 -968.75 -5012.50 931208 Long 1 59.38 32603.13 -906.25 -5012.50 931209 Long 1 43.75 32587.50 -921.88 -5012.50 931210 Long 1 93.75 32637.50 -871.88 -5012.50 931213 Long 1 -96.87 32446.88 -1062.50 -5012.50 931214 Long 1 -153.13 32390.62 -1118.75 -5012.50 931215 Exit Long 1 -487.50 32056.25 -1453.12 -5012.50 MFE = 353.13 MAE = -612.50 931215 Enter Short 1 -21.88 32034.37 -1475.00 -5012.50 931216 Short 1 -296.88 31759.37 -1750.00 -5012.50 931217 Short 1 -256.25 31800.00 -1709.37 -5012.50 931220 Short 1 -256.25 31800.00 -1709.37 -5012.50 931221 Short 1 -318.75 31737.50 -1771.88 -5012.50 931222 Short 1 -584.38 31471.87 -2037.50 -5012.50 931223 Exit Short 1 -890.63 31165.63 -2343.75 -5012.50 MFE = 0.00 MAE = -890.63 931223 Enter Long 1 -78.12 31087.50 -2421.87 -5012.50 931224 Long 1 -78.12 31087.50 -2421.87 -5012.50 931227 Long 1 -46.88 31118.75 -2390.63 -5012.50 931228 Long 1 75.00 31240.63 -2268.75 -5012.50 931229 Exit Long 1 -428.12 30737.50 -2771.87 -5012.50 MFE = 75.00 MAE = -428.12 931229 Enter Short 1 493.75 31231.25 -2278.12 -5012.50 931230 Short 1 528.12 31265.62 -2243.75 -5012.50 931231 Short 1 503.12 31240.62 -2268.75 -5012.50 -1806.25 940103 Short 1 550.00 31287.50 -2221.88 -5012.50 940104 Short 1 237.50 30975.00 -2534.38 -5012.50 940105 Short 1 171.87 30909.37 -2600.00 -5012.50 940106 Short 1 346.87 31084.37 -2425.00 -5012.50 940107 Exit Short 1 -21.88 30715.63 -2793.75 -5012.50 MFE = 550.00 MAE = -21.88 940107 Enter Long 1 0.00 30715.62 -2793.75 -5012.50 940110 Long 1 0.00 30715.62 -2793.75 -5012.50 940111 Long 1 -109.38 30606.25 -2903.13 -5012.50 940112 Long 1 343.75 31059.37 -2450.00 -5012.50 940113 Long 1 109.38 30825.00 -2684.37 -5012.50 940114 Long 1 15.63 30731.25 -2778.12 -5012.50 940117 Long 1 6.25 30721.87 -2787.50 -5012.50 940118 Long 1 103.13 30818.75 -2690.62 -5012.50 940119 Long 1 0.00 30715.62 -2793.75 -5012.50 940120 Long 1 128.13 30843.75 -2665.62 -5012.50 940121 Long 1 -31.25 30684.38 -2825.00 -5012.50 940124 Long 1 34.38 30750.00 -2759.37 -5012.50 940125 Long 1 62.50 30778.13 -2731.25 -5012.50 940126 Long 1 62.50 30778.13 -2731.25 -5012.50 940127 Long 1 468.75 31184.38 -2325.00 -5012.50 940128 Long 1 62.50 30778.13 -2731.25 -5012.50 940131 Long 1 396.88 31112.50 -2396.87 -5012.50 -21.87 940201 Long 1 240.63 30956.25 -2553.12 -5012.50 940202 Long 1 87.50 30803.13 -2706.25 -5012.50 940203 Exit Long 1 -306.25 30409.38 -3100.00 -5012.50 MFE = 468.75 MAE = -306.25 940203 Enter Short 1 -109.37 30300.00 -3209.37 -5012.50 940204 Short 1 234.38 30643.75 -2865.62 -5012.50 940207 Short 1 40.62 30450.00 -3059.38 -5012.50 940208 Short 1 546.88 30956.25 -2553.12 -5012.50 940209 Exit Short 1 775.00 31184.38 -2325.00 -5012.50 MFE = 775.00 MAE = -109.37 940214 Enter Long 1 9.37 31193.75 -2315.63 -5012.50 940215 Long 1 -340.62 30843.75 -2665.62 -5012.50 940216 Long 1 -231.25 30953.13 -2556.25 -5012.50 940217 Long 1 -178.12 31006.25 -2503.12 -5012.50 940218 Long 1 -56.25 31128.12 -2381.25 -5012.50 940221 Long 1 -318.75 30865.63 -2643.75 -5012.50 940222 Long 1 -162.50 31021.88 -2487.50 -5012.50 940223 Long 1 -178.12 31006.25 -2503.12 -5012.50 940224 Long 1 56.25 31240.62 -2268.75 -5012.50 940225 Long 1 134.38 31318.75 -2190.62 -5012.50 940228 Long 1 40.63 31225.00 -2284.37 -5012.50 468.75 940301 Long 1 165.62 31350.00 -2159.38 -5012.50 940302 Long 1 384.38 31568.75 -1940.62 -5012.50 940303 Long 1 368.75 31553.12 -1956.25 -5012.50 940304 Long 1 159.38 31343.75 -2165.62 -5012.50 940307 Long 1 165.62 31350.00 -2159.38 -5012.50 940308 Long 1 115.63 31300.00 -2209.37 -5012.50 940309 Long 1 346.87 31531.25 -1978.13 -5012.50 940310 Long 1 603.13 31787.50 -1721.87 -5012.50 940311 Long 1 493.75 31678.13 -1831.25 -5012.50 940314 Long 1 384.38 31568.75 -1940.62 -5012.50 940315 Long 1 196.88 31381.25 -2128.12 -5012.50 940316 Long 1 321.87 31506.25 -2003.13 -5012.50 940317 Long 1 300.00 31484.37 -2025.00 -5012.50 940318 Long 1 221.88 31406.25 -2103.12 -5012.50 940321 Long 1 165.62 31350.00 -2159.38 -5012.50 940322 Long 1 118.75 31303.12 -2206.25 -5012.50 940323 Long 1 440.62 31625.00 -1884.38 -5012.50 940324 Long 1 415.62 31600.00 -1909.38 -5012.50 940325 Long 1 462.50 31646.87 -1862.50 -5012.50 940328 Long 1 381.25 31565.63 -1943.75 -5012.50 940329 Exit Long 1 -31.25 31153.13 -2356.25 -5012.50 MFE = 603.13 MAE = -340.62 940329 Enter Short 1 -40.62 31112.50 -2396.87 -5012.50 940330 Short 1 131.25 31284.37 -2225.00 -5012.50 940331 Short 1 0.00 31153.13 -2356.25 -5012.50 -31.25 940401 Short 1 328.12 31481.25 -2028.13 -5012.50 940404 Short 1 559.37 31712.50 -1796.88 -5012.50 940405 Short 1 609.38 31762.50 -1746.87 -5012.50 940406 Short 1 500.00 31653.13 -1856.25 -5012.50 940407 Short 1 331.25 31484.37 -2025.00 -5012.50 940408 Short 1 265.62 31418.75 -2090.63 -5012.50 940411 Short 1 415.63 31568.75 -1940.62 -5012.50 940412 Short 1 225.00 31378.13 -2131.25 -5012.50 940413 Short 1 231.25 31384.38 -2125.00 -5012.50 940414 Short 1 215.62 31368.75 -2140.63 -5012.50 940415 Short 1 378.12 31531.25 -1978.13 -5012.50 940418 Short 1 221.87 31375.00 -2134.38 -5012.50 940419 Short 1 100.00 31253.13 -2256.25 -5012.50 940420 Exit Short 1 -196.88 30956.25 -2553.12 -5012.50 MFE = 609.38 MAE = -196.88 940420 Enter Long 1 118.75 31075.00 -2434.37 -5012.50 940421 Long 1 84.38 31040.63 -2468.75 -5012.50 940422 Long 1 -31.25 30925.00 -2584.37 -5012.50 940425 Long 1 59.38 31015.63 -2493.75 -5012.50 940426 Long 1 459.38 31415.63 -2093.75 -5012.50 940427 Long 1 484.38 31440.63 -2068.75 -5012.50 940428 Long 1 765.62 31721.87 -1787.50 -5012.50 940429 Exit Long 1 775.00 31731.25 -1778.12 -5012.50 MFE = 775.00 MAE = -31.25 578.13 940504 Enter Short 1 -159.37 31571.88 -1937.50 -5012.50 940505 Short 1 -50.00 31681.25 -1828.12 -5012.50 940506 Short 1 106.25 31837.50 -1671.87 -5012.50 940509 Short 1 -15.63 31715.62 -1793.75 -5012.50 940510 Short 1 271.88 32003.13 -1506.25 -5012.50 940511 Short 1 100.00 31831.25 -1678.12 -5012.50 940512 Exit Short 1 -162.50 31568.75 -1940.62 -5012.50 MFE = 271.88 MAE = -162.50 940512 Enter Long 1 -62.50 31506.25 -2003.12 -5012.50 940513 Long 1 -93.75 31475.00 -2034.38 -5012.50 940516 Long 1 43.75 31612.50 -1896.87 -5012.50 940517 Long 1 9.38 31578.13 -1931.25 -5012.50 940518 Long 1 203.12 31771.88 -1737.50 -5012.50 940519 Long 1 181.25 31750.00 -1759.37 -5012.50 940520 Long 1 100.00 31668.75 -1840.62 -5012.50 940523 Long 1 178.12 31746.88 -1762.50 -5012.50 940524 Long 1 125.00 31693.75 -1815.62 -5012.50 940525 Long 1 240.62 31809.37 -1700.00 -5012.50 940526 Long 1 262.50 31831.25 -1678.13 -5012.50 940527 Long 1 262.50 31831.25 -1678.13 -5012.50 940530 Long 1 243.75 31812.50 -1696.87 -5012.50 940531 Long 1 287.50 31856.25 -1653.13 -5012.50 -162.50 940601 Long 1 459.38 32028.13 -1481.25 -5012.50 940602 Long 1 281.25 31850.00 -1659.37 -5012.50 940603 Exit Long 1 21.88 31590.63 -1918.75 -5012.50 MFE = 459.38 MAE = -93.75 940603 Enter Short 1 -68.75 31521.88 -1987.50 -5012.50 940606 Short 1 -137.50 31453.13 -2056.25 -5012.50 940607 Short 1 -209.38 31381.25 -2128.12 -5012.50 940608 Short 1 -240.62 31350.00 -2159.37 -5012.50 940609 Short 1 -228.13 31362.50 -2146.87 -5012.50 940610 Short 1 -178.12 31412.50 -2096.87 -5012.50 940613 Exit Short 1 -384.37 31206.25 -2303.12 -5012.50 MFE = 0.00 MAE = -384.37 940613 Enter Long 1 225.00 31431.25 -2078.12 -5012.50 940614 Long 1 128.12 31334.37 -2175.00 -5012.50 940615 Long 1 215.62 31421.87 -2087.50 -5012.50 940616 Long 1 162.50 31368.75 -2140.62 -5012.50 940617 Long 1 615.63 31821.88 -1687.50 -5012.50 940620 Exit Long 1 775.00 31981.25 -1528.12 -5012.50 MFE = 775.00 MAE = 0.00 940624 Enter Long 1 -37.50 31943.75 -1565.62 -5012.50 940627 Long 1 -287.50 31693.75 -1815.62 -5012.50 940628 Long 1 -31.25 31950.00 -1559.37 -5012.50 940629 Long 1 -265.63 31715.63 -1793.75 -5012.50 940630 Long 1 -300.00 31681.25 -1828.12 -5012.50 412.50 940701 Long 1 -490.63 31490.63 -2018.75 -5012.50 940704 Long 1 -484.37 31496.88 -2012.50 -5012.50 940705 Long 1 -315.63 31665.63 -1843.75 -5012.50 940706 Long 1 -262.50 31718.75 -1790.62 -5012.50 940707 Long 1 -443.75 31537.50 -1971.87 -5012.50 940708 Long 1 -131.25 31850.00 -1659.37 -5012.50 940711 Long 1 587.50 32568.75 -940.62 -5012.50 940712 Long 1 453.12 32434.38 -1075.00 -5012.50 940713 Long 1 303.13 32284.38 -1225.00 -5012.50 940714 Long 1 137.50 32118.75 -1390.62 -5012.50 940715 Long 1 259.38 32240.63 -1268.75 -5012.50 940718 Long 1 231.25 32212.50 -1296.87 -5012.50 940719 Exit Long 1 -184.38 31796.88 -1712.50 -5012.50 MFE = 587.50 MAE = -490.63 940719 Enter Short 1 28.12 31825.00 -1684.38 -5012.50 940720 Short 1 81.25 31878.13 -1631.25 -5012.50 940721 Exit Short 1 775.00 32571.88 -937.50 -5012.50 MFE = 775.00 MAE = 0.00 940729 Enter Long 1 125.00 32696.87 -812.50 -5012.50 590.62 940801 Long 1 -109.37 32462.50 -1046.87 -5012.50 940802 Long 1 -140.63 32431.25 -1078.12 -5012.50 940803 Long 1 62.50 32634.38 -875.00 -5012.50 940804 Long 1 -131.25 32440.63 -1068.75 -5012.50 940805 Long 1 46.88 32618.75 -890.62 -5012.50 940808 Long 1 21.87 32593.75 -915.62 -5012.50 940809 Long 1 -21.87 32550.00 -959.37 -5012.50 940810 Long 1 -78.13 32493.75 -1015.63 -5012.50 940811 Long 1 218.75 32790.63 -718.75 -5012.50 940812 Long 1 203.13 32775.00 -734.37 -5012.50 940815 Long 1 59.37 32631.25 -878.13 -5012.50 940816 Long 1 -15.62 32556.25 -953.12 -5012.50 940817 Long 1 78.13 32650.00 -859.37 -5012.50 940818 Long 1 287.50 32859.38 -650.00 -5012.50 940819 Long 1 250.00 32821.88 -687.50 -5012.50 940822 Long 1 525.00 33096.88 -412.50 -5012.50 940823 Long 1 506.25 33078.12 -431.25 -5012.50 940824 Long 1 396.87 32968.75 -540.62 -5012.50 940825 Long 1 518.75 33090.63 -418.75 -5012.50 940826 Exit Long 1 165.62 32737.50 -771.87 -5012.50 MFE = 525.00 MAE = -140.63 940826 Enter Short 1 503.12 33240.63 -268.75 -5012.50 940829 Short 1 300.00 33037.50 -471.87 -5012.50 940830 Short 1 359.37 33096.87 -412.50 -5012.50 940831 Short 1 346.87 33084.38 -425.00 -5012.50 165.63 940901 Short 1 9.37 32746.88 -762.50 -5012.50 940902 Short 1 -81.25 32656.25 -853.12 -5012.50 940905 Short 1 0.00 32737.50 -771.88 -5012.50 940906 Short 1 -181.25 32556.25 -953.12 -5012.50 940907 Short 1 40.63 32778.13 -731.25 -5012.50 940908 Short 1 68.75 32806.25 -703.13 -5012.50 940909 Short 1 -215.63 32521.88 -987.50 -5012.50 940912 Exit Short 1 -453.13 32284.38 -1225.00 -5012.50 MFE = 503.12 MAE = -453.13 940912 Enter Long 1 278.12 32562.50 -946.87 -5012.50 940913 Long 1 128.13 32412.50 -1096.87 -5012.50 940914 Long 1 203.12 32487.50 -1021.88 -5012.50 940915 Long 1 93.75 32378.13 -1131.25 -5012.50 940916 Exit Long 1 775.00 33059.38 -450.00 -5012.50 MFE = 775.00 MAE = 0.00 940929 Enter Long 1 -156.25 32903.13 -606.25 -5012.50 940930 Long 1 -156.25 32903.13 -606.25 -5012.50 321.87 941003 Long 1 -121.87 32937.50 -571.87 -5012.50 941004 Long 1 -43.75 33015.63 -493.75 -5012.50 941005 Long 1 50.00 33109.38 -400.00 -5012.50 941006 Long 1 259.38 33318.75 -190.62 -5012.50 941007 Long 1 109.37 33168.75 -340.62 -5012.50 941010 Long 1 81.25 33140.63 -368.75 -5012.50 941011 Long 1 -109.38 32950.00 -559.37 -5012.50 941012 Long 1 0.00 33059.38 -450.00 -5012.50 941013 Long 1 187.50 33246.88 -262.50 -5012.50 941014 Long 1 343.75 33403.13 -106.25 -5012.50 941017 Exit Long 1 775.00 33834.38 0.00 -5012.50 MFE = 775.00 MAE = -156.25 941028 Enter Short 1 15.62 33850.00 0.00 -5012.50 941031 Exit Short 1 -475.00 33359.38 -475.00 -5012.50 MFE = 15.62 MAE = -475.00 941031 Enter Long 1 -68.75 33290.63 -559.37 -5012.50 300.00 941101 Long 1 -165.63 33193.75 -656.25 -5012.50 941102 Exit Long 1 -681.25 32678.13 -1156.25 -5012.50 MFE = 0.00 MAE = -681.25 941102 Enter Short 1 -196.88 32481.25 -1368.75 -5012.50 941103 Short 1 -9.38 32668.75 -1181.25 -5012.50 941104 Short 1 59.37 32737.50 -1112.50 -5012.50 941107 Short 1 84.38 32762.50 -1087.50 -5012.50 941108 Short 1 -75.00 32603.13 -1246.87 -5012.50 941109 Short 1 371.87 33050.00 -800.00 -5012.50 941110 Short 1 537.50 33215.63 -634.37 -5012.50 941111 Short 1 637.50 33315.63 -534.38 -5012.50 941114 Exit Short 1 775.00 33453.13 -396.87 -5012.50 MFE = 775.00 MAE = -196.88 941124 Enter Short 1 68.75 33521.88 -328.12 -5012.50 941125 Short 1 15.62 33468.75 -381.25 -5012.50 941128 Short 1 84.37 33537.50 -312.50 -5012.50 941129 Short 1 43.75 33496.88 -353.12 -5012.50 941130 Short 1 -50.00 33403.13 -446.87 -5012.50 93.75 941201 Short 1 -103.12 33350.00 -500.00 -5012.50 941202 Short 1 118.75 33571.88 -278.12 -5012.50 941205 Short 1 196.87 33650.00 -200.00 -5012.50 941206 Short 1 53.13 33506.25 -343.75 -5012.50 941207 Short 1 -71.88 33381.25 -468.75 -5012.50 941208 Short 1 6.25 33459.38 -390.62 -5012.50 941209 Short 1 100.00 33553.13 -296.87 -5012.50 941212 Short 1 -40.62 33412.50 -437.50 -5012.50 941213 Short 1 131.25 33584.38 -265.62 -5012.50 941214 Short 1 37.50 33490.63 -359.38 -5012.50 941215 Short 1 21.88 33475.00 -375.00 -5012.50 941216 Short 1 100.00 33553.13 -296.87 -5012.50 941219 Short 1 100.00 33553.13 -296.87 -5012.50 941220 Short 1 96.88 33550.00 -300.00 -5012.50 941221 Short 1 631.25 34084.38 0.00 -5012.50 941222 Short 1 521.88 33975.00 -109.37 -5012.50 941223 Short 1 553.12 34006.25 -78.13 -5012.50 941226 Short 1 631.25 34084.38 0.00 -5012.50 941227 Short 1 553.12 34006.25 -78.13 -5012.50 941228 Exit Short 1 140.63 33593.75 -256.25 -5012.50 MFE = 631.25 MAE = -103.12 941228 Enter Long 1 362.50 33956.25 -128.13 -5012.50 941229 Long 1 53.12 33646.88 -437.50 -5012.50 941230 Long 1 253.12 33846.88 -237.50 -5012.50 140.63 950102 Long 1 -12.50 33581.25 -503.13 -5012.50 950103 Long 1 156.25 33750.00 -334.38 -5012.50 950104 Long 1 65.62 33659.37 -425.00 -5012.50 950105 Long 1 153.13 33746.88 -337.50 -5012.50 950106 Exit Long 1 -143.75 33450.00 -400.00 -5012.50 MFE = 362.50 MAE = -143.75 950106 Enter Short 1 128.13 33578.13 -506.25 -5012.50 950109 Exit Short 1 -340.62 33109.38 -740.62 -5012.50 MFE = 128.13 MAE = -340.62 950109 Enter Long 1 -37.50 33071.88 -1012.50 -5012.50 950110 Long 1 -90.62 33018.75 -1065.62 -5012.50 950111 Long 1 -140.62 32968.75 -1115.63 -5012.50 950112 Long 1 275.00 33384.37 -700.00 -5012.50 950113 Long 1 87.50 33196.88 -887.50 -5012.50 950116 Long 1 100.00 33209.38 -875.00 -5012.50 950117 Long 1 71.87 33181.25 -903.13 -5012.50 950118 Long 1 159.38 33268.75 -815.62 -5012.50 950119 Exit Long 1 775.00 33884.38 -200.00 -5012.50 MFE = 775.00 MAE = -140.62 950131 Enter Short 1 81.25 33965.63 -118.75 -5012.50 290.63 950201 Short 1 -28.13 33856.25 -228.13 -5012.50 950202 Short 1 -12.50 33871.87 -212.50 -5012.50 950203 Short 1 565.63 34450.00 0.00 -5012.50 950206 Exit Short 1 775.00 34659.38 0.00 -5012.50 MFE = 775.00 MAE = -28.13 950214 Enter Short 1 -262.50 34396.88 -53.13 -5012.50 950215 Short 1 -203.12 34456.25 0.00 -5012.50 950216 Exit Short 1 -509.38 34150.00 -509.38 -5012.50 MFE = 0.00 MAE = -509.38 950216 Enter Long 1 281.25 34431.25 -25.00 -5012.50 950217 Long 1 390.63 34540.63 0.00 -5012.50 950220 Long 1 312.50 34462.50 -78.13 -5012.50 950221 Long 1 531.25 34681.25 0.00 -5012.50 950222 Long 1 625.00 34775.00 0.00 -5012.50 950223 Exit Long 1 775.00 34925.00 0.00 -5012.50 MFE = 775.00 MAE = 0.00 950224 Enter Short 1 -281.25 34643.75 -131.25 -5012.50 950227 Short 1 -46.88 34878.13 0.00 -5012.50 950228 Short 1 -109.37 34815.63 -62.50 -5012.50 1040.62 950301 Short 1 -234.38 34690.62 -187.50 -5012.50 950302 Exit Short 1 -603.12 34321.88 -603.12 -5012.50 MFE = 0.00 MAE = -603.12 950302 Enter Long 1 468.75 34790.62 -87.50 -5012.50 950303 Exit Long 1 775.00 35096.88 0.00 -5012.50 MFE = 775.00 MAE = 0.00 950306 Enter Long 1 -990.62 34106.25 -990.62 -5012.50 950307 Long 1 -475.00 34621.88 -475.00 -5012.50 950308 Exit Long 1 -1825.00 33271.88 -1825.00 -5012.50 MFE = 0.00 MAE = -1825.00 950310 Enter Short 1 -171.88 33100.00 -1996.88 -5012.50 950313 Short 1 -765.62 32506.25 -2590.62 -5012.50 950314 Short 1 -484.38 32787.50 -2309.38 -5012.50 950315 Short 1 -1000.00 32271.88 -2825.00 -5012.50 950316 Short 1 -625.00 32646.87 -2450.00 -5012.50 950317 Short 1 -484.38 32787.50 -2309.38 -5012.50 950320 Short 1 -218.75 33053.12 -2043.75 -5012.50 950321 Short 1 -525.00 32746.88 -2350.00 -5012.50 950322 Short 1 -625.00 32646.87 -2450.00 -5012.50 950323 Short 1 -812.50 32459.38 -2637.50 -5012.50 950324 Short 1 -750.00 32521.88 -2575.00 -5012.50 950327 Short 1 -890.63 32381.25 -2715.63 -5012.50 950328 Exit Short 1 -1393.75 31878.13 -3218.75 -5012.50 MFE = 0.00 MAE = -1393.75 950328 Enter Long 1 100.00 31978.13 -3118.75 -5012.50 950329 Long 1 0.00 31878.12 -3218.75 -5012.50 950330 Long 1 -275.00 31603.13 -3493.75 -5012.50 950331 Long 1 303.13 32181.25 -2915.62 -5012.50 -3046.88 950403 Long 1 178.12 32056.25 -3040.63 -5012.50 950404 Long 1 -181.25 31696.87 -3400.00 -5012.50 950405 Long 1 -134.38 31743.75 -3353.13 -5012.50 950406 Long 1 -118.75 31759.38 -3337.50 -5012.50 950407 Long 1 68.75 31946.88 -3150.00 -5012.50 950410 Exit Long 1 -553.13 31325.00 -3771.88 -5012.50 MFE = 303.13 MAE = -553.13 950410 Enter Short 1 65.62 31390.63 -3706.25 -5012.50 950411 Short 1 68.75 31393.75 -3703.13 -5012.50 950412 Short 1 106.25 31431.25 -3665.63 -5012.50 950413 Short 1 -440.62 30884.38 -4212.50 -5012.50 950414 Short 1 -253.13 31071.87 -4025.00 -5012.50 950417 Exit Short 1 -803.13 30521.88 -4575.00 -5012.50 MFE = 106.25 MAE = -803.13 950417 Enter Long 1 115.62 30637.50 -4459.38 -5012.50 950418 Long 1 -268.75 30253.13 -4843.75 -5012.50 950419 Long 1 -384.38 30137.50 -4959.38 -5012.50 950420 Long 1 -331.25 30190.63 -4906.25 -5012.50 950421 Long 1 -243.75 30278.13 -4818.75 -5012.50 950424 Long 1 -462.50 30059.38 -5037.50 -5037.50 950425 Long 1 -218.75 30303.13 -4793.75 -5037.50 950426 Long 1 -118.75 30403.13 -4693.75 -5037.50 950427 Long 1 -96.87 30425.00 -4671.87 -5037.50 950428 Long 1 -243.75 30278.13 -4818.75 -5037.50 -1356.25 950501 Long 1 -134.38 30387.50 -4709.38 -5037.50 950502 Long 1 -134.38 30387.50 -4709.38 -5037.50 950503 Long 1 -134.38 30387.50 -4709.38 -5037.50 950504 Long 1 -150.00 30371.88 -4725.00 -5037.50 950505 Exit Long 1 -453.13 30068.75 -5028.13 -5037.50 MFE = 115.62 MAE = -462.50 950505 Enter Short 1 284.37 30353.13 -4743.75 -5037.50 950508 Short 1 81.25 30150.00 -4946.88 -5037.50 950509 Short 1 690.63 30759.38 -4337.50 -5037.50 950510 Exit Short 1 775.00 30843.75 -4253.12 -5037.50 MFE = 775.00 MAE = 0.00 950511 Enter Short 1 -125.00 30718.75 -4378.12 -5037.50 950512 Short 1 -228.13 30615.63 -4481.25 -5037.50 950515 Short 1 -487.50 30356.25 -4740.62 -5037.50 950516 Short 1 -175.00 30668.75 -4428.12 -5037.50 950517 Short 1 -318.75 30525.00 -4571.88 -5037.50 950518 Short 1 -634.38 30209.38 -4887.50 -5037.50 950519 Short 1 -368.75 30475.00 -4621.88 -5037.50 950522 Short 1 -512.50 30331.25 -4765.62 -5037.50 950523 Short 1 -384.38 30459.38 -4637.50 -5037.50 950524 Short 1 -487.50 30356.25 -4740.62 -5037.50 950525 Exit Short 1 -912.50 29931.25 -5165.62 -5165.62 MFE = 0.00 MAE = -912.50 950525 Enter Long 1 668.75 30600.00 -4496.87 -5165.62 950526 Long 1 528.13 30459.38 -4637.50 -5165.62 950529 Long 1 412.50 30343.75 -4753.13 -5165.62 950530 Long 1 418.75 30350.00 -4746.87 -5165.62 950531 Long 1 -18.75 29912.50 -5184.38 -5184.38 -590.62 950601 Long 1 306.25 30237.50 -4859.37 -5184.38 950602 Long 1 28.12 29959.38 -5137.50 -5184.38 950605 Long 1 190.63 30121.88 -4975.00 -5184.38 950606 Long 1 146.88 30078.13 -5018.75 -5184.38 950607 Long 1 53.12 29984.38 -5112.50 -5184.38 950608 Long 1 246.87 30178.12 -4918.75 -5184.38 950609 Long 1 200.00 30131.25 -4965.62 -5184.38 950612 Long 1 240.63 30171.88 -4925.00 -5184.38 950613 Long 1 215.63 30146.88 -4950.00 -5184.38 950614 Exit Long 1 775.00 30706.25 -4390.62 -5184.38 MFE = 775.00 MAE = -18.75 950622 Enter Short 1 -56.25 30650.00 -4446.87 -5184.38 950623 Short 1 -362.50 30343.75 -4753.13 -5184.38 950626 Short 1 271.87 30978.13 -4118.75 -5184.38 950627 Short 1 228.13 30934.38 -4162.50 -5184.38 950628 Short 1 546.88 31253.13 -3843.75 -5184.38 950629 Short 1 -96.88 30609.37 -4487.50 -5184.38 950630 Short 1 -31.25 30675.00 -4421.87 -5184.38 775.00 950703 Short 1 -125.00 30581.25 -4515.62 -5184.38 950704 Short 1 -234.37 30471.88 -4625.00 -5184.38 950705 Short 1 -87.50 30618.75 -4478.13 -5184.38 950706 Short 1 -231.25 30475.00 -4621.88 -5184.38 950707 Short 1 -78.12 30628.13 -4468.75 -5184.38 950710 Short 1 9.38 30715.63 -4381.25 -5184.38 950711 Short 1 187.50 30893.75 -4203.12 -5184.38 950712 Short 1 71.88 30778.13 -4318.75 -5184.38 950713 Exit Short 1 -231.25 30475.00 -4621.87 -5184.38 MFE = 546.88 MAE = -362.50 950713 Enter Long 1 -56.25 30418.75 -4678.13 -5184.38 950714 Long 1 -190.63 30284.38 -4812.50 -5184.38 950717 Long 1 -184.37 30290.63 -4806.25 -5184.38 950718 Long 1 -165.63 30309.38 -4787.50 -5184.38 950719 Long 1 -56.25 30418.75 -4678.13 -5184.38 950720 Long 1 -165.63 30309.38 -4787.50 -5184.38 950721 Long 1 -206.25 30268.75 -4828.12 -5184.38 950724 Long 1 -168.75 30306.25 -4790.63 -5184.38 950725 Exit Long 1 -359.37 30115.63 -4981.25 -5184.38 MFE = 0.00 MAE = -359.37 950725 Enter Short 1 -37.50 30078.13 -5018.75 -5184.38 950726 Short 1 -146.87 29968.75 -5128.12 -5184.38 950727 Short 1 -187.50 29928.13 -5168.75 -5184.38 950728 Short 1 -315.62 29800.00 -5296.87 -5296.87 950731 Short 1 -237.50 29878.13 -5218.75 -5296.87 -590.62 950801 Exit Short 1 -621.87 29493.75 -5603.12 -5603.12 MFE = 0.00 MAE = -621.87 950801 Enter Long 1 -81.25 29412.50 -5684.37 -5684.37 950802 Long 1 -281.25 29212.50 -5884.38 -5884.38 950803 Long 1 -87.50 29406.25 -5690.62 -5884.38 950804 Long 1 -100.00 29393.75 -5703.13 -5884.38 950807 Long 1 -250.00 29243.75 -5853.13 -5884.38 950808 Long 1 -218.75 29275.00 -5821.87 -5884.38 950809 Long 1 -296.88 29196.88 -5900.00 -5900.00 950810 Exit Long 1 -575.00 28918.75 -6178.12 -6178.12 MFE = 0.00 MAE = -575.00 950810 Enter Short 1 -3.12 28915.63 -6181.25 -6181.25 950811 Short 1 637.50 29556.25 -5540.63 -6181.25 950814 Exit Short 1 790.62 29709.38 -5387.50 -6181.25 MFE = 790.62 MAE = -3.12 950815 Enter Short 1 -96.87 29612.50 -5484.37 -6181.25 950816 Short 1 184.37 29893.75 -5203.13 -6181.25 950817 Short 1 78.13 29787.50 -5309.38 -6181.25 950818 Short 1 271.87 29981.25 -5115.63 -6181.25 950821 Short 1 256.25 29965.63 -5131.25 -6181.25 950822 Short 1 443.75 30153.13 -4943.75 -6181.25 950823 Short 1 184.37 29893.75 -5203.13 -6181.25 950824 Short 1 75.00 29784.38 -5312.50 -6181.25 950825 Short 1 -25.00 29684.38 -5412.50 -6181.25 950828 Short 1 -3.12 29706.25 -5390.62 -6181.25 950829 Short 1 143.75 29853.13 -5243.75 -6181.25 950830 Short 1 62.50 29771.88 -5325.00 -6181.25 950831 Short 1 -56.25 29653.13 -5443.75 -6181.25 -406.25 950901 Short 1 -243.75 29465.62 -5631.25 -6181.25 950904 Short 1 -109.38 29600.00 -5496.88 -6181.25 950905 Short 1 -303.12 29406.25 -5690.63 -6181.25 950906 Short 1 -75.00 29634.38 -5462.50 -6181.25 950907 Short 1 -37.50 29671.88 -5425.00 -6181.25 950908 Short 1 -71.87 29637.50 -5459.37 -6181.25 950911 Short 1 15.63 29725.00 -5371.87 -6181.25 950912 Short 1 -250.00 29459.38 -5637.50 -6181.25 950913 Short 1 -40.63 29668.75 -5428.13 -6181.25 950914 Short 1 -15.63 29693.75 -5403.13 -6181.25 950915 Short 1 -71.87 29637.50 -5459.37 -6181.25 950918 Short 1 -9.37 29700.00 -5396.88 -6181.25 950919 Short 1 56.25 29765.63 -5331.25 -6181.25 950920 Short 1 -115.62 29593.75 -5503.12 -6181.25 950921 Exit Short 1 -321.88 29387.50 -5709.38 -6181.25 MFE = 443.75 MAE = -321.88 950921 Exit Long 1 775.00 30162.50 -4934.38 -6181.25 MFE = 775.00 MAE = 0.00 453.12 951011 Enter Short 1 -34.38 30128.13 -4968.75 -6181.25 951012 Short 1 -178.12 29984.38 -5112.50 -6181.25 951013 Short 1 -162.50 30000.00 -5096.88 -6181.25 951016 Short 1 -106.25 30056.25 -5040.63 -6181.25 951017 Short 1 -43.75 30118.75 -4978.12 -6181.25 951018 Exit Short 1 -293.75 29868.75 -5228.13 -6181.25 MFE = 0.00 MAE = -293.75 951018 Enter Long 1 -334.38 29534.37 -5562.50 -6181.25 951019 Long 1 -115.62 29753.13 -5343.75 -6181.25 951020 Long 1 -178.13 29690.62 -5406.25 -6181.25 951023 Long 1 21.87 29890.62 -5206.25 -6181.25 951024 Long 1 -6.25 29862.50 -5234.37 -6181.25 951025 Long 1 -6.25 29862.50 -5234.37 -6181.25 951026 Long 1 143.75 30012.50 -5084.38 -6181.25 951027 Long 1 -84.38 29784.37 -5312.50 -6181.25 951030 Long 1 -84.38 29784.37 -5312.50 -6181.25 951031 Long 1 40.63 29909.38 -5187.50 -6181.25 -293.75 951101 Long 1 9.37 29878.13 -5218.75 -6181.25 951102 Long 1 -3.12 29865.63 -5231.25 -6181.25 951103 Long 1 25.00 29893.75 -5203.13 -6181.25 951106 Long 1 40.63 29909.38 -5187.50 -6181.25 951107 Long 1 56.25 29925.00 -5171.88 -6181.25 951108 Long 1 9.37 29878.13 -5218.75 -6181.25 951109 Long 1 3.12 29871.87 -5225.00 -6181.25 951110 Exit Long 1 -228.12 29640.63 -5456.25 -6181.25 MFE = 143.75 MAE = -334.38 951110 Enter Short 1 178.13 29818.75 -5278.12 -6181.25 951113 Short 1 584.37 30225.00 -4871.88 -6181.25 951114 Short 1 418.75 30059.38 -5037.50 -6181.25 951115 Short 1 443.75 30084.38 -5012.50 -6181.25 951116 Short 1 528.13 30168.75 -4928.13 -6181.25 951117 Exit Short 1 775.00 30415.63 -4681.25 -6181.25 MFE = 775.00 MAE = 0.00 951128 Enter Short 1 21.87 30437.50 -4659.38 -6181.25 951129 Short 1 318.75 30734.38 -4362.50 -6181.25 951130 Short 1 390.63 30806.25 -4290.63 -6181.25 546.88 951201 Short 1 421.87 30837.50 -4259.38 -6181.25 951204 Short 1 371.88 30787.50 -4309.37 -6181.25 951205 Short 1 46.87 30462.50 -4634.38 -6181.25 951206 Short 1 56.25 30471.88 -4625.00 -6181.25 951207 Short 1 312.50 30728.12 -4368.75 -6181.25 951208 Short 1 343.75 30759.38 -4337.50 -6181.25 951211 Short 1 359.37 30775.00 -4321.88 -6181.25 951212 Short 1 343.75 30759.38 -4337.50 -6181.25 951213 Short 1 318.75 30734.38 -4362.50 -6181.25 951214 Short 1 25.00 30440.63 -4656.25 -6181.25 951215 Short 1 250.00 30665.63 -4431.25 -6181.25 951218 Short 1 78.13 30493.75 -4603.12 -6181.25 951219 Short 1 68.75 30484.37 -4612.50 -6181.25 951220 Short 1 125.00 30540.63 -4556.25 -6181.25 951221 Short 1 78.13 30493.75 -4603.12 -6181.25 951222 Short 1 46.87 30462.50 -4634.38 -6181.25 951225 Short 1 -15.62 30400.00 -4696.88 -6181.25 951226 Exit Short 1 -218.75 30196.88 -4900.00 -6181.25 MFE = 421.87 MAE = -218.75 951226 Enter Long 1 290.62 30487.50 -4609.38 -6181.25 951227 Long 1 259.38 30456.25 -4640.62 -6181.25 951228 Exit Long 1 -284.37 29912.50 -5184.38 -6181.25 MFE = 290.62 MAE = -284.37 951228 Enter Short 1 -175.00 29737.50 -5359.38 -6181.25 951229 Short 1 -253.12 29659.38 -5437.50 -6181.25 -503.13 960102 Short 1 -384.38 29528.12 -5568.75 -6181.25 960103 Short 1 -268.75 29643.75 -5453.13 -6181.25 960104 Short 1 -300.00 29612.50 -5484.37 -6181.25 960105 Short 1 -315.63 29596.87 -5500.00 -6181.25 960108 Short 1 -315.63 29596.87 -5500.00 -6181.25 960109 Short 1 -237.50 29675.00 -5421.88 -6181.25 960110 Short 1 -146.87 29765.63 -5331.25 -6181.25 960111 Short 1 -68.75 29843.75 -5253.13 -6181.25 960112 Short 1 -128.13 29784.38 -5312.50 -6181.25 960115 Short 1 -68.75 29843.75 -5253.13 -6181.25 960116 Short 1 209.38 30121.88 -4975.00 -6181.25 960117 Short 1 621.88 30534.38 -4562.50 -6181.25 960118 Exit Short 1 775.00 30687.50 -4409.38 -6181.25 MFE = 775.00 MAE = -384.38 960126 Enter Short 1 -31.25 30656.25 -4440.63 -6181.25 960129 Short 1 -171.88 30515.62 -4581.25 -6181.25 960130 Short 1 -143.75 30543.75 -4553.13 -6181.25 960131 Short 1 -375.00 30312.50 -4784.38 -6181.25 775.00 960201 Short 1 -631.25 30056.25 -5040.63 -6181.25 960202 Short 1 -728.13 29959.38 -5137.50 -6181.25 960205 Exit Short 1 -1218.75 29468.75 -5628.13 -6181.25 MFE = 0.00 MAE = -1218.75 960205 Enter Long 1 -21.88 29446.88 -5650.00 -6181.25 960206 Long 1 84.37 29553.12 -5543.75 -6181.25 960207 Long 1 -46.88 29421.87 -5675.00 -6181.25 960208 Long 1 -37.50 29431.25 -5665.63 -6181.25 960209 Long 1 -265.62 29203.13 -5893.75 -6181.25 960212 Long 1 -365.63 29103.12 -5993.75 -6181.25 960213 Long 1 -50.00 29418.75 -5678.13 -6181.25 960214 Long 1 112.50 29581.25 -5515.63 -6181.25 960215 Long 1 -56.25 29412.50 -5684.37 -6181.25 960216 Long 1 384.37 29853.13 -5243.75 -6181.25 960219 Long 1 237.50 29706.25 -5390.62 -6181.25 960220 Long 1 190.63 29659.38 -5437.50 -6181.25 960221 Long 1 165.63 29634.38 -5462.50 -6181.25 960222 Long 1 184.38 29653.13 -5443.75 -6181.25 960223 Long 1 125.00 29593.75 -5503.12 -6181.25 960226 Long 1 87.50 29556.25 -5540.63 -6181.25 960227 Long 1 46.87 29515.63 -5581.25 -6181.25 960228 Exit Long 1 -200.00 29268.75 -5828.13 -6181.25 MFE = 384.37 MAE = -365.63 960228 Enter Short 1 15.62 29284.37 -5812.50 -6181.25 960229 Short 1 56.25 29325.00 -5771.87 -6181.25 -1418.75 960301 Short 1 156.25 29425.00 -5671.88 -6181.25 960304 Short 1 175.00 29443.75 -5653.13 -6181.25 960305 Short 1 96.88 29365.63 -5731.25 -6181.25 960306 Short 1 112.50 29381.25 -5715.63 -6181.25 960307 Short 1 106.25 29375.00 -5721.88 -6181.25 960308 Short 1 362.50 29631.25 -5465.63 -6181.25 960311 Short 1 281.25 29550.00 -5546.87 -6181.25 960312 Short 1 296.88 29565.63 -5531.25 -6181.25 960313 Short 1 278.13 29546.88 -5550.00 -6181.25 960314 Short 1 134.37 29403.13 -5693.75 -6181.25 960315 Short 1 121.88 29390.63 -5706.25 -6181.25 960318 Short 1 28.13 29296.88 -5800.00 -6181.25 960319 Short 1 -12.50 29256.25 -5840.62 -6181.25 960320 Short 1 -175.00 29093.75 -6003.13 -6181.25 960321 Short 1 -106.25 29162.50 -5934.38 -6181.25 960322 Short 1 -90.63 29178.13 -5918.75 -6181.25 960325 Short 1 343.75 29612.50 -5484.37 -6181.25 960326 Short 1 315.62 29584.38 -5512.50 -6181.25 960327 Short 1 440.62 29709.37 -5387.50 -6181.25 960328 Short 1 268.75 29537.50 -5559.38 -6181.25 960329 Short 1 218.75 29487.50 -5609.38 -6181.25 0.00 960401 Short 1 300.00 29568.75 -5528.12 -6181.25 960402 Short 1 275.00 29543.75 -5553.13 -6181.25 960403 Short 1 256.25 29525.00 -5571.87 -6181.25 960404 Short 1 112.50 29381.25 -5715.63 -6181.25 960405 Short 1 146.88 29415.63 -5681.25 -6181.25 960408 Short 1 128.12 29396.87 -5700.00 -6181.25 960409 Short 1 365.63 29634.38 -5462.50 -6181.25 960410 Exit Short 1 775.00 30043.75 -5053.13 -6181.25 MFE = 775.00 MAE = -175.00 960418 Enter Long 1 81.25 30125.00 -4971.87 -6181.25 960419 Long 1 -78.12 29965.63 -5131.25 -6181.25 960422 Long 1 -121.87 29921.88 -5175.00 -6181.25 960423 Long 1 -12.50 30031.25 -5065.62 -6181.25 960424 Long 1 -21.88 30021.88 -5075.00 -6181.25 960425 Long 1 -303.12 29740.63 -5356.25 -6181.25 960426 Long 1 -78.12 29965.63 -5131.25 -6181.25 960429 Long 1 -296.88 29746.87 -5350.00 -6181.25 960430 Exit Long 1 -506.25 29537.50 -5559.38 -6181.25 MFE = 81.25 MAE = -506.25 960430 Enter Short 1 -181.25 29356.25 -5740.63 -6181.25 268.75 960501 Short 1 240.63 29778.13 -5318.75 -6181.25 960502 Short 1 -62.50 29475.00 -5621.88 -6181.25 960503 Short 1 -215.63 29321.88 -5775.00 -6181.25 960506 Short 1 -200.00 29337.50 -5759.38 -6181.25 960507 Short 1 -312.50 29225.00 -5871.88 -6181.25 960508 Exit Short 1 -790.63 28746.88 -6350.00 -6350.00 MFE = 240.63 MAE = -790.63 960508 Enter Long 1 -31.25 28715.63 -6381.25 -6381.25 960509 Long 1 -100.00 28646.88 -6450.00 -6450.00 960510 Long 1 -134.38 28612.50 -6484.38 -6484.38 960513 Long 1 -337.50 28409.38 -6687.50 -6687.50 960514 Long 1 -321.87 28425.00 -6671.88 -6687.50 960515 Long 1 -331.25 28415.62 -6681.25 -6687.50 960516 Long 1 -337.50 28409.38 -6687.50 -6687.50 960517 Long 1 -362.50 28384.38 -6712.50 -6712.50 960520 Long 1 -368.75 28378.13 -6718.75 -6718.75 960521 Long 1 -359.38 28387.50 -6709.38 -6718.75 960522 Exit Long 1 -556.25 28190.63 -6906.25 -6906.25 MFE = 0.00 MAE = -556.25 960522 Enter Short 1 -15.62 28175.00 -6921.87 -6921.87 960523 Short 1 -134.37 28056.25 -7040.63 -7040.63 960524 Short 1 -115.63 28075.00 -7021.88 -7040.63 960527 Short 1 -178.12 28012.50 -7084.37 -7084.37 960528 Short 1 -193.75 27996.87 -7100.00 -7100.00 960529 Exit Short 1 -343.75 27846.88 -7250.00 -7250.00 MFE = 0.00 MAE = -343.75 960529 Enter Long 1 418.75 28265.62 -6831.25 -7250.00 960530 Long 1 496.88 28343.75 -6753.13 -7250.00 960531 Exit Long 1 775.00 28621.88 -6475.00 -7250.00 MFE = 775.00 MAE = 0.00 -915.63 960617 Enter Long 1 -100.00 28521.88 -6575.00 -7250.00 960618 Long 1 -75.00 28546.88 -6550.00 -7250.00 960619 Long 1 -87.50 28534.37 -6562.50 -7250.00 960620 Long 1 -218.75 28403.12 -6693.75 -7250.00 960621 Long 1 -353.13 28268.75 -6828.13 -7250.00 960624 Long 1 -168.75 28453.13 -6643.75 -7250.00 960625 Long 1 -181.25 28440.63 -6656.25 -7250.00 960626 Long 1 -187.50 28434.38 -6662.50 -7250.00 960627 Long 1 75.00 28696.87 -6400.00 -7250.00 960628 Long 1 187.50 28809.37 -6287.50 -7250.00 0.00 960701 Long 1 365.62 28987.50 -6109.38 -7250.00 960702 Long 1 375.00 28996.88 -6100.00 -7250.00 960703 Long 1 540.62 29162.50 -5934.38 -7250.00 960704 Long 1 365.62 28987.50 -6109.38 -7250.00 960705 Long 1 340.62 28962.50 -6134.38 -7250.00 960708 Long 1 225.00 28846.88 -6250.00 -7250.00 960709 Long 1 84.38 28706.25 -6390.62 -7250.00 960710 Long 1 181.25 28803.12 -6293.75 -7250.00 960711 Long 1 262.50 28884.38 -6212.50 -7250.00 960712 Long 1 143.75 28765.63 -6331.25 -7250.00 960715 Long 1 165.62 28787.50 -6309.38 -7250.00 960716 Long 1 368.75 28990.63 -6106.25 -7250.00 960717 Exit Long 1 -12.50 28609.38 -6487.50 -7250.00 MFE = 540.62 MAE = -353.13 960717 Enter Short 1 43.75 28653.13 -6443.75 -7250.00 960718 Short 1 46.88 28656.25 -6440.63 -7250.00 960719 Short 1 68.75 28678.13 -6418.75 -7250.00 960722 Short 1 -143.75 28465.62 -6631.25 -7250.00 960723 Short 1 -171.87 28437.50 -6659.37 -7250.00 960724 Short 1 -196.87 28412.50 -6684.37 -7250.00 960725 Short 1 -337.50 28271.88 -6825.00 -7250.00 960726 Short 1 -250.00 28359.38 -6737.50 -7250.00 960729 Short 1 -331.25 28278.13 -6818.75 -7250.00 960730 Short 1 -306.25 28303.13 -6793.75 -7250.00 960731 Short 1 -296.88 28312.50 -6784.38 -7250.00 -12.50 960801 Short 1 -159.38 28450.00 -6646.88 -7250.00 960802 Short 1 134.37 28743.75 -6353.13 -7250.00 960805 Short 1 40.62 28650.00 -6446.88 -7250.00 960806 Short 1 246.87 28856.25 -6240.63 -7250.00 960807 Short 1 131.25 28740.63 -6356.25 -7250.00 960808 Short 1 -87.50 28521.88 -6575.00 -7250.00 960809 Short 1 -125.00 28484.38 -6612.50 -7250.00 960812 Short 1 -121.88 28487.50 -6609.38 -7250.00 960813 Short 1 -65.62 28543.75 -6553.13 -7250.00 960814 Short 1 -71.88 28537.50 -6559.38 -7250.00 960815 Short 1 -134.37 28475.00 -6621.88 -7250.00 960816 Short 1 -31.25 28578.12 -6518.75 -7250.00 960819 Short 1 53.13 28662.50 -6434.37 -7250.00 960820 Short 1 -40.62 28568.75 -6528.13 -7250.00 960821 Short 1 -103.12 28506.25 -6590.62 -7250.00 960822 Short 1 -118.75 28490.62 -6606.25 -7250.00 960823 Exit Short 1 -284.38 28325.00 -6771.88 -7250.00 MFE = 246.87 MAE = -337.50 960823 Enter Long 1 37.50 28362.50 -6734.37 -7250.00 960826 Long 1 62.50 28387.50 -6709.37 -7250.00 960827 Long 1 -28.12 28296.88 -6800.00 -7250.00 960828 Long 1 118.75 28443.75 -6653.13 -7250.00 960829 Long 1 81.25 28406.25 -6690.63 -7250.00 960830 Long 1 209.37 28534.38 -6562.50 -7250.00 -284.38 960902 Long 1 153.13 28478.13 -6618.75 -7250.00 960903 Long 1 350.00 28675.00 -6421.88 -7250.00 960904 Long 1 375.00 28700.00 -6396.87 -7250.00 960905 Long 1 328.13 28653.13 -6443.75 -7250.00 960906 Long 1 125.00 28450.00 -6646.88 -7250.00 960909 Long 1 62.50 28387.50 -6709.37 -7250.00 960910 Long 1 31.25 28356.25 -6740.63 -7250.00 960911 Long 1 -37.50 28287.50 -6809.38 -7250.00 960912 Long 1 15.63 28340.63 -6756.25 -7250.00 960913 Long 1 0.00 28325.00 -6771.88 -7250.00 960916 Long 1 84.38 28409.38 -6687.50 -7250.00 960917 Long 1 -9.37 28315.63 -6781.25 -7250.00 960918 Long 1 165.62 28490.63 -6606.25 -7250.00 960919 Exit Long 1 -137.50 28187.50 -6909.38 -7250.00 MFE = 375.00 MAE = -137.50 960919 Enter Short 1 -53.12 28134.38 -6962.50 -7250.00 960920 Short 1 -118.75 28068.75 -7028.13 -7250.00 960923 Short 1 -134.37 28053.13 -7043.75 -7250.00 960924 Exit Short 1 -415.62 27771.88 -7325.00 -7325.00 MFE = 0.00 MAE = -415.62 960924 Enter Long 1 25.00 27796.88 -7300.00 -7325.00 960925 Long 1 -90.63 27681.25 -7415.63 -7415.63 960926 Long 1 -84.37 27687.50 -7409.38 -7415.63 960927 Long 1 -31.25 27740.62 -7356.25 -7415.63 960930 Long 1 34.38 27806.25 -7290.62 -7415.63 -553.13 961001 Long 1 -6.25 27765.62 -7331.25 -7415.63 961002 Long 1 43.75 27815.63 -7281.25 -7415.63 961003 Long 1 50.00 27821.88 -7275.00 -7415.63 961004 Long 1 50.00 27821.88 -7275.00 -7415.63 961007 Long 1 -31.25 27740.62 -7356.25 -7415.63 961008 Long 1 -56.25 27715.63 -7381.25 -7415.63 961009 Long 1 34.38 27806.25 -7290.62 -7415.63 961010 Long 1 71.88 27843.75 -7253.13 -7415.63 961011 Long 1 362.50 28134.38 -6962.50 -7415.63 961014 Long 1 518.75 28290.63 -6806.25 -7415.63 961015 Long 1 743.75 28515.63 -6581.25 -7415.63 961016 Long 1 603.12 28375.00 -6721.88 -7415.63 961017 Long 1 712.50 28484.37 -6612.50 -7415.63 961018 Exit Long 1 775.00 28546.88 -6550.00 -7415.63 MFE = 775.00 MAE = -90.63 961025 Enter Long 1 6.25 28553.13 -6543.75 -7415.63 961028 Long 1 262.50 28809.38 -6287.50 -7415.63 961029 Long 1 162.50 28709.38 -6387.50 -7415.63 961030 Exit Long 1 775.00 29321.88 -5775.00 -7415.63 MFE = 775.00 MAE = 0.00 1550.00 961113 Enter Long 1 46.88 29368.75 -5728.13 -7415.63 961114 Long 1 193.75 29515.62 -5581.25 -7415.63 961115 Long 1 150.00 29471.87 -5625.00 -7415.63 961118 Long 1 384.38 29706.25 -5390.63 -7415.63 961119 Long 1 556.25 29878.12 -5218.75 -7415.63 961120 Long 1 715.62 30037.50 -5059.38 -7415.63 961121 Exit Long 1 775.00 30096.88 -5000.00 -7415.63 MFE = 775.00 MAE = 0.00 775.00 961203 Exit Short 1 775.00 30871.88 -4225.00 -7415.63 MFE = 775.00 MAE = 0.00 961227 Enter Long 1 221.88 31093.75 -4003.12 -7415.63 961230 Long 1 175.00 31046.88 -4050.00 -7415.63 961231 Exit Long 1 775.00 31646.88 -3450.00 -7415.63 MFE = 775.00 MAE = 0.00 1550.00 970110 Enter Short 1 6.25 31653.13 -3443.75 -7415.63 970113 Short 1 156.25 31803.12 -3293.75 -7415.63 970114 Short 1 337.50 31984.37 -3112.50 -7415.63 970115 Short 1 -103.12 31543.75 -3553.13 -7415.63 970116 Short 1 40.62 31687.50 -3409.38 -7415.63 970117 Short 1 406.25 32053.13 -3043.75 -7415.63 970120 Short 1 546.88 32193.75 -2903.13 -7415.63 970121 Short 1 506.25 32153.13 -2943.75 -7415.63 970122 Exit Short 1 775.00 32421.88 -2675.00 -7415.63 MFE = 775.00 MAE = -103.12 970131 Enter Short 1 -125.00 32296.88 -2800.00 -7415.63 775.00 970203 Short 1 -706.25 31715.62 -3381.25 -7415.63 970204 Short 1 -690.62 31731.25 -3365.62 -7415.63 970205 Exit Short 1 -1468.75 30953.13 -4143.75 -7415.63 MFE = 0.00 MAE = -1468.75 970213 Enter Short 1 -56.25 30896.87 -4200.00 -7415.63 970214 Short 1 -9.38 30943.75 -4153.13 -7415.63 970217 Short 1 193.75 31146.88 -3950.00 -7415.63 970218 Short 1 440.62 31393.75 -3703.13 -7415.63 970219 Short 1 115.63 31068.75 -4028.12 -7415.63 970220 Short 1 209.37 31162.50 -3934.38 -7415.63 970221 Short 1 112.50 31065.63 -4031.25 -7415.63 970224 Exit Short 1 -371.88 30581.25 -4515.63 -7415.63 MFE = 440.62 MAE = -371.88 970224 Enter Long 1 62.50 30643.75 -4453.13 -7415.63 970225 Long 1 109.38 30690.63 -4406.25 -7415.63 970226 Long 1 40.62 30621.88 -4475.00 -7415.63 970227 Long 1 -206.25 30375.00 -4721.88 -7415.63 970228 Long 1 -109.37 30471.88 -4625.00 -7415.63 -1840.63 970303 Long 1 -509.37 30071.88 -5025.00 -7415.63 970304 Long 1 -568.75 30012.50 -5084.38 -7415.63 970305 Long 1 -556.25 30025.00 -5071.87 -7415.63 970306 Long 1 -531.25 30050.00 -5046.87 -7415.63 970307 Exit Long 1 -1028.13 29553.13 -5543.75 -7415.63 MFE =