SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 BRITISH POUND SPOT 5339 Trading days from 880104 to 080728 Tue Jul 29 09:32:13 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): weighted average with the following weights: (1) Today's high<1.00> (2) Today's low<1.00> (3) Today's close<0.00> (4) Tomorrow's open<0.00> Compute volatility using: closes within N days Compute drawdown on an intra trade basis Reverse on protective stops: No Allow reverse below low filter: No High filter type: normal low filter type: normal MFE = Maximum Favorable Excursion of the trade equity based on closes MAE = Maximum Adverse Excursion of the trade equity based on closes TRADE/ TRADE CUM MAX MONTHLY DATE POSITION CTS EQUITY EQUITY DRAWDOWN DRAWDOWN PROFIT 880106 Enter Short 1 -181.25 -181.25 -181.25 -181.25 880107 Short 1 228.12 228.12 0.00 -181.25 880108 Short 1 -481.25 -481.25 -709.37 -709.37 880111 Short 1 -481.25 -481.25 -709.37 -709.37 880112 Short 1 -646.88 -646.88 -875.00 -875.00 880113 Short 1 -590.62 -590.62 -818.75 -875.00 880114 Short 1 -781.25 -781.25 -1009.37 -1009.37 880115 Exit Short 1 475.00 475.00 0.00 -1009.37 MFE = 475.00 MAE = -781.25 475.00 880201 Enter Short 1 -193.75 281.25 -193.75 -1009.37 880202 Short 1 -540.62 -65.62 -540.62 -1009.37 880203 Short 1 -328.13 146.87 -328.13 -1009.37 880204 Short 1 -525.00 -50.00 -525.00 -1009.37 880205 Short 1 -21.87 453.13 -21.87 -1009.37 880208 Short 1 75.00 550.00 0.00 -1009.37 880209 Short 1 18.75 493.75 -56.25 -1009.37 880210 Short 1 -193.75 281.25 -268.75 -1009.37 880211 Short 1 -256.25 218.75 -331.25 -1009.37 880212 Exit Short 1 475.00 950.00 0.00 -1009.37 MFE = 475.00 MAE = -540.62 475.00 880307 Exit Long 1 475.00 1425.00 0.00 -1009.37 MFE = 475.00 MAE = 0.00 880308 Exit Long 1 475.00 1900.00 0.00 -1009.37 MFE = 475.00 MAE = 0.00 880328 Exit Long 1 475.00 2375.00 0.00 -1009.37 MFE = 475.00 MAE = 0.00 1425.00 880414 Enter Long 1 203.12 2578.12 0.00 -1009.37 880415 Exit Long 1 475.00 2850.00 0.00 -1009.37 MFE = 475.00 MAE = 0.00 475.00 880509 Enter Long 1 106.25 2956.25 0.00 -1009.37 880510 Long 1 156.25 3006.25 0.00 -1009.37 880511 Exit Long 1 -334.38 2515.63 -334.38 -1009.37 MFE = 156.25 MAE = -334.38 880511 Enter Short 1 -415.63 2100.00 -906.25 -1009.37 880512 Short 1 -450.00 2065.63 -940.62 -1009.37 880513 Short 1 -690.62 1825.00 -1181.25 -1181.25 880516 Short 1 -618.75 1896.87 -1109.37 -1181.25 880517 Exit Short 1 475.00 2990.63 -15.62 -1181.25 MFE = 475.00 MAE = -690.62 880527 Enter Short 1 -56.25 2934.37 -71.87 -1181.25 880530 Short 1 168.75 3159.37 0.00 -1181.25 880531 Exit Short 1 475.00 3465.63 0.00 -1181.25 MFE = 475.00 MAE = -56.25 615.63 880601 Enter Short 1 271.88 3737.50 0.00 -1181.25 880602 Exit Short 1 475.00 3940.63 0.00 -1181.25 MFE = 475.00 MAE = 0.00 880614 Exit Short 1 475.00 4415.63 0.00 -1181.25 MFE = 475.00 MAE = 0.00 880622 Enter Short 1 134.37 4550.00 0.00 -1181.25 880623 Exit Short 1 475.00 4890.63 0.00 -1181.25 MFE = 475.00 MAE = 0.00 880624 Exit Short 1 475.00 5365.63 0.00 -1181.25 MFE = 475.00 MAE = 0.00 880627 Enter Short 1 146.87 5512.50 0.00 -1181.25 880628 Short 1 28.12 5393.75 -118.75 -1181.25 880629 Short 1 -215.63 5150.00 -362.50 -1181.25 880630 Short 1 -112.50 5253.13 -259.37 -1181.25 1900.00 880701 Exit Short 1 475.00 5840.63 0.00 -1181.25 MFE = 475.00 MAE = -215.63 880711 Enter Short 1 -106.25 5734.38 -106.25 -1181.25 880712 Short 1 -331.25 5509.38 -331.25 -1181.25 880713 Short 1 -218.75 5621.88 -218.75 -1181.25 880714 Short 1 212.50 6053.13 0.00 -1181.25 880715 Exit Short 1 475.00 6315.63 0.00 -1181.25 MFE = 475.00 MAE = -331.25 950.00 880805 Enter Short 1 93.75 6409.37 0.00 -1181.25 880808 Short 1 -271.87 6043.75 -365.62 -1181.25 880809 Short 1 262.50 6578.13 0.00 -1181.25 880810 Short 1 -168.75 6146.87 -431.25 -1181.25 880811 Exit Short 1 -696.88 5618.75 -696.88 -1181.25 MFE = 262.50 MAE = -696.88 880811 Enter Long 1 -131.25 5487.50 -1090.63 -1181.25 880812 Long 1 65.63 5684.38 -893.75 -1181.25 880815 Long 1 65.63 5684.38 -893.75 -1181.25 880816 Exit Long 1 475.00 6093.75 -484.38 -1181.25 MFE = 475.00 MAE = -131.25 880817 Enter Short 1 -71.88 6021.87 -556.25 -1181.25 880818 Short 1 -334.37 5759.38 -818.75 -1181.25 880819 Short 1 -306.25 5787.50 -790.62 -1181.25 880822 Short 1 59.37 6153.12 -425.00 -1181.25 880823 Exit Short 1 475.00 6568.75 -9.38 -1181.25 MFE = 475.00 MAE = -334.37 253.12 880901 Enter Short 1 -37.50 6531.25 -46.87 -1181.25 880902 Short 1 -543.75 6025.00 -553.13 -1181.25 880905 Exit Short 1 -1065.63 5503.12 -1075.00 -1181.25 MFE = 0.00 MAE = -1065.63 880905 Enter Long 1 -478.13 5025.00 -1553.13 -1553.13 880906 Long 1 84.38 5587.50 -990.63 -1553.13 880907 Long 1 184.38 5687.50 -890.62 -1553.13 880908 Long 1 9.37 5512.50 -1065.63 -1553.13 880909 Long 1 -140.63 5362.50 -1215.63 -1553.13 880912 Long 1 -56.25 5446.87 -1131.25 -1553.13 880913 Long 1 -150.00 5353.12 -1225.00 -1553.13 880914 Exit Long 1 -843.75 4659.37 -1918.75 -1918.75 MFE = 184.38 MAE = -843.75 880914 Enter Short 1 -153.12 4506.25 -2071.87 -2071.87 880915 Short 1 -115.62 4543.75 -2034.38 -2071.87 880916 Short 1 -121.88 4537.50 -2040.63 -2071.87 880919 Short 1 -146.88 4512.50 -2065.63 -2071.87 880920 Short 1 -203.12 4456.25 -2121.87 -2121.87 880921 Short 1 56.25 4715.62 -1862.50 -2121.87 880922 Short 1 215.62 4875.00 -1703.13 -2121.87 880923 Short 1 93.75 4753.13 -1825.00 -2121.87 880926 Short 1 84.37 4743.75 -1834.38 -2121.87 880927 Exit Short 1 -171.87 4487.50 -2090.63 -2121.87 MFE = 215.62 MAE = -203.12 880927 Enter Long 1 -34.38 4453.12 -2125.00 -2125.00 880928 Long 1 318.75 4806.25 -1771.88 -2125.00 880929 Long 1 84.38 4571.88 -2006.25 -2125.00 880930 Long 1 403.13 4890.63 -1687.50 -2125.00 -2081.25 881003 Exit Long 1 475.00 4962.50 -1615.63 -2125.00 MFE = 475.00 MAE = -34.38 881010 Enter Long 1 96.88 5059.38 -1518.75 -2125.00 881011 Long 1 143.75 5106.25 -1471.88 -2125.00 881012 Exit Long 1 475.00 5437.50 -1140.63 -2125.00 MFE = 475.00 MAE = 0.00 881013 Enter Long 1 -15.63 5421.87 -1156.25 -2125.00 881014 Long 1 246.87 5684.37 -893.75 -2125.00 881017 Long 1 -96.87 5340.63 -1237.50 -2125.00 881018 Long 1 -59.38 5378.12 -1200.00 -2125.00 881019 Long 1 40.63 5478.13 -1100.00 -2125.00 881020 Exit Long 1 475.00 5912.50 -665.63 -2125.00 MFE = 475.00 MAE = -96.87 881026 Enter Long 1 -71.88 5840.62 -737.50 -2125.00 881027 Long 1 215.62 6128.12 -450.00 -2125.00 881028 Long 1 300.00 6212.50 -365.62 -2125.00 881031 Exit Long 1 475.00 6387.50 -190.63 -2125.00 MFE = 475.00 MAE = -71.88 1900.00 881102 Enter Long 1 -68.75 6318.75 -259.38 -2125.00 881103 Long 1 -271.88 6115.62 -462.50 -2125.00 881104 Long 1 -525.00 5862.50 -715.63 -2125.00 881107 Long 1 -171.87 6215.63 -362.50 -2125.00 881108 Long 1 -421.87 5965.63 -612.50 -2125.00 881109 Exit Long 1 -693.75 5693.75 -884.38 -2125.00 MFE = 0.00 MAE = -693.75 881110 Enter Long 1 75.00 5768.75 -809.38 -2125.00 881111 Exit Long 1 475.00 6168.75 -409.38 -2125.00 MFE = 475.00 MAE = 0.00 881116 Enter Long 1 15.63 6184.38 -393.75 -2125.00 881117 Long 1 -140.62 6028.13 -550.00 -2125.00 881118 Long 1 -550.00 5618.75 -959.38 -2125.00 881121 Long 1 -262.50 5906.25 -671.88 -2125.00 881122 Long 1 53.12 6221.87 -356.25 -2125.00 881123 Long 1 137.50 6306.25 -271.88 -2125.00 881124 Long 1 128.13 6296.88 -281.25 -2125.00 881125 Long 1 315.62 6484.37 -93.75 -2125.00 881128 Long 1 175.00 6343.75 -234.37 -2125.00 881129 Exit Long 1 475.00 6643.75 0.00 -2125.00 MFE = 475.00 MAE = -550.00 256.25 881220 Enter Short 1 137.50 6781.25 0.00 -2125.00 881221 Short 1 -196.88 6446.87 -334.38 -2125.00 881222 Short 1 90.63 6734.38 -46.88 -2125.00 881223 Short 1 15.63 6659.38 -121.88 -2125.00 881226 Short 1 -68.75 6575.00 -206.25 -2125.00 881227 Short 1 -50.00 6593.75 -187.50 -2125.00 881228 Exit Short 1 475.00 7118.75 0.00 -2125.00 MFE = 475.00 MAE = -196.88 881230 Enter Long 1 209.37 7328.12 0.00 -2125.00 475.00 890102 Long 1 228.12 7346.87 0.00 -2125.00 890103 Exit Long 1 475.00 7593.75 0.00 -2125.00 MFE = 475.00 MAE = 0.00 890105 Enter Short 1 9.37 7603.12 0.00 -2125.00 890106 Exit Short 1 475.00 8068.75 0.00 -2125.00 MFE = 475.00 MAE = 0.00 890109 Enter Short 1 -421.88 7646.87 0.00 -2125.00 890110 Short 1 -140.62 7928.13 0.00 -2125.00 890111 Short 1 -756.25 7312.50 -615.63 -2125.00 890112 Short 1 -662.50 7406.25 -521.88 -2125.00 890113 Short 1 -121.87 7946.88 0.00 -2125.00 890116 Short 1 -103.13 7965.62 0.00 -2125.00 890117 Short 1 -262.50 7806.25 -159.38 -2125.00 890118 Short 1 259.38 8328.13 0.00 -2125.00 890119 Short 1 -112.50 7956.25 -371.87 -2125.00 890120 Short 1 -512.50 7556.25 -771.88 -2125.00 890123 Short 1 -487.50 7581.25 -746.88 -2125.00 890124 Short 1 -253.12 7815.63 -512.50 -2125.00 890125 Short 1 -356.25 7712.50 -615.63 -2125.00 890126 Short 1 -178.13 7890.62 -437.50 -2125.00 890127 Short 1 40.63 8109.38 -218.75 -2125.00 890130 Short 1 -9.37 8059.38 -268.75 -2125.00 890131 Short 1 259.38 8328.13 0.00 -2125.00 950.00 890201 Exit Short 1 475.00 8543.75 0.00 -2125.00 MFE = 475.00 MAE = -756.25 890209 Enter Long 1 100.00 8643.75 0.00 -2125.00 890210 Long 1 -381.25 8162.50 -481.25 -2125.00 890213 Long 1 -96.88 8446.87 -196.87 -2125.00 890214 Long 1 471.88 9015.63 0.00 -2125.00 890215 Exit Long 1 475.00 9018.75 0.00 -2125.00 MFE = 475.00 MAE = -381.25 890221 Enter Short 1 -143.75 8875.00 -140.63 -2125.00 890222 Short 1 -96.87 8921.88 -93.75 -2125.00 890223 Short 1 -371.87 8646.88 -368.75 -2125.00 890224 Short 1 -315.63 8703.12 -312.50 -2125.00 890227 Short 1 187.50 9206.25 0.00 -2125.00 890228 Short 1 106.25 9125.00 -81.25 -2125.00 950.00 890301 Exit Short 1 475.00 9493.75 0.00 -2125.00 MFE = 475.00 MAE = -371.87 890320 Enter Short 1 -362.50 9131.25 -362.50 -2125.00 890321 Short 1 -543.75 8950.00 -543.75 -2125.00 890322 Short 1 -625.00 8868.75 -625.00 -2125.00 890323 Short 1 -453.13 9040.62 -453.13 -2125.00 890324 Short 1 -421.87 9071.88 -421.87 -2125.00 890327 Short 1 -62.50 9431.25 -62.50 -2125.00 890328 Exit Short 1 475.00 9968.75 0.00 -2125.00 MFE = 475.00 MAE = -625.00 950.00 890417 Enter Long 1 -28.13 9940.62 -28.13 -2125.00 890418 Long 1 -3.12 9965.63 -3.12 -2125.00 890419 Long 1 -100.00 9868.75 -100.00 -2125.00 890420 Long 1 37.50 10006.25 0.00 -2125.00 890421 Long 1 -43.75 9925.00 -81.25 -2125.00 890424 Exit Long 1 -340.62 9628.12 -340.62 -2125.00 MFE = 37.50 MAE = -340.62 890424 Enter Short 1 -84.37 9543.75 -462.50 -2125.00 890425 Short 1 159.37 9787.50 -218.75 -2125.00 890426 Exit Short 1 475.00 10103.12 0.00 -2125.00 MFE = 475.00 MAE = -84.37 134.38 890505 Enter Short 1 -93.75 10009.37 -93.75 -2125.00 890508 Short 1 237.50 10340.63 0.00 -2125.00 890509 Short 1 212.50 10315.63 -25.00 -2125.00 890510 Exit Short 1 -187.50 9915.62 -187.50 -2125.00 MFE = 237.50 MAE = -187.50 890510 Enter Long 1 -125.00 9790.62 -550.00 -2125.00 890511 Long 1 -328.13 9587.50 -753.13 -2125.00 890512 Long 1 -490.63 9425.00 -915.63 -2125.00 890515 Exit Long 1 -678.13 9237.50 -1103.13 -2125.00 MFE = 0.00 MAE = -678.13 890515 Exit Short 1 475.00 9712.50 -628.13 -2125.00 MFE = 475.00 MAE = 0.00 890517 Enter Short 1 271.87 9984.37 -356.25 -2125.00 890518 Short 1 156.25 9868.75 -471.88 -2125.00 890519 Short 1 318.75 10031.25 -309.38 -2125.00 890522 Exit Short 1 475.00 10187.50 -153.13 -2125.00 MFE = 475.00 MAE = 0.00 890529 Enter Short 1 112.50 10300.00 -40.63 -2125.00 890530 Exit Short 1 475.00 10662.50 0.00 -2125.00 MFE = 475.00 MAE = 0.00 559.37 890605 Enter Short 1 125.00 10787.50 0.00 -2125.00 890606 Short 1 -121.87 10540.63 -246.87 -2125.00 890607 Short 1 -143.75 10518.75 -268.75 -2125.00 890608 Short 1 -265.63 10396.87 -390.63 -2125.00 890609 Exit Short 1 475.00 11137.50 0.00 -2125.00 MFE = 475.00 MAE = -265.63 890612 Exit Short 1 475.00 11612.50 0.00 -2125.00 MFE = 475.00 MAE = 0.00 950.00 890703 Enter Long 1 328.13 11940.63 0.00 -2125.00 890704 Exit Long 1 475.00 12087.50 0.00 -2125.00 MFE = 475.00 MAE = 0.00 890705 Exit Long 1 475.00 12562.50 0.00 -2125.00 MFE = 475.00 MAE = 0.00 890718 Enter Long 1 -159.38 12403.12 0.00 -2125.00 890719 Long 1 -550.00 12012.50 -390.63 -2125.00 890720 Long 1 -131.25 12431.25 0.00 -2125.00 890721 Long 1 -350.00 12212.50 -218.75 -2125.00 890724 Long 1 -34.38 12528.12 0.00 -2125.00 890725 Long 1 356.25 12918.75 0.00 -2125.00 890726 Exit Long 1 475.00 13037.50 0.00 -2125.00 MFE = 475.00 MAE = -550.00 1425.00 890811 Enter Short 1 -75.00 12962.50 0.00 -2125.00 890814 Short 1 96.88 13134.38 0.00 -2125.00 890815 Short 1 159.38 13196.88 0.00 -2125.00 890816 Short 1 -46.88 12990.62 -206.25 -2125.00 890817 Exit Short 1 475.00 13512.50 0.00 -2125.00 MFE = 475.00 MAE = -75.00 890824 Enter Short 1 -281.25 13231.25 -281.25 -2125.00 890825 Short 1 -159.37 13353.13 -159.37 -2125.00 890828 Short 1 -56.25 13456.25 -56.25 -2125.00 890829 Exit Short 1 -793.75 12718.75 -793.75 -2125.00 MFE = 0.00 MAE = -793.75 890831 Enter Short 1 46.87 12765.62 -746.88 -2125.00 -318.75 890901 Exit Short 1 475.00 13193.75 -318.75 -2125.00 MFE = 475.00 MAE = 0.00 890915 Exit Long 1 -1278.13 11915.62 -1596.87 -2125.00 MFE = 0.00 MAE = -1278.13 890925 Enter Long 1 393.75 12309.37 -1203.13 -2125.00 890926 Exit Long 1 475.00 12390.62 -1121.87 -2125.00 MFE = 475.00 MAE = 0.00 -328.13 891005 Enter Long 1 -303.13 12087.50 -1425.00 -2125.00 891006 Long 1 -512.50 11878.13 -1634.37 -2125.00 891009 Exit Long 1 -1115.63 11275.00 -2237.50 -2237.50 MFE = 0.00 MAE = -1115.63 891009 Exit Short 1 475.00 11750.00 -1762.50 -2237.50 MFE = 475.00 MAE = 0.00 891010 Enter Short 1 168.75 11918.75 -1593.75 -2237.50 891011 Exit Short 1 475.00 12225.00 -1287.50 -2237.50 MFE = 475.00 MAE = 0.00 891026 Exit Short 1 475.00 12700.00 -812.50 -2237.50 MFE = 475.00 MAE = 0.00 891027 Enter Short 1 -415.62 12284.38 -1228.12 -2237.50 891030 Short 1 -534.37 12165.63 -1346.87 -2237.50 891031 Short 1 -493.75 12206.25 -1306.25 -2237.50 309.37 891101 Short 1 -346.87 12353.13 -1159.37 -2237.50 891102 Short 1 -128.12 12571.88 -940.62 -2237.50 891103 Short 1 -103.12 12596.88 -915.62 -2237.50 891106 Short 1 -337.50 12362.50 -1150.00 -2237.50 891107 Exit Short 1 -681.25 12018.75 -1493.75 -2237.50 MFE = 0.00 MAE = -681.25 891107 Enter Long 1 -28.12 11990.63 -1521.87 -2237.50 891108 Long 1 87.50 12106.25 -1406.25 -2237.50 891109 Long 1 -115.62 11903.13 -1609.37 -2237.50 891110 Long 1 -303.13 11715.62 -1796.88 -2237.50 891113 Long 1 -140.62 11878.13 -1634.37 -2237.50 891114 Long 1 228.13 12246.88 -1265.62 -2237.50 891115 Long 1 -178.12 11840.63 -1671.87 -2237.50 891116 Exit Long 1 -434.38 11584.37 -1928.13 -2237.50 MFE = 228.13 MAE = -434.38 891116 Enter Short 1 -121.88 11462.50 -2050.00 -2237.50 891117 Short 1 181.25 11765.63 -1746.87 -2237.50 891120 Exit Short 1 475.00 12059.37 -1453.13 -2237.50 MFE = 475.00 MAE = -121.88 -640.63 891206 Enter Long 1 -31.25 12028.13 -1484.37 -2237.50 891207 Long 1 -46.87 12012.50 -1500.00 -2237.50 891208 Long 1 156.25 12215.62 -1296.88 -2237.50 891211 Exit Long 1 475.00 12534.37 -978.13 -2237.50 MFE = 475.00 MAE = -46.87 891212 Enter Long 1 -21.87 12512.50 -1000.00 -2237.50 891213 Long 1 -262.50 12271.88 -1240.62 -2237.50 891214 Long 1 -162.50 12371.87 -1140.63 -2237.50 891215 Long 1 -68.75 12465.63 -1046.87 -2237.50 891218 Long 1 -6.25 12528.12 -984.38 -2237.50 891219 Long 1 -178.12 12356.25 -1156.25 -2237.50 891220 Long 1 118.75 12653.13 -859.37 -2237.50 891221 Long 1 228.13 12762.50 -750.00 -2237.50 891222 Exit Long 1 475.00 13009.37 -503.13 -2237.50 MFE = 475.00 MAE = -262.50 891228 Enter Short 1 53.13 13062.50 -450.00 -2237.50 891229 Short 1 -165.62 12843.75 -668.75 -2237.50 950.00 900102 Exit Short 1 -534.37 12475.00 -1037.50 -2237.50 MFE = 53.13 MAE = -534.37 900102 Enter Long 1 -409.38 12065.62 -1446.88 -2237.50 900103 Long 1 -396.87 12078.13 -1434.37 -2237.50 900104 Exit Long 1 475.00 12950.00 -562.50 -2237.50 MFE = 475.00 MAE = -409.38 900105 Enter Long 1 -215.62 12734.38 -778.12 -2237.50 900108 Long 1 378.12 13328.12 -184.38 -2237.50 900109 Exit Long 1 475.00 13425.00 -87.50 -2237.50 MFE = 475.00 MAE = -215.62 900129 Enter Long 1 175.00 13600.00 0.00 -2237.50 900130 Long 1 -115.62 13309.38 -290.62 -2237.50 900131 Long 1 100.00 13525.00 -75.00 -2237.50 415.63 900201 Long 1 284.38 13709.38 0.00 -2237.50 900202 Long 1 271.87 13696.87 -12.50 -2237.50 900205 Exit Long 1 475.00 13900.00 0.00 -2237.50 MFE = 475.00 MAE = -115.62 900219 Enter Long 1 181.25 14081.25 0.00 -2237.50 900220 Long 1 400.00 14300.00 0.00 -2237.50 900221 Exit Long 1 475.00 14375.00 0.00 -2237.50 MFE = 475.00 MAE = 0.00 900226 Enter Short 1 -146.88 14228.12 -71.88 -2237.50 900227 Short 1 -46.87 14328.13 0.00 -2237.50 900228 Short 1 359.38 14734.38 0.00 -2237.50 950.00 900301 Exit Short 1 475.00 14850.00 0.00 -2237.50 MFE = 475.00 MAE = -146.88 900309 Enter Short 1 34.38 14884.38 0.00 -2237.50 900312 Short 1 150.00 15000.00 0.00 -2237.50 900313 Exit Short 1 475.00 15325.00 0.00 -2237.50 MFE = 475.00 MAE = 0.00 900320 Enter Short 1 -6.25 15318.75 0.00 -2237.50 900321 Short 1 150.00 15475.00 0.00 -2237.50 900322 Short 1 -118.75 15206.25 -268.75 -2237.50 900323 Short 1 -37.50 15287.50 -187.50 -2237.50 900326 Exit Short 1 -784.37 14540.62 -784.37 -2237.50 MFE = 150.00 MAE = -784.37 165.62 900416 Enter Short 1 40.62 14581.25 -893.75 -2237.50 900417 Short 1 -162.50 14378.12 -1096.88 -2237.50 900418 Short 1 -234.37 14306.25 -1168.75 -2237.50 900419 Exit Short 1 -568.75 13971.87 -1353.13 -2237.50 MFE = 40.62 MAE = -568.75 900419 Enter Long 1 -137.50 13834.38 -1640.63 -2237.50 900420 Long 1 -334.37 13637.50 -1837.50 -2237.50 900423 Long 1 -465.63 13506.25 -1968.75 -2237.50 900424 Long 1 -459.38 13512.50 -1962.50 -2237.50 900425 Long 1 -293.75 13678.13 -1796.88 -2237.50 900426 Long 1 -475.00 13496.88 -1978.13 -2237.50 900427 Long 1 -521.87 13450.00 -2025.00 -2237.50 900430 Long 1 -256.25 13715.62 -1759.38 -2237.50 -568.75 900501 Long 1 -134.37 13837.50 -1637.50 -2237.50 900502 Long 1 -218.75 13753.12 -1721.88 -2237.50 900503 Long 1 -318.75 13653.13 -1821.88 -2237.50 900504 Exit Long 1 475.00 14446.87 -1028.13 -2237.50 MFE = 475.00 MAE = -521.87 900507 Enter Long 1 -109.37 14337.50 -1137.50 -2237.50 900508 Long 1 -15.63 14431.25 -1043.75 -2237.50 900509 Long 1 171.87 14618.75 -856.25 -2237.50 900510 Long 1 265.63 14712.50 -762.50 -2237.50 900511 Long 1 240.63 14687.50 -787.50 -2237.50 900514 Long 1 340.62 14787.50 -687.50 -2237.50 900515 Exit Long 1 475.00 14921.87 -553.13 -2237.50 MFE = 475.00 MAE = -109.37 900516 Enter Short 1 -340.63 14581.25 -893.75 -2237.50 900517 Exit Short 1 -515.63 14406.25 -1068.75 -2237.50 MFE = 0.00 MAE = -515.63 900517 Enter Long 1 350.00 14756.25 -718.75 -2237.50 900518 Long 1 225.00 14631.25 -843.75 -2237.50 900521 Long 1 106.25 14512.50 -962.50 -2237.50 900522 Long 1 271.87 14678.12 -796.88 -2237.50 900523 Exit Long 1 475.00 14881.25 -593.75 -2237.50 MFE = 475.00 MAE = 0.00 900529 Enter Long 1 -75.00 14806.25 -668.75 -2237.50 900530 Long 1 -137.50 14743.75 -731.25 -2237.50 900531 Exit Long 1 -415.62 14465.62 -1009.38 -2237.50 MFE = 0.00 MAE = -415.62 900531 Enter Short 1 221.87 14687.50 -787.50 -2237.50 493.75 900601 Short 1 137.50 14603.12 -871.88 -2237.50 900604 Exit Short 1 475.00 14940.62 -534.38 -2237.50 MFE = 475.00 MAE = 0.00 900612 Enter Long 1 268.75 15209.37 -265.63 -2237.50 900613 Exit Long 1 475.00 15415.62 -59.38 -2237.50 MFE = 475.00 MAE = 0.00 900622 Enter Long 1 -65.63 15350.00 -125.00 -2237.50 900625 Long 1 -121.87 15293.75 -181.25 -2237.50 900626 Long 1 215.63 15631.25 0.00 -2237.50 900627 Long 1 215.63 15631.25 0.00 -2237.50 900628 Long 1 106.25 15521.88 -109.37 -2237.50 900629 Long 1 434.37 15850.00 0.00 -2237.50 950.00 900702 Exit Long 1 475.00 15890.62 0.00 -2237.50 MFE = 475.00 MAE = -121.87 900709 Enter Long 1 -12.50 15878.13 0.00 -2237.50 900710 Exit Long 1 475.00 16365.62 0.00 -2237.50 MFE = 475.00 MAE = -12.50 900717 Enter Long 1 15.62 16381.25 0.00 -2237.50 900718 Long 1 15.62 16381.25 0.00 -2237.50 900719 Long 1 -31.25 16334.37 -46.88 -2237.50 900720 Long 1 78.12 16443.75 0.00 -2237.50 900723 Long 1 281.25 16646.87 0.00 -2237.50 900724 Long 1 -93.75 16271.87 -375.00 -2237.50 900725 Long 1 -146.88 16218.75 -428.13 -2237.50 900726 Long 1 -31.25 16334.37 -312.50 -2237.50 900727 Exit Long 1 475.00 16840.62 0.00 -2237.50 MFE = 475.00 MAE = -146.88 900730 Enter Long 1 28.13 16868.75 0.00 -2237.50 900731 Exit Long 1 475.00 17315.62 0.00 -2237.50 MFE = 475.00 MAE = 0.00 1900.00 900806 Enter Long 1 -215.62 17100.00 0.00 -2237.50 900807 Long 1 -278.12 17037.50 -62.50 -2237.50 900808 Long 1 -309.37 17006.25 -93.75 -2237.50 900809 Long 1 -356.25 16959.37 -140.63 -2237.50 900810 Long 1 -215.62 17100.00 0.00 -2237.50 900813 Long 1 128.12 17443.75 0.00 -2237.50 900814 Exit Long 1 475.00 17790.62 0.00 -2237.50 MFE = 475.00 MAE = -356.25 900817 Enter Long 1 -59.37 17731.25 0.00 -2237.50 900820 Long 1 -371.88 17418.75 -312.50 -2237.50 900821 Long 1 -418.75 17371.88 -359.38 -2237.50 900822 Long 1 -28.13 17762.50 0.00 -2237.50 900823 Exit Long 1 475.00 18265.62 0.00 -2237.50 MFE = 475.00 MAE = -418.75 950.00 900910 Enter Short 1 -131.25 18134.37 0.00 -2237.50 900911 Exit Short 1 475.00 18740.62 0.00 -2237.50 MFE = 475.00 MAE = -131.25 900921 Enter Short 1 -100.00 18640.62 0.00 -2237.50 900924 Short 1 -662.50 18078.12 -562.50 -2237.50 900925 Short 1 -818.75 17921.87 -718.75 -2237.50 900926 Short 1 -975.00 17765.62 -875.00 -2237.50 900927 Short 1 -1131.25 17609.37 -1031.25 -2237.50 900928 Short 1 -1084.37 17656.25 -984.37 -2237.50 475.00 901001 Short 1 -1334.38 17406.25 -1234.37 -2237.50 901002 Short 1 -1646.88 17093.75 -1546.87 -2237.50 901003 Short 1 -1881.25 16859.37 -1781.25 -2237.50 901004 Short 1 -2303.13 16437.50 -2203.13 -2237.50 901005 Exit Short 1 -3121.87 15618.75 -3121.87 -3121.87 MFE = 0.00 MAE = -3121.87 901005 Exit Long 1 475.00 16093.75 -2646.87 -3121.87 MFE = 475.00 MAE = 0.00 901008 Enter Long 1 -315.63 15778.12 -2862.50 -3121.87 901009 Long 1 -440.62 15653.13 -2987.50 -3121.87 901010 Long 1 -634.37 15459.38 -3181.25 -3181.25 901011 Long 1 -253.12 15840.63 -2800.00 -3181.25 901012 Long 1 -596.87 15496.88 -3143.75 -3181.25 901015 Long 1 -1175.00 14918.75 -3721.87 -3721.87 901016 Long 1 -675.00 15418.75 -3221.88 -3721.87 901017 Long 1 -768.75 15325.00 -3315.62 -3721.87 901018 Long 1 -518.75 15575.00 -3065.63 -3721.87 901019 Long 1 -862.50 15231.25 -3409.37 -3721.87 901022 Long 1 -1346.88 14746.87 -3893.75 -3893.75 901023 Long 1 -1362.50 14731.25 -3909.37 -3909.37 901024 Long 1 -956.25 15137.50 -3503.12 -3909.37 901025 Long 1 -1112.50 14981.25 -3659.37 -3909.37 901026 Long 1 -893.75 15200.00 -3440.63 -3909.37 901029 Long 1 -1159.37 14934.38 -3706.25 -3909.37 901030 Long 1 -934.37 15159.38 -3481.25 -3909.37 901031 Long 1 -1362.50 14731.25 -3909.37 -3909.37 -2646.88 901101 Exit Long 1 -1631.25 14462.50 -4278.13 -4278.13 MFE = 0.00 MAE = -1631.25 901102 Enter Long 1 96.88 14559.38 -4081.25 -4278.13 901105 Exit Long 1 475.00 14937.50 -3703.12 -4278.13 MFE = 475.00 MAE = 0.00 901114 Enter Short 1 -246.88 14690.62 -3950.00 -4278.13 901115 Short 1 -137.50 14800.00 -3840.62 -4278.13 901116 Short 1 -403.12 14534.38 -4106.25 -4278.13 901119 Exit Short 1 -553.12 14384.37 -4256.25 -4278.13 MFE = 0.00 MAE = -553.12 901119 Enter Long 1 134.37 14518.75 -4121.88 -4278.13 901120 Long 1 -131.25 14253.12 -4387.50 -4387.50 901121 Long 1 0.00 14384.37 -4256.25 -4387.50 901122 Long 1 15.63 14400.00 -4240.62 -4387.50 901123 Long 1 -84.38 14300.00 -4340.63 -4387.50 901126 Long 1 -37.50 14346.87 -4293.75 -4387.50 901127 Long 1 375.00 14759.38 -3881.25 -4387.50 901128 Exit Long 1 475.00 14859.37 -3781.25 -4387.50 MFE = 475.00 MAE = -131.25 901129 Exit Short 1 475.00 15334.37 -3306.25 -4387.50 MFE = 475.00 MAE = 0.00 -759.38 901220 Exit Short 1 475.00 15809.37 -2831.25 -4387.50 MFE = 475.00 MAE = 0.00 901221 Enter Short 1 -109.37 15700.00 -2940.62 -4387.50 901224 Exit Short 1 475.00 16284.37 -2356.25 -4387.50 MFE = 475.00 MAE = -109.37 950.00 910107 Enter Short 1 0.00 16284.37 -2356.25 -4387.50 910108 Short 1 175.00 16459.38 -2181.25 -4387.50 910109 Short 1 128.13 16412.50 -2228.12 -4387.50 910110 Short 1 -309.38 15975.00 -2665.63 -4387.50 910111 Short 1 -143.75 16140.63 -2500.00 -4387.50 910114 Exit Short 1 475.00 16759.37 -1881.25 -4387.50 MFE = 475.00 MAE = -309.38 910117 Enter Long 1 400.00 17159.38 -1481.25 -4387.50 910118 Exit Long 1 475.00 17234.37 -1406.25 -4387.50 MFE = 475.00 MAE = 0.00 950.00 910201 Enter Long 1 -6.25 17228.13 -1412.50 -4387.50 910204 Long 1 156.25 17390.63 -1250.00 -4387.50 910205 Exit Long 1 475.00 17709.37 -931.25 -4387.50 MFE = 475.00 MAE = -6.25 910225 Enter Short 1 31.25 17740.62 -900.00 -4387.50 910226 Short 1 234.37 17943.75 -696.88 -4387.50 910227 Exit Short 1 475.00 18184.37 -456.25 -4387.50 MFE = 475.00 MAE = 0.00 950.00 910308 Enter Short 1 268.75 18453.13 -187.50 -4387.50 910311 Exit Short 1 475.00 18659.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910315 Exit Short 1 475.00 19134.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910318 Exit Short 1 475.00 19609.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910319 Exit Short 1 475.00 20084.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910325 Enter Short 1 250.00 20334.38 0.00 -4387.50 910326 Exit Short 1 475.00 20559.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 2375.00 910408 Enter Short 1 -125.00 20434.37 0.00 -4387.50 910409 Short 1 -1000.00 19559.37 -875.00 -4387.50 910410 Short 1 -390.62 20168.75 -265.62 -4387.50 910411 Short 1 -900.00 19659.38 -775.00 -4387.50 910412 Short 1 -525.00 20034.38 -400.00 -4387.50 910415 Short 1 -978.13 19581.25 -853.13 -4387.50 910416 Short 1 -868.75 19690.62 -743.75 -4387.50 910417 Short 1 -759.38 19800.00 -634.38 -4387.50 910418 Short 1 334.38 20893.75 0.00 -4387.50 910419 Exit Short 1 475.00 21034.37 0.00 -4387.50 MFE = 475.00 MAE = -1000.00 910422 Enter Short 1 125.00 21159.37 0.00 -4387.50 910423 Short 1 -371.88 20662.50 -496.88 -4387.50 910424 Short 1 15.62 21050.00 -109.37 -4387.50 910425 Exit Short 1 475.00 21509.37 0.00 -4387.50 MFE = 475.00 MAE = -371.88 910430 Enter Long 1 321.88 21831.25 0.00 -4387.50 950.00 910501 Exit Long 1 475.00 21984.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910517 Exit Short 1 475.00 22459.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 910530 Enter Short 1 106.25 22565.62 0.00 -4387.50 910531 Exit Short 1 475.00 22934.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 1425.00 910624 Enter Short 1 -1075.00 21859.38 -706.25 -4387.50 910625 Short 1 -643.75 22290.63 -275.00 -4387.50 910626 Short 1 -865.62 22068.75 -496.87 -4387.50 910627 Short 1 -653.13 22281.25 -284.37 -4387.50 910628 Short 1 -325.00 22609.37 0.00 -4387.50 0.00 910701 Short 1 90.63 23025.00 0.00 -4387.50 910702 Short 1 253.13 23187.50 0.00 -4387.50 910703 Short 1 190.62 23125.00 -62.50 -4387.50 910704 Short 1 221.87 23156.25 -31.25 -4387.50 910705 Short 1 -137.50 22796.87 -390.63 -4387.50 910708 Exit Short 1 -743.75 22190.62 -743.75 -4387.50 MFE = 253.13 MAE = -1075.00 -743.75 910802 Enter Long 1 -59.38 22131.25 -1056.25 -4387.50 910805 Exit Long 1 475.00 22665.62 -521.88 -4387.50 MFE = 475.00 MAE = -59.38 910819 Enter Short 1 31.25 22696.87 -490.63 -4387.50 910820 Short 1 -593.75 22071.87 -1115.63 -4387.50 910821 Exit Short 1 -1862.50 20803.12 -2384.38 -4387.50 MFE = 31.25 MAE = -1862.50 910821 Enter Long 1 -134.38 20668.75 -2518.75 -4387.50 910822 Long 1 193.75 20996.88 -2190.63 -4387.50 910823 Long 1 -196.88 20606.25 -2581.25 -4387.50 910826 Long 1 -143.75 20659.38 -2528.13 -4387.50 910827 Long 1 -146.87 20656.25 -2531.25 -4387.50 910828 Long 1 184.37 20987.50 -2200.00 -4387.50 910829 Long 1 -9.37 20793.75 -2393.75 -4387.50 910830 Long 1 -118.75 20684.38 -2503.13 -4387.50 -1387.50 910902 Long 1 -28.12 20775.00 -2412.50 -4387.50 910903 Long 1 328.13 21131.25 -2056.25 -4387.50 910904 Long 1 318.75 21121.87 -2065.63 -4387.50 910905 Long 1 287.50 21090.63 -2096.87 -4387.50 910906 Exit Long 1 475.00 21278.12 -1909.38 -4387.50 MFE = 475.00 MAE = -196.88 910909 Enter Long 1 93.75 21371.87 -1815.63 -4387.50 910910 Long 1 -6.25 21271.88 -1915.62 -4387.50 910911 Long 1 118.75 21396.88 -1790.63 -4387.50 910912 Long 1 25.00 21303.12 -1884.38 -4387.50 910913 Long 1 34.38 21312.50 -1875.00 -4387.50 910916 Long 1 243.75 21521.87 -1665.63 -4387.50 910917 Exit Long 1 475.00 21753.12 -1434.38 -4387.50 MFE = 475.00 MAE = -6.25 910918 Enter Short 1 -84.37 21668.75 -1518.75 -4387.50 910919 Short 1 -100.00 21653.12 -1534.38 -4387.50 910920 Short 1 -200.00 21553.13 -1634.38 -4387.50 910923 Exit Short 1 -421.87 21331.25 -1856.25 -4387.50 MFE = 0.00 MAE = -421.87 910923 Enter Long 1 187.50 21518.75 -1668.75 -4387.50 910924 Long 1 -343.75 20987.50 -2200.00 -4387.50 910925 Long 1 -62.50 21268.75 -1918.75 -4387.50 910926 Long 1 -265.63 21065.62 -2121.88 -4387.50 910927 Long 1 171.88 21503.13 -1684.38 -4387.50 910930 Exit Long 1 475.00 21806.25 -1381.25 -4387.50 MFE = 475.00 MAE = -343.75 1003.13 911008 Exit Short 1 475.00 22281.25 -906.25 -4387.50 MFE = 475.00 MAE = 0.00 911023 Enter Short 1 -31.25 22250.00 -937.50 -4387.50 911024 Short 1 -390.63 21890.62 -1296.88 -4387.50 911025 Short 1 -456.25 21825.00 -1362.50 -4387.50 911028 Short 1 125.00 22406.25 -781.25 -4387.50 911029 Exit Short 1 -800.00 21481.25 -1706.25 -4387.50 MFE = 125.00 MAE = -800.00 911029 Enter Long 1 178.13 21659.38 -1528.12 -4387.50 911030 Exit Long 1 475.00 21956.25 -1231.25 -4387.50 MFE = 475.00 MAE = 0.00 150.00 911115 Enter Long 1 -34.37 21921.88 -1265.63 -4387.50 911118 Long 1 43.75 22000.00 -1187.50 -4387.50 911119 Exit Long 1 475.00 22431.25 -756.25 -4387.50 MFE = 475.00 MAE = -34.37 475.00 911205 Enter Long 1 125.00 22556.25 -631.25 -4387.50 911206 Exit Long 1 475.00 22906.25 -281.25 -4387.50 MFE = 475.00 MAE = 0.00 911220 Enter Long 1 240.63 23146.88 -40.62 -4387.50 911223 Exit Long 1 475.00 23381.25 0.00 -4387.50 MFE = 475.00 MAE = 0.00 950.00 920102 Enter Long 1 -412.50 22968.75 -412.50 -4387.50 920103 Exit Long 1 -778.13 22603.12 -778.13 -4387.50 MFE = 0.00 MAE = -778.13 920106 Enter Long 1 284.37 22887.50 -493.75 -4387.50 920107 Long 1 346.87 22950.00 -431.25 -4387.50 920108 Long 1 143.75 22746.88 -634.37 -4387.50 920109 Exit Long 1 -775.00 21828.12 -1553.13 -4387.50 MFE = 346.87 MAE = -775.00 920130 Enter Short 1 159.37 21987.50 -1393.75 -4387.50 920131 Short 1 34.38 21862.50 -1518.75 -4387.50 -1553.13 920203 Short 1 -287.50 21540.62 -1840.63 -4387.50 920204 Short 1 -496.88 21331.25 -2050.00 -4387.50 920205 Short 1 -934.37 20893.75 -2487.50 -4387.50 920206 Short 1 -1075.00 20753.12 -2628.13 -4387.50 920207 Short 1 -1621.88 20206.25 -3175.00 -4387.50 920210 Short 1 -996.87 20831.25 -2550.00 -4387.50 920211 Short 1 -371.87 21456.25 -1925.00 -4387.50 920212 Short 1 -43.75 21784.37 -1596.88 -4387.50 920213 Exit Short 1 475.00 22303.12 -1078.12 -4387.50 MFE = 475.00 MAE = -1621.88 920227 Enter Long 1 -25.00 22278.12 -1103.13 -4387.50 920228 Long 1 -234.37 22068.75 -1312.50 -4387.50 475.00 920302 Long 1 -353.12 21950.00 -1431.25 -4387.50 920303 Exit Long 1 -843.75 21459.37 -1921.88 -4387.50 MFE = 0.00 MAE = -843.75 920303 Enter Short 1 18.75 21478.13 -1903.12 -4387.50 920304 Exit Short 1 475.00 21934.37 -1446.88 -4387.50 MFE = 475.00 MAE = 0.00 920305 Enter Short 1 -268.75 21665.62 -1715.63 -4387.50 920306 Short 1 -331.25 21603.12 -1778.13 -4387.50 920309 Short 1 -534.38 21400.00 -1981.25 -4387.50 920310 Short 1 -284.38 21650.00 -1731.25 -4387.50 920311 Short 1 -581.25 21353.12 -2028.13 -4387.50 920312 Short 1 -175.00 21759.37 -1621.88 -4387.50 920313 Short 1 21.87 21956.25 -1425.00 -4387.50 920316 Short 1 -431.25 21503.13 -1878.12 -4387.50 920317 Exit Short 1 -693.75 21240.62 -2140.63 -4387.50 MFE = 21.87 MAE = -693.75 920319 Enter Short 1 118.75 21359.38 -2021.87 -4387.50 920320 Exit Short 1 475.00 21715.62 -1665.63 -4387.50 MFE = 475.00 MAE = 0.00 -587.50 920403 Enter Long 1 140.63 21856.25 -1525.00 -4387.50 920406 Long 1 225.00 21940.63 -1440.62 -4387.50 920407 Long 1 337.50 22053.13 -1328.12 -4387.50 920408 Long 1 296.88 22012.50 -1368.75 -4387.50 920409 Exit Long 1 475.00 22190.62 -1190.63 -4387.50 MFE = 475.00 MAE = 0.00 920410 Enter Long 1 -456.25 21734.38 -1646.87 -4387.50 920413 Long 1 -518.75 21671.87 -1709.38 -4387.50 920414 Long 1 -534.37 21656.25 -1725.00 -4387.50 920415 Long 1 -753.12 21437.50 -1943.75 -4387.50 920416 Long 1 -1065.62 21125.00 -2256.25 -4387.50 920417 Long 1 -1081.25 21109.37 -2271.88 -4387.50 920420 Long 1 -968.75 21221.87 -2159.38 -4387.50 920421 Long 1 -862.50 21328.13 -2053.12 -4387.50 920422 Long 1 -518.75 21671.87 -1709.38 -4387.50 920423 Long 1 -356.25 21834.37 -1546.88 -4387.50 920424 Long 1 -159.38 22031.25 -1350.00 -4387.50 920427 Long 1 -81.25 22109.38 -1271.87 -4387.50 920428 Long 1 -65.63 22125.00 -1256.25 -4387.50 920429 Long 1 -237.50 21953.13 -1428.12 -4387.50 920430 Long 1 12.50 22203.13 -1178.12 -4387.50 475.00 920501 Long 1 231.25 22421.88 -959.37 -4387.50 920504 Long 1 -18.75 22171.87 -1209.38 -4387.50 920505 Long 1 246.87 22437.50 -943.75 -4387.50 920506 Exit Long 1 475.00 22665.62 -715.63 -4387.50 MFE = 475.00 MAE = -1081.25 920512 Enter Long 1 175.00 22840.63 -540.62 -4387.50 920513 Exit Long 1 475.00 23140.62 -240.63 -4387.50 MFE = 475.00 MAE = 0.00 920518 Enter Long 1 -115.62 23025.00 -356.25 -4387.50 920519 Long 1 -131.25 23009.38 -371.87 -4387.50 920520 Long 1 -303.13 22837.50 -543.75 -4387.50 920521 Long 1 -709.38 22431.25 -950.00 -4387.50 920522 Long 1 -693.75 22446.88 -934.37 -4387.50 920525 Long 1 -678.13 22462.50 -918.75 -4387.50 920526 Long 1 -537.50 22603.13 -778.12 -4387.50 920527 Exit Long 1 -1059.38 22081.25 -1300.00 -4387.50 MFE = 0.00 MAE = -1059.38 920529 Enter Long 1 203.12 22284.37 -1096.88 -4387.50 -109.38 920601 Exit Long 1 475.00 22556.25 -825.00 -4387.50 MFE = 475.00 MAE = 0.00 920611 Enter Long 1 106.25 22662.50 -718.75 -4387.50 920612 Long 1 146.88 22703.13 -678.12 -4387.50 920615 Long 1 340.62 22896.87 -484.38 -4387.50 920616 Exit Long 1 475.00 23031.25 -350.00 -4387.50 MFE = 475.00 MAE = 0.00 920623 Enter Long 1 -231.25 22800.00 -581.25 -4387.50 920624 Long 1 321.88 23353.13 -28.12 -4387.50 920625 Exit Long 1 475.00 23506.25 0.00 -4387.50 MFE = 475.00 MAE = -231.25 1425.00 920707 Enter Long 1 475.00 23981.25 0.00 -4387.50 920708 Exit Long 1 475.00 23981.25 0.00 -4387.50 MFE = 475.00 MAE = 0.00 920713 Enter Long 1 93.75 24075.00 0.00 -4387.50 920714 Long 1 -265.63 23715.62 -359.38 -4387.50 920715 Long 1 -187.50 23793.75 -281.25 -4387.50 920716 Long 1 328.13 24309.38 0.00 -4387.50 920717 Exit Long 1 475.00 24456.25 0.00 -4387.50 MFE = 475.00 MAE = -265.63 950.00 920805 Enter Short 1 -96.88 24359.37 0.00 -4387.50 920806 Short 1 -346.88 24109.37 -250.00 -4387.50 920807 Exit Short 1 -646.88 23809.37 -646.88 -4387.50 MFE = 0.00 MAE = -646.88 920807 Enter Long 1 193.75 24003.13 -356.25 -4387.50 920810 Long 1 246.87 24056.25 -303.13 -4387.50 920811 Long 1 178.13 23987.50 -371.87 -4387.50 920812 Long 1 193.75 24003.13 -356.25 -4387.50 920813 Long 1 300.00 24109.37 -250.00 -4387.50 920814 Long 1 -56.25 23753.13 -606.25 -4387.50 920817 Long 1 28.12 23837.50 -521.88 -4387.50 920818 Long 1 187.50 23996.87 -362.50 -4387.50 920819 Long 1 334.38 24143.75 -215.62 -4387.50 920820 Exit Long 1 475.00 24284.37 -75.00 -4387.50 MFE = 475.00 MAE = -56.25 920821 Enter Long 1 106.25 24390.62 0.00 -4387.50 920824 Exit Long 1 475.00 24759.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 303.12 920904 Exit Long 1 -1075.00 23684.37 -1075.00 -4387.50 MFE = 0.00 MAE = -1075.00 920916 Exit Short 1 475.00 24159.37 -600.00 -4387.50 MFE = 475.00 MAE = 0.00 -600.00 921001 Exit Short 1 475.00 24634.37 -125.00 -4387.50 MFE = 475.00 MAE = 0.00 921002 Exit Short 1 475.00 25109.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 921005 Enter Short 1 -134.38 24975.00 0.00 -4387.50 921006 Short 1 -134.38 24975.00 0.00 -4387.50 921007 Short 1 -56.25 25053.13 0.00 -4387.50 921008 Exit Short 1 475.00 25584.37 0.00 -4387.50 MFE = 475.00 MAE = -134.38 921015 Enter Short 1 231.25 25815.62 0.00 -4387.50 921016 Exit Short 1 475.00 26059.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 921019 Enter Short 1 125.00 26184.37 0.00 -4387.50 921020 Short 1 31.25 26090.63 -93.75 -4387.50 921021 Exit Short 1 475.00 26534.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 921026 Enter Short 1 -9.38 26525.00 -9.38 -4387.50 921027 Exit Short 1 475.00 27009.37 0.00 -4387.50 MFE = 475.00 MAE = -9.38 2850.00 921102 Enter Short 1 -106.25 26903.13 -106.25 -4387.50 921103 Short 1 -646.88 26362.50 -646.88 -4387.50 921104 Short 1 -475.00 26534.37 -475.00 -4387.50 921105 Short 1 -184.38 26825.00 -184.38 -4387.50 921106 Short 1 3.12 27012.50 0.00 -4387.50 921109 Exit Short 1 475.00 27484.37 0.00 -4387.50 MFE = 475.00 MAE = -646.88 921116 Enter Short 1 -53.13 27431.25 0.00 -4387.50 921117 Short 1 9.38 27493.75 0.00 -4387.50 921118 Short 1 -87.50 27396.88 -96.88 -4387.50 921119 Short 1 -515.63 26968.75 -525.00 -4387.50 921120 Short 1 353.12 27837.50 0.00 -4387.50 921123 Exit Short 1 484.37 27968.75 0.00 -4387.50 MFE = 484.37 MAE = -515.63 921127 Enter Short 1 -121.88 27846.87 0.00 -4387.50 921130 Short 1 -246.87 27721.88 -125.00 -4387.50 959.37 921201 Exit Short 1 -800.00 27168.75 -800.00 -4387.50 MFE = 0.00 MAE = -800.00 921222 Enter Short 1 156.25 27325.00 -521.88 -4387.50 921223 Exit Short 1 475.00 27643.75 -203.12 -4387.50 MFE = 475.00 MAE = 0.00 -325.00 930105 Exit Long 1 475.00 28118.75 0.00 -4387.50 MFE = 475.00 MAE = 0.00 930106 Enter Long 1 -531.25 27587.50 -531.25 -4387.50 930107 Long 1 -875.00 27243.75 -875.00 -4387.50 930108 Long 1 -859.37 27259.37 -859.37 -4387.50 930111 Long 1 -203.12 27915.63 -203.12 -4387.50 930112 Long 1 -468.75 27650.00 -468.75 -4387.50 930113 Long 1 -306.25 27812.50 -306.25 -4387.50 930114 Long 1 -671.88 27446.87 -671.88 -4387.50 930115 Long 1 -890.63 27228.12 -890.63 -4387.50 930118 Long 1 -250.00 27868.75 -250.00 -4387.50 930119 Long 1 -390.62 27728.12 -390.62 -4387.50 930120 Long 1 -468.75 27650.00 -468.75 -4387.50 930121 Exit Long 1 -959.37 27159.37 -959.37 -4387.50 MFE = 0.00 MAE = -959.37 930121 Enter Short 1 206.25 27365.63 -753.12 -4387.50 930122 Exit Short 1 475.00 27634.37 -484.37 -4387.50 MFE = 475.00 MAE = 0.00 930125 Enter Long 1 334.37 27968.75 -150.00 -4387.50 930126 Exit Long 1 475.00 28109.37 -9.37 -4387.50 MFE = 475.00 MAE = 0.00 930127 Exit Short 1 475.00 28584.37 0.00 -4387.50 MFE = 475.00 MAE = 0.00 930129 Enter Short 1 -78.12 28506.25 -78.12 -4387.50 940.63 930201 Exit Short 1 475.00 29059.37 0.00 -4387.50 MFE = 475.00 MAE = -78.12 930218 Enter Short 1 -515.62 28543.75 -515.62 -4387.50 930219 Short 1 -703.13 28356.25 -703.13 -4387.50 930222 Short 1 -781.25 28278.12 -781.25 -4387.50 930223 Short 1 -693.75 28365.62 -693.75 -4387.50 930224 Short 1 62.50 29121.87 0.00 -4387.50 930225 Short 1 -25.00 29034.37 -87.50 -4387.50 930226 Short 1 218.75 29278.12 0.00 -4387.50 475.00 930301 Short 1 -240.62 28818.75 -459.37 -4387.50 930302 Short 1 -515.62 28543.75 -734.37 -4387.50 930303 Short 1 -593.75 28465.62 -812.50 -4387.50 930304 Short 1 -743.75 28315.62 -962.50 -4387.50 930305 Short 1 -437.50 28621.87 -656.25 -4387.50 930308 Short 1 -328.12 28731.25 -546.87 -4387.50 930309 Short 1 -265.62 28793.75 -484.37 -4387.50 930310 Short 1 -46.88 29012.50 -265.62 -4387.50 930311 Short 1 15.62 29075.00 -203.13 -4387.50 930312 Short 1 -31.25 29028.12 -250.00 -4387.50 930315 Short 1 -118.75 28940.62 -337.50 -4387.50 930316 Exit Short 1 -606.25 28453.12 -606.25 -4387.50 MFE = 218.75 MAE = -781.25 930316 Enter Long 1 -50.00 28403.12 -875.00 -4387.50 930317 Long 1 90.62 28543.75 -734.37 -4387.50 930318 Exit Long 1 475.00 28928.12 -350.00 -4387.50 MFE = 475.00 MAE = -50.00 930331 Enter Long 1 212.50 29140.62 -137.50 -4387.50 -131.25 930401 Exit Long 1 475.00 29403.12 0.00 -4387.50 MFE = 475.00 MAE = 0.00 930412 Enter Long 1 231.25 29634.37 0.00 -4387.50 930413 Exit Long 1 475.00 29878.12 0.00 -4387.50 MFE = 475.00 MAE = 0.00 930420 Enter Long 1 -93.75 29784.37 0.00 -4387.50 930421 Long 1 -334.38 29543.75 -240.62 -4387.50 930422 Long 1 400.00 30278.12 0.00 -4387.50 930423 Exit Long 1 475.00 30353.12 0.00 -4387.50 MFE = 475.00 MAE = -334.38 930426 Enter Long 1 -231.25 30121.87 -156.25 -4387.50 930427 Long 1 -606.25 29746.87 -531.25 -4387.50 930428 Long 1 -612.50 29740.62 -537.50 -4387.50 930429 Long 1 -606.25 29746.87 -531.25 -4387.50 930430 Long 1 -621.88 29731.25 -546.88 -4387.50 1425.00 930503 Long 1 -903.12 29450.00 -828.12 -4387.50 930504 Long 1 -809.37 29543.75 -734.37 -4387.50 930505 Long 1 -840.63 29512.50 -765.62 -4387.50 930506 Long 1 -371.88 29981.25 -296.87 -4387.50 930507 Long 1 -725.00 29628.12 -650.00 -4387.50 930510 Exit Long 1 -1093.75 29259.37 -1093.75 -4387.50 MFE = 0.00 MAE = -1093.75 930520 Enter Long 1 62.50 29321.87 -956.25 -4387.50 930521 Long 1 -390.63 28868.75 -1409.37 -4387.50 930524 Long 1 -500.00 28759.37 -1518.75 -4387.50 930525 Long 1 -371.88 28887.50 -1390.63 -4387.50 930526 Long 1 -218.75 29040.63 -1237.50 -4387.50 930527 Long 1 256.25 29515.62 -762.50 -4387.50 930528 Long 1 209.38 29468.75 -809.37 -4387.50 930531 Long 1 218.75 29478.12 -800.00 -4387.50 -1093.75 930601 Long 1 0.00 29259.37 -1018.75 -4387.50 930602 Exit Long 1 -528.13 28731.25 -1621.88 -4387.50 MFE = 256.25 MAE = -528.13 930602 Enter Short 1 -65.62 28665.62 -1612.50 -4387.50 930603 Short 1 -315.62 28415.62 -1862.50 -4387.50 930604 Exit Short 1 475.00 29206.25 -1071.87 -4387.50 MFE = 475.00 MAE = -315.62 930616 Enter Short 1 184.38 29390.63 -887.50 -4387.50 930617 Short 1 -84.38 29121.87 -1156.25 -4387.50 930618 Exit Short 1 475.00 29681.25 -596.87 -4387.50 MFE = 475.00 MAE = -84.38 930621 Enter Short 1 -209.37 29471.87 -806.25 -4387.50 930622 Short 1 143.75 29825.00 -453.12 -4387.50 930623 Short 1 275.00 29956.25 -321.88 -4387.50 930624 Exit Short 1 475.00 30156.25 -121.87 -4387.50 MFE = 475.00 MAE = -209.37 896.87 930716 Enter Short 1 -262.50 29893.75 -384.37 -4387.50 930719 Exit Short 1 -687.50 29468.75 -809.37 -4387.50 MFE = 0.00 MAE = -687.50 930719 Enter Long 1 -9.38 29459.37 -818.75 -4387.50 930720 Long 1 406.25 29875.00 -403.12 -4387.50 930721 Exit Long 1 475.00 29943.75 -334.37 -4387.50 MFE = 475.00 MAE = -9.38 -212.50 930802 Enter Long 1 -25.00 29918.75 -359.37 -4387.50 930803 Long 1 -71.87 29871.87 -406.25 -4387.50 930804 Long 1 -40.62 29903.13 -375.00 -4387.50 930805 Long 1 -215.63 29728.12 -550.00 -4387.50 930806 Long 1 -134.37 29809.37 -468.75 -4387.50 930809 Long 1 -353.12 29590.63 -687.50 -4387.50 930810 Exit Long 1 -765.62 29178.12 -1100.00 -4387.50 MFE = 0.00 MAE = -765.62 930810 Enter Short 1 368.75 29546.87 -731.25 -4387.50 930811 Short 1 221.87 29400.00 -878.13 -4387.50 930812 Exit Short 1 475.00 29653.12 -625.00 -4387.50 MFE = 475.00 MAE = 0.00 930816 Enter Long 1 31.25 29684.37 -593.75 -4387.50 930817 Long 1 -9.37 29643.75 -634.37 -4387.50 930818 Exit Long 1 475.00 30128.12 -150.00 -4387.50 MFE = 475.00 MAE = -9.37 930826 Enter Long 1 12.50 30140.62 -137.50 -4387.50 930827 Long 1 -221.88 29906.25 -371.87 -4387.50 930830 Long 1 -562.50 29565.62 -712.50 -4387.50 930831 Long 1 -609.38 29518.75 -759.38 -4387.50 184.37 930901 Long 1 -221.88 29906.25 -371.87 -4387.50 930902 Long 1 -268.75 29859.37 -418.75 -4387.50 930903 Exit Long 1 475.00 30603.12 0.00 -4387.50 MFE = 475.00 MAE = -609.38 930916 Enter Short 1 -90.62 30512.50 -90.62 -4387.50 930917 Short 1 -90.62 30512.50 -90.62 -4387.50 930920 Short 1 -90.62 30512.50 -90.62 -4387.50 930921 Exit Short 1 475.00 31078.12 0.00 -4387.50 MFE = 475.00 MAE = -90.62 950.00 931004 Enter Long 1 75.00 31153.13 0.00 -4387.50 931005 Long 1 118.75 31196.88 0.00 -4387.50 931006 Exit Long 1 475.00 31553.12 0.00 -4387.50 MFE = 475.00 MAE = 0.00 931014 Enter Short 1 -50.00 31503.12 0.00 -4387.50 931015 Short 1 75.00 31628.13 0.00 -4387.50 931018 Exit Short 1 475.00 32028.12 0.00 -4387.50 MFE = 475.00 MAE = -50.00 931028 Enter Long 1 -259.38 31768.75 0.00 -4387.50 931029 Long 1 -587.50 31440.63 -328.12 -4387.50 950.00 931101 Long 1 -462.50 31565.62 -203.13 -4387.50 931102 Long 1 -750.00 31278.12 -490.62 -4387.50 931103 Long 1 -400.00 31628.12 -140.63 -4387.50 931104 Long 1 -509.38 31518.75 -250.00 -4387.50 931105 Long 1 -409.37 31618.75 -150.00 -4387.50 931108 Long 1 -503.12 31525.00 -243.75 -4387.50 931109 Exit Long 1 -759.38 31268.75 -759.38 -4387.50 MFE = 0.00 MAE = -759.38 931109 Enter Short 1 150.00 31418.75 -350.00 -4387.50 931110 Short 1 -178.12 31090.62 -678.12 -4387.50 931111 Short 1 -53.13 31215.62 -553.13 -4387.50 931112 Exit Short 1 -565.63 30703.12 -1325.00 -4387.50 MFE = 150.00 MAE = -565.63 931112 Enter Long 1 59.37 30762.50 -1006.25 -4387.50 931115 Long 1 -56.25 30646.88 -1121.87 -4387.50 931116 Long 1 -321.88 30381.25 -1387.50 -4387.50 931117 Long 1 -356.25 30346.87 -1421.87 -4387.50 931118 Long 1 -487.50 30215.62 -1553.12 -4387.50 931119 Long 1 -550.00 30153.13 -1615.62 -4387.50 931122 Long 1 -462.50 30240.62 -1528.12 -4387.50 931123 Long 1 -175.00 30528.12 -1240.62 -4387.50 931124 Long 1 -81.25 30621.87 -1146.87 -4387.50 931125 Long 1 -78.12 30625.00 -1143.75 -4387.50 931126 Exit Long 1 -518.75 30184.37 -1843.75 -4387.50 MFE = 59.37 MAE = -550.00 931126 Enter Short 1 -115.63 30068.75 -1700.00 -4387.50 931129 Short 1 -459.38 29725.00 -2043.75 -4387.50 931130 Short 1 -334.37 29850.00 -1918.75 -4387.50 -1843.75 931201 Short 1 -68.75 30115.62 -1653.12 -4387.50 931202 Short 1 -271.88 29912.50 -1856.25 -4387.50 931203 Exit Short 1 -525.00 29659.37 -2368.75 -4387.50 MFE = 0.00 MAE = -525.00 931203 Enter Long 1 -9.38 29650.00 -2118.75 -4387.50 931206 Long 1 409.38 30068.75 -1700.00 -4387.50 931207 Long 1 53.12 29712.50 -2056.25 -4387.50 931208 Long 1 115.63 29775.00 -1993.75 -4387.50 931209 Long 1 100.00 29759.37 -2009.38 -4387.50 931210 Long 1 150.00 29809.37 -1959.38 -4387.50 931213 Long 1 -40.62 29618.75 -2150.00 -4387.50 931214 Long 1 -96.88 29562.50 -2206.25 -4387.50 931215 Exit Long 1 -446.88 29212.50 -2815.63 -4387.50 MFE = 409.38 MAE = -446.88 931215 Enter Short 1 -37.50 29175.00 -2593.75 -4387.50 931216 Short 1 -312.50 28900.00 -2868.75 -4387.50 931217 Short 1 -271.87 28940.63 -2828.12 -4387.50 931220 Short 1 -271.87 28940.63 -2828.12 -4387.50 931221 Short 1 -334.38 28878.12 -2890.63 -4387.50 931222 Short 1 -600.00 28612.50 -3156.25 -4387.50 931223 Exit Short 1 -840.63 28371.87 -3656.25 -4387.50 MFE = 0.00 MAE = -840.63 931223 Enter Long 1 -12.50 28359.37 -3409.37 -4387.50 931224 Long 1 -12.50 28359.37 -3409.37 -4387.50 931227 Long 1 18.75 28390.62 -3378.13 -4387.50 931228 Long 1 140.62 28512.50 -3256.25 -4387.50 931229 Exit Long 1 -396.88 27975.00 -4053.13 -4387.50 MFE = 140.62 MAE = -396.88 931229 Exit Short 1 475.00 28450.00 -3578.13 -4387.50 MFE = 475.00 MAE = 0.00 -1734.38 940112 Enter Long 1 15.62 28465.62 -3303.13 -4387.50 940113 Long 1 -218.75 28231.25 -3537.50 -4387.50 940114 Long 1 -312.50 28137.50 -3631.25 -4387.50 940117 Long 1 -321.88 28128.12 -3640.63 -4387.50 940118 Long 1 -225.00 28225.00 -3543.75 -4387.50 940119 Long 1 -328.13 28121.87 -3646.88 -4387.50 940120 Long 1 -200.00 28250.00 -3518.75 -4387.50 940121 Long 1 -359.37 28090.62 -3678.12 -4387.50 940124 Long 1 -293.75 28156.25 -3612.50 -4387.50 940125 Long 1 -265.62 28184.37 -3584.37 -4387.50 940126 Long 1 -265.62 28184.37 -3584.37 -4387.50 940127 Long 1 140.63 28590.63 -3178.12 -4387.50 940128 Long 1 -265.62 28184.37 -3584.37 -4387.50 940131 Long 1 68.75 28518.75 -3250.00 -4387.50 0.00 940201 Long 1 -87.50 28362.50 -3406.25 -4387.50 940202 Exit Long 1 -350.00 28100.00 -3928.13 -4387.50 MFE = 140.63 MAE = -359.37 940202 Enter Short 1 -84.38 28015.62 -3753.13 -4387.50 940203 Short 1 175.00 28275.00 -3493.75 -4387.50 940204 Exit Short 1 475.00 28575.00 -3193.75 -4387.50 MFE = 475.00 MAE = -84.38 940214 Enter Long 1 -56.25 28518.75 -3250.00 -4387.50 940215 Long 1 -406.25 28168.75 -3600.00 -4387.50 940216 Long 1 -296.87 28278.12 -3490.62 -4387.50 940217 Long 1 -243.75 28331.25 -3437.50 -4387.50 940218 Long 1 -121.88 28453.12 -3315.63 -4387.50 940221 Long 1 -384.37 28190.62 -3578.12 -4387.50 940222 Long 1 -228.12 28346.87 -3421.87 -4387.50 940223 Long 1 -243.75 28331.25 -3437.50 -4387.50 940224 Long 1 -9.38 28565.62 -3203.13 -4387.50 940225 Long 1 68.75 28643.75 -3125.00 -4387.50 940228 Long 1 -25.00 28550.00 -3218.75 -4387.50 125.00 940301 Long 1 100.00 28675.00 -3093.75 -4387.50 940302 Long 1 318.75 28893.75 -2875.00 -4387.50 940303 Long 1 303.12 28878.12 -2890.63 -4387.50 940304 Long 1 93.75 28668.75 -3100.00 -4387.50 940307 Long 1 100.00 28675.00 -3093.75 -4387.50 940308 Long 1 50.00 28625.00 -3143.75 -4387.50 940309 Long 1 281.25 28856.25 -2912.50 -4387.50 940310 Exit Long 1 475.00 29050.00 -2718.75 -4387.50 MFE = 475.00 MAE = -406.25 940323 Enter Long 1 59.37 29109.37 -2659.38 -4387.50 940324 Long 1 34.37 29084.37 -2684.38 -4387.50 940325 Long 1 81.25 29131.25 -2637.50 -4387.50 940328 Long 1 0.00 29050.00 -2718.75 -4387.50 940329 Exit Long 1 -328.13 28721.87 -3046.87 -4387.50 MFE = 81.25 MAE = -328.13 940329 Enter Short 1 43.75 28765.62 -3003.12 -4387.50 940330 Short 1 215.62 28937.50 -2831.25 -4387.50 940331 Short 1 84.37 28806.25 -2962.50 -4387.50 146.88 940401 Short 1 412.50 29134.37 -2634.38 -4387.50 940404 Exit Short 1 475.00 29196.87 -2571.87 -4387.50 MFE = 475.00 MAE = 0.00 940419 Enter Long 1 40.62 29237.50 -2531.25 -4387.50 940420 Exit Long 1 475.00 29671.87 -2096.87 -4387.50 MFE = 475.00 MAE = 0.00 940426 Enter Long 1 -100.00 29571.87 -2196.87 -4387.50 940427 Long 1 -75.00 29596.87 -2171.87 -4387.50 940428 Long 1 206.25 29878.12 -1890.63 -4387.50 940429 Exit Long 1 475.00 30146.87 -1621.87 -4387.50 MFE = 475.00 MAE = -100.00 1425.00 940601 Enter Long 1 59.38 30206.25 -1562.50 -4387.50 940602 Long 1 -118.75 30028.12 -1740.62 -4387.50 940603 Exit Long 1 -268.75 29878.12 -1890.62 -4387.50 MFE = 59.38 MAE = -268.75 940603 Enter Short 1 40.63 29918.75 -1850.00 -4387.50 940606 Short 1 -28.13 29850.00 -1918.75 -4387.50 940607 Short 1 -100.00 29778.12 -1990.63 -4387.50 940608 Short 1 -131.25 29746.88 -2021.87 -4387.50 940609 Short 1 -118.75 29759.37 -2009.38 -4387.50 940610 Short 1 -68.75 29809.37 -1959.37 -4387.50 940613 Exit Short 1 -312.50 29565.62 -2203.12 -4387.50 MFE = 40.63 MAE = -312.50 940613 Enter Long 1 187.50 29753.12 -2015.63 -4387.50 940614 Long 1 90.62 29656.25 -2112.50 -4387.50 940615 Long 1 178.12 29743.75 -2025.00 -4387.50 940616 Long 1 125.00 29690.62 -2078.12 -4387.50 940617 Exit Long 1 475.00 30040.62 -1728.12 -4387.50 MFE = 475.00 MAE = 0.00 940624 Enter Long 1 106.25 30146.87 -1621.87 -4387.50 940627 Long 1 -143.75 29896.87 -1871.88 -4387.50 940628 Long 1 112.50 30153.13 -1615.62 -4387.50 940629 Long 1 -121.88 29918.75 -1850.00 -4387.50 940630 Exit Long 1 -503.13 29537.50 -2231.25 -4387.50 MFE = 112.50 MAE = -503.13 940630 Enter Short 1 -321.88 29215.62 -2553.13 -4387.50 -609.38 940701 Short 1 -131.25 29406.25 -2362.50 -4387.50 940704 Short 1 -137.50 29400.00 -2368.75 -4387.50 940705 Short 1 -306.25 29231.25 -2537.50 -4387.50 940706 Short 1 -359.38 29178.12 -2590.63 -4387.50 940707 Short 1 -178.12 29359.37 -2409.37 -4387.50 940708 Exit Short 1 -500.00 29037.50 -2731.25 -4387.50 MFE = 0.00 MAE = -500.00 940708 Enter Long 1 15.62 29053.12 -2715.63 -4387.50 940711 Exit Long 1 475.00 29512.50 -2256.25 -4387.50 MFE = 475.00 MAE = 0.00 940721 Enter Short 1 118.75 29631.25 -2137.50 -4387.50 940722 Short 1 21.87 29534.37 -2234.37 -4387.50 940725 Short 1 -59.37 29453.13 -2315.62 -4387.50 940726 Short 1 118.75 29631.25 -2137.50 -4387.50 940727 Short 1 -121.88 29390.62 -2378.13 -4387.50 940728 Short 1 25.00 29537.50 -2231.25 -4387.50 940729 Short 1 -484.37 29028.13 -2740.62 -4387.50 -25.00 940801 Exit Short 1 -781.25 28731.25 -3037.50 -4387.50 MFE = 118.75 MAE = -781.25 940801 Enter Long 1 -506.25 28225.00 -3543.75 -4387.50 940802 Long 1 -537.50 28193.75 -3575.00 -4387.50 940803 Long 1 -334.37 28396.88 -3371.87 -4387.50 940804 Long 1 -528.12 28203.13 -3565.62 -4387.50 940805 Long 1 -350.00 28381.25 -3387.50 -4387.50 940808 Long 1 -375.00 28356.25 -3412.50 -4387.50 940809 Long 1 -418.75 28312.50 -3456.25 -4387.50 940810 Long 1 -475.00 28256.25 -3512.50 -4387.50 940811 Exit Long 1 -671.87 28059.38 -3709.37 -4387.50 MFE = 0.00 MAE = -671.87 940811 Exit Short 1 -443.75 27615.63 -4153.12 -4387.50 MFE = 0.00 MAE = -443.75 940816 Enter Short 1 -140.63 27475.00 -4293.75 -4387.50 940817 Short 1 -234.38 27381.25 -4387.50 -4387.50 940818 Exit Short 1 -462.50 27153.13 -4615.62 -4615.62 MFE = 0.00 MAE = -462.50 940818 Enter Long 1 6.25 27159.38 -4609.37 -4615.62 940819 Long 1 -31.25 27121.88 -4646.87 -4646.87 940822 Long 1 243.75 27396.88 -4371.87 -4646.87 940823 Long 1 225.00 27378.12 -4390.62 -4646.87 940824 Long 1 115.62 27268.75 -4500.00 -4646.87 940825 Long 1 237.50 27390.63 -4378.12 -4646.87 940826 Exit Long 1 -296.87 26856.25 -4912.50 -4912.50 MFE = 243.75 MAE = -296.87 940826 Enter Short 1 321.87 27178.13 -4590.62 -4912.50 940829 Short 1 118.75 26975.00 -4793.75 -4912.50 940830 Short 1 178.12 27034.37 -4734.37 -4912.50 940831 Short 1 165.62 27021.88 -4746.87 -4912.50 -2656.25 940901 Short 1 -171.88 26684.38 -5084.37 -5084.37 940902 Short 1 -262.50 26593.75 -5175.00 -5175.00 940905 Short 1 -181.25 26675.00 -5093.75 -5175.00 940906 Short 1 -362.50 26493.75 -5275.00 -5275.00 940907 Short 1 -140.62 26715.63 -5053.12 -5275.00 940908 Short 1 -112.50 26743.75 -5025.00 -5275.00 940909 Short 1 -396.88 26459.38 -5309.37 -5309.37 940912 Exit Short 1 -596.87 26259.38 -5509.37 -5509.37 MFE = 321.87 MAE = -596.87 940912 Enter Long 1 315.62 26575.00 -5193.75 -5509.37 940913 Long 1 165.63 26425.00 -5343.75 -5509.37 940914 Long 1 240.62 26500.00 -5268.75 -5509.37 940915 Long 1 131.25 26390.63 -5378.12 -5509.37 940916 Exit Long 1 475.00 26734.38 -5034.37 -5509.37 MFE = 475.00 MAE = 0.00 -121.88 941005 Enter Long 1 -53.12 26681.25 -5087.50 -5509.37 941006 Long 1 156.25 26890.63 -4878.12 -5509.37 941007 Long 1 6.25 26740.63 -5028.12 -5509.37 941010 Long 1 -21.87 26712.50 -5056.25 -5509.37 941011 Long 1 -212.50 26521.88 -5246.87 -5509.37 941012 Long 1 -103.13 26631.25 -5137.50 -5509.37 941013 Long 1 84.38 26818.75 -4950.00 -5509.37 941014 Long 1 240.63 26975.00 -4793.75 -5509.37 941017 Exit Long 1 475.00 27209.38 -4559.37 -5509.37 MFE = 475.00 MAE = -212.50 941028 Enter Short 1 -28.13 27181.25 -4587.50 -5509.37 941031 Short 1 -425.00 26784.38 -4984.37 -5509.37 475.00 941101 Exit Short 1 -515.63 26693.75 -5075.00 -5509.37 MFE = 0.00 MAE = -515.63 941101 Enter Long 1 -162.50 26531.25 -5237.50 -5509.37 941102 Exit Long 1 -525.00 26168.75 -5600.00 -5600.00 MFE = 0.00 MAE = -525.00 941102 Enter Short 1 -43.75 26125.00 -5643.75 -5643.75 941103 Short 1 143.75 26312.50 -5456.25 -5643.75 941104 Exit Short 1 475.00 26643.75 -5125.00 -5643.75 MFE = 475.00 MAE = -43.75 941115 Enter Short 1 -84.38 26559.37 -5209.37 -5643.75 941116 Short 1 -137.50 26506.25 -5262.50 -5643.75 941117 Short 1 -109.37 26534.38 -5234.37 -5643.75 941118 Short 1 78.12 26721.88 -5046.87 -5643.75 941121 Short 1 34.37 26678.13 -5090.62 -5643.75 941122 Short 1 -15.63 26628.12 -5140.62 -5643.75 941123 Short 1 -37.50 26606.25 -5162.50 -5643.75 941124 Short 1 218.75 26862.50 -4906.25 -5643.75 941125 Short 1 165.62 26809.38 -4959.37 -5643.75 941128 Short 1 234.37 26878.13 -4890.62 -5643.75 941129 Short 1 193.75 26837.50 -4931.25 -5643.75 941130 Short 1 100.00 26743.75 -5025.00 -5643.75 -565.62 941201 Short 1 46.88 26690.63 -5078.12 -5643.75 941202 Short 1 268.75 26912.50 -4856.25 -5643.75 941205 Short 1 346.87 26990.63 -4778.12 -5643.75 941206 Short 1 203.13 26846.88 -4921.87 -5643.75 941207 Short 1 78.12 26721.88 -5046.87 -5643.75 941208 Short 1 156.25 26800.00 -4968.75 -5643.75 941209 Short 1 250.00 26893.75 -4875.00 -5643.75 941212 Short 1 109.38 26753.13 -5015.62 -5643.75 941213 Short 1 281.25 26925.00 -4843.75 -5643.75 941214 Short 1 187.50 26831.25 -4937.50 -5643.75 941215 Short 1 171.88 26815.63 -4953.12 -5643.75 941216 Short 1 250.00 26893.75 -4875.00 -5643.75 941219 Short 1 250.00 26893.75 -4875.00 -5643.75 941220 Short 1 246.88 26890.63 -4878.12 -5643.75 941221 Exit Short 1 475.00 27118.75 -4650.00 -5643.75 MFE = 475.00 MAE = -137.50 941228 Exit Long 1 475.00 27593.75 -4175.00 -5643.75 MFE = 475.00 MAE = 0.00 950.00 950112 Enter Long 1 134.37 27728.12 -4040.62 -5643.75 950113 Long 1 -53.12 27540.63 -4228.12 -5643.75 950116 Long 1 -40.63 27553.13 -4215.62 -5643.75 950117 Long 1 -68.75 27525.00 -4243.75 -5643.75 950118 Long 1 18.75 27612.50 -4156.25 -5643.75 950119 Exit Long 1 475.00 28068.75 -3700.00 -5643.75 MFE = 475.00 MAE = -68.75 950131 Enter Short 1 162.50 28231.25 -3537.50 -5643.75 475.00 950201 Short 1 53.12 28121.88 -3646.87 -5643.75 950202 Short 1 68.75 28137.50 -3631.25 -5643.75 950203 Exit Short 1 475.00 28543.75 -3225.00 -5643.75 MFE = 475.00 MAE = 0.00 950216 Enter Long 1 293.75 28837.50 -2931.25 -5643.75 950217 Exit Long 1 475.00 29018.75 -2750.00 -5643.75 MFE = 475.00 MAE = 0.00 950.00 950302 Exit Long 1 475.00 29493.75 -2275.00 -5643.75 MFE = 475.00 MAE = 0.00 950303 Enter Long 1 34.37 29528.12 -2240.62 -5643.75 950306 Exit Long 1 475.00 29968.75 -1800.00 -5643.75 MFE = 475.00 MAE = 0.00 950310 Enter Short 1 -162.50 29806.25 -1962.50 -5643.75 950313 Short 1 -756.25 29212.50 -2556.25 -5643.75 950314 Short 1 -475.00 29493.75 -2275.00 -5643.75 950315 Short 1 -990.63 28978.13 -2790.62 -5643.75 950316 Short 1 -615.63 29353.12 -2415.62 -5643.75 950317 Short 1 -475.00 29493.75 -2275.00 -5643.75 950320 Short 1 -209.38 29759.37 -2009.37 -5643.75 950321 Short 1 -515.63 29453.13 -2315.62 -5643.75 950322 Short 1 -615.63 29353.12 -2415.62 -5643.75 950323 Short 1 -803.12 29165.63 -2603.12 -5643.75 950324 Short 1 -740.63 29228.13 -2540.62 -5643.75 950327 Short 1 -881.25 29087.50 -2681.25 -5643.75 950328 Exit Short 1 -1315.63 28653.13 -3115.62 -5643.75 MFE = 0.00 MAE = -1315.63 950328 Enter Long 1 168.75 28821.88 -2946.87 -5643.75 950329 Long 1 68.75 28721.87 -3046.87 -5643.75 950330 Long 1 -206.25 28446.88 -3321.87 -5643.75 950331 Exit Long 1 475.00 29128.13 -2640.62 -5643.75 MFE = 475.00 MAE = -206.25 109.37 950404 Enter Short 1 -262.50 28865.63 -2903.12 -5643.75 950405 Short 1 -309.37 28818.75 -2950.00 -5643.75 950406 Short 1 -325.00 28803.12 -2965.62 -5643.75 950407 Exit Short 1 -881.25 28246.88 -3521.87 -5643.75 MFE = 0.00 MAE = -881.25 950407 Enter Long 1 -343.75 27903.13 -3865.62 -5643.75 950410 Exit Long 1 -978.12 27268.75 -4500.00 -5643.75 MFE = 0.00 MAE = -978.12 950410 Enter Short 1 53.12 27321.88 -4446.87 -5643.75 950411 Short 1 56.25 27325.00 -4443.75 -5643.75 950412 Short 1 93.75 27362.50 -4406.25 -5643.75 950413 Exit Short 1 -512.50 26756.25 -5012.50 -5643.75 MFE = 93.75 MAE = -512.50 950413 Enter Long 1 -34.38 26721.88 -5046.87 -5643.75 950414 Long 1 -221.87 26534.38 -5234.37 -5643.75 950417 Long 1 418.75 27175.00 -4593.75 -5643.75 950418 Long 1 34.37 26790.63 -4978.12 -5643.75 950419 Long 1 -81.25 26675.00 -5093.75 -5643.75 950420 Long 1 -28.12 26728.13 -5040.62 -5643.75 950421 Long 1 59.37 26815.63 -4953.12 -5643.75 950424 Long 1 -159.37 26596.88 -5171.87 -5643.75 950425 Long 1 84.38 26840.63 -4928.12 -5643.75 950426 Long 1 184.38 26940.63 -4828.12 -5643.75 950427 Long 1 206.25 26962.50 -4806.25 -5643.75 950428 Long 1 59.37 26815.63 -4953.12 -5643.75 -2371.88 950501 Long 1 168.75 26925.00 -4843.75 -5643.75 950502 Long 1 168.75 26925.00 -4843.75 -5643.75 950503 Long 1 168.75 26925.00 -4843.75 -5643.75 950504 Long 1 153.13 26909.38 -4859.37 -5643.75 950505 Exit Long 1 6.25 26762.50 -5006.25 -5643.75 MFE = 418.75 MAE = -221.87 950505 Exit Short 1 475.00 27237.50 -4531.25 -5643.75 MFE = 475.00 MAE = 0.00 950509 Enter Short 1 153.13 27390.63 -4378.12 -5643.75 950510 Short 1 159.38 27396.88 -4371.87 -5643.75 950511 Exit Short 1 475.00 27712.50 -4056.25 -5643.75 MFE = 475.00 MAE = 0.00 950525 Exit Long 1 475.00 28187.50 -3581.25 -5643.75 MFE = 475.00 MAE = 0.00 1431.25 950614 Enter Long 1 353.13 28540.63 -3228.12 -5643.75 950615 Long 1 -93.75 28093.75 -3675.00 -5643.75 950616 Long 1 78.13 28265.63 -3503.12 -5643.75 950619 Long 1 -18.75 28168.75 -3600.00 -5643.75 950620 Long 1 78.13 28265.63 -3503.12 -5643.75 950621 Long 1 218.75 28406.25 -3362.50 -5643.75 950622 Exit Long 1 -337.50 27850.00 -3918.75 -5643.75 MFE = 353.13 MAE = -337.50 950622 Enter Short 1 -87.50 27762.50 -4006.25 -5643.75 950623 Short 1 -393.75 27456.25 -4312.50 -5643.75 950626 Short 1 240.62 28090.63 -3678.12 -5643.75 950627 Exit Short 1 475.00 28325.00 -3443.75 -5643.75 MFE = 475.00 MAE = -393.75 137.50 950713 Enter Long 1 -6.25 28318.75 -3450.00 -5643.75 950714 Long 1 -140.63 28184.38 -3584.37 -5643.75 950717 Long 1 -134.37 28190.63 -3578.12 -5643.75 950718 Long 1 -115.63 28209.38 -3559.37 -5643.75 950719 Long 1 -6.25 28318.75 -3450.00 -5643.75 950720 Long 1 -115.63 28209.38 -3559.37 -5643.75 950721 Long 1 -156.25 28168.75 -3600.00 -5643.75 950724 Long 1 -118.75 28206.25 -3562.50 -5643.75 950725 Exit Long 1 -256.25 28068.75 -3700.00 -5643.75 MFE = 0.00 MAE = -256.25 950725 Enter Short 1 15.62 28084.38 -3684.37 -5643.75 950726 Short 1 -93.75 27975.00 -3793.75 -5643.75 950727 Exit Short 1 -303.12 27765.63 -4003.12 -5643.75 MFE = 15.62 MAE = -303.12 950727 Enter Long 1 -143.75 27621.88 -4146.87 -5643.75 950728 Long 1 -15.63 27750.00 -4018.75 -5643.75 950731 Long 1 -93.75 27671.88 -4096.87 -5643.75 -559.37 950801 Long 1 184.38 27950.00 -3818.75 -5643.75 950802 Long 1 -15.63 27750.00 -4018.75 -5643.75 950803 Long 1 178.13 27943.75 -3825.00 -5643.75 950804 Long 1 165.62 27931.25 -3837.50 -5643.75 950807 Long 1 15.62 27781.25 -3987.50 -5643.75 950808 Long 1 46.88 27812.50 -3956.25 -5643.75 950809 Long 1 -31.25 27734.38 -4034.37 -5643.75 950810 Exit Long 1 -231.25 27534.38 -4234.37 -5643.75 MFE = 184.38 MAE = -231.25 950810 Enter Short 1 75.00 27609.38 -4159.37 -5643.75 950811 Exit Short 1 475.00 28009.38 -3759.37 -5643.75 MFE = 475.00 MAE = 0.00 950815 Enter Short 1 -56.25 27953.13 -3815.62 -5643.75 950816 Short 1 225.00 28234.38 -3534.37 -5643.75 950817 Exit Short 1 475.00 28484.38 -3284.37 -5643.75 MFE = 475.00 MAE = -56.25 950829 Enter Short 1 -78.12 28406.25 -3362.50 -5643.75 950830 Short 1 -159.37 28325.00 -3443.75 -5643.75 950831 Short 1 -278.12 28206.25 -3562.50 -5643.75 718.75 950901 Short 1 -465.63 28018.75 -3750.00 -5643.75 950904 Short 1 -331.25 28153.13 -3615.62 -5643.75 950905 Short 1 -525.00 27959.38 -3809.37 -5643.75 950906 Short 1 -296.87 28187.50 -3581.25 -5643.75 950907 Short 1 -259.38 28225.00 -3543.75 -5643.75 950908 Short 1 -293.75 28190.63 -3578.12 -5643.75 950911 Short 1 -206.25 28278.13 -3490.62 -5643.75 950912 Short 1 -471.87 28012.50 -3756.25 -5643.75 950913 Short 1 -262.50 28221.88 -3546.87 -5643.75 950914 Short 1 -237.50 28246.88 -3521.87 -5643.75 950915 Short 1 -293.75 28190.63 -3578.12 -5643.75 950918 Short 1 -231.25 28253.13 -3515.62 -5643.75 950919 Short 1 -165.62 28318.75 -3450.00 -5643.75 950920 Exit Short 1 -418.75 28065.63 -3703.12 -5643.75 MFE = 0.00 MAE = -525.00 950920 Enter Long 1 -56.25 28009.37 -3759.37 -5643.75 950921 Exit Long 1 475.00 28540.63 -3228.12 -5643.75 MFE = 475.00 MAE = -56.25 56.25 951010 Enter Short 1 -40.62 28500.00 -3268.75 -5643.75 951011 Short 1 134.37 28675.00 -3093.75 -5643.75 951012 Short 1 -9.37 28531.25 -3237.50 -5643.75 951013 Short 1 6.25 28546.88 -3221.87 -5643.75 951016 Short 1 62.50 28603.13 -3165.62 -5643.75 951017 Short 1 125.00 28665.63 -3103.12 -5643.75 951018 Short 1 234.38 28775.00 -2993.75 -5643.75 951019 Short 1 15.62 28556.25 -3212.50 -5643.75 951020 Exit Short 1 -106.25 28434.38 -3334.37 -5643.75 MFE = 234.38 MAE = -106.25 951020 Enter Long 1 -159.38 28275.00 -3493.75 -5643.75 951023 Long 1 40.62 28475.00 -3293.75 -5643.75 951024 Long 1 12.50 28446.88 -3321.87 -5643.75 951025 Long 1 12.50 28446.88 -3321.87 -5643.75 951026 Exit Long 1 -275.00 28159.38 -3609.37 -5643.75 MFE = 40.62 MAE = -275.00 951026 Enter Short 1 -412.50 27746.88 -4021.87 -5643.75 951027 Short 1 -184.37 27975.00 -3793.75 -5643.75 951030 Short 1 -184.37 27975.00 -3793.75 -5643.75 951031 Short 1 -309.38 27850.00 -3918.75 -5643.75 -381.25 951101 Short 1 -278.12 27881.25 -3887.50 -5643.75 951102 Short 1 -265.63 27893.75 -3875.00 -5643.75 951103 Short 1 -293.75 27865.63 -3903.12 -5643.75 951106 Short 1 -309.38 27850.00 -3918.75 -5643.75 951107 Short 1 -325.00 27834.38 -3934.37 -5643.75 951108 Short 1 -278.12 27881.25 -3887.50 -5643.75 951109 Short 1 -271.87 27887.50 -3881.25 -5643.75 951110 Short 1 112.50 28271.88 -3496.87 -5643.75 951113 Exit Short 1 475.00 28634.38 -3134.37 -5643.75 MFE = 475.00 MAE = -412.50 951117 Enter Short 1 -78.13 28556.25 -3212.50 -5643.75 951120 Short 1 -425.00 28209.38 -3559.37 -5643.75 951121 Short 1 -512.50 28121.88 -3646.87 -5643.75 951122 Short 1 -709.38 27925.00 -3843.75 -5643.75 951123 Short 1 -678.12 27956.25 -3812.50 -5643.75 951124 Short 1 -584.37 28050.00 -3718.75 -5643.75 951127 Short 1 -362.50 28271.88 -3496.87 -5643.75 951128 Short 1 -78.13 28556.25 -3212.50 -5643.75 951129 Exit Short 1 475.00 29109.38 -2659.37 -5643.75 MFE = 475.00 MAE = -709.38 950.00 951208 Enter Short 1 -165.62 28943.75 -2825.00 -5643.75 951211 Short 1 -150.00 28959.38 -2809.37 -5643.75 951212 Short 1 -165.62 28943.75 -2825.00 -5643.75 951213 Short 1 -190.63 28918.75 -2850.00 -5643.75 951214 Exit Short 1 -559.38 28550.00 -3218.75 -5643.75 MFE = 0.00 MAE = -559.38 951214 Enter Long 1 -50.00 28500.00 -3268.75 -5643.75 951215 Long 1 -275.00 28275.00 -3493.75 -5643.75 951218 Long 1 -103.13 28446.88 -3321.87 -5643.75 951219 Long 1 -93.75 28456.25 -3312.50 -5643.75 951220 Long 1 -150.00 28400.00 -3368.75 -5643.75 951221 Long 1 -103.13 28446.88 -3321.87 -5643.75 951222 Long 1 -71.87 28478.13 -3290.62 -5643.75 951225 Long 1 -9.38 28540.63 -3228.12 -5643.75 951226 Exit Long 1 475.00 29025.00 -2743.75 -5643.75 MFE = 475.00 MAE = -275.00 951228 Enter Short 1 -156.25 28868.75 -2900.00 -5643.75 951229 Short 1 -234.37 28790.63 -2978.12 -5643.75 -84.38 960102 Short 1 -365.63 28659.37 -3109.37 -5643.75 960103 Short 1 -250.00 28775.00 -2993.75 -5643.75 960104 Short 1 -281.25 28743.75 -3025.00 -5643.75 960105 Short 1 -296.88 28728.12 -3040.62 -5643.75 960108 Short 1 -296.88 28728.12 -3040.62 -5643.75 960109 Short 1 -218.75 28806.25 -2962.50 -5643.75 960110 Short 1 -128.12 28896.88 -2871.87 -5643.75 960111 Short 1 -50.00 28975.00 -2793.75 -5643.75 960112 Exit Short 1 -250.00 28775.00 -2993.75 -5643.75 MFE = 0.00 MAE = -365.63 960112 Enter Long 1 -115.62 28659.38 -3109.37 -5643.75 960115 Long 1 -175.00 28600.00 -3168.75 -5643.75 960116 Exit Long 1 -400.00 28375.00 -3393.75 -5643.75 MFE = 0.00 MAE = -400.00 960116 Enter Short 1 78.13 28453.13 -3315.62 -5643.75 960117 Exit Short 1 475.00 28850.00 -2918.75 -5643.75 MFE = 475.00 MAE = 0.00 960131 Enter Long 1 -106.25 28743.75 -3025.00 -5643.75 -175.00 960201 Long 1 150.00 29000.00 -2768.75 -5643.75 960202 Long 1 246.88 29096.88 -2671.87 -5643.75 960205 Exit Long 1 475.00 29325.00 -2443.75 -5643.75 MFE = 475.00 MAE = -106.25 960216 Enter Long 1 81.25 29406.25 -2362.50 -5643.75 960219 Long 1 -65.62 29259.38 -2509.37 -5643.75 960220 Long 1 -112.50 29212.50 -2556.25 -5643.75 960221 Long 1 -137.50 29187.50 -2581.25 -5643.75 960222 Long 1 -118.75 29206.25 -2562.50 -5643.75 960223 Long 1 -178.12 29146.88 -2621.87 -5643.75 960226 Long 1 -215.63 29109.38 -2659.37 -5643.75 960227 Long 1 -256.25 29068.75 -2700.00 -5643.75 960228 Exit Long 1 -468.75 28856.25 -2912.50 -5643.75 MFE = 81.25 MAE = -468.75 960228 Enter Short 1 50.00 28906.25 -2862.50 -5643.75 960229 Short 1 90.63 28946.88 -2821.87 -5643.75 6.25 960301 Short 1 190.62 29046.88 -2721.87 -5643.75 960304 Short 1 209.37 29065.63 -2703.12 -5643.75 960305 Short 1 131.25 28987.50 -2781.25 -5643.75 960306 Short 1 146.87 29003.13 -2765.62 -5643.75 960307 Short 1 140.62 28996.87 -2771.87 -5643.75 960308 Exit Short 1 475.00 29331.25 -2437.50 -5643.75 MFE = 475.00 MAE = 0.00 960325 Enter Short 1 96.88 29428.13 -2340.62 -5643.75 960326 Short 1 68.75 29400.00 -2368.75 -5643.75 960327 Short 1 193.75 29525.00 -2243.75 -5643.75 960328 Short 1 21.87 29353.13 -2415.62 -5643.75 960329 Short 1 -28.13 29303.12 -2465.62 -5643.75 475.00 960401 Short 1 53.13 29384.38 -2384.37 -5643.75 960402 Short 1 28.13 29359.38 -2409.37 -5643.75 960403 Short 1 9.38 29340.63 -2428.12 -5643.75 960404 Exit Short 1 -206.25 29125.00 -2643.75 -5643.75 MFE = 193.75 MAE = -206.25 960404 Enter Long 1 -46.87 29078.13 -2690.62 -5643.75 960405 Long 1 -81.25 29043.75 -2725.00 -5643.75 960408 Long 1 -62.50 29062.50 -2706.25 -5643.75 960409 Exit Long 1 -234.38 28890.63 -2878.12 -5643.75 MFE = 0.00 MAE = -234.38 960409 Enter Short 1 90.63 28981.25 -2787.50 -5643.75 960410 Exit Short 1 475.00 29365.63 -2403.12 -5643.75 MFE = 475.00 MAE = 0.00 960418 Enter Long 1 -43.75 29321.88 -2446.87 -5643.75 960419 Long 1 -203.12 29162.50 -2606.25 -5643.75 960422 Long 1 -246.87 29118.75 -2650.00 -5643.75 960423 Long 1 -137.50 29228.13 -2540.62 -5643.75 960424 Long 1 -146.88 29218.75 -2550.00 -5643.75 960425 Exit Long 1 -490.62 28875.00 -2893.75 -5643.75 MFE = 0.00 MAE = -490.62 960425 Enter Short 1 -37.50 28837.50 -2931.25 -5643.75 960426 Short 1 -262.50 28612.50 -3156.25 -5643.75 960429 Short 1 -43.75 28831.25 -2937.50 -5643.75 960430 Short 1 -40.63 28834.37 -2934.37 -5643.75 -456.25 960501 Exit Short 1 475.00 29350.00 -2418.75 -5643.75 MFE = 475.00 MAE = -262.50 960508 Enter Long 1 43.75 29393.75 -2375.00 -5643.75 960509 Long 1 -25.00 29325.00 -2443.75 -5643.75 960510 Long 1 -59.38 29290.62 -2478.12 -5643.75 960513 Long 1 -262.50 29087.50 -2681.25 -5643.75 960514 Long 1 -246.87 29103.13 -2665.62 -5643.75 960515 Long 1 -256.25 29093.75 -2675.00 -5643.75 960516 Long 1 -262.50 29087.50 -2681.25 -5643.75 960517 Long 1 -287.50 29062.50 -2706.25 -5643.75 960520 Long 1 -293.75 29056.25 -2712.50 -5643.75 960521 Long 1 -284.38 29065.62 -2703.12 -5643.75 960522 Exit Long 1 -465.63 28884.38 -2884.37 -5643.75 MFE = 43.75 MAE = -465.63 960522 Enter Short 1 0.00 28884.38 -2884.37 -5643.75 960523 Short 1 -118.75 28765.63 -3003.12 -5643.75 960524 Short 1 -100.00 28784.38 -2984.37 -5643.75 960527 Short 1 -162.50 28721.88 -3046.87 -5643.75 960528 Short 1 -178.13 28706.25 -3062.50 -5643.75 960529 Exit Short 1 -265.63 28618.75 -3150.00 -5643.75 MFE = 0.00 MAE = -265.63 960529 Exit Long 1 475.00 29093.75 -2675.00 -5643.75 MFE = 475.00 MAE = 0.00 960530 Enter Long 1 -81.25 29012.50 -2756.25 -5643.75 960531 Exit Long 1 475.00 29568.75 -2200.00 -5643.75 MFE = 475.00 MAE = -81.25 693.75 960617 Enter Long 1 -96.88 29471.88 -2296.87 -5643.75 960618 Long 1 -71.87 29496.88 -2271.87 -5643.75 960619 Long 1 -84.38 29484.37 -2284.37 -5643.75 960620 Long 1 -215.63 29353.13 -2415.62 -5643.75 960621 Long 1 -350.00 29218.75 -2550.00 -5643.75 960624 Long 1 -165.63 29403.13 -2365.62 -5643.75 960625 Long 1 -178.12 29390.63 -2378.12 -5643.75 960626 Long 1 -184.37 29384.38 -2384.37 -5643.75 960627 Long 1 78.12 29646.88 -2121.87 -5643.75 960628 Long 1 190.62 29759.38 -2009.37 -5643.75 0.00 960701 Long 1 368.75 29937.50 -1831.25 -5643.75 960702 Long 1 378.13 29946.88 -1821.87 -5643.75 960703 Exit Long 1 475.00 30043.75 -1725.00 -5643.75 MFE = 475.00 MAE = -350.00 960716 Enter Long 1 40.62 30084.38 -1684.37 -5643.75 960717 Exit Long 1 -275.00 29768.75 -2000.00 -5643.75 MFE = 40.62 MAE = -275.00 960717 Enter Short 1 109.37 29878.13 -1890.62 -5643.75 960718 Short 1 112.50 29881.25 -1887.50 -5643.75 960719 Short 1 134.38 29903.13 -1865.62 -5643.75 960722 Short 1 -78.13 29690.62 -2078.12 -5643.75 960723 Short 1 -106.25 29662.50 -2106.25 -5643.75 960724 Short 1 -131.25 29637.50 -2131.25 -5643.75 960725 Short 1 -271.88 29496.88 -2271.87 -5643.75 960726 Short 1 -184.38 29584.38 -2184.37 -5643.75 960729 Short 1 -265.62 29503.13 -2265.62 -5643.75 960730 Short 1 -240.62 29528.13 -2240.62 -5643.75 960731 Short 1 -231.25 29537.50 -2231.25 -5643.75 200.00 960801 Short 1 -93.75 29675.00 -2093.75 -5643.75 960802 Short 1 200.00 29968.75 -1800.00 -5643.75 960805 Short 1 106.25 29875.00 -1893.75 -5643.75 960806 Short 1 312.50 30081.25 -1687.50 -5643.75 960807 Short 1 196.87 29965.63 -1803.12 -5643.75 960808 Short 1 -21.87 29746.88 -2021.87 -5643.75 960809 Short 1 -59.37 29709.38 -2059.37 -5643.75 960812 Short 1 -56.25 29712.50 -2056.25 -5643.75 960813 Short 1 0.00 29768.75 -2000.00 -5643.75 960814 Short 1 -6.25 29762.50 -2006.25 -5643.75 960815 Short 1 -68.75 29700.00 -2068.75 -5643.75 960816 Short 1 34.37 29803.12 -1965.62 -5643.75 960819 Short 1 118.75 29887.50 -1881.25 -5643.75 960820 Short 1 25.00 29793.75 -1975.00 -5643.75 960821 Exit Short 1 -84.37 29684.38 -2084.37 -5643.75 MFE = 312.50 MAE = -271.88 960821 Enter Long 1 -21.88 29662.50 -2106.25 -5643.75 960822 Long 1 -6.25 29678.13 -2090.62 -5643.75 960823 Long 1 171.88 29856.25 -1912.50 -5643.75 960826 Long 1 196.88 29881.25 -1887.50 -5643.75 960827 Long 1 106.25 29790.63 -1978.12 -5643.75 960828 Long 1 253.12 29937.50 -1831.25 -5643.75 960829 Long 1 215.63 29900.00 -1868.75 -5643.75 960830 Long 1 343.75 30028.13 -1740.62 -5643.75 -84.37 960902 Long 1 287.50 29971.88 -1796.87 -5643.75 960903 Exit Long 1 475.00 30159.38 -1609.37 -5643.75 MFE = 475.00 MAE = -21.88 960906 Enter Short 1 25.00 30184.38 -1584.37 -5643.75 960909 Short 1 87.50 30246.87 -1521.87 -5643.75 960910 Short 1 118.75 30278.13 -1490.62 -5643.75 960911 Short 1 187.50 30346.88 -1421.87 -5643.75 960912 Short 1 134.37 30293.75 -1475.00 -5643.75 960913 Short 1 150.00 30309.38 -1459.37 -5643.75 960916 Short 1 65.62 30225.00 -1543.75 -5643.75 960917 Short 1 159.37 30318.75 -1450.00 -5643.75 960918 Exit Short 1 -3.13 30156.25 -1612.50 -5643.75 MFE = 187.50 MAE = -3.13 960918 Enter Long 1 37.50 30193.75 -1575.00 -5643.75 960919 Exit Long 1 -212.50 29943.75 -1825.00 -5643.75 MFE = 37.50 MAE = -212.50 960919 Enter Short 1 0.00 29943.75 -1825.00 -5643.75 960920 Short 1 -65.62 29878.13 -1890.62 -5643.75 960923 Short 1 -81.25 29862.50 -1906.25 -5643.75 960924 Exit Short 1 -268.75 29675.00 -2093.75 -5643.75 MFE = 0.00 MAE = -268.75 960924 Enter Long 1 118.75 29793.75 -1975.00 -5643.75 960925 Long 1 3.12 29678.13 -2090.62 -5643.75 960926 Long 1 9.38 29684.38 -2084.37 -5643.75 960927 Long 1 62.50 29737.50 -2031.25 -5643.75 960930 Long 1 128.13 29803.13 -1965.62 -5643.75 -9.38 961001 Long 1 87.50 29762.50 -2006.25 -5643.75 961002 Long 1 137.50 29812.50 -1956.25 -5643.75 961003 Long 1 143.75 29818.75 -1950.00 -5643.75 961004 Long 1 143.75 29818.75 -1950.00 -5643.75 961007 Long 1 62.50 29737.50 -2031.25 -5643.75 961008 Long 1 37.50 29712.50 -2056.25 -5643.75 961009 Long 1 128.13 29803.13 -1965.62 -5643.75 961010 Long 1 165.63 29840.63 -1928.12 -5643.75 961011 Exit Long 1 475.00 30150.00 -1618.75 -5643.75 MFE = 475.00 MAE = 0.00 961014 Enter Long 1 21.88 30171.88 -1596.87 -5643.75 961015 Long 1 246.88 30396.88 -1371.87 -5643.75 961016 Long 1 106.25 30256.25 -1512.50 -5643.75 961017 Long 1 215.62 30365.63 -1403.12 -5643.75 961018 Long 1 271.88 30421.88 -1346.87 -5643.75 961021 Long 1 378.12 30528.13 -1240.62 -5643.75 961022 Exit Long 1 475.00 30625.00 -1143.75 -5643.75 MFE = 475.00 MAE = 0.00 961025 Enter Long 1 34.38 30659.38 -1109.37 -5643.75 961028 Long 1 290.62 30915.63 -853.12 -5643.75 961029 Long 1 190.63 30815.63 -953.12 -5643.75 961030 Exit Long 1 475.00 31100.00 -668.75 -5643.75 MFE = 475.00 MAE = 0.00 1425.00 961113 Enter Long 1 43.75 31143.75 -625.00 -5643.75 961114 Long 1 190.62 31290.62 -478.12 -5643.75 961115 Long 1 146.87 31246.87 -521.87 -5643.75 961118 Long 1 381.25 31481.25 -287.50 -5643.75 961119 Exit Long 1 475.00 31575.00 -193.75 -5643.75 MFE = 475.00 MAE = 0.00 475.00 961205 Enter Short 1 -703.12 30871.88 -896.87 -5643.75 961206 Short 1 -1034.37 30540.63 -1228.12 -5643.75 961209 Short 1 -1050.00 30525.00 -1243.75 -5643.75 961210 Short 1 -1250.00 30325.00 -1443.75 -5643.75 961211 Short 1 -1250.00 30325.00 -1443.75 -5643.75 961212 Short 1 -1340.63 30234.38 -1534.37 -5643.75 961213 Short 1 -1328.12 30246.88 -1521.87 -5643.75 961216 Short 1 -1643.75 29931.25 -1837.50 -5643.75 961217 Short 1 -1828.13 29746.88 -2021.87 -5643.75 961218 Short 1 -1915.62 29659.38 -2109.37 -5643.75 961219 Short 1 -1628.13 29946.88 -1821.87 -5643.75 961220 Short 1 -1853.13 29721.88 -2046.87 -5643.75 961223 Short 1 -1993.75 29581.25 -2187.50 -5643.75 961224 Short 1 -1859.38 29715.62 -2053.12 -5643.75 961225 Short 1 -1915.62 29659.38 -2109.37 -5643.75 961226 Short 1 -1931.25 29643.75 -2125.00 -5643.75 961227 Exit Short 1 -2268.75 29306.25 -2462.50 -5643.75 MFE = 0.00 MAE = -2268.75 961227 Enter Long 1 218.75 29525.00 -2243.75 -5643.75 961230 Long 1 171.88 29478.13 -2290.62 -5643.75 961231 Exit Long 1 475.00 29781.25 -1987.50 -5643.75 MFE = 475.00 MAE = 0.00 -1793.75 970113 Enter Short 1 -190.63 29590.63 -2178.12 -5643.75 970114 Short 1 -9.38 29771.88 -1996.87 -5643.75 970115 Short 1 -450.00 29331.25 -2437.50 -5643.75 970116 Short 1 -306.25 29475.00 -2293.75 -5643.75 970117 Short 1 59.37 29840.63 -1928.12 -5643.75 970120 Short 1 200.00 29981.25 -1787.50 -5643.75 970121 Short 1 159.38 29940.63 -1828.12 -5643.75 970122 Exit Short 1 475.00 30256.25 -1512.50 -5643.75 MFE = 475.00 MAE = -450.00 475.00 970213 Enter Short 1 3.12 30259.38 -1509.37 -5643.75 970214 Short 1 50.00 30306.25 -1462.50 -5643.75 970217 Short 1 253.12 30509.38 -1259.37 -5643.75 970218 Exit Short 1 475.00 30731.25 -1037.50 -5643.75 MFE = 475.00 MAE = 0.00 970224 Enter Long 1 12.50 30743.75 -1025.00 -5643.75 970225 Long 1 59.38 30790.63 -978.12 -5643.75 970226 Long 1 -9.38 30721.88 -1046.87 -5643.75 970227 Long 1 -256.25 30475.00 -1293.75 -5643.75 970228 Long 1 -159.37 30571.88 -1196.87 -5643.75 475.00 970303 Long 1 -559.37 30171.88 -1596.87 -5643.75 970304 Long 1 -618.75 30112.50 -1656.25 -5643.75 970305 Long 1 -606.25 30125.00 -1643.75 -5643.75 970306 Long 1 -581.25 30150.00 -1618.75 -5643.75 970307 Long 1 -987.50 29743.75 -2025.00 -5643.75 970310 Long 1 -893.75 29837.50 -1931.25 -5643.75 970311 Long 1 -771.87 29959.38 -1809.37 -5643.75 970312 Exit Long 1 -1403.13 29328.13 -2440.62 -5643.75 MFE = 59.38 MAE = -1403.13 970312 Enter Short 1 -284.37 29043.75 -2725.00 -5643.75 970313 Short 1 -190.63 29137.50 -2631.25 -5643.75 970314 Short 1 -365.63 28962.50 -2806.25 -5643.75 970317 Short 1 40.62 29368.75 -2400.00 -5643.75 970318 Short 1 -34.37 29293.75 -2475.00 -5643.75 970319 Short 1 -262.50 29065.63 -2703.12 -5643.75 970320 Short 1 -96.88 29231.25 -2537.50 -5643.75 970321 Short 1 -450.00 28878.13 -2890.62 -5643.75 970324 Exit Short 1 -612.50 28715.63 -3053.12 -5643.75 MFE = 40.62 MAE = -612.50 970324 Enter Long 1 359.38 29075.00 -2693.75 -5643.75 970325 Long 1 321.87 29037.50 -2731.25 -5643.75 970326 Exit Long 1 475.00 29190.63 -2578.12 -5643.75 MFE = 475.00 MAE = 0.00 -1540.62 970407 Enter Short 1 -87.50 29103.13 -2665.62 -5643.75 970408 Short 1 12.50 29203.13 -2565.62 -5643.75 970409 Short 1 159.37 29350.00 -2418.75 -5643.75 970410 Short 1 81.25 29271.88 -2496.87 -5643.75 970411 Short 1 -62.50 29128.13 -2640.62 -5643.75 970414 Short 1 178.12 29368.75 -2400.00 -5643.75 970415 Short 1 -68.75 29121.87 -2646.87 -5643.75 970416 Short 1 62.50 29253.13 -2515.62 -5643.75 970417 Exit Short 1 -162.50 29028.13 -2740.62 -5643.75 MFE = 178.12 MAE = -162.50 970417 Enter Long 1 -6.25 29021.88 -2746.87 -5643.75 970418 Long 1 90.62 29118.75 -2650.00 -5643.75 970421 Long 1 140.62 29168.75 -2600.00 -5643.75 970422 Long 1 115.62 29143.75 -2625.00 -5643.75 970423 Exit Long 1 -221.87 28806.25 -2962.50 -5643.75 MFE = 140.62 MAE = -221.87 970423 Enter Short 1 43.75 28850.00 -2918.75 -5643.75 970424 Short 1 -75.00 28731.25 -3037.50 -5643.75 970425 Short 1 18.75 28825.00 -2943.75 -5643.75 970428 Short 1 -12.50 28793.75 -2975.00 -5643.75 970429 Short 1 -228.12 28578.13 -3190.62 -5643.75 970430 Short 1 6.25 28812.50 -2956.25 -5643.75 -384.37 970501 Short 1 -131.25 28675.00 -3093.75 -5643.75 970502 Exit Short 1 475.00 29281.25 -2487.50 -5643.75 MFE = 475.00 MAE = -228.12 970506 Enter Long 1 -125.00 29156.25 -2612.50 -5643.75 970507 Exit Long 1 -943.75 28337.50 -3431.25 -5643.75 MFE = 0.00 MAE = -943.75 970507 Enter Short 1 -234.37 28103.13 -3665.62 -5643.75 970508 Short 1 -296.87 28040.63 -3728.12 -5643.75 970509 Short 1 -421.88 27915.63 -3853.12 -5643.75 970512 Short 1 -412.50 27925.00 -3843.75 -5643.75 970513 Short 1 -725.00 27612.50 -4156.25 -5643.75 970514 Exit Short 1 -1012.50 27325.00 -4443.75 -5643.75 MFE = 0.00 MAE = -1012.50 970514 Enter Long 1 234.37 27559.38 -4209.37 -5643.75 970515 Long 1 40.63 27365.63 -4403.12 -5643.75 970516 Long 1 -159.37 27165.63 -4603.12 -5643.75 970519 Long 1 -34.38 27290.63 -4478.12 -5643.75 970520 Exit Long 1 475.00 27800.00 -3968.75 -5643.75 MFE = 475.00 MAE = -159.37 970522 Enter Short 1 156.25 27956.25 -3812.50 -5643.75 970523 Short 1 -218.75 27581.25 -4187.50 -5643.75 970526 Short 1 -337.50 27462.50 -4306.25 -5643.75 970527 Short 1 -93.75 27706.25 -4062.50 -5643.75 970528 Short 1 -359.37 27440.63 -4328.12 -5643.75 970529 Short 1 -334.38 27465.62 -4303.12 -5643.75 970530 Short 1 -375.00 27425.00 -4343.75 -5643.75 -1006.25 970602 Short 1 -246.87 27553.13 -4215.62 -5643.75 970603 Short 1 -165.62 27634.38 -4134.37 -5643.75 970604 Short 1 -150.00 27650.00 -4118.75 -5643.75 970605 Short 1 -140.62 27659.38 -4109.37 -5643.75 970606 Short 1 -109.38 27690.62 -4078.12 -5643.75 970609 Exit Short 1 -328.13 27471.88 -4296.87 -5643.75 MFE = 156.25 MAE = -375.00 970609 Enter Long 1 9.38 27481.25 -4287.50 -5643.75 970610 Long 1 -59.37 27412.50 -4356.25 -5643.75 970611 Long 1 -43.75 27428.13 -4340.62 -5643.75 970612 Exit Long 1 -365.62 27106.25 -4662.50 -5643.75 MFE = 9.38 MAE = -365.62 970612 Enter Short 1 -118.75 26987.50 -4781.25 -5643.75 970613 Short 1 -240.62 26865.63 -4903.12 -5643.75 970616 Short 1 -293.75 26812.50 -4956.25 -5643.75 970617 Short 1 -403.12 26703.13 -5065.62 -5643.75 970618 Short 1 -331.25 26775.00 -4993.75 -5643.75 970619 Exit Short 1 -603.12 26503.13 -5265.62 -5643.75 MFE = 0.00 MAE = -603.12 970619 Enter Long 1 46.87 26550.00 -5218.75 -5643.75 970620 Long 1 275.00 26778.13 -4990.62 -5643.75 970623 Exit Long 1 475.00 26978.13 -4790.62 -5643.75 MFE = 475.00 MAE = 0.00 -821.87 970702 Exit Long 1 -625.00 26353.13 -5415.62 -5643.75 MFE = 0.00 MAE = -625.00 970703 Enter Long 1 378.13 26731.25 -5037.50 -5643.75 970704 Long 1 250.00 26603.12 -5165.62 -5643.75 970707 Long 1 362.50 26715.62 -5053.12 -5643.75 970708 Exit Long 1 475.00 26828.13 -4940.62 -5643.75 MFE = 475.00 MAE = 0.00 970715 Enter Short 1 65.62 26893.75 -4875.00 -5643.75 970716 Short 1 65.62 26893.75 -4875.00 -5643.75 970717 Short 1 209.37 27037.50 -4731.25 -5643.75 970718 Short 1 50.00 26878.13 -4890.62 -5643.75 970721 Short 1 71.87 26900.00 -4868.75 -5643.75 970722 Short 1 81.25 26909.38 -4859.37 -5643.75 970723 Short 1 56.25 26884.38 -4884.37 -5643.75 970724 Short 1 159.37 26987.50 -4781.25 -5643.75 970725 Exit Short 1 475.00 27303.13 -4465.62 -5643.75 MFE = 475.00 MAE = 0.00 970728 Exit Short 1 475.00 27778.13 -3990.62 -5643.75 MFE = 475.00 MAE = 0.00 800.00 970806 Exit Short 1 475.00 28253.13 -3515.62 -5643.75 MFE = 475.00 MAE = 0.00 970807 Enter Short 1 -175.00 28078.13 -3690.62 -5643.75 970808 Exit Short 1 475.00 28728.13 -3040.62 -5643.75 MFE = 475.00 MAE = -175.00 970820 Enter Short 1 -59.38 28668.75 -3100.00 -5643.75 970821 Short 1 -3.12 28725.00 -3043.75 -5643.75 970822 Short 1 -568.75 28159.38 -3609.37 -5643.75 970825 Short 1 -478.12 28250.00 -3518.75 -5643.75 970826 Exit Short 1 -1009.38 27718.75 -4050.00 -5643.75 MFE = 0.00 MAE = -1009.38 -59.38 970902 Enter Short 1 87.50 27806.25 -3962.50 -5643.75 970903 Short 1 221.87 27940.63 -3828.12 -5643.75 970904 Short 1 303.13 28021.88 -3746.87 -5643.75 970905 Short 1 15.62 27734.37 -4034.37 -5643.75 970908 Short 1 375.00 28093.75 -3675.00 -5643.75 970909 Short 1 53.13 27771.88 -3996.87 -5643.75 970910 Short 1 212.50 27931.25 -3837.50 -5643.75 970911 Short 1 -228.13 27490.63 -4278.12 -5643.75 970912 Exit Short 1 -456.25 27262.50 -4506.25 -5643.75 MFE = 375.00 MAE = -456.25 970912 Enter Long 1 6.25 27268.75 -4500.00 -5643.75 970915 Long 1 -71.87 27190.63 -4578.12 -5643.75 970916 Long 1 -406.25 26856.25 -4912.50 -5643.75 970917 Long 1 -243.75 27018.75 -4750.00 -5643.75 970918 Long 1 96.87 27359.37 -4409.37 -5643.75 970919 Long 1 115.62 27378.12 -4390.62 -5643.75 970922 Long 1 -100.00 27162.50 -4606.25 -5643.75 970923 Long 1 209.37 27471.88 -4296.87 -5643.75 970924 Long 1 184.37 27446.87 -4321.87 -5643.75 970925 Exit Long 1 475.00 27737.50 -4031.25 -5643.75 MFE = 475.00 MAE = -406.25 18.75 971007 Enter Long 1 -121.88 27615.63 -4153.12 -5643.75 971008 Long 1 -137.50 27600.00 -4168.75 -5643.75 971009 Long 1 -62.50 27675.00 -4093.75 -5643.75 971010 Long 1 -187.50 27550.00 -4218.75 -5643.75 971013 Long 1 -71.87 27665.63 -4103.12 -5643.75 971014 Long 1 -146.88 27590.63 -4178.12 -5643.75 971015 Long 1 -81.25 27656.25 -4112.50 -5643.75 971016 Long 1 -268.75 27468.75 -4300.00 -5643.75 971017 Exit Long 1 -425.00 27312.50 -4456.25 -5643.75 MFE = 0.00 MAE = -425.00 971017 Enter Short 1 -109.38 27203.13 -4565.62 -5643.75 971020 Exit Short 1 -368.75 26943.75 -4825.00 -5643.75 MFE = 0.00 MAE = -368.75 971020 Enter Long 1 246.87 27190.63 -4578.12 -5643.75 971021 Long 1 328.13 27271.88 -4496.87 -5643.75 971022 Long 1 262.50 27206.25 -4562.50 -5643.75 971023 Long 1 253.13 27196.88 -4571.87 -5643.75 971024 Long 1 293.75 27237.50 -4531.25 -5643.75 971027 Exit Long 1 475.00 27418.75 -4350.00 -5643.75 MFE = 475.00 MAE = 0.00 971028 Enter Long 1 -137.50 27281.25 -4487.50 -5643.75 971029 Long 1 -90.63 27328.13 -4440.62 -5643.75 971030 Long 1 -184.38 27234.37 -4534.37 -5643.75 971031 Long 1 -43.75 27375.00 -4393.75 -5643.75 -318.75 971103 Long 1 50.00 27468.75 -4300.00 -5643.75 971104 Long 1 306.25 27725.00 -4043.75 -5643.75 971105 Long 1 200.00 27618.75 -4150.00 -5643.75 971106 Exit Long 1 475.00 27893.75 -3875.00 -5643.75 MFE = 475.00 MAE = -184.38 971111 Enter Long 1 18.75 27912.50 -3856.25 -5643.75 971112 Long 1 15.62 27909.38 -3859.37 -5643.75 971113 Long 1 -184.38 27709.38 -4059.37 -5643.75 971114 Long 1 -350.00 27543.75 -4225.00 -5643.75 971117 Long 1 -271.87 27621.88 -4146.87 -5643.75 971118 Long 1 -412.50 27481.25 -4287.50 -5643.75 971119 Long 1 -403.12 27490.63 -4278.12 -5643.75 971120 Long 1 -490.62 27403.13 -4365.62 -5643.75 971121 Long 1 -331.25 27562.50 -4206.25 -5643.75 971124 Long 1 -425.00 27468.75 -4300.00 -5643.75 971125 Exit Long 1 -587.50 27306.25 -4462.50 -5643.75 MFE = 18.75 MAE = -587.50 971128 Enter Long 1 112.50 27418.75 -4350.00 -5643.75 -112.50 971201 Long 1 -3.13 27303.12 -4465.62 -5643.75 971202 Long 1 -121.87 27184.38 -4584.37 -5643.75 971203 Long 1 -90.63 27215.62 -4553.12 -5643.75 971204 Exit Long 1 -462.50 26843.75 -4925.00 -5643.75 MFE = 112.50 MAE = -462.50 971204 Enter Short 1 121.88 26965.63 -4803.12 -5643.75 971205 Exit Short 1 475.00 27318.75 -4450.00 -5643.75 MFE = 475.00 MAE = 0.00 971215 Enter Short 1 228.12 27546.88 -4221.87 -5643.75 971216 Short 1 53.13 27371.88 -4396.87 -5643.75 971217 Exit Short 1 -575.00 26743.75 -5025.00 -5643.75 MFE = 228.12 MAE = -575.00 971217 Enter Long 1 -118.75 26625.00 -5143.75 -5643.75 971218 Long 1 331.25 27075.00 -4693.75 -5643.75 971219 Exit Long 1 475.00 27218.75 -4550.00 -5643.75 MFE = 475.00 MAE = -118.75 971230 Enter Short 1 253.12 27471.87 -4296.87 -5643.75 971231 Exit Short 1 475.00 27693.75 -4075.00 -5643.75 MFE = 475.00 MAE = 0.00 387.50 980113 Enter Long 1 -162.50 27531.25 -4237.50 -5643.75 980114 Long 1 -315.62 27378.13 -4390.62 -5643.75 980115 Long 1 -303.13 27390.63 -4378.12 -5643.75 980116 Long 1 -168.75 27525.00 -4243.75 -5643.75 980119 Long 1 -43.75 27650.00 -4118.75 -5643.75 980120 Long 1 -387.50 27306.25 -4462.50 -5643.75 980121 Long 1 -256.25 27437.50 -4331.25 -5643.75 980122 Long 1 321.87 28015.63 -3753.12 -5643.75 980123 Exit Long 1 475.00 28168.75 -3600.00 -5643.75 MFE = 475.00 MAE = -387.50 475.00 980209 Enter Short 1 43.75 28212.50 -3556.25 -5643.75 980210 Short 1 190.62 28359.38 -3409.37 -5643.75 980211 Short 1 -28.12 28140.63 -3628.12 -5643.75 980212 Short 1 -231.25 27937.50 -3831.25 -5643.75 980213 Short 1 -271.87 27896.88 -3871.87 -5643.75 980216 Short 1 -215.63 27953.13 -3815.62 -5643.75 980217 Short 1 -43.75 28125.00 -3643.75 -5643.75 980218 Short 1 -193.75 27975.00 -3793.75 -5643.75 980219 Short 1 -175.00 27993.75 -3775.00 -5643.75 980220 Short 1 -206.25 27962.50 -3806.25 -5643.75 980223 Exit Short 1 -421.88 27746.88 -4021.87 -5643.75 MFE = 190.62 MAE = -421.88 980223 Enter Long 1 53.12 27800.00 -3968.75 -5643.75 980224 Long 1 184.38 27931.25 -3837.50 -5643.75 980225 Long 1 -28.13 27718.75 -4050.00 -5643.75 980226 Long 1 21.88 27768.75 -4000.00 -5643.75 980227 Long 1 -6.25 27740.63 -4028.12 -5643.75 -421.88 980302 Exit Long 1 475.00 28221.88 -3546.87 -5643.75 MFE = 475.00 MAE = -28.13 980305 Enter Short 1 175.00 28396.87 -3371.87 -5643.75 980306 Short 1 134.37 28356.25 -3412.50 -5643.75 980309 Short 1 34.38 28256.25 -3512.50 -5643.75 980310 Short 1 -68.75 28153.13 -3615.62 -5643.75 980311 Short 1 -306.25 27915.63 -3853.12 -5643.75 980312 Exit Short 1 -587.50 27634.38 -4134.37 -5643.75 MFE = 175.00 MAE = -587.50 980312 Enter Long 1 43.75 27678.13 -4090.62 -5643.75 980313 Exit Long 1 475.00 28109.38 -3659.37 -5643.75 MFE = 475.00 MAE = 0.00 980323 Enter Long 1 -68.75 28040.63 -3728.12 -5643.75 980324 Long 1 -200.00 27909.38 -3859.37 -5643.75 980325 Long 1 -206.25 27903.13 -3865.62 -5643.75 980326 Long 1 146.87 28256.25 -3512.50 -5643.75 980327 Long 1 43.75 28153.13 -3615.62 -5643.75 980330 Long 1 -112.50 27996.88 -3771.87 -5643.75 980331 Long 1 -256.25 27853.12 -3915.62 -5643.75 362.50 980401 Long 1 -300.00 27809.37 -3959.37 -5643.75 980402 Long 1 -550.00 27559.38 -4209.37 -5643.75 980403 Long 1 -718.75 27390.63 -4378.12 -5643.75 980406 Long 1 -465.62 27643.75 -4125.00 -5643.75 980407 Long 1 -409.38 27700.00 -4068.75 -5643.75 980408 Long 1 -140.63 27968.75 -3800.00 -5643.75 980409 Long 1 -284.37 27825.00 -3943.75 -5643.75 980410 Long 1 -250.00 27859.38 -3909.37 -5643.75 980413 Long 1 -409.38 27700.00 -4068.75 -5643.75 980414 Long 1 125.00 28234.37 -3534.37 -5643.75 980415 Long 1 168.75 28278.13 -3490.62 -5643.75 980416 Long 1 318.75 28428.13 -3340.62 -5643.75 980417 Exit Long 1 475.00 28584.38 -3184.37 -5643.75 MFE = 475.00 MAE = -718.75 475.00 980501 Enter Short 1 -75.00 28509.38 -3259.37 -5643.75 980504 Short 1 -93.75 28490.63 -3278.12 -5643.75 980505 Short 1 37.50 28621.88 -3146.87 -5643.75 980506 Short 1 153.13 28737.50 -3031.25 -5643.75 980507 Exit Short 1 475.00 29059.38 -2709.37 -5643.75 MFE = 475.00 MAE = -93.75 980508 Enter Short 1 40.63 29100.00 -2668.75 -5643.75 980511 Short 1 306.25 29365.63 -2403.12 -5643.75 980512 Short 1 218.75 29278.13 -2490.62 -5643.75 980513 Short 1 250.00 29309.38 -2459.37 -5643.75 980514 Exit Short 1 475.00 29534.38 -2234.37 -5643.75 MFE = 475.00 MAE = 0.00 980528 Enter Short 1 -103.12 29431.25 -2337.50 -5643.75 980529 Short 1 -212.50 29321.87 -2446.87 -5643.75 950.00 980601 Exit Short 1 -418.75 29115.63 -2653.12 -5643.75 MFE =