SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 JAPANESE YEN SPOT 5341 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): N days high and low 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 880104 Enter Long 1 -1147.64 -1147.64 -1147.64 -1147.64 880105 Exit Long 1 -2161.25 -2161.25 -2161.25 -2161.25 MFE = 0.00 MAE = -2161.25 880105 Exit Short 1 225.00 -1936.25 -1936.25 -2161.25 MFE = 225.00 MAE = 0.00 880112 Enter Long 1 53.08 -1883.17 -1883.17 -2161.25 880113 Exit Long 1 225.00 -1711.25 -1711.25 -2161.25 MFE = 225.00 MAE = 0.00 880115 Exit Short 1 225.00 -1486.25 -1486.25 -2161.25 MFE = 225.00 MAE = 0.00 880120 Exit Long 1 225.00 -1261.25 -1261.25 -2161.25 MFE = 225.00 MAE = 0.00 880121 Enter Long 1 -180.29 -1441.54 -1441.54 -2161.25 880122 Long 1 -180.29 -1441.54 -1441.54 -2161.25 880125 Long 1 -502.69 -1763.94 -1763.94 -2161.25 880126 Long 1 -322.83 -1584.08 -1584.08 -2161.25 880127 Long 1 -114.52 -1375.77 -1375.77 -2161.25 880128 Long 1 -95.15 -1356.40 -1356.40 -2161.25 880129 Long 1 -479.81 -1741.06 -1741.06 -2161.25 -1261.25 880201 Exit Long 1 -884.38 -2145.62 -2145.62 -2161.25 MFE = 0.00 MAE = -884.38 880201 Enter Short 1 137.75 -2007.88 -2007.88 -2161.25 880202 Short 1 -295.75 -2441.38 -2441.38 -2441.38 880203 Exit Short 1 -445.00 -2590.62 -2590.62 -2590.62 MFE = 137.75 MAE = -445.00 880203 Enter Long 1 -124.25 -2714.87 -2714.87 -2714.87 880204 Long 1 -6.05 -2596.68 -2596.68 -2714.87 880205 Long 1 -557.75 -3148.37 -3148.37 -3148.37 880208 Long 1 -381.51 -2972.14 -2972.14 -3148.37 880209 Long 1 -309.90 -2900.53 -2900.53 -3148.37 880210 Long 1 -419.12 -3009.74 -3009.74 -3148.37 880211 Long 1 -542.80 -3133.43 -3133.43 -3148.37 880212 Exit Long 1 -775.00 -3365.62 -3365.62 -3365.62 MFE = 0.00 MAE = -775.00 880212 Exit Short 1 225.00 -3140.62 -3140.62 -3365.62 MFE = 225.00 MAE = 0.00 880218 Enter Long 1 -164.17 -3304.80 -3304.80 -3365.62 880219 Long 1 -138.36 -3278.99 -3278.99 -3365.62 880222 Exit Long 1 225.00 -2915.62 -2915.62 -3365.62 MFE = 225.00 MAE = -164.17 880223 Enter Long 1 -74.64 -2990.26 -2990.26 -3365.62 880224 Long 1 -14.35 -2929.98 -2929.98 -3365.62 880225 Exit Long 1 -414.37 -3330.00 -3330.00 -3365.62 MFE = 0.00 MAE = -414.37 880225 Enter Short 1 -484.68 -3814.68 -3814.68 -3814.68 880226 Short 1 -515.02 -3845.02 -3845.02 -3845.02 880229 Short 1 -572.00 -3902.00 -3902.00 -3902.00 -2068.75 880301 Short 1 -499.84 -3829.84 -3829.84 -3902.00 880302 Short 1 -108.63 -3438.63 -3438.63 -3902.00 880303 Short 1 -228.33 -3558.33 -3558.33 -3902.00 880304 Short 1 -424.12 -3754.12 -3754.12 -3902.00 880307 Exit Short 1 -565.62 -3895.62 -3895.62 -3902.00 MFE = 0.00 MAE = -572.00 880307 Enter Long 1 195.47 -3700.15 -3700.15 -3902.00 880308 Exit Long 1 225.00 -3670.62 -3670.62 -3902.00 MFE = 225.00 MAE = 0.00 880311 Enter Long 1 61.54 -3609.08 -3609.08 -3902.00 880314 Exit Long 1 225.00 -3445.62 -3445.62 -3902.00 MFE = 225.00 MAE = 0.00 880317 Exit Short 1 225.00 -3220.62 -3220.62 -3902.00 MFE = 225.00 MAE = 0.00 880324 Exit Long 1 225.00 -2995.62 -2995.62 -3902.00 MFE = 225.00 MAE = 0.00 880328 Enter Long 1 194.43 -2801.20 -2801.20 -3902.00 880329 Exit Long 1 225.00 -2770.62 -2770.62 -3902.00 MFE = 225.00 MAE = 0.00 880330 Enter Short 1 -365.15 -3135.77 -3135.77 -3902.00 880331 Short 1 -622.79 -3393.42 -3393.42 -3902.00 559.38 880401 Short 1 -781.11 -3551.73 -3551.73 -3902.00 880404 Short 1 -691.67 -3462.30 -3462.30 -3902.00 880405 Short 1 -245.28 -3015.91 -3015.91 -3902.00 880406 Short 1 51.89 -2718.74 -2718.74 -3902.00 880407 Short 1 -82.39 -2853.02 -2853.02 -3902.00 880408 Short 1 -74.47 -2845.09 -2845.09 -3902.00 880411 Exit Short 1 225.00 -2545.62 -2545.62 -3902.00 MFE = 225.00 MAE = -781.11 880414 Exit Long 1 225.00 -2320.62 -2320.62 -3902.00 MFE = 225.00 MAE = 0.00 880422 Enter Short 1 27.30 -2293.33 -2293.33 -3902.00 880425 Short 1 -33.02 -2353.64 -2353.64 -3902.00 880426 Short 1 123.50 -2197.13 -2197.13 -3902.00 880427 Exit Short 1 225.00 -2095.62 -2095.62 -3902.00 MFE = 225.00 MAE = -33.02 675.00 880510 Enter Long 1 -7.10 -2102.72 -2102.72 -3902.00 880511 Long 1 -55.56 -2151.19 -2151.19 -3902.00 880512 Long 1 -55.56 -2151.19 -2151.19 -3902.00 880513 Long 1 -164.27 -2259.89 -2259.89 -3902.00 880516 Long 1 -228.46 -2324.09 -2324.09 -3902.00 880517 Exit Long 1 -410.00 -2505.62 -2505.62 -3902.00 MFE = 0.00 MAE = -410.00 880517 Exit Short 1 225.00 -2280.62 -2280.62 -3902.00 MFE = 225.00 MAE = 0.00 880523 Enter Long 1 -21.76 -2302.38 -2302.38 -3902.00 880524 Long 1 99.54 -2181.08 -2181.08 -3902.00 880525 Long 1 18.61 -2262.01 -2262.01 -3902.00 880526 Long 1 -21.76 -2302.38 -2302.38 -3902.00 880527 Exit Long 1 -216.25 -2496.87 -2496.87 -3902.00 MFE = 99.54 MAE = -216.25 880527 Enter Short 1 -12.68 -2509.55 -2509.55 -3902.00 880530 Short 1 27.37 -2469.50 -2469.50 -3902.00 880531 Short 1 107.28 -2389.59 -2389.59 -3902.00 -401.25 880601 Short 1 190.91 -2305.96 -2305.96 -3902.00 880602 Exit Short 1 225.00 -2271.87 -2271.87 -3902.00 MFE = 225.00 MAE = -12.68 880608 Enter Long 1 -219.86 -2491.73 -2491.73 -3902.00 880609 Long 1 159.82 -2112.06 -2112.06 -3902.00 880610 Long 1 75.39 -2196.48 -2196.48 -3902.00 880613 Long 1 -40.73 -2312.61 -2312.61 -3902.00 880614 Exit Long 1 -262.50 -2534.37 -2534.37 -3902.00 MFE = 159.82 MAE = -262.50 880614 Exit Short 1 225.00 -2309.37 -2309.37 -3902.00 MFE = 225.00 MAE = 0.00 880620 Enter Short 1 -124.15 -2433.53 -2433.53 -3902.00 880621 Short 1 -77.15 -2386.53 -2386.53 -3902.00 880622 Exit Short 1 225.00 -2084.37 -2084.37 -3902.00 MFE = 225.00 MAE = -124.15 880628 Enter Short 1 -28.08 -2112.46 -2112.46 -3902.00 880629 Exit Short 1 225.00 -1859.37 -1859.37 -3902.00 MFE = 225.00 MAE = -28.08 637.50 880701 Enter Short 1 -89.56 -1948.94 -1948.94 -3902.00 880704 Exit Short 1 225.00 -1634.37 -1634.37 -3902.00 MFE = 225.00 MAE = -89.56 880707 Enter Long 1 -374.00 -2008.38 -2008.38 -3902.00 880708 Long 1 -497.87 -2132.24 -2132.24 -3902.00 880711 Long 1 -409.46 -2043.84 -2043.84 -3902.00 880712 Long 1 -217.36 -1851.74 -1851.74 -3902.00 880713 Long 1 -356.26 -1990.63 -1990.63 -3902.00 880714 Long 1 -571.87 -2206.24 -2206.24 -3902.00 880715 Exit Long 1 -753.75 -2388.12 -2388.12 -3902.00 MFE = 0.00 MAE = -753.75 880715 Exit Short 1 225.00 -2163.12 -2163.12 -3902.00 MFE = 225.00 MAE = 0.00 880721 Enter Long 1 39.80 -2123.32 -2123.32 -3902.00 880722 Exit Long 1 225.00 -1938.12 -1938.12 -3902.00 MFE = 225.00 MAE = 0.00 -78.75 880805 Enter Short 1 157.35 -1780.78 -1780.78 -3902.00 880808 Exit Short 1 225.00 -1713.12 -1713.12 -3902.00 MFE = 225.00 MAE = 0.00 880809 Exit Short 1 225.00 -1488.12 -1488.12 -3902.00 MFE = 225.00 MAE = 0.00 880816 Exit Long 1 -525.62 -2013.75 -2013.75 -3902.00 MFE = 0.00 MAE = -525.62 880824 Enter Short 1 -213.23 -2226.98 -2226.98 -3902.00 880825 Exit Short 1 -508.12 -2521.87 -2521.87 -3902.00 MFE = 0.00 MAE = -508.12 880825 Enter Long 1 -91.08 -2612.95 -2612.95 -3902.00 880826 Long 1 -280.37 -2802.24 -2802.24 -3902.00 880829 Exit Long 1 -455.00 -2976.87 -2976.87 -3902.00 MFE = 0.00 MAE = -455.00 880829 Enter Short 1 107.29 -2869.59 -2869.59 -3902.00 880830 Exit Short 1 225.00 -2751.87 -2751.87 -3902.00 MFE = 225.00 MAE = 0.00 880831 Exit Short 1 225.00 -2526.87 -2526.87 -3902.00 MFE = 225.00 MAE = 0.00 -588.75 880907 Enter Long 1 156.88 -2370.00 -2370.00 -3902.00 880908 Long 1 97.21 -2429.66 -2429.66 -3902.00 880909 Exit Long 1 225.00 -2301.87 -2301.87 -3902.00 MFE = 225.00 MAE = 0.00 880914 Exit Short 1 225.00 -2076.87 -2076.87 -3902.00 MFE = 225.00 MAE = 0.00 880916 Enter Short 1 -748.57 -2825.44 -2825.44 -3902.00 880919 Short 1 -1046.39 -3123.27 -3123.27 -3902.00 880920 Short 1 -524.16 -2601.04 -2601.04 -3902.00 880921 Short 1 -492.78 -2569.65 -2569.65 -3902.00 880922 Short 1 -790.88 -2867.76 -2867.76 -3902.00 880923 Short 1 -409.29 -2486.16 -2486.16 -3902.00 880926 Short 1 -215.64 -2292.52 -2292.52 -3902.00 880927 Short 1 -423.19 -2500.06 -2500.06 -3902.00 880928 Short 1 -305.35 -2382.22 -2382.22 -3902.00 880929 Short 1 -374.59 -2451.47 -2451.47 -3902.00 880930 Short 1 -257.00 -2333.88 -2333.88 -3902.00 450.00 881003 Short 1 30.98 -2045.89 -2045.89 -3902.00 881004 Short 1 10.53 -2066.34 -2066.34 -3902.00 881005 Exit Short 1 225.00 -1851.87 -1851.87 -3902.00 MFE = 225.00 MAE = -1046.39 881007 Enter Long 1 -157.02 -2008.90 -2008.90 -3902.00 881010 Long 1 -136.25 -1988.13 -1988.13 -3902.00 881011 Long 1 -315.64 -2167.52 -2167.52 -3902.00 881012 Exit Long 1 901.42 -950.46 -950.46 -3902.00 MFE = 901.42 MAE = -315.64 881031 Enter Long 1 -207.36 -1157.81 -1157.81 -3902.00 1126.42 881101 Long 1 47.79 -902.67 -902.67 -3902.00 881102 Exit Long 1 225.00 -725.46 -725.46 -3902.00 MFE = 225.00 MAE = -207.36 881109 Enter Long 1 -21.49 -746.95 -746.95 -3902.00 881110 Long 1 -50.05 -775.50 -775.50 -3902.00 881111 Exit Long 1 225.00 -500.46 -500.46 -3902.00 MFE = 225.00 MAE = -50.05 881116 Exit Long 1 225.00 -275.46 -275.46 -3902.00 MFE = 225.00 MAE = 0.00 881122 Enter Long 1 49.65 -225.80 -225.80 -3902.00 881123 Long 1 117.81 -157.65 -157.65 -3902.00 881124 Exit Long 1 225.00 -50.46 -50.46 -3902.00 MFE = 225.00 MAE = 0.00 881128 Enter Short 1 123.19 72.73 0.00 -3902.00 881129 Short 1 -95.17 -145.62 -218.35 -3902.00 881130 Short 1 -243.19 -293.65 -366.38 -3902.00 900.00 881201 Short 1 -234.71 -285.17 -357.90 -3902.00 881202 Exit Short 1 -452.50 -502.96 -502.96 -3902.00 MFE = 123.19 MAE = -452.50 881202 Enter Long 1 -107.85 -610.80 -683.53 -3902.00 881205 Long 1 -218.22 -721.17 -793.90 -3902.00 881206 Long 1 -382.89 -885.84 -958.57 -3902.00 881207 Exit Long 1 -680.00 -1182.96 -1182.96 -3902.00 MFE = 0.00 MAE = -680.00 881207 Exit Short 1 225.00 -957.96 -1030.69 -3902.00 MFE = 225.00 MAE = 0.00 881214 Exit Long 1 -649.37 -1607.33 -1680.06 -3902.00 MFE = 0.00 MAE = -649.37 881220 Enter Short 1 -23.02 -1630.35 -1703.08 -3902.00 881221 Short 1 -327.85 -1935.18 -2007.91 -3902.00 881222 Short 1 -287.52 -1894.86 -1967.59 -3902.00 881223 Short 1 -255.31 -1862.64 -1935.37 -3902.00 881226 Short 1 -223.15 -1830.48 -1903.21 -3902.00 881227 Short 1 -158.93 -1766.26 -1838.99 -3902.00 881228 Short 1 151.78 -1455.55 -1528.28 -3902.00 881229 Exit Short 1 225.00 -1382.33 -1455.06 -3902.00 MFE = 225.00 MAE = -327.85 881230 Enter Long 1 -86.36 -1468.69 -1541.42 -3902.00 -1331.87 890102 Long 1 -6.14 -1388.47 -1461.20 -3902.00 890103 Exit Long 1 225.00 -1157.33 -1230.06 -3902.00 MFE = 225.00 MAE = -86.36 890105 Enter Short 1 -195.30 -1352.63 -1425.36 -3902.00 890106 Short 1 86.45 -1070.88 -1143.61 -3902.00 890109 Short 1 -242.57 -1399.90 -1472.63 -3902.00 890110 Short 1 -93.19 -1250.52 -1323.25 -3902.00 890111 Exit Short 1 225.00 -932.33 -1005.06 -3902.00 MFE = 225.00 MAE = -242.57 890118 Exit Long 1 225.00 -707.33 -780.06 -3902.00 MFE = 225.00 MAE = 0.00 890124 Exit Long 1 225.00 -482.33 -555.06 -3902.00 MFE = 225.00 MAE = 0.00 890127 Enter Short 1 151.57 -330.76 -403.49 -3902.00 890130 Exit Short 1 225.00 -257.33 -330.06 -3902.00 MFE = 225.00 MAE = 0.00 1125.00 890209 Exit Long 1 225.00 -32.33 -105.06 -3902.00 MFE = 225.00 MAE = 0.00 890210 Enter Long 1 -673.73 -706.06 -778.79 -3902.00 890213 Long 1 -343.26 -375.59 -448.32 -3902.00 890214 Exit Long 1 225.00 192.67 0.00 -3902.00 MFE = 225.00 MAE = -673.73 890228 Enter Short 1 -137.31 55.36 -137.31 -3902.00 450.00 890301 Exit Short 1 225.00 417.67 0.00 -3902.00 MFE = 225.00 MAE = -137.31 890306 Enter Short 1 36.67 454.33 0.00 -3902.00 890307 Short 1 -113.77 303.90 -150.44 -3902.00 890308 Short 1 59.15 476.82 0.00 -3902.00 890309 Short 1 -125.10 292.57 -184.25 -3902.00 890310 Short 1 145.15 562.82 0.00 -3902.00 890313 Exit Short 1 225.00 642.67 0.00 -3902.00 MFE = 225.00 MAE = -125.10 890315 Enter Short 1 23.16 665.83 0.00 -3902.00 890316 Short 1 92.58 735.25 0.00 -3902.00 890317 Exit Short 1 225.00 867.67 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890327 Exit Short 1 225.00 1092.67 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890328 Enter Short 1 -70.88 1021.79 0.00 -3902.00 890329 Short 1 -70.88 1021.79 0.00 -3902.00 890330 Exit Short 1 -481.87 610.79 -481.87 -3902.00 MFE = 0.00 MAE = -481.87 890330 Enter Long 1 27.04 637.83 -383.95 -3902.00 890331 Long 1 -258.58 352.21 -669.57 -3902.00 418.13 890403 Long 1 138.65 749.44 -272.34 -3902.00 890404 Exit Long 1 225.00 835.79 -185.99 -3902.00 MFE = 225.00 MAE = -258.58 890406 Enter Short 1 -9.88 825.92 -195.87 -3902.00 890407 Short 1 178.82 1014.61 -7.17 -3902.00 890410 Short 1 185.91 1021.70 -0.08 -3902.00 890411 Short 1 153.98 989.78 -32.01 -3902.00 890412 Exit Short 1 225.00 1060.79 0.00 -3902.00 MFE = 225.00 MAE = -9.88 890413 Enter Long 1 16.12 1076.92 0.00 -3902.00 890414 Long 1 16.12 1076.92 0.00 -3902.00 890417 Exit Long 1 225.00 1285.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890425 Enter Short 1 -206.67 1079.12 0.00 -3902.00 890426 Short 1 45.53 1331.32 0.00 -3902.00 890427 Short 1 31.19 1316.98 -14.34 -3902.00 890428 Exit Short 1 225.00 1510.79 0.00 -3902.00 MFE = 225.00 MAE = -206.67 900.00 890501 Enter Short 1 135.51 1646.31 0.00 -3902.00 890502 Exit Short 1 225.00 1735.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890508 Enter Short 1 -9.35 1726.44 0.00 -3902.00 890509 Short 1 -109.29 1626.50 -99.94 -3902.00 890510 Short 1 -161.14 1574.65 -151.79 -3902.00 890511 Short 1 127.78 1863.57 0.00 -3902.00 890512 Exit Short 1 225.00 1960.79 0.00 -3902.00 MFE = 225.00 MAE = -161.14 890515 Exit Short 1 225.00 2185.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890517 Exit Short 1 225.00 2410.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890522 Exit Short 1 225.00 2635.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890529 Enter Short 1 -73.64 2562.15 0.00 -3902.00 890530 Exit Short 1 225.00 2860.79 0.00 -3902.00 MFE = 225.00 MAE = -73.64 1350.00 890602 Exit Long 1 225.00 3085.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890608 Enter Short 1 -135.32 2950.47 0.00 -3902.00 890609 Exit Short 1 225.00 3310.79 0.00 -3902.00 MFE = 225.00 MAE = -135.32 890612 Exit Short 1 225.00 3535.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 890615 Exit Long 1 -1098.75 2437.04 -1098.75 -3902.00 MFE = 0.00 MAE = -1098.75 890622 Exit Long 1 225.00 2662.04 -873.75 -3902.00 MFE = 225.00 MAE = 0.00 890628 Exit Short 1 225.00 2887.04 -648.75 -3902.00 MFE = 225.00 MAE = 0.00 890630 Enter Short 1 -128.27 2758.78 -191.69 -3902.00 26.25 890703 Short 1 -974.10 1912.94 -1037.53 -3902.00 890704 Short 1 -849.03 2038.02 -912.45 -3902.00 890705 Short 1 -1958.16 928.89 -2021.58 -3902.00 890706 Short 1 -1755.91 1131.13 -1819.34 -3902.00 890707 Short 1 -1658.70 1228.34 -1722.13 -3902.00 890710 Short 1 -1607.02 1280.02 -1670.45 -3902.00 890711 Short 1 -1106.19 1780.85 -1169.62 -3902.00 890712 Short 1 -1500.82 1386.22 -1564.25 -3902.00 890713 Short 1 -1532.95 1354.09 -1596.38 -3902.00 890714 Short 1 -1087.27 1799.77 -1150.70 -3902.00 890717 Short 1 -905.23 1981.82 -968.65 -3902.00 890718 Short 1 -849.03 2038.02 -912.45 -3902.00 890719 Short 1 -551.72 2335.33 -615.14 -3902.00 890720 Short 1 -974.10 1912.94 -1037.53 -3902.00 890721 Short 1 -662.74 2224.30 -726.17 -3902.00 890724 Short 1 -551.72 2335.33 -615.14 -3902.00 890725 Short 1 -892.72 1994.32 -956.15 -3902.00 890726 Exit Short 1 -1338.12 1548.92 -1986.87 -3902.00 MFE = 0.00 MAE = -1958.16 890726 Enter Long 1 78.79 1627.71 -1322.76 -3902.00 890727 Exit Long 1 225.00 1773.92 -1761.87 -3902.00 MFE = 225.00 MAE = 0.00 890731 Exit Long 1 225.00 1998.92 -1536.87 -3902.00 MFE = 225.00 MAE = 0.00 -888.12 890803 Enter Short 1 -28.94 1969.98 -980.49 -3902.00 890804 Exit Short 1 225.00 2223.92 -1311.87 -3902.00 MFE = 225.00 MAE = -28.94 890811 Exit Short 1 225.00 2448.92 -1086.87 -3902.00 MFE = 225.00 MAE = 0.00 890817 Exit Short 1 225.00 2673.92 -276.55 -3902.00 MFE = 225.00 MAE = 0.00 890824 Enter Short 1 -95.35 2578.57 -371.90 -3902.00 890825 Short 1 16.75 2690.67 -259.80 -3902.00 890828 Exit Short 1 225.00 2898.92 -51.55 -3902.00 MFE = 225.00 MAE = -95.35 890829 Enter Long 1 -323.65 2575.27 -375.20 -3902.00 890830 Long 1 -671.08 2227.84 -722.63 -3902.00 890831 Long 1 -814.45 2084.47 -866.01 -3902.00 900.00 890901 Long 1 -1110.13 1788.79 -1161.68 -3902.00 890904 Long 1 -1133.61 1765.31 -1185.16 -3902.00 890905 Exit Long 1 -1412.50 1486.42 -1464.05 -3902.00 MFE = 0.00 MAE = -1412.50 890905 Enter Short 1 -32.12 1454.30 -1496.17 -3902.00 890906 Short 1 -224.58 1261.84 -1688.63 -3902.00 890907 Short 1 -78.61 1407.80 -1542.67 -3902.00 890908 Short 1 95.23 1581.65 -1368.82 -3902.00 890911 Exit Short 1 225.00 1711.42 -1239.05 -3902.00 MFE = 225.00 MAE = -224.58 890914 Enter Long 1 -360.56 1350.86 -1599.62 -3902.00 890915 Exit Long 1 -731.87 979.54 -1970.93 -3902.00 MFE = 0.00 MAE = -731.87 890915 Exit Short 1 225.00 1204.54 -1745.93 -3902.00 MFE = 225.00 MAE = 0.00 890920 Enter Long 1 -149.54 1055.00 -1895.47 -3902.00 890921 Long 1 -291.50 913.05 -2037.43 -3902.00 890922 Long 1 -397.36 807.19 -2143.29 -3902.00 890925 Exit Long 1 225.00 1429.54 -1520.93 -3902.00 MFE = 225.00 MAE = -397.36 890927 Exit Long 1 225.00 1654.54 -1295.93 -3902.00 MFE = 225.00 MAE = 0.00 890929 Enter Long 1 -71.92 1582.62 -1367.85 -3902.00 -1244.37 891002 Long 1 -245.86 1408.69 -1541.78 -3902.00 891003 Long 1 -759.66 894.89 -2055.59 -3902.00 891004 Long 1 -862.88 791.66 -2158.81 -3902.00 891005 Long 1 -1086.43 568.11 -2382.36 -3902.00 891006 Exit Long 1 -1507.50 147.04 -2803.43 -3902.00 MFE = 0.00 MAE = -1507.50 891006 Enter Short 1 -349.78 -202.74 -3153.21 -3902.00 891009 Short 1 -260.57 -113.53 -3064.00 -3902.00 891010 Exit Short 1 225.00 372.04 -2578.43 -3902.00 MFE = 225.00 MAE = -349.78 891026 Enter Short 1 -197.72 174.33 -2776.14 -3902.00 891027 Short 1 -315.89 56.15 -2894.32 -3902.00 891030 Short 1 -120.30 251.74 -2698.73 -3902.00 891031 Short 1 64.37 436.41 -2514.06 -3902.00 -1282.50 891101 Exit Short 1 225.00 597.04 -2353.43 -3902.00 MFE = 225.00 MAE = -315.89 891121 Enter Long 1 -1.79 595.25 -2355.22 -3902.00 891122 Long 1 129.02 726.07 -2224.40 -3902.00 891123 Long 1 -167.97 429.07 -2521.40 -3902.00 891124 Long 1 -1.79 595.25 -2355.22 -3902.00 891127 Long 1 104.63 701.67 -2248.80 -3902.00 891128 Long 1 119.87 716.92 -2233.55 -3902.00 891129 Exit Long 1 225.00 822.04 -2128.43 -3902.00 MFE = 225.00 MAE = -167.97 450.00 891207 Enter Short 1 -23.06 798.98 -2151.49 -3902.00 891208 Short 1 -50.11 771.93 -2178.54 -3902.00 891211 Short 1 -14.05 807.99 -2142.48 -3902.00 891212 Short 1 -131.47 690.57 -2259.90 -3902.00 891213 Exit Short 1 -290.00 532.04 -2418.43 -3902.00 MFE = 0.00 MAE = -290.00 891213 Enter Long 1 -244.94 287.10 -2663.37 -3902.00 891214 Long 1 -199.84 332.20 -2618.27 -3902.00 891215 Long 1 -169.72 362.32 -2588.15 -3902.00 891218 Long 1 -3.31 528.73 -2421.74 -3902.00 891219 Long 1 -82.14 449.90 -2500.57 -3902.00 891220 Long 1 -112.38 419.67 -2530.81 -3902.00 891221 Long 1 -48.82 483.22 -2467.25 -3902.00 891222 Exit Long 1 225.00 757.04 -2193.43 -3902.00 MFE = 225.00 MAE = -244.94 891228 Enter Short 1 -31.51 725.53 -2224.94 -3902.00 891229 Short 1 95.72 852.76 -2097.71 -3902.00 -65.00 900102 Exit Short 1 225.00 982.04 -1968.43 -3902.00 MFE = 225.00 MAE = -31.51 900109 Enter Short 1 -89.68 892.36 -2058.11 -3902.00 900110 Short 1 67.04 1049.08 -1901.39 -3902.00 900111 Short 1 8.03 990.07 -1960.40 -3902.00 900112 Short 1 96.48 1078.52 -1871.95 -3902.00 900115 Short 1 90.59 1072.64 -1877.84 -3902.00 900116 Short 1 -15.62 966.43 -1984.04 -3902.00 900117 Short 1 -12.66 969.39 -1981.08 -3902.00 900118 Exit Short 1 225.00 1207.04 -1743.43 -3902.00 MFE = 225.00 MAE = -89.68 900124 Enter Long 1 -87.66 1119.38 -1831.09 -3902.00 900125 Exit Long 1 225.00 1432.04 -1518.43 -3902.00 MFE = 225.00 MAE = -87.66 900130 Exit Short 1 225.00 1657.04 -1293.43 -3902.00 MFE = 225.00 MAE = 0.00 900.00 900209 Enter Long 1 -76.56 1580.48 -1369.99 -3902.00 900212 Long 1 49.17 1706.22 -1244.25 -3902.00 900213 Long 1 58.18 1715.23 -1235.25 -3902.00 900214 Long 1 -16.78 1640.27 -1310.21 -3902.00 900215 Exit Long 1 -150.00 1507.04 -1443.43 -3902.00 MFE = 58.18 MAE = -150.00 900215 Enter Short 1 -9.67 1497.38 -1453.09 -3902.00 900216 Short 1 -273.48 1233.56 -1716.91 -3902.00 900219 Short 1 -78.31 1428.74 -1521.73 -3902.00 900220 Short 1 85.47 1592.51 -1357.96 -3902.00 900221 Short 1 197.90 1704.95 -1245.52 -3902.00 900222 Exit Short 1 225.00 1732.04 -1218.43 -3902.00 MFE = 225.00 MAE = -273.48 900226 Enter Short 1 91.00 1823.04 -1127.43 -3902.00 900227 Exit Short 1 225.00 1957.04 -993.43 -3902.00 MFE = 225.00 MAE = 0.00 300.00 900307 Enter Short 1 -236.53 1720.51 -1229.96 -3902.00 900308 Short 1 -10.83 1946.21 -1004.26 -3902.00 900309 Short 1 30.19 1987.23 -963.24 -3902.00 900312 Exit Short 1 225.00 2182.04 -768.43 -3902.00 MFE = 225.00 MAE = -236.53 900320 Enter Short 1 15.37 2197.41 -753.06 -3902.00 900321 Short 1 101.84 2283.89 -666.58 -3902.00 900322 Exit Short 1 225.00 2407.04 -543.43 -3902.00 MFE = 225.00 MAE = 0.00 900323 Enter Long 1 -384.49 2022.56 -927.91 -3902.00 900326 Exit Long 1 -920.00 1487.04 -1463.43 -3902.00 MFE = 0.00 MAE = -920.00 900326 Enter Short 1 122.99 1610.04 -1340.43 -3902.00 900327 Exit Short 1 225.00 1712.04 -1238.43 -3902.00 MFE = 225.00 MAE = 0.00 900328 Enter Short 1 -79.81 1632.23 -1318.24 -3902.00 900329 Short 1 -657.15 1054.90 -1895.57 -3902.00 900330 Short 1 -104.68 1607.37 -1343.10 -3902.00 -245.00 900402 Exit Short 1 225.00 1937.04 -1013.43 -3902.00 MFE = 225.00 MAE = -657.15 900416 Enter Short 1 101.40 2038.45 -912.02 -3902.00 900417 Exit Short 1 225.00 2162.04 -788.43 -3902.00 MFE = 225.00 MAE = 0.00 900418 Enter Long 1 12.56 2174.61 -775.86 -3902.00 900419 Exit Long 1 225.00 2387.04 -563.43 -3902.00 MFE = 225.00 MAE = 0.00 900424 Enter Short 1 80.08 2467.13 -483.34 -3902.00 900425 Short 1 50.38 2437.42 -513.05 -3902.00 900426 Short 1 141.83 2528.87 -421.60 -3902.00 900427 Short 1 141.83 2528.87 -421.60 -3902.00 900430 Short 1 55.33 2442.38 -508.10 -3902.00 675.00 900501 Short 1 30.55 2417.59 -532.88 -3902.00 900502 Exit Short 1 -236.25 2150.79 -799.68 -3902.00 MFE = 141.83 MAE = -236.25 900502 Enter Long 1 -74.93 2075.86 -874.61 -3902.00 900503 Long 1 -92.43 2058.36 -892.11 -3902.00 900504 Long 1 -92.43 2058.36 -892.11 -3902.00 900507 Long 1 -92.43 2058.36 -892.11 -3902.00 900508 Long 1 50.52 2201.31 -749.16 -3902.00 900509 Exit Long 1 -229.38 1921.42 -1029.05 -3902.00 MFE = 50.52 MAE = -229.38 900509 Exit Short 1 -498.13 1423.29 -1527.18 -3902.00 MFE = 0.00 MAE = -498.13 900511 Exit Long 1 225.00 1648.29 -1302.18 -3902.00 MFE = 225.00 MAE = 0.00 900521 Enter Short 1 26.12 1674.41 -1276.06 -3902.00 900522 Short 1 -638.56 1009.74 -1940.74 -3902.00 900523 Short 1 -573.02 1075.27 -1875.20 -3902.00 900524 Short 1 -731.75 916.54 -2033.93 -3902.00 900525 Exit Short 1 -1031.87 616.42 -2334.05 -3902.00 MFE = 26.12 MAE = -1031.87 900525 Enter Long 1 149.52 765.94 -2184.53 -3902.00 900528 Exit Long 1 225.00 841.42 -2109.05 -3902.00 MFE = 225.00 MAE = 0.00 900531 Enter Short 1 -84.56 756.86 -2193.61 -3902.00 -1545.63 900601 Short 1 -141.33 700.09 -2250.38 -3902.00 900604 Short 1 -19.88 821.54 -2128.93 -3902.00 900605 Short 1 -11.80 829.62 -2120.86 -3902.00 900606 Short 1 41.93 883.34 -2067.13 -3902.00 900607 Short 1 7.02 848.44 -2102.03 -3902.00 900608 Exit Short 1 225.00 1066.42 -1884.05 -3902.00 MFE = 225.00 MAE = -141.33 900611 Enter Short 1 200.47 1266.89 -1683.58 -3902.00 900612 Short 1 156.03 1222.45 -1728.02 -3902.00 900613 Exit Short 1 225.00 1291.42 -1659.05 -3902.00 MFE = 225.00 MAE = 0.00 900621 Enter Short 1 18.53 1309.95 -1640.53 -3902.00 900622 Short 1 31.57 1322.99 -1627.48 -3902.00 900625 Exit Short 1 225.00 1516.42 -1434.05 -3902.00 MFE = 225.00 MAE = 0.00 900627 Enter Long 1 -113.59 1402.83 -1547.64 -3902.00 900628 Exit Long 1 225.00 1741.42 -1209.05 -3902.00 MFE = 225.00 MAE = -113.59 900629 Enter Long 1 -139.36 1602.06 -1348.41 -3902.00 900.00 900702 Exit Long 1 225.00 1966.42 -984.05 -3902.00 MFE = 225.00 MAE = -139.36 900704 Enter Long 1 99.74 2066.16 -884.31 -3902.00 900705 Long 1 -99.89 1866.53 -1083.94 -3902.00 900706 Long 1 -401.21 1565.21 -1385.27 -3902.00 900709 Long 1 -264.79 1701.63 -1248.84 -3902.00 900710 Exit Long 1 225.00 2191.42 -759.05 -3902.00 MFE = 225.00 MAE = -401.21 900718 Enter Long 1 -133.09 2058.33 -892.14 -3902.00 900719 Long 1 -233.09 1958.33 -992.14 -3902.00 900720 Exit Long 1 -564.38 1627.04 -1323.43 -3902.00 MFE = 0.00 MAE = -564.38 900720 Enter Short 1 -172.75 1454.29 -1496.18 -3902.00 900723 Short 1 -309.14 1317.91 -1632.57 -3902.00 900724 Short 1 -121.83 1505.21 -1445.26 -3902.00 900725 Exit Short 1 225.00 1852.04 -1098.43 -3902.00 MFE = 225.00 MAE = -309.14 900730 Enter Long 1 75.70 1927.74 -1022.73 -3902.00 900731 Exit Long 1 225.00 2077.04 -873.43 -3902.00 MFE = 225.00 MAE = 0.00 335.62 900802 Exit Short 1 225.00 2302.04 -648.43 -3902.00 MFE = 225.00 MAE = 0.00 900814 Enter Long 1 91.18 2393.23 -557.25 -3902.00 900815 Exit Long 1 225.00 2527.04 -423.43 -3902.00 MFE = 225.00 MAE = 0.00 900820 Enter Long 1 49.81 2576.85 -373.62 -3902.00 900821 Long 1 6.14 2533.18 -417.29 -3902.00 900822 Exit Long 1 225.00 2752.04 -198.43 -3902.00 MFE = 225.00 MAE = 0.00 900827 Exit Long 1 225.00 2977.04 0.00 -3902.00 MFE = 225.00 MAE = 0.00 900828 Enter Long 1 -160.65 2816.39 -160.65 -3902.00 900829 Long 1 -160.65 2816.39 -160.65 -3902.00 900830 Long 1 -359.59 2617.46 -359.59 -3902.00 900831 Long 1 -169.74 2807.31 -169.74 -3902.00 900.00 900903 Long 1 -115.19 2861.86 -115.19 -3902.00 900904 Long 1 -54.42 2922.62 -54.42 -3902.00 900905 Exit Long 1 225.00 3202.04 0.00 -3902.00 MFE = 225.00 MAE = -359.59 900906 Enter Long 1 -5.08 3196.96 -5.08 -3902.00 900907 Long 1 179.11 3381.15 0.00 -3902.00 900910 Exit Long 1 225.00 3427.04 0.00 -3902.00 MFE = 225.00 MAE = -5.08 900912 Exit Long 1 225.00 3652.04 0.00 -3902.00 MFE = 225.00 MAE = 0.00 900913 Enter Long 1 94.79 3746.83 0.00 -3902.00 900914 Exit Long 1 225.00 3877.04 0.00 -3902.00 MFE = 225.00 MAE = 0.00 900924 Exit Long 1 225.00 4102.04 0.00 -3902.00 MFE = 225.00 MAE = 0.00 900927 Enter Short 1 -34.43 4067.61 0.00 -3902.00 900928 Short 1 79.90 4181.94 0.00 -3902.00 1125.00 901001 Exit Short 1 -591.87 3510.17 -591.87 -3902.00 MFE = 79.90 MAE = -591.87 901001 Enter Long 1 4.36 3514.53 -667.41 -3902.00 901002 Long 1 -52.57 3457.60 -724.34 -3902.00 901003 Exit Long 1 225.00 3735.17 -446.77 -3902.00 MFE = 225.00 MAE = -52.57 901004 Exit Long 1 225.00 3960.17 -221.77 -3902.00 MFE = 225.00 MAE = 0.00 901005 Exit Long 1 225.00 4185.17 0.00 -3902.00 MFE = 225.00 MAE = 0.00 901008 Exit Long 1 225.00 4410.17 0.00 -3902.00 MFE = 225.00 MAE = 0.00 901009 Enter Long 1 -470.08 3940.09 -470.08 -3902.00 901010 Long 1 -118.22 4291.95 -118.22 -3902.00 901011 Long 1 -151.78 4258.39 -151.78 -3902.00 901012 Exit Long 1 225.00 4635.17 0.00 -3902.00 MFE = 225.00 MAE = -470.08 901015 Enter Long 1 137.43 4772.60 0.00 -3902.00 901016 Exit Long 1 225.00 4860.17 0.00 -3902.00 MFE = 225.00 MAE = 0.00 901017 Exit Long 1 225.00 5085.17 0.00 -3902.00 MFE = 225.00 MAE = 0.00 901018 Enter Long 1 -109.47 4975.70 0.00 -3902.00 901019 Long 1 -727.76 4357.41 -618.29 -3902.00 901022 Long 1 -767.13 4318.04 -657.66 -3902.00 901023 Long 1 -1606.28 3478.89 -1496.81 -3902.00 901024 Long 1 -943.51 4141.66 -834.04 -3902.00 901025 Long 1 -1617.68 3467.49 -1508.21 -3902.00 901026 Long 1 -1579.65 3505.52 -1470.18 -3902.00 901029 Long 1 -1761.65 3323.52 -1652.18 -3902.00 901030 Exit Long 1 -2373.13 2712.04 -2373.13 -3902.00 MFE = 0.00 MAE = -2373.13 901030 Enter Short 1 -560.05 2151.99 -2823.71 -3902.00 901031 Short 1 -37.47 2674.58 -2301.12 -3902.00 -1390.00 901101 Exit Short 1 225.00 2937.04 -2038.66 -3902.00 MFE = 225.00 MAE = -560.05 901102 Exit Long 1 225.00 3162.04 -1813.66 -3902.00 MFE = 225.00 MAE = 0.00 901105 Exit Long 1 225.00 3387.04 -1588.66 -3902.00 MFE = 225.00 MAE = 0.00 901112 Exit Long 1 225.00 3612.04 -1363.66 -3902.00 MFE = 225.00 MAE = 0.00 901119 Enter Long 1 -119.37 3492.67 -1483.03 -3902.00 901120 Long 1 -168.36 3443.68 -1532.02 -3902.00 901121 Exit Long 1 225.00 3837.04 -1138.66 -3902.00 MFE = 225.00 MAE = -168.36 901122 Enter Long 1 -41.65 3795.40 -1180.30 -3902.00 901123 Long 1 -45.52 3791.53 -1184.17 -3902.00 901126 Exit Long 1 -387.50 3449.54 -1526.16 -3902.00 MFE = 0.00 MAE = -387.50 901126 Exit Short 1 225.00 3674.54 -1301.16 -3902.00 MFE = 225.00 MAE = 0.00 901129 Exit Short 1 225.00 3899.54 -1076.16 -3902.00 MFE = 225.00 MAE = 0.00 1187.50 901206 Exit Long 1 225.00 4124.54 -851.16 -3902.00 MFE = 225.00 MAE = 0.00 901207 Enter Long 1 54.61 4179.16 -796.55 -3902.00 901210 Exit Long 1 225.00 4349.54 -626.16 -3902.00 MFE = 225.00 MAE = 0.00 901214 Enter Short 1 -95.34 4254.20 -721.50 -3902.00 901217 Short 1 -24.67 4324.87 -650.83 -3902.00 901218 Short 1 -237.31 4112.23 -863.47 -3902.00 901219 Exit Short 1 225.00 4574.54 -401.16 -3902.00 MFE = 225.00 MAE = -237.31 901220 Enter Short 1 124.48 4699.03 -276.67 -3902.00 901221 Exit Short 1 225.00 4799.54 -176.16 -3902.00 MFE = 225.00 MAE = 0.00 901227 Enter Short 1 -136.67 4662.88 -312.82 -3902.00 901228 Exit Short 1 -460.62 4338.92 -636.78 -3902.00 MFE = 0.00 MAE = -460.62 901228 Exit Long 1 225.00 4563.92 -411.78 -3902.00 MFE = 225.00 MAE = 0.00 664.38 910103 Enter Long 1 23.93 4587.85 -387.86 -3902.00 910104 Long 1 -576.22 3987.70 -988.00 -3902.00 910107 Exit Long 1 -1173.75 3390.17 -1585.53 -3902.00 MFE = 23.93 MAE = -1173.75 910107 Exit Short 1 225.00 3615.17 -1360.53 -3902.00 MFE = 225.00 MAE = 0.00 910109 Exit Long 1 225.00 3840.17 -1135.53 -3902.00 MFE = 225.00 MAE = 0.00 910116 Enter Short 1 -7.59 3832.58 -1143.12 -3902.00 910117 Exit Short 1 -966.87 2873.29 -2102.41 -3902.00 MFE = 0.00 MAE = -966.87 910117 Exit Long 1 225.00 3098.29 -1877.41 -3902.00 MFE = 225.00 MAE = 0.00 910129 Enter Long 1 -451.61 2646.68 -2329.02 -3902.00 910130 Long 1 -108.74 2989.56 -1986.14 -3902.00 910131 Long 1 -141.44 2956.85 -2018.85 -3902.00 -1465.62 910201 Long 1 -264.55 2833.75 -2141.95 -3902.00 910204 Long 1 81.05 3179.34 -1796.36 -3902.00 910205 Exit Long 1 225.00 3323.29 -1652.41 -3902.00 MFE = 225.00 MAE = -451.61 910206 Enter Long 1 22.33 3345.63 -1630.08 -3902.00 910207 Long 1 -84.03 3239.27 -1736.44 -3902.00 910208 Long 1 186.58 3509.88 -1465.82 -3902.00 910211 Exit Long 1 225.00 3548.29 -1427.41 -3902.00 MFE = 225.00 MAE = -84.03 910213 Enter Short 1 119.78 3668.07 -1307.63 -3902.00 910214 Exit Short 1 225.00 3773.29 -1202.41 -3902.00 MFE = 225.00 MAE = 0.00 910215 Enter Short 1 12.67 3785.97 -1189.73 -3902.00 910218 Short 1 -60.89 3712.40 -1263.30 -3902.00 910219 Exit Short 1 225.00 3998.29 -977.41 -3902.00 MFE = 225.00 MAE = -60.89 910222 Exit Long 1 -597.50 3400.79 -1574.91 -3902.00 MFE = 0.00 MAE = -597.50 910225 Enter Short 1 151.43 3552.22 -1423.48 -3902.00 910226 Short 1 -98.66 3302.13 -1673.57 -3902.00 910227 Short 1 -319.25 3081.54 -1894.16 -3902.00 910228 Short 1 -45.61 3355.19 -1620.51 -3902.00 302.50 910301 Exit Short 1 225.00 3625.79 -1349.91 -3902.00 MFE = 225.00 MAE = -319.25 910311 Exit Short 1 225.00 3850.79 -1124.91 -3902.00 MFE = 225.00 MAE = 0.00 910315 Enter Short 1 119.12 3969.92 -1005.79 -3902.00 910318 Exit Short 1 225.00 4075.79 -899.91 -3902.00 MFE = 225.00 MAE = 0.00 910328 Exit Short 1 225.00 4300.79 -674.91 -3902.00 MFE = 225.00 MAE = 0.00 900.00 910402 Enter Long 1 110.82 4411.62 -564.08 -3902.00 910403 Exit Long 1 225.00 4525.79 -449.91 -3902.00 MFE = 225.00 MAE = 0.00 910404 Enter Long 1 -43.46 4482.33 -493.37 -3902.00 910405 Long 1 -262.23 4263.57 -712.13 -3902.00 910408 Long 1 -429.09 4096.70 -879.00 -3902.00 910409 Exit Long 1 225.00 4750.79 -224.91 -3902.00 MFE = 225.00 MAE = -429.09 910415 Enter Long 1 109.78 4860.58 -115.13 -3902.00 910416 Long 1 -73.42 4677.37 -298.33 -3902.00 910417 Long 1 -543.76 4207.04 -768.66 -3902.00 910418 Exit Long 1 -968.75 3782.04 -1193.66 -3902.00 MFE = 109.78 MAE = -968.75 910418 Enter Short 1 149.99 3932.03 -1043.67 -3902.00 910419 Exit Short 1 225.00 4007.04 -968.66 -3902.00 MFE = 225.00 MAE = 0.00 910429 Exit Long 1 -612.50 3394.54 -1581.16 -3902.00 MFE = 0.00 MAE = -612.50 -906.25 910509 Enter Short 1 -349.09 3045.45 -1930.25 -3902.00 910510 Short 1 -130.04 3264.50 -1711.20 -3902.00 910513 Short 1 99.78 3494.32 -1481.38 -3902.00 910514 Short 1 -368.81 3025.73 -1949.97 -3902.00 910515 Short 1 -606.79 2787.75 -2187.95 -3902.00 910516 Short 1 -497.41 2897.14 -2078.56 -3902.00 910517 Short 1 -195.21 3199.33 -1776.37 -3902.00 910520 Short 1 -162.60 3231.94 -1743.76 -3902.00 910521 Short 1 -590.19 2804.36 -2171.34 -3902.00 910522 Short 1 -391.84 3002.71 -1972.99 -3902.00 910523 Short 1 -401.71 2992.83 -1982.87 -3902.00 910524 Short 1 -244.21 3150.34 -1825.36 -3902.00 910527 Short 1 -227.86 3166.68 -1809.02 -3902.00 910528 Short 1 -517.26 2877.29 -2098.41 -3902.00 910529 Short 1 -286.76 3107.79 -1867.91 -3902.00 910530 Short 1 -388.55 3006.00 -1969.70 -3902.00 910531 Short 1 -195.21 3199.33 -1776.37 -3902.00 0.00 910603 Short 1 9.42 3403.97 -1571.73 -3902.00 910604 Short 1 -61.83 3332.72 -1642.98 -3902.00 910605 Short 1 74.00 3468.54 -1507.16 -3902.00 910606 Short 1 32.05 3426.59 -1549.11 -3902.00 910607 Exit Short 1 225.00 3619.54 -1356.16 -3902.00 MFE = 225.00 MAE = -606.79 910610 Exit Short 1 225.00 3844.54 -1131.16 -3902.00 MFE = 225.00 MAE = 0.00 910614 Enter Long 1 -42.31 3802.24 -1173.46 -3902.00 910617 Long 1 -26.51 3818.03 -1157.67 -3902.00 910618 Long 1 -180.82 3663.72 -1311.98 -3902.00 910619 Exit Long 1 225.00 4069.54 -906.16 -3902.00 MFE = 225.00 MAE = -180.82 910620 Exit Long 1 225.00 4294.54 -681.16 -3902.00 MFE = 225.00 MAE = 0.00 900.00 910703 Enter Short 1 21.73 4316.27 -659.43 -3902.00 910704 Short 1 -132.75 4161.80 -813.90 -3902.00 910705 Exit Short 1 -393.75 3900.79 -1074.91 -3902.00 MFE = 21.73 MAE = -393.75 910705 Enter Long 1 30.36 3931.15 -1044.55 -3902.00 910708 Long 1 -44.67 3856.12 -1119.58 -3902.00 910709 Long 1 -142.16 3758.63 -1217.07 -3902.00 910710 Long 1 -67.46 3833.34 -1142.36 -3902.00 910711 Long 1 -83.72 3817.08 -1158.62 -3902.00 910712 Exit Long 1 225.00 4125.79 -849.91 -3902.00 MFE = 225.00 MAE = -142.16 910718 Enter Short 1 -215.84 3909.95 -1065.75 -3902.00 910719 Short 1 -433.48 3692.31 -1283.39 -3902.00 910722 Short 1 -0.26 4125.53 -850.17 -3902.00 910723 Short 1 -162.59 3963.21 -1012.49 -3902.00 910724 Short 1 -63.07 4062.73 -912.97 -3902.00 910725 Exit Short 1 225.00 4350.79 -624.91 -3902.00 MFE = 225.00 MAE = -433.48 910731 Enter Long 1 -64.87 4285.93 -689.77 -3902.00 56.25 910801 Long 1 -147.60 4203.19 -772.51 -3902.00 910802 Long 1 -15.08 4335.71 -639.99 -3902.00 910805 Long 1 158.35 4509.15 -466.55 -3902.00 910806 Exit Long 1 225.00 4575.79 -399.91 -3902.00 MFE = 225.00 MAE = -147.60 910815 Enter Short 1 5.17 4580.97 -394.73 -3902.00 910816 Short 1 111.44 4687.23 -288.47 -3902.00 910819 Exit Short 1 225.00 4800.79 -174.91 -3902.00 MFE = 225.00 MAE = 0.00 910821 Enter Long 1 -9.67 4791.13 -184.58 -3902.00 910822 Long 1 -116.94 4683.85 -291.85 -3902.00 910823 Long 1 -167.06 4633.73 -341.97 -3902.00 910826 Long 1 -157.05 4643.75 -331.95 -3902.00 910827 Long 1 -183.74 4617.06 -358.64 -3902.00 910828 Long 1 -49.95 4750.84 -224.86 -3902.00 910829 Long 1 -250.34 4550.45 -425.25 -3902.00 910830 Long 1 -143.69 4657.11 -318.59 -3902.00 450.00 910902 Long 1 -116.94 4683.85 -291.85 -3902.00 910903 Long 1 186.06 4986.86 0.00 -3902.00 910904 Exit Long 1 225.00 5025.79 0.00 -3902.00 MFE = 225.00 MAE = -250.34 910909 Enter Long 1 -21.14 5004.65 0.00 -3902.00 910910 Long 1 -45.27 4980.52 -24.13 -3902.00 910911 Long 1 -38.38 4987.41 -17.24 -3902.00 910912 Exit Long 1 225.00 5250.79 0.00 -3902.00 MFE = 225.00 MAE = -45.27 910918 Enter Short 1 -139.37 5111.42 -139.37 -3902.00 910919 Short 1 -101.31 5149.49 -101.31 -3902.00 910920 Short 1 -198.32 5052.47 -198.32 -3902.00 910923 Exit Short 1 -388.75 4862.04 -388.75 -3902.00 MFE = 0.00 MAE = -388.75 910923 Exit Long 1 225.00 5087.04 -163.75 -3902.00 MFE = 225.00 MAE = 0.00 910930 Enter Long 1 -139.99 4947.05 -303.74 -3902.00 286.25 911001 Long 1 -270.30 4816.74 -434.05 -3902.00 911002 Long 1 37.26 5124.30 -126.49 -3902.00 911003 Exit Long 1 225.00 5312.04 0.00 -3902.00 MFE = 225.00 MAE = -270.30 911004 Enter Long 1 -20.94 5291.10 -20.94 -3902.00 911007 Long 1 -24.66 5287.38 -24.66 -3902.00 911008 Long 1 -298.42 5013.62 -298.42 -3902.00 911009 Long 1 -87.83 5224.22 -87.83 -3902.00 911010 Long 1 -280.02 5032.02 -280.02 -3902.00 911011 Long 1 8.84 5320.89 0.00 -3902.00 911014 Exit Long 1 225.00 5537.04 0.00 -3902.00 MFE = 225.00 MAE = -298.42 911021 Enter Short 1 13.28 5550.32 0.00 -3902.00 911022 Exit Short 1 225.00 5762.04 0.00 -3902.00 MFE = 225.00 MAE = 0.00 911028 Enter Short 1 80.75 5842.79 0.00 -3902.00 911029 Exit Short 1 -501.87 5260.17 -501.87 -3902.00 MFE = 80.75 MAE = -501.87 911029 Enter Long 1 39.63 5299.80 -543.00 -3902.00 911030 Long 1 -95.61 5164.56 -678.23 -3902.00 911031 Long 1 -40.88 5219.29 -623.50 -3902.00 173.13 911101 Exit Long 1 225.00 5485.17 -357.62 -3902.00 MFE = 225.00 MAE = -95.61 911104 Enter Long 1 5.22 5490.39 -352.40 -3902.00 911105 Long 1 -318.60 5166.57 -676.22 -3902.00 911106 Long 1 -285.30 5199.87 -642.92 -3902.00 911107 Long 1 -274.19 5210.98 -631.81 -3902.00 911108 Long 1 -440.29 5044.87 -797.92 -3902.00 911111 Long 1 -300.10 5185.06 -657.73 -3902.00 911112 Long 1 -300.10 5185.06 -657.73 -3902.00 911113 Long 1 -337.08 5148.09 -694.70 -3902.00 911114 Long 1 -151.65 5333.51 -509.28 -3902.00 911115 Long 1 -50.93 5434.24 -408.55 -3902.00 911118 Long 1 -181.41 5303.76 -539.04 -3902.00 911119 Long 1 -266.78 5218.39 -624.41 -3902.00 911120 Long 1 -181.41 5303.76 -539.04 -3902.00 911121 Long 1 -144.20 5340.96 -501.83 -3902.00 911122 Long 1 -88.28 5396.89 -445.90 -3902.00 911125 Exit Long 1 225.00 5710.17 -132.62 -3902.00 MFE = 225.00 MAE = -440.29 911126 Enter Short 1 -285.57 5424.60 -418.19 -3902.00 911127 Short 1 -411.25 5298.91 -543.88 -3902.00 911128 Short 1 -452.06 5258.11 -584.68 -3902.00 911129 Short 1 -370.52 5339.65 -503.14 -3902.00 450.00 911202 Short 1 -311.39 5398.78 -444.01 -3902.00 911203 Exit Short 1 -568.75 5141.42 -701.37 -3902.00 MFE = 0.00 MAE = -568.75 911203 Exit Long 1 225.00 5366.42 -476.37 -3902.00 MFE = 225.00 MAE = 0.00 911206 Enter Long 1 133.95 5500.36 -342.43 -3902.00 911209 Long 1 -7.06 5359.36 -483.43 -3902.00 911210 Long 1 -169.90 5196.52 -646.27 -3902.00 911211 Exit Long 1 -472.50 4893.92 -948.87 -3902.00 MFE = 133.95 MAE = -472.50 911211 Enter Short 1 -44.70 4849.22 -993.57 -3902.00 911212 Short 1 -44.70 4849.22 -993.57 -3902.00 911213 Exit Short 1 -463.13 4430.79 -1412.00 -3902.00 MFE = 0.00 MAE = -463.13 911213 Enter Long 1 -292.28 4138.52 -1704.27 -3902.00 911216 Long 1 -47.03 4383.76 -1459.03 -3902.00 911217 Long 1 2.32 4433.11 -1409.68 -3902.00 911218 Long 1 -47.03 4383.76 -1459.03 -3902.00 911219 Long 1 47.96 4478.75 -1364.04 -3902.00 911220 Exit Long 1 225.00 4655.79 -1187.00 -3902.00 MFE = 225.00 MAE = -292.28 911223 Exit Long 1 225.00 4880.79 -962.00 -3902.00 MFE = 225.00 MAE = 0.00 911227 Enter Long 1 39.17 4919.97 -922.82 -3902.00 911230 Exit Long 1 225.00 5105.79 -737.00 -3902.00 MFE = 225.00 MAE = 0.00 911231 Enter Long 1 53.25 5159.04 -683.75 -3902.00 -604.38 920101 Long 1 53.25 5159.04 -683.75 -3902.00 920102 Exit Long 1 225.00 5330.79 -512.00 -3902.00 MFE = 225.00 MAE = 0.00 920106 Enter Long 1 39.46 5370.25 -472.54 -3902.00 920107 Exit Long 1 225.00 5555.79 -287.00 -3902.00 MFE = 225.00 MAE = 0.00 920109 Enter Short 1 -210.16 5345.64 -497.15 -3902.00 920110 Exit Short 1 225.00 5780.79 -62.00 -3902.00 MFE = 225.00 MAE = -210.16 920115 Exit Short 1 225.00 6005.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 920117 Exit Long 1 225.00 6230.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 920120 Exit Long 1 225.00 6455.79 0.00 -3902.00 MFE = 225.00 MAE = 0.00 920123 Enter Short 1 -249.03 6206.77 -249.03 -3902.00 920124 Short 1 -371.66 6084.13 -371.66 -3902.00 920127 Exit Short 1 225.00 6680.79 0.00 -3902.00 MFE = 225.00 MAE = -371.66 1575.00 920207 Enter Long 1 -151.82 6528.97 -151.82 -3902.00 920210 Exit Long 1 -605.00 6075.79 -605.00 -3902.00 MFE = 0.00 MAE = -605.00 920210 Enter Short 1 119.00 6194.79 -486.00 -3902.00 920211 Exit Short 1 225.00 6300.79 -380.00 -3902.00 MFE = 225.00 MAE = 0.00 920217 Enter Long 1 -134.63 6166.16 -514.63 -3902.00 920218 Long 1 -527.17 5773.62 -907.17 -3902.00 920219 Long 1 -603.40 5697.39 -983.40 -3902.00 920220 Long 1 -736.24 5564.55 -1116.24 -3902.00 920221 Long 1 -879.65 5421.14 -1259.65 -3902.00 920224 Long 1 -981.03 5319.76 -1361.03 -3902.00 920225 Long 1 -1204.82 5095.98 -1584.82 -3902.00 920226 Long 1 -962.30 5338.50 -1342.30 -3902.00 920227 Long 1 -943.53 5357.26 -1323.53 -3902.00 920228 Long 1 -1093.18 5207.61 -1473.18 -3902.00 -380.00 920302 Long 1 -1167.66 5133.13 -1547.66 -3902.00 920303 Exit Long 1 -1399.38 4901.42 -1779.38 -3902.00 MFE = 0.00 MAE = -1399.38 920303 Exit Short 1 225.00 5126.42 -1554.38 -3902.00 MFE = 225.00 MAE = 0.00 920304 Enter Short 1 -131.08 4995.34 -1685.45 -3902.00 920305 Short 1 -22.97 5103.45 -1577.35 -3902.00 920306 Short 1 -58.95 5067.46 -1613.33 -3902.00 920309 Short 1 -22.97 5103.45 -1577.35 -3902.00 920310 Exit Short 1 225.00 5351.42 -1329.38 -3902.00 MFE = 225.00 MAE = -131.08 920311 Enter Short 1 -145.71 5205.71 -1475.09 -3902.00 920312 Exit Short 1 225.00 5576.42 -1104.38 -3902.00 MFE = 225.00 MAE = -145.71 920318 Enter Long 1 -188.34 5388.08 -1292.72 -3902.00 920319 Long 1 -612.79 4963.63 -1717.16 -3902.00 920320 Exit Long 1 -964.37 4612.04 -2068.75 -3902.00 MFE = 0.00 MAE = -964.37 920320 Enter Short 1 -232.13 4379.91 -2300.88 -3902.00 920323 Short 1 -407.35 4204.70 -2476.10 -3902.00 920324 Short 1 -326.59 4285.46 -2395.34 -3902.00 920325 Short 1 -354.65 4257.40 -2423.40 -3902.00 920326 Exit Short 1 -642.50 3969.54 -2711.25 -3902.00 MFE = 0.00 MAE = -642.50 920326 Enter Long 1 -437.67 3531.87 -3148.92 -3902.00 920327 Long 1 -104.39 3865.15 -2815.64 -3902.00 920330 Long 1 -33.62 3935.92 -2744.87 -3902.00 920331 Long 1 -15.90 3953.65 -2727.15 -3902.00 -2331.25 920401 Exit Long 1 -488.12 3481.42 -3199.38 -3902.00 MFE = 0.00 MAE = -488.12 920401 Exit Short 1 225.00 3706.42 -2974.38 -3902.00 MFE = 225.00 MAE = 0.00 920408 Enter Long 1 -169.90 3536.52 -3144.28 -3902.00 920409 Long 1 12.14 3718.56 -2962.24 -3902.00 920410 Long 1 -265.71 3440.71 -3240.09 -3902.00 920413 Exit Long 1 -532.50 3173.92 -3506.88 -3902.00 MFE = 12.14 MAE = -532.50 920413 Enter Short 1 -164.01 3009.91 -3670.88 -3902.00 920414 Short 1 -188.73 2985.19 -3695.61 -3902.00 920415 Short 1 -54.85 3119.07 -3561.72 -3902.00 920416 Short 1 137.58 3311.50 -3369.30 -3902.00 920417 Short 1 127.12 3301.04 -3379.75 -3902.00 920420 Exit Short 1 225.00 3398.92 -3281.88 -3902.00 MFE = 225.00 MAE = -188.73 920421 Enter Short 1 -151.66 3247.26 -3433.53 -3902.00 920422 Short 1 -151.66 3247.26 -3433.53 -3902.00 920423 Short 1 -30.51 3368.41 -3312.38 -3902.00 920424 Short 1 -82.35 3316.56 -3364.23 -3902.00 920427 Exit Short 1 -393.75 3005.17 -3675.63 -3902.00 MFE = 0.00 MAE = -393.75 920427 Exit Long 1 225.00 3230.17 -3450.63 -3902.00 MFE = 225.00 MAE = 0.00 -739.37 920501 Enter Long 1 46.39 3276.56 -3404.23 -3902.00 920504 Long 1 -190.75 3039.42 -3641.37 -3902.00 920505 Long 1 -49.46 3180.71 -3500.09 -3902.00 920506 Long 1 164.08 3394.25 -3286.55 -3902.00 920507 Exit Long 1 225.00 3455.17 -3225.63 -3902.00 MFE = 225.00 MAE = -190.75 920508 Enter Short 1 92.11 3547.28 -3133.52 -3902.00 920511 Short 1 -66.59 3388.58 -3292.22 -3902.00 920512 Exit Short 1 -643.13 2812.04 -3868.75 -3902.00 MFE = 92.11 MAE = -643.13 920512 Exit Long 1 225.00 3037.04 -3643.75 -3902.00 MFE = 225.00 MAE = 0.00 920518 Enter Long 1 41.27 3078.32 -3602.48 -3902.00 920519 Long 1 -142.89 2894.16 -3786.64 -3902.00 920520 Long 1 -254.95 2782.09 -3898.70 -3902.00 920521 Exit Long 1 -489.37 2547.67 -4133.13 -4133.13 MFE = 41.27 MAE = -489.37 920521 Enter Short 1 57.42 2605.09 -4075.70 -4133.13 920522 Short 1 -340.22 2207.45 -4473.34 -4473.34 920525 Short 1 -284.07 2263.60 -4417.20 -4473.34 920526 Short 1 -168.46 2379.21 -4301.59 -4473.34 920527 Short 1 2.08 2549.75 -4131.05 -4473.34 920528 Short 1 -220.61 2327.06 -4353.73 -4473.34 920529 Exit Short 1 -471.87 2075.79 -4605.00 -4605.00 MFE = 57.42 MAE = -471.87 920529 Exit Long 1 225.00 2300.79 -4380.00 -4605.00 MFE = 225.00 MAE = 0.00 -929.38 920611 Enter Long 1 -14.42 2286.37 -4394.42 -4605.00 920612 Long 1 -92.54 2208.26 -4472.54 -4605.00 920615 Long 1 -170.41 2130.39 -4550.41 -4605.00 920616 Long 1 -37.88 2262.91 -4417.88 -4605.00 920617 Long 1 -364.01 1936.79 -4744.01 -4744.01 920618 Long 1 -178.18 2122.62 -4558.18 -4744.01 920619 Long 1 -251.90 2048.89 -4631.90 -4744.01 920622 Long 1 -271.26 2029.53 -4651.26 -4744.01 920623 Long 1 -344.71 1956.08 -4724.71 -4744.01 920624 Long 1 16.89 2317.69 -4363.11 -4744.01 920625 Exit Long 1 225.00 2525.79 -4155.00 -4744.01 MFE = 225.00 MAE = -364.01 225.00 920702 Exit Long 1 225.00 2750.79 -3930.00 -4744.01 MFE = 225.00 MAE = 0.00 920707 Enter Long 1 -100.53 2650.27 -4030.53 -4744.01 920708 Long 1 -391.50 2359.29 -4321.50 -4744.01 920709 Exit Long 1 -808.75 1942.04 -4738.75 -4744.01 MFE = 0.00 MAE = -808.75 920709 Enter Short 1 -49.07 1892.97 -4787.82 -4787.82 920710 Short 1 -180.20 1761.84 -4918.95 -4918.95 920713 Short 1 -356.11 1585.93 -5094.86 -5094.86 920714 Short 1 -220.07 1721.97 -4958.82 -5094.86 920715 Short 1 -248.02 1694.03 -4986.77 -5094.86 920716 Short 1 -124.48 1817.56 -4863.23 -5094.86 920717 Exit Short 1 -550.63 1391.42 -5289.38 -5289.38 MFE = 0.00 MAE = -550.63 920717 Enter Long 1 35.95 1427.37 -5253.42 -5289.38 920720 Long 1 -357.38 1034.04 -5646.75 -5646.75 920721 Long 1 -325.50 1065.92 -5614.87 -5646.75 920722 Exit Long 1 -937.50 453.92 -6226.88 -6226.88 MFE = 35.95 MAE = -937.50 920722 Enter Short 1 -42.76 411.16 -6269.64 -6269.64 920723 Short 1 4.00 457.92 -6222.87 -6269.64 920724 Exit Short 1 225.00 678.92 -6001.88 -6269.64 MFE = 225.00 MAE = -42.76 920731 Enter Long 1 -15.52 663.40 -6017.39 -6269.64 -1846.88 920803 Long 1 -54.21 624.71 -6056.08 -6269.64 920804 Long 1 -88.98 589.94 -6090.85 -6269.64 920805 Exit Long 1 -263.12 415.79 -6265.00 -6269.64 MFE = 0.00 MAE = -263.12 920805 Enter Short 1 0.94 416.74 -6264.06 -6269.64 920806 Short 1 -25.92 389.87 -6290.92 -6290.92 920807 Short 1 -48.99 366.81 -6313.99 -6313.99 920810 Short 1 153.94 569.73 -6111.06 -6313.99 920811 Short 1 108.15 523.94 -6156.85 -6313.99 920812 Exit Short 1 -186.88 228.92 -6451.88 -6451.88 MFE = 153.94 MAE = -186.88 920812 Enter Long 1 -8.87 220.05 -6460.74 -6460.74 920813 Exit Long 1 225.00 453.92 -6226.88 -6460.74 MFE = 225.00 MAE = -8.87 920814 Enter Long 1 -33.38 420.54 -6260.26 -6460.74 920817 Long 1 33.69 487.60 -6193.19 -6460.74 920818 Long 1 -143.46 310.46 -6370.33 -6460.74 920819 Long 1 -295.96 157.96 -6522.84 -6522.84 920820 Long 1 -249.13 204.79 -6476.01 -6522.84 920821 Long 1 144.55 598.47 -6082.33 -6522.84 920824 Exit Long 1 225.00 678.92 -6001.88 -6522.84 MFE = 225.00 MAE = -295.96 920828 Exit Long 1 225.00 903.92 -5776.88 -6522.84 MFE = 225.00 MAE = 0.00 225.00 920902 Enter Long 1 -385.58 518.34 -6162.46 -6522.84 920903 Exit Long 1 -684.37 219.54 -6461.25 -6522.84 MFE = 0.00 MAE = -684.37 920903 Enter Short 1 -7.67 211.87 -6468.92 -6522.84 920904 Exit Short 1 225.00 444.54 -6236.25 -6522.84 MFE = 225.00 MAE = -7.67 920911 Enter Short 1 -62.17 382.38 -6298.42 -6522.84 920914 Exit Short 1 225.00 669.54 -6011.25 -6522.84 MFE = 225.00 MAE = -62.17 920921 Enter Long 1 60.72 730.26 -5950.53 -6522.84 920922 Exit Long 1 225.00 894.54 -5786.25 -6522.84 MFE = 225.00 MAE = 0.00 920928 Enter Long 1 -210.62 683.92 -5996.87 -6522.84 920929 Long 1 -92.28 802.27 -5878.53 -6522.84 920930 Long 1 -319.72 574.82 -6105.97 -6522.84 -9.37 921001 Long 1 -245.58 648.96 -6031.83 -6522.84 921002 Long 1 -114.23 780.31 -5900.48 -6522.84 921005 Long 1 -328.43 566.12 -6114.68 -6522.84 921006 Long 1 -254.31 640.23 -6040.56 -6522.84 921007 Long 1 -579.70 314.84 -6365.95 -6522.84 921008 Exit Long 1 -898.13 -3.58 -6684.38 -6684.38 MFE = 0.00 MAE = -898.13 921008 Exit Short 1 225.00 221.42 -6459.38 -6684.38 MFE = 225.00 MAE = 0.00 921015 Enter Long 1 -91.53 129.89 -6550.90 -6684.38 921016 Exit Long 1 225.00 446.42 -6234.38 -6684.38 MFE = 225.00 MAE = -91.53 921020 Exit Short 1 225.00 671.42 -6009.38 -6684.38 MFE = 225.00 MAE = 0.00 921028 Enter Short 1 53.60 725.01 -5955.78 -6684.38 921029 Short 1 49.48 720.90 -5959.90 -6684.38 921030 Exit Short 1 225.00 896.42 -5784.38 -6684.38 MFE = 225.00 MAE = 0.00 1.87 921103 Exit Long 1 225.00 1121.42 -5559.38 -6684.38 MFE = 225.00 MAE = 0.00 921109 Enter Short 1 36.42 1157.84 -5522.95 -6684.38 921110 Short 1 16.14 1137.56 -5543.24 -6684.38 921111 Short 1 -61.08 1060.34 -5620.46 -6684.38 921112 Short 1 -93.67 1027.75 -5653.05 -6684.38 921113 Short 1 8.02 1129.44 -5551.35 -6684.38 921116 Exit Short 1 225.00 1346.42 -5334.38 -6684.38 MFE = 225.00 MAE = -93.67 921118 Enter Long 1 47.15 1393.57 -5287.23 -6684.38 921119 Exit Long 1 225.00 1571.42 -5109.38 -6684.38 MFE = 225.00 MAE = 0.00 921125 Enter Long 1 -89.83 1481.59 -5199.20 -6684.38 921126 Long 1 -236.47 1334.95 -5345.84 -6684.38 921127 Exit Long 1 -430.62 1140.79 -5540.00 -6684.38 MFE = 0.00 MAE = -430.62 921127 Enter Short 1 -47.61 1093.18 -5587.61 -6684.38 921130 Short 1 81.40 1222.19 -5458.60 -6684.38 244.38 921201 Short 1 -148.86 991.93 -5688.86 -6684.38 921202 Short 1 0.85 1141.64 -5539.15 -6684.38 921203 Short 1 49.21 1190.00 -5490.79 -6684.38 921204 Short 1 185.73 1326.53 -5354.27 -6684.38 921207 Exit Short 1 -224.37 916.42 -5764.38 -6684.38 MFE = 185.73 MAE = -224.37 921207 Exit Long 1 225.00 1141.42 -5539.38 -6684.38 MFE = 225.00 MAE = 0.00 921210 Enter Long 1 -176.08 965.34 -5715.45 -6684.38 921211 Long 1 -241.35 900.07 -5780.73 -6684.38 921214 Long 1 -176.08 965.34 -5715.45 -6684.38 921215 Long 1 -273.93 867.49 -5813.31 -6684.38 921216 Exit Long 1 225.00 1366.42 -5314.38 -6684.38 MFE = 225.00 MAE = -273.93 921222 Enter Short 1 62.85 1429.27 -5251.52 -6684.38 921223 Short 1 124.10 1490.52 -5190.28 -6684.38 921224 Short 1 164.84 1531.26 -5149.53 -6684.38 921225 Short 1 62.85 1429.27 -5251.52 -6684.38 921228 Exit Short 1 225.00 1591.42 -5089.38 -6684.38 MFE = 225.00 MAE = 0.00 450.63 930104 Enter Short 1 84.09 1675.51 -5005.29 -6684.38 930105 Short 1 -115.75 1475.67 -5205.13 -6684.38 930106 Short 1 0.34 1591.76 -5089.03 -6684.38 930107 Short 1 36.27 1627.69 -5053.10 -6684.38 930108 Short 1 111.94 1703.36 -4977.43 -6684.38 930111 Short 1 20.31 1611.73 -5069.06 -6684.38 930112 Short 1 52.22 1643.64 -5037.16 -6684.38 930113 Exit Short 1 225.00 1816.42 -4864.38 -6684.38 MFE = 225.00 MAE = -115.75 930120 Enter Long 1 145.67 1962.08 -4718.71 -6684.38 930121 Long 1 49.30 1865.72 -4815.08 -6684.38 930122 Long 1 -26.73 1789.68 -4891.11 -6684.38 930125 Exit Long 1 225.00 2041.42 -4639.38 -6684.38 MFE = 225.00 MAE = -26.73 930129 Enter Short 1 -41.77 1999.65 -4681.14 -6684.38 450.00 930201 Short 1 142.74 2184.15 -4496.64 -6684.38 930202 Short 1 -33.71 2007.71 -4673.08 -6684.38 930203 Short 1 -126.45 1914.97 -4765.82 -6684.38 930204 Short 1 -5.55 2035.86 -4644.93 -6684.38 930205 Short 1 -122.41 1919.01 -4761.78 -6684.38 930208 Exit Short 1 -418.12 1623.29 -5057.50 -6684.38 MFE = 142.74 MAE = -418.12 930208 Enter Long 1 -14.98 1608.31 -5072.48 -6684.38 930209 Exit Long 1 225.00 1848.29 -4832.50 -6684.38 MFE = 225.00 MAE = -14.98 930219 Enter Long 1 140.23 1988.52 -4692.27 -6684.38 930222 Exit Long 1 225.00 2073.29 -4607.50 -6684.38 MFE = 225.00 MAE = 0.00 31.88 930301 Enter Short 1 -80.84 1992.45 -4688.34 -6684.38 930302 Short 1 -626.99 1446.31 -5234.49 -6684.38 930303 Exit Short 1 -1022.50 1050.79 -5630.00 -6684.38 MFE = 0.00 MAE = -1022.50 930303 Enter Long 1 48.90 1099.69 -5581.10 -6684.38 930304 Exit Long 1 225.00 1275.79 -5405.00 -6684.38 MFE = 225.00 MAE = 0.00 930316 Enter Long 1 -130.89 1144.90 -5535.89 -6684.38 930317 Long 1 -194.68 1081.11 -5599.68 -6684.38 930318 Exit Long 1 225.00 1500.79 -5180.00 -6684.38 MFE = 225.00 MAE = -194.68 930331 Exit Long 1 225.00 1725.79 -4955.00 -6684.38 MFE = 225.00 MAE = 0.00 -347.50 930401 Enter Long 1 -60.99 1664.81 -5015.99 -6684.38 930402 Exit Long 1 225.00 1950.79 -4730.00 -6684.38 MFE = 225.00 MAE = -60.99 930408 Enter Long 1 -110.47 1840.33 -4840.47 -6684.38 930409 Long 1 -12.92 1937.88 -4742.92 -6684.38 930412 Long 1 173.38 2124.17 -4556.62 -6684.38 930413 Exit Long 1 225.00 2175.79 -4505.00 -6684.38 MFE = 225.00 MAE = -110.47 930416 Enter Long 1 122.85 2298.65 -4382.15 -6684.38 930419 Exit Long 1 397.34 2573.13 -4107.66 -6684.38 MFE = 397.34 MAE = 0.00 930420 Enter Long 1 -100.56 2472.57 -4208.22 -6684.38 930421 Long 1 -187.55 2385.58 -4295.22 -6684.38 930422 Exit Long 1 225.00 2798.13 -3882.66 -6684.38 MFE = 225.00 MAE = -187.55 930427 Enter Long 1 -1191.57 1606.56 -5074.23 -6684.38 930428 Long 1 -1211.54 1586.59 -5094.21 -6684.38 930429 Long 1 -809.50 1988.63 -4692.16 -6684.38 930430 Long 1 -774.05 2024.08 -4656.71 -6684.38 1072.34 930503 Long 1 -626.69 2171.44 -4509.35 -6684.38 930504 Long 1 -257.47 2540.66 -4140.13 -6684.38 930505 Long 1 -334.79 2463.34 -4217.45 -6684.38 930506 Long 1 -143.69 2654.44 -4026.35 -6684.38 930507 Long 1 -391.36 2406.78 -4274.02 -6684.38 930510 Exit Long 1 -835.00 1963.13 -4717.66 -6684.38 MFE = 0.00 MAE = -1211.54 930510 Exit Short 1 225.00 2188.13 -4492.66 -6684.38 MFE = 225.00 MAE = 0.00 930514 Enter Long 1 155.04 2343.17 -4337.63 -6684.38 930517 Exit Long 1 225.00 2413.13 -4267.66 -6684.38 MFE = 225.00 MAE = 0.00 930519 Enter Long 1 -198.60 2214.53 -4466.26 -6684.38 930520 Long 1 -173.09 2240.04 -4440.75 -6684.38 930521 Long 1 -45.18 2367.95 -4312.85 -6684.38 930524 Long 1 -162.88 2250.25 -4430.54 -6684.38 930525 Exit Long 1 225.00 2638.13 -4042.66 -6684.38 MFE = 225.00 MAE = -198.60 930526 Enter Long 1 174.62 2812.75 -3868.04 -6684.38 930527 Exit Long 1 225.00 2863.13 -3817.66 -6684.38 MFE = 225.00 MAE = 0.00 65.00 930601 Enter Long 1 -145.40 2717.73 -3963.06 -6684.38 930602 Long 1 -227.32 2635.81 -4044.98 -6684.38 930603 Long 1 -281.81 2581.32 -4099.47 -6684.38 930604 Long 1 -612.00 2251.14 -4429.66 -6684.38 930607 Long 1 -303.57 2559.56 -4121.23 -6684.38 930608 Exit Long 1 225.00 3088.13 -3592.66 -6684.38 MFE = 225.00 MAE = -612.00 930614 Exit Long 1 225.00 3313.13 -3367.66 -6684.38 MFE = 225.00 MAE = 0.00 930618 Exit Short 1 225.00 3538.13 -3142.66 -6684.38 MFE = 225.00 MAE = 0.00 930623 Enter Long 1 144.83 3682.96 -2997.84 -6684.38 930624 Exit Long 1 225.00 3763.13 -2917.66 -6684.38 MFE = 225.00 MAE = 0.00 930625 Exit Long 1 225.00 3988.13 -2692.66 -6684.38 MFE = 225.00 MAE = 0.00 930630 Enter Long 1 -1088.78 2899.36 -3781.44 -6684.38 1125.00 930701 Long 1 -1229.55 2758.58 -3922.21 -6684.38 930702 Long 1 -1727.56 2260.57 -4420.23 -6684.38 930705 Long 1 -2012.83 1975.30 -4705.50 -6684.38 930706 Long 1 -1944.42 2043.71 -4637.08 -6684.38 930707 Long 1 -1180.90 2807.23 -3873.56 -6684.38 930708 Long 1 -1716.95 2271.18 -4409.61 -6684.38 930709 Long 1 -2461.37 1526.76 -5154.03 -6684.38 930712 Long 1 -2175.33 1812.81 -4867.99 -6684.38 930713 Long 1 -1353.52 2634.62 -4046.18 -6684.38 930714 Long 1 -936.40 3051.73 -3629.07 -6684.38 930715 Long 1 -1573.19 2414.95 -4265.85 -6684.38 930716 Long 1 -1191.72 2796.42 -3884.38 -6684.38 930719 Long 1 -1674.43 2313.71 -4367.09 -6684.38 930720 Long 1 -1535.80 2452.33 -4228.46 -6684.38 930721 Long 1 -1514.41 2473.72 -4207.08 -6684.38 930722 Long 1 -100.77 3887.36 -2793.43 -6684.38 930723 Long 1 -865.40 3122.73 -3558.06 -6684.38 930726 Long 1 -755.80 3232.33 -3448.47 -6684.38 930727 Long 1 -452.30 3535.83 -3144.97 -6684.38 930728 Exit Long 1 225.00 4213.13 -2467.66 -6684.38 MFE = 225.00 MAE = -2461.37 930730 Enter Long 1 -421.19 3791.94 -2888.85 -6684.38 225.00 930802 Long 1 30.05 4243.18 -2437.61 -6684.38 930803 Long 1 -56.16 4156.97 -2523.82 -6684.38 930804 Long 1 -336.04 3877.09 -2803.70 -6684.38 930805 Exit Long 1 225.00 4438.13 -2242.66 -6684.38 MFE = 225.00 MAE = -421.19 930811 Exit Long 1 225.00 4663.13 -2017.66 -6684.38 MFE = 225.00 MAE = 0.00 930812 Enter Long 1 3.66 4666.79 -2014.00 -6684.38 930813 Exit Long 1 225.00 4888.13 -1792.66 -6684.38 MFE = 225.00 MAE = 0.00 930816 Exit Long 1 225.00 5113.13 -1567.66 -6684.38 MFE = 225.00 MAE = 0.00 930817 Enter Long 1 -423.44 4689.70 -1991.10 -6684.38 930818 Long 1 -782.95 4330.18 -2350.62 -6684.38 930819 Exit Long 1 -1852.50 3260.63 -3420.16 -6684.38 MFE = 0.00 MAE = -1852.50 930819 Exit Short 1 225.00 3485.63 -3195.16 -6684.38 MFE = 225.00 MAE = 0.00 930825 Enter Short 1 -113.37 3372.26 -3308.53 -6684.38 930826 Short 1 -461.46 3024.17 -3656.63 -6684.38 930827 Short 1 -836.89 2648.75 -4032.05 -6684.38 930830 Short 1 -825.26 2660.37 -4020.42 -6684.38 930831 Short 1 -249.84 3235.79 -3445.00 -6684.38 -727.50 930901 Exit Short 1 225.00 3710.63 -2970.16 -6684.38 MFE = 225.00 MAE = -836.89 930907 Enter Long 1 -310.61 3400.02 -3280.77 -6684.38 930908 Exit Long 1 -1159.37 2551.26 -4129.54 -6684.38 MFE = 0.00 MAE = -1159.37 930908 Enter Short 1 -66.67 2484.58 -4196.21 -6684.38 930909 Short 1 -151.10 2400.16 -4280.64 -6684.38 930910 Exit Short 1 225.00 2776.26 -3904.54 -6684.38 MFE = 225.00 MAE = -151.10 930916 Exit Long 1 225.00 3001.26 -3679.54 -6684.38 MFE = 225.00 MAE = 0.00 930921 Exit Short 1 225.00 3226.26 -3454.54 -6684.38 MFE = 225.00 MAE = 0.00 930928 Exit Long 1 225.00 3451.26 -3229.54 -6684.38 MFE = 225.00 MAE = 0.00 -34.37 931007 Enter Long 1 -67.83 3383.43 -3297.37 -6684.38 931008 Long 1 -741.05 2710.20 -3970.59 -6684.38 931011 Long 1 -741.05 2710.20 -3970.59 -6684.38 931012 Long 1 -635.48 2815.78 -3865.01 -6684.38 931013 Long 1 -563.03 2888.23 -3792.56 -6684.38 931014 Exit Long 1 -912.50 2538.76 -4142.04 -6684.38 MFE = 0.00 MAE = -912.50 931014 Exit Short 1 225.00 2763.76 -3917.04 -6684.38 MFE = 225.00 MAE = 0.00 931021 Enter Short 1 26.49 2790.25 -3890.55 -6684.38 931022 Exit Short 1 225.00 2988.76 -3692.04 -6684.38 MFE = 225.00 MAE = 0.00 931028 Enter Long 1 -305.39 2683.37 -3997.42 -6684.38 931029 Long 1 -550.33 2438.43 -4242.37 -6684.38 -462.50 931101 Long 1 -326.77 2661.99 -4018.80 -6684.38 931102 Long 1 -112.24 2876.52 -3804.27 -6684.38 931103 Exit Long 1 225.00 3213.76 -3467.04 -6684.38 MFE = 225.00 MAE = -550.33 931110 Exit Long 1 225.00 3438.76 -3242.04 -6684.38 MFE = 225.00 MAE = 0.00 931119 Exit Short 1 225.00 3663.76 -3017.04 -6684.38 MFE = 225.00 MAE = 0.00 931126 Enter Short 1 52.03 3715.78 -2965.01 -6684.38 931129 Exit Short 1 225.00 3888.76 -2792.04 -6684.38 MFE = 225.00 MAE = 0.00 900.00 931203 Enter Long 1 -292.85 3595.91 -3084.89 -6684.38 931206 Long 1 75.48 3964.24 -2716.56 -6684.38 931207 Exit Long 1 225.00 4113.76 -2567.04 -6684.38 MFE = 225.00 MAE = -292.85 931208 Enter Short 1 -10.34 4103.42 -2577.38 -6684.38 931209 Short 1 -126.63 3987.13 -2693.66 -6684.38 931210 Short 1 152.72 4266.48 -2414.31 -6684.38 931213 Short 1 31.83 4145.58 -2535.21 -6684.38 931214 Exit Short 1 225.00 4338.76 -2342.04 -6684.38 MFE = 225.00 MAE = -126.63 931215 Enter Short 1 43.39 4382.15 -2298.65 -6684.38 931216 Short 1 -97.00 4241.76 -2439.04 -6684.38 931217 Exit Short 1 225.00 4563.76 -2117.04 -6684.38 MFE = 225.00 MAE = -97.00 931220 Enter Short 1 9.32 4573.07 -2107.72 -6684.38 931221 Exit Short 1 225.00 4788.76 -1892.04 -6684.38 MFE = 225.00 MAE = 0.00 931222 Enter Short 1 -642.97 4145.79 -2535.01 -6684.38 931223 Short 1 -514.95 4273.81 -2406.99 -6684.38 931224 Short 1 -438.41 4350.35 -2330.45 -6684.38 931227 Short 1 -109.13 4679.63 -2001.17 -6684.38 931228 Short 1 -114.16 4674.59 -2006.20 -6684.38 931229 Short 1 56.58 4845.33 -1835.46 -6684.38 931230 Short 1 91.60 4880.36 -1800.44 -6684.38 931231 Short 1 91.60 4880.36 -1800.44 -6684.38 900.00 940103 Exit Short 1 225.00 5013.76 -1667.04 -6684.38 MFE = 225.00 MAE = -642.97 940104 Enter Short 1 -228.23 4785.52 -1895.27 -6684.38 940105 Short 1 -66.10 4947.66 -1733.14 -6684.38 940106 Short 1 -238.10 4775.66 -1905.13 -6684.38 940107 Exit Short 1 -715.00 4298.76 -2382.04 -6684.38 MFE = 0.00 MAE = -715.00 940107 Enter Long 1 -69.73 4229.03 -2451.76 -6684.38 940110 Long 1 -268.92 4029.84 -2650.96 -6684.38 940111 Long 1 -338.30 3960.45 -2720.34 -6684.38 940112 Long 1 -278.84 4019.92 -2660.87 -6684.38 940113 Long 1 -49.72 4249.03 -2431.76 -6684.38 940114 Exit Long 1 225.00 4523.76 -2157.04 -6684.38 MFE = 225.00 MAE = -338.30 940120 Enter Short 1 -226.86 4296.89 -2383.90 -6684.38 940121 Short 1 -121.19 4402.57 -2278.22 -6684.38 940124 Exit Short 1 225.00 4748.76 -1932.04 -6684.38 MFE = 225.00 MAE = -226.86 940126 Enter Long 1 -67.32 4681.43 -1999.36 -6684.38 940127 Exit Long 1 225.00 4973.76 -1707.04 -6684.38 MFE = 225.00 MAE = -67.32 185.00 940204 Exit Short 1 225.00 5198.76 -1482.04 -6684.38 MFE = 225.00 MAE = 0.00 940209 Enter Long 1 -374.06 4824.69 -1856.10 -6684.38 940210 Long 1 -267.39 4931.36 -1749.43 -6684.38 940211 Exit Long 1 225.00 5423.76 -1257.04 -6684.38 MFE = 225.00 MAE = -374.06 940214 Enter Long 1 2.74 5426.49 -1254.30 -6684.38 940215 Exit Long 1 1942.94 7366.70 0.00 -6684.38 MFE = 1942.94 MAE = 0.00 940221 Exit Short 1 225.00 7591.70 0.00 -6684.38 MFE = 225.00 MAE = 0.00 2617.94 940302 Exit Long 1 225.00 7816.70 0.00 -6684.38 MFE = 225.00 MAE = 0.00 940304 Exit Short 1 225.00 8041.70 0.00 -6684.38 MFE = 225.00 MAE = 0.00 940324 Exit Long 1 225.00 8266.70 0.00 -6684.38 MFE = 225.00 MAE = 0.00 940329 Exit Long 1 225.00 8491.70 0.00 -6684.38 MFE = 225.00 MAE = 0.00 940330 Enter Long 1 -162.62 8329.08 -162.62 -6684.38 940331 Exit Long 1 225.00 8716.70 0.00 -6684.38 MFE = 225.00 MAE = -162.62 1125.00 940408 Enter Short 1 -265.55 8451.15 -265.55 -6684.38 940411 Exit Short 1 -1211.88 7504.82 -1211.88 -6684.38 MFE = 0.00 MAE = -1211.88 940411 Exit Long 1 225.00 7729.82 -986.88 -6684.38 MFE = 225.00 MAE = 0.00 940414 Exit Long 1 -800.63 6929.20 -1787.50 -6684.38 MFE = 0.00 MAE = -800.63 940419 Enter Long 1 -334.72 6594.48 -2122.22 -6684.38 940420 Long 1 -193.61 6735.59 -1981.11 -6684.38 940421 Exit Long 1 -746.87 6182.32 -2534.38 -6684.38 MFE = 0.00 MAE = -746.87 940421 Enter Short 1 -211.68 5970.64 -2746.06 -6684.38 940422 Short 1 -428.24 5754.08 -2962.62 -6684.38 940425 Short 1 -457.63 5724.69 -2992.01 -6684.38 940426 Short 1 -646.37 5535.95 -3180.75 -6684.38 940427 Exit Short 1 -815.00 5367.32 -3349.37 -6684.38 MFE = 0.00 MAE = -815.00 940427 Enter Long 1 105.88 5473.21 -3243.49 -6684.38 940428 Exit Long 1 225.00 5592.32 -3124.37 -6684.38 MFE = 225.00 MAE = 0.00 940429 Enter Long 1 -485.22 5107.11 -3609.59 -6684.38 -3124.37 940502 Long 1 -485.22 5107.11 -3609.59 -6684.38 940503 Long 1 -131.68 5460.65 -3256.05 -6684.38 940504 Long 1 -654.44 4937.88 -3778.82 -6684.38 940505 Long 1 -1292.67 4299.66 -4417.04 -6684.38 940506 Long 1 -984.17 4608.16 -4108.54 -6684.38 940509 Long 1 -1221.75 4370.57 -4346.13 -6684.38 940510 Exit Long 1 -1858.12 3734.20 -4982.50 -6684.38 MFE = 0.00 MAE = -1858.12 940510 Exit Short 1 225.00 3959.20 -4757.50 -6684.38 MFE = 225.00 MAE = 0.00 940518 Exit Long 1 225.00 4184.20 -4532.50 -6684.38 MFE = 225.00 MAE = 0.00 -1408.12 940603 Enter Short 1 0.83 4185.03 -4531.67 -6684.38 940606 Short 1 -72.44 4111.76 -4604.94 -6684.38 940607 Exit Short 1 -430.00 3754.20 -4962.50 -6684.38 MFE = 0.83 MAE = -430.00 940607 Exit Long 1 225.00 3979.20 -4737.50 -6684.38 MFE = 225.00 MAE = 0.00 940613 Enter Long 1 89.36 4068.56 -4648.14 -6684.38 940614 Exit Long 1 225.00 4204.20 -4512.50 -6684.38 MFE = 225.00 MAE = 0.00 940616 Enter Short 1 22.40 4226.60 -4490.10 -6684.38 940617 Exit Short 1 225.00 4429.20 -4287.50 -6684.38 MFE = 225.00 MAE = 0.00 940620 Enter Long 1 98.40 4527.60 -4189.10 -6684.38 940621 Exit Long 1 225.00 4654.20 -4062.50 -6684.38 MFE = 225.00 MAE = 0.00 940629 Exit Long 1 225.00 4879.20 -3837.50 -6684.38 MFE = 225.00 MAE = 0.00 695.00 940701 Enter Long 1 -631.17 4248.03 -4468.67 -6684.38 940704 Long 1 -778.39 4100.81 -4615.89 -6684.38 940705 Long 1 -791.16 4088.04 -4628.66 -6684.38 940706 Long 1 -784.78 4094.42 -4622.28 -6684.38 940707 Long 1 -599.08 4280.12 -4436.58 -6684.38 940708 Long 1 -211.39 4667.81 -4048.89 -6684.38 940711 Exit Long 1 225.00 5104.20 -3612.50 -6684.38 MFE = 225.00 MAE = -791.16 940719 Enter Short 1 -110.74 4993.46 -3723.24 -6684.38 940720 Short 1 -334.26 4769.94 -3946.76 -6684.38 940721 Exit Short 1 -972.50 4131.70 -4585.00 -6684.38 MFE = 0.00 MAE = -972.50 940721 Enter Long 1 -836.76 3294.94 -5421.76 -6684.38 940722 Long 1 -709.23 3422.47 -5294.23 -6684.38 940725 Long 1 -478.36 3653.34 -5063.36 -6684.38 940726 Long 1 -297.62 3834.08 -4882.62 -6684.38 940727 Long 1 -394.57 3737.13 -4979.57 -6684.38 940728 Exit Long 1 -961.87 3169.82 -5546.87 -6684.38 MFE = 0.00 MAE = -961.87 940728 Exit Short 1 225.00 3394.82 -5321.87 -6684.38 MFE = 225.00 MAE = 0.00 -1484.37 940808 Exit Short 1 225.00 3619.82 -5096.87 -6684.38 MFE = 225.00 MAE = 0.00 940811 Exit Long 1 225.00 3844.82 -4871.87 -6684.38 MFE = 225.00 MAE = 0.00 940812 Enter Long 1 -310.56 3534.27 -5182.43 -6684.38 940815 Long 1 -316.80 3528.03 -5188.67 -6684.38 940816 Long 1 -596.17 3248.65 -5468.05 -6684.38 940817 Long 1 -298.09 3546.74 -5169.96 -6684.38 940818 Exit Long 1 225.00 4069.82 -4646.87 -6684.38 MFE = 225.00 MAE = -596.17 675.00 940902 Enter Long 1 18.24 4088.06 -4628.64 -6684.38 940905 Exit Long 1 225.00 4294.82 -4421.88 -6684.38 MFE = 225.00 MAE = 0.00 940912 Enter Long 1 -234.20 4060.63 -4656.07 -6684.38 940913 Long 1 59.26 4354.09 -4362.61 -6684.38 940914 Exit Long 1 225.00 4519.82 -4196.88 -6684.38 MFE = 225.00 MAE = -234.20 940920 Exit Long 1 225.00 4744.82 -3971.88 -6684.38 MFE = 225.00 MAE = 0.00 940926 Enter Short 1 149.46 4894.29 -3822.41 -6684.38 940927 Short 1 -348.33 4396.50 -4320.20 -6684.38 940928 Exit Short 1 225.00 4969.82 -3746.88 -6684.38 MFE = 225.00 MAE = -348.33 900.00 941003 Enter Short 1 -137.41 4832.41 -3884.29 -6684.38 941004 Short 1 -150.02 4819.80 -3896.90 -6684.38 941005 Short 1 -143.72 4826.11 -3890.59 -6684.38 941006 Short 1 38.61 5008.43 -3708.27 -6684.38 941007 Exit Short 1 225.00 5194.82 -3521.88 -6684.38 MFE = 225.00 MAE = -150.02 941012 Enter Long 1 122.36 5317.19 -3399.51 -6684.38 941013 Exit Long 1 225.00 5419.82 -3296.88 -6684.38 MFE = 225.00 MAE = 0.00 941014 Exit Long 1 225.00 5644.82 -3071.88 -6684.38 MFE = 225.00 MAE = 0.00 941019 Enter Long 1 -342.41 5302.41 -3414.29 -6684.38 941020 Long 1 -77.53 5567.30 -3149.40 -6684.38 941021 Long 1 -210.25 5434.58 -3282.12 -6684.38 941024 Long 1 -124.04 5520.79 -3195.91 -6684.38 941025 Exit Long 1 225.00 5869.82 -2846.88 -6684.38 MFE = 225.00 MAE = -342.41 900.00 941101 Enter Long 1 -140.11 5729.71 -2986.99 -6684.38 941102 Exit Long 1 -1003.75 4866.07 -3850.63 -6684.38 MFE = 0.00 MAE = -1003.75 941102 Enter Short 1 -202.51 4663.57 -4053.13 -6684.38 941103 Short 1 -136.97 4729.11 -3987.59 -6684.38 941104 Short 1 -301.08 4565.00 -4151.70 -6684.38 941107 Short 1 -399.95 4466.13 -4250.57 -6684.38 941108 Short 1 -532.26 4333.82 -4382.88 -6684.38 941109 Short 1 -104.24 4761.83 -3954.87 -6684.38 941110 Short 1 -130.42 4735.66 -3981.04 -6684.38 941111 Short 1 -136.97 4729.11 -3987.59 -6684.38 941114 Exit Short 1 225.00 5091.07 -3625.63 -6684.38 MFE = 225.00 MAE = -532.26 941122 Enter Long 1 -187.25 4903.82 -3812.88 -6684.38 941123 Long 1 -271.22 4819.85 -3896.85 -6684.38 941124 Long 1 -271.22 4819.85 -3896.85 -6684.38 941125 Long 1 -476.99 4614.09 -4102.61 -6684.38 941128 Long 1 -348.54 4742.53 -3974.17 -6684.38 941129 Long 1 -604.91 4486.17 -4230.53 -6684.38 941130 Long 1 -572.98 4518.09 -4198.61 -6684.38 -778.75 941201 Long 1 -821.20 4269.87 -4446.83 -6684.38 941202 Exit Long 1 -1123.12 3967.95 -4748.75 -6684.38 MFE = 0.00 MAE = -1123.12 941202 Exit Short 1 225.00 4192.95 -4523.75 -6684.38 MFE = 225.00 MAE = 0.00 941207 Enter Long 1 -178.08 4014.87 -4701.83 -6684.38 941208 Long 1 -539.13 3653.82 -5062.88 -6684.38 941209 Long 1 -296.81 3896.14 -4820.56 -6684.38 941212 Long 1 -203.11 3989.84 -4726.86 -6684.38 941213 Long 1 -390.23 3802.72 -4913.98 -6684.38 941214 Long 1 -402.67 3790.28 -4926.42 -6684.38 941215 Long 1 -452.36 3740.59 -4976.11 -6684.38 941216 Long 1 -359.12 3833.83 -4882.87 -6684.38 941219 Long 1 -303.05 3889.90 -4826.80 -6684.38 941220 Long 1 -340.44 3852.51 -4864.19 -6684.38 941221 Long 1 -501.97 3690.98 -5025.72 -6684.38 941222 Long 1 -359.12 3833.83 -4882.87 -6684.38 941223 Long 1 -278.10 3914.85 -4801.85 -6684.38 941226 Long 1 -265.61 3927.34 -4789.36 -6684.38 941227 Long 1 -421.32 3771.63 -4945.07 -6684.38 941228 Exit Long 1 225.00 4417.95 -4298.75 -6684.38 MFE = 225.00 MAE = -539.13 -673.12 950102 Enter Short 1 -60.12 4357.83 -4358.87 -6684.38 950103 Exit Short 1 225.00 4642.95 -4073.75 -6684.38 MFE = 225.00 MAE = -60.12 950104 Enter Short 1 110.66 4753.61 -3963.09 -6684.38 950105 Short 1 -140.01 4502.94 -4213.76 -6684.38 950106 Short 1 104.57 4747.52 -3969.18 -6684.38 950109 Exit Short 1 -423.12 4219.82 -4496.88 -6684.38 MFE = 110.66 MAE = -423.12 950109 Exit Long 1 225.00 4444.82 -4271.88 -6684.38 MFE = 225.00 MAE = 0.00 950112 Exit Long 1 225.00 4669.82 -4046.88 -6684.38 MFE = 225.00 MAE = 0.00 950118 Enter Short 1 -21.22 4648.60 -4068.10 -6684.38 950119 Short 1 -419.95 4249.87 -4466.83 -6684.38 950120 Short 1 -223.12 4446.70 -4270.00 -6684.38 950123 Exit Short 1 225.00 4894.82 -3821.88 -6684.38 MFE = 225.00 MAE = -419.95 950130 Exit Long 1 225.00 5119.82 -3596.88 -6684.38 MFE = 225.00 MAE = 0.00 701.87 950208 Enter Long 1 -61.25 5058.58 -3658.12 -6684.38 950209 Long 1 -42.07 5077.76 -3638.94 -6684.38 950210 Long 1 -61.25 5058.58 -3658.12 -6684.38 950213 Long 1 73.21 5193.03 -3523.67 -6684.38 950214 Exit Long 1 225.00 5344.82 -3371.88 -6684.38 MFE = 225.00 MAE = -61.25 950216 Exit Long 1 225.00 5569.82 -3146.88 -6684.38 MFE = 225.00 MAE = 0.00 450.00 950302 Exit Long 1 225.00 5794.82 -2921.88 -6684.38 MFE = 225.00 MAE = 0.00 950303 Exit Long 1 225.00 6019.82 -2696.88 -6684.38 MFE = 225.00 MAE = 0.00 950306 Enter Long 1 -209.51 5810.32 -2906.38 -6684.38 950307 Exit Long 1 225.00 6244.82 -2471.88 -6684.38 MFE = 225.00 MAE = -209.51 950315 Enter Long 1 53.94 6298.76 -2417.94 -6684.38 950316 Exit Long 1 225.00 6469.82 -2246.88 -6684.38 MFE = 225.00 MAE = 0.00 950323 Enter Long 1 6.09 6475.91 -2240.79 -6684.38 950324 Long 1 -647.68 5822.15 -2894.55 -6684.38 950327 Long 1 -970.07 5499.76 -3216.94 -6684.38 950328 Long 1 -608.16 5861.66 -2855.04 -6684.38 950329 Long 1 -154.49 6315.33 -2401.37 -6684.38 950330 Long 1 -1141.84 5327.99 -3388.71 -6684.38 950331 Exit Long 1 225.00 6694.82 -2021.88 -6684.38 MFE = 225.00 MAE = -1141.84 1125.00 950403 Enter Long 1 52.55 6747.38 -1969.32 -6684.38 950404 Long 1 -243.74 6451.09 -2265.61 -6684.38 950405 Long 1 -285.87 6408.96 -2307.74 -6684.38 950406 Exit Long 1 225.00 6919.82 -1796.88 -6684.38 MFE = 225.00 MAE = -285.87 950407 Exit Long 1 225.00 7144.82 -1571.88 -6684.38 MFE = 225.00 MAE = 0.00 950410 Exit Long 1 225.00 7369.82 -1346.88 -6684.38 MFE = 225.00 MAE = 0.00 950413 Enter Long 1 -575.80 6794.03 -1922.67 -6684.38 950414 Long 1 -252.86 7116.97 -1599.73 -6684.38 950417 Exit Long 1 225.00 7594.82 -1121.88 -6684.38 MFE = 225.00 MAE = -575.80 950418 Exit Long 1 225.00 7819.82 -896.88 -6684.38 MFE = 225.00 MAE = 0.00 950419 Exit Long 1 225.00 8044.82 -671.88 -6684.38 MFE = 225.00 MAE = 0.00 950420 Enter Short 1 -254.45 7790.37 -926.33 -6684.38 950421 Exit Short 1 225.00 8269.82 -446.88 -6684.38 MFE = 225.00 MAE = -254.45 950425 Exit Long 1 225.00 8494.82 -221.88 -6684.38 MFE = 225.00 MAE = 0.00 950426 Exit Long 1 225.00 8719.82 0.00 -6684.38 MFE = 225.00 MAE = 0.00 2025.00 950502 Enter Long 1 -311.99 8407.83 -311.99 -6684.38 950503 Exit Long 1 225.00 8944.82 0.00 -6684.38 MFE = 225.00 MAE = -311.99 950508 Exit Long 1 225.09 9169.92 0.00 -6684.38 MFE = 225.09 MAE = 0.00 950511 Exit Short 1 225.00 9394.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950525 Exit Long 1 225.00 9619.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950526 Exit Long 1 225.00 9844.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950529 Exit Long 1 225.00 10069.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950531 Exit Short 1 225.00 10294.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 1575.09 950609 Enter Long 1 -151.85 10143.06 -151.85 -6684.38 950612 Exit Long 1 225.00 10519.92 0.00 -6684.38 MFE = 225.00 MAE = -151.85 950613 Exit Long 1 225.00 10744.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950621 Enter Long 1 157.20 10902.12 0.00 -6684.38 950622 Exit Long 1 225.00 10969.92 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950627 Enter Long 1 -216.90 10753.01 -149.11 -6684.38 950628 Exit Long 1 -766.87 10203.04 -766.87 -6684.38 MFE = 0.00 MAE = -766.87 950628 Exit Short 1 225.00 10428.04 -541.87 -6684.38 MFE = 225.00 MAE = 0.00 133.13 950707 Exit Short 1 225.00 10653.04 -316.88 -6684.38 MFE = 225.00 MAE = 0.00 950713 Enter Short 1 -890.41 9762.63 -1139.49 -6684.38 950714 Short 1 -474.51 10178.54 -723.58 -6684.38 950717 Exit Short 1 225.00 10878.04 -24.08 -6684.38 MFE = 225.00 MAE = -890.41 950719 Exit Long 1 225.00 11103.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950728 Enter Short 1 -325.24 10777.80 -325.24 -6684.38 950731 Short 1 -60.50 11042.54 -60.50 -6684.38 675.00 950801 Short 1 -349.40 10753.64 -349.40 -6684.38 950802 Exit Short 1 225.00 11328.04 0.00 -6684.38 MFE = 225.00 MAE = -349.40 950808 Enter Short 1 -257.23 11070.81 -257.23 -6684.38 950809 Short 1 -190.09 11137.95 -190.09 -6684.38 950810 Exit Short 1 225.00 11553.04 0.00 -6684.38 MFE = 225.00 MAE = -257.23 950811 Exit Short 1 225.00 11778.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950815 Exit Short 1 225.00 12003.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950816 Exit Short 1 225.00 12228.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950829 Exit Short 1 225.00 12453.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950830 Exit Short 1 225.00 12678.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950831 Enter Short 1 -1236.70 11441.34 -1236.70 -6684.38 1575.00 950901 Short 1 -1302.59 11375.45 -1302.59 -6684.38 950904 Short 1 -1138.13 11539.91 -1138.13 -6684.38 950905 Short 1 -1111.90 11566.14 -1111.90 -6684.38 950906 Short 1 -328.36 12349.68 -328.36 -6684.38 950907 Short 1 -200.69 12477.35 -200.69 -6684.38 950908 Exit Short 1 225.00 12903.04 0.00 -6684.38 MFE = 225.00 MAE = -1302.59 950912 Exit Short 1 225.00 13128.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950913 Exit Short 1 225.00 13353.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950914 Exit Short 1 225.00 13578.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950915 Enter Short 1 150.32 13728.37 0.00 -6684.38 950918 Exit Short 1 225.00 13803.04 0.00 -6684.38 MFE = 225.00 MAE = 0.00 950919 Enter Short 1 -55.99 13747.05 0.00 -6684.38 950920 Short 1 -1194.36 12608.68 -1138.37 -6684.38 950921 Exit Short 1 -2380.00 11423.04 -2380.00 -6684.38 MFE = 0.00 MAE = -2380.00 950921 Exit Long 1 225.00 11648.04 -2155.00 -6684.38 MFE = 225.00 MAE = 0.00 950929 Enter Long 1 -1456.00 10192.04 -3555.01 -6684.38 -1030.00 951002 Exit Long 1 -2065.63 9582.42 -4220.63 -6684.38 MFE = 0.00 MAE = -2065.63 951002 Enter Short 1 -272.43 9309.98 -4437.07 -6684.38 951003 Exit Short 1 225.00 9807.42 -3939.63 -6684.38 MFE = 225.00 MAE = -272.43 951009 Enter Short 1 -374.75 9432.67 -4314.38 -6684.38 951010 Short 1 -78.55 9728.86 -4018.18 -6684.38 951011 Short 1 25.68 9833.10 -3913.95 -6684.38 951012 Short 1 -542.61 9264.81 -4482.24 -6684.38 951013 Short 1 -41.72 9765.70 -3981.35 -6684.38 951016 Short 1 -220.13 9587.29 -4159.76 -6684.38 951017 Short 1 -436.81 9370.61 -4376.44 -6684.38 951018 Exit Short 1 -865.00 8942.42 -4804.63 -6684.38 MFE = 25.68 MAE = -865.00 951018 Enter Long 1 -669.19 8273.22 -5473.83 -6684.38 951019 Long 1 -403.19 8539.23 -5207.82 -6684.38 951020 Long 1 -372.11 8570.31 -5176.74 -6684.38 951023 Long 1 -166.21 8776.21 -4970.84 -6684.38 951024 Long 1 -496.24 8446.18 -5300.87 -6684.38 951025 Exit Long 1 -613.12 8329.29 -5417.76 -6684.38 MFE = 0.00 MAE = -669.19 951025 Exit Short 1 225.00 8554.29 -5192.76 -6684.38 MFE = 225.00 MAE = 0.00 951026 Enter Short 1 -181.86 8372.43 -5374.62 -6684.38 951027 Short 1 96.76 8651.06 -5095.99 -6684.38 951030 Exit Short 1 225.00 8779.29 -4967.76 -6684.38 MFE = 225.00 MAE = -181.86 951031 Enter Short 1 -156.39 8622.90 -5124.14 -6684.38 -2868.75 951101 Exit Short 1 225.00 9004.29 -4742.76 -6684.38 MFE = 225.00 MAE = -156.39 951102 Exit Short 1 225.00 9229.29 -4517.76 -6684.38 MFE = 225.00 MAE = 0.00 951109 Exit Long 1 225.00 9454.29 -4292.76 -6684.38 MFE = 225.00 MAE = 0.00 951116 Enter Short 1 -111.11 9343.18 -4403.87 -6684.38 951117 Short 1 -75.12 9379.17 -4367.88 -6684.38 951120 Exit Short 1 225.00 9679.29 -4067.76 -6684.38 MFE = 225.00 MAE = -111.11 951127 Enter Short 1 -3.59 9675.70 -4071.35 -6684.38 951128 Short 1 -313.27 9366.02 -4381.03 -6684.38 951129 Short 1 -130.73 9548.56 -4198.49 -6684.38 951130 Exit Short 1 225.00 9904.29 -3842.76 -6684.38 MFE = 225.00 MAE = -313.27 1125.00 951208 Enter Long 1 -266.73 9637.56 -4109.49 -6684.38 951211 Long 1 -205.64 9698.65 -4048.40 -6684.38 951212 Exit Long 1 -620.00 9284.29 -4462.76 -6684.38 MFE = 0.00 MAE = -620.00 951212 Enter Short 1 29.70 9313.99 -4433.05 -6684.38 951213 Short 1 -54.86 9229.43 -4517.62 -6684.38 951214 Short 1 -145.73 9138.56 -4608.49 -6684.38 951215 Exit Short 1 225.00 9509.29 -4237.76 -6684.38 MFE = 225.00 MAE = -145.73 951222 Exit Short 1 225.00 9734.29 -4012.76 -6684.38 MFE = 225.00 MAE = 0.00 951229 Enter Short 1 92.76 9827.05 -3920.00 -6684.38 -170.00 960102 Exit Short 1 225.00 9959.29 -3787.76 -6684.38 MFE = 225.00 MAE = 0.00 960103 Enter Short 1 186.04 10145.33 -3601.72 -6684.38 960104 Exit Short 1 225.00 10184.29 -3562.76 -6684.38 MFE = 225.00 MAE = 0.00 960116 Enter Short 1 84.85 10269.14 -3477.91 -6684.38 960117 Short 1 -60.24 10124.05 -3622.99 -6684.38 960118 Short 1 -144.27 10040.03 -3707.02 -6684.38 960119 Short 1 -273.58 9910.71 -3836.34 -6684.38 960122 Short 1 -43.46 10140.84 -3606.21 -6684.38 960123 Short 1 17.98 10202.27 -3544.78 -6684.38 960124 Exit Short 1 225.00 10409.29 -3337.76 -6684.38 MFE = 225.00 MAE = -273.58 960130 Enter Short 1 -23.24 10386.05 -3361.00 -6684.38 960131 Short 1 -115.81 10293.49 -3453.56 -6684.38 675.00 960201 Short 1 -307.32 10101.97 -3645.08 -6684.38 960202 Short 1 -472.47 9936.82 -3810.23 -6684.38 960205 Exit Short 1 -867.50 9541.79 -4205.26 -6684.38 MFE = 0.00 MAE = -867.50 960205 Exit Long 1 225.00 9766.79 -3980.26 -6684.38 MFE = 225.00 MAE = 0.00 960208 Exit Short 1 225.00 9991.79 -3755.26 -6684.38 MFE = 225.00 MAE = 0.00 960215 Enter Long 1 64.83 10056.62 -3690.42 -6684.38 960216 Exit Long 1 225.00 10216.79 -3530.26 -6684.38 MFE = 225.00 MAE = 0.00 960219 Exit Long 1 225.00 10441.79 -3305.26 -6684.38 MFE = 225.00 MAE = 0.00 960220 Enter Short 1 -501.27 9940.52 -3806.53 -6684.38 960221 Short 1 -935.84 9505.95 -4241.10 -6684.38 960222 Short 1 -850.69 9591.10 -4155.94 -6684.38 960223 Short 1 -964.28 9477.51 -4269.54 -6684.38 960226 Short 1 -1244.43 9197.36 -4549.69 -6684.38 960227 Exit Short 1 -1733.13 8708.67 -5038.38 -6684.38 MFE = 0.00 MAE = -1733.13 960227 Enter Long 1 -463.69 8244.97 -5502.07 -6684.38 960228 Long 1 -601.24 8107.42 -5639.63 -6684.38 960229 Exit Long 1 -989.37 7719.29 -6027.76 -6684.38 MFE = 0.00 MAE = -989.37 960229 Enter Short 1 34.45 7753.74 -5993.31 -6684.38 -2690.00 960301 Exit Short 1 225.00 7944.29 -5802.76 -6684.38 MFE = 225.00 MAE = 0.00 960307 Enter Short 1 -194.22 7750.07 -5996.98 -6684.38 960308 Exit Short 1 225.00 8169.29 -5577.76 -6684.38 MFE = 225.00 MAE = -194.22 960311 Enter Short 1 -539.16 7630.13 -6116.92 -6684.38 960312 Short 1 -612.38 7556.91 -6190.14 -6684.38 960313 Short 1 -702.74 7466.56 -6280.49 -6684.38 960314 Short 1 -477.36 7691.94 -6055.11 -6684.38 960315 Short 1 -342.94 7826.35 -5920.70 -6684.38 960318 Short 1 -170.23 7999.06 -5747.99 -6684.38 960319 Short 1 -136.92 8032.38 -5714.67 -6684.38 960320 Short 1 12.53 8181.82 -5565.23 -6684.38 960321 Exit Short 1 225.00 8394.29 -5352.76 -6684.38 MFE = 225.00 MAE = -702.74 960322 Enter Short 1 -180.60 8213.69 -5533.35 -6684.38 960325 Exit Short 1 -698.13 7696.17 -6050.88 -6684.38 MFE = 0.00 MAE = -698.13 960325 Enter Long 1 -128.63 7567.54 -6179.51 -6684.38 960326 Long 1 -278.04 7418.12 -6328.93 -6684.38 960327 Long 1 -360.72 7335.44 -6411.61 -6684.38 960328 Long 1 -178.52 7517.65 -6229.40 -6684.38 960329 Exit Long 1 -654.38 7041.79 -6705.26 -6705.26 MFE = 0.00 MAE = -654.38 960329 Enter Short 1 65.19 7106.98 -6640.07 -6705.26 -677.50 960401 Exit Short 1 225.00 7266.79 -6480.26 -6705.26 MFE = 225.00 MAE = 0.00 960403 Exit Long 1 -603.12 6663.67 -7083.38 -7083.38 MFE = 0.00 MAE = -603.12 960409 Enter Short 1 153.36 6817.02 -6930.03 -7083.38 960410 Exit Short 1 225.00 6888.67 -6858.38 -7083.38 MFE = 225.00 MAE = 0.00 960418 Exit Long 1 225.00 7113.67 -6633.38 -7083.38 MFE = 225.00 MAE = 0.00 960426 Exit Long 1 225.00 7338.67 -6408.38 -7083.38 MFE = 225.00 MAE = 0.00 960429 Exit Long 1 225.00 7563.67 -6183.38 -7083.38 MFE = 225.00 MAE = 0.00 521.88 960508 Enter Short 1 -226.49 7337.18 -6409.87 -7083.38 960509 Short 1 -579.24 6984.43 -6762.62 -7083.38 960510 Short 1 -40.42 7523.24 -6223.81 -7083.38 960513 Short 1 -294.44 7269.23 -6477.82 -7083.38 960514 Exit Short 1 225.00 7788.67 -5958.38 -7083.38 MFE = 225.00 MAE = -579.24 960515 Exit Short 1 225.00 8013.67 -5733.38 -7083.38 MFE = 225.00 MAE = 0.00 960520 Enter Short 1 -164.56 7849.11 -5897.94 -7083.38 960521 Short 1 -110.07 7903.60 -5843.45 -7083.38 960522 Short 1 -142.75 7870.91 -5876.13 -7083.38 960523 Short 1 -262.89 7750.77 -5996.27 -7083.38 960524 Exit Short 1 225.00 8238.67 -5508.38 -7083.38 MFE = 225.00 MAE = -262.89 960528 Exit Short 1 225.00 8463.67 -5283.38 -7083.38 MFE = 225.00 MAE = 0.00 960530 Exit Long 1 225.00 8688.67 -5058.38 -7083.38 MFE = 225.00 MAE = 0.00 1125.00 960604 Enter Short 1 -149.85 8538.82 -5208.23 -7083.38 960605 Short 1 -28.67 8659.99 -5087.06 -7083.38 960606 Short 1 -7.65 8681.02 -5066.03 -7083.38 960607 Short 1 97.23 8785.90 -4961.15 -7083.38 960610 Short 1 -18.15 8670.51 -5076.54 -7083.38 960611 Exit Short 1 225.00 8913.67 -4833.38 -7083.38 MFE = 225.00 MAE = -149.85 960614 Enter Long 1 -643.21 8270.46 -5476.59 -7083.38 960617 Long 1 -548.68 8364.99 -5382.06 -7083.38 960618 Long 1 116.51 9030.18 -4716.87 -7083.38 960619 Long 1 3.69 8917.36 -4829.69 -7083.38 960620 Long 1 -103.37 8810.30 -4936.75 -7083.38 960621 Exit Long 1 -320.00 8593.67 -5153.38 -7083.38 MFE = 116.51 MAE = -643.21 960621 Exit Short 1 225.00 8818.67 -4928.38 -7083.38 MFE = 225.00 MAE = 0.00 960626 Enter Short 1 99.46 8918.13 -4828.92 -7083.38 960627 Short 1 -141.28 8677.39 -5069.66 -7083.38 960628 Exit Short 1 225.00 9043.67 -4703.38 -7083.38 MFE = 225.00 MAE = -141.28 355.00 960702 Enter Short 1 63.99 9107.66 -4639.39 -7083.38 960703 Short 1 33.16 9076.82 -4670.23 -7083.38 960704 Short 1 94.79 9138.46 -4608.59 -7083.38 960705 Exit Short 1 225.00 9268.67 -4478.38 -7083.38 MFE = 225.00 MAE = 0.00 960709 Enter Long 1 -142.68 9125.98 -4621.07 -7083.38 960710 Long 1 -117.03 9151.64 -4595.41 -7083.38 960711 Long 1 -65.66 9203.01 -4544.04 -7083.38 960712 Exit Long 1 -334.38 8934.29 -4812.76 -7083.38 MFE = 0.00 MAE = -334.38 960712 Enter Short 1 73.30 9007.59 -4739.46 -7083.38 960715 Short 1 -254.00 8680.29 -5066.76 -7083.38 960716 Exit Short 1 -671.25 8263.04 -5484.01 -7083.38 MFE = 73.30 MAE = -671.25 960716 Exit Long 1 225.00 8488.04 -5259.01 -7083.38 MFE = 225.00 MAE = 0.00 960722 Enter Long 1 -108.21 8379.83 -5367.21 -7083.38 960723 Long 1 -324.14 8163.90 -5583.15 -7083.38 960724 Long 1 -645.05 7842.99 -5904.06 -7083.38 960725 Long 1 -543.81 7944.23 -5802.82 -7083.38 960726 Exit Long 1 -868.75 7619.29 -6127.76 -7083.38 MFE = 0.00 MAE = -868.75 960726 Enter Short 1 -251.94 7367.36 -6379.69 -7083.38 960729 Short 1 -326.63 7292.66 -6454.39 -7083.38 960730 Short 1 -449.78 7169.51 -6577.54 -7083.38 960731 Exit Short 1 -786.87 6832.42 -6914.63 -7083.38 MFE = 0.00 MAE = -786.87 960731 Exit Long 1 225.00 7057.42 -6689.63 -7083.38 MFE = 225.00 MAE = 0.00 -1986.25 960807 Exit Short 1 225.00 7282.42 -6464.63 -7083.38 MFE = 225.00 MAE = 0.00 960820 Enter Short 1 18.36 7300.77 -6446.28 -7083.38 960821 Short 1 103.50 7385.92 -6361.13 -7083.38 960822 Short 1 -2.97 7279.45 -6467.60 -7083.38 960823 Exit Short 1 -227.50 7054.92 -6692.13 -7083.38 MFE = 103.50 MAE = -227.50 960823 Enter Long 1 -114.06 6940.85 -6806.20 -7083.38 960826 Long 1 100.71 7155.62 -6591.43 -7083.38 960827 Exit Long 1 225.00 7279.92 -6467.13 -7083.38 MFE = 225.00 MAE = -114.06 960828 Enter Short 1 68.81 7348.73 -6398.32 -7083.38 960829 Short 1 31.56 7311.48 -6435.57 -7083.38 960830 Exit Short 1 225.00 7504.92 -6242.13 -7083.38 MFE = 225.00 MAE = 0.00 447.50 960910 Enter Short 1 64.32 7569.24 -6177.81 -7083.38 960911 Exit Short 1 225.00 7729.92 -6017.13 -7083.38 MFE = 225.00 MAE = 0.00 960918 Exit Long 1 225.00 7954.92 -5792.13 -7083.38 MFE = 225.00 MAE = 0.00 960924 Enter Long 1 -23.45 7931.46 -5815.58 -7083.38 960925 Exit Long 1 -707.50 7247.42 -6499.63 -7083.38 MFE = 0.00 MAE = -707.50 960925 Enter Short 1 -41.95 7205.46 -6541.59 -7083.38 960926 Short 1 96.21 7343.63 -6403.42 -7083.38 960927 Exit Short 1 225.00 7472.42 -6274.63 -7083.38 MFE = 225.00 MAE = -41.95 960930 Enter Short 1 69.47 7541.89 -6205.16 -7083.38 -32.50 961001 Short 1 109.76 7582.18 -6164.87 -7083.38 961002 Exit Short 1 225.00 7697.42 -6049.63 -7083.38 MFE = 225.00 MAE = 0.00 961015 Enter Short 1 0.83 7698.24 -6048.81 -7083.38 961016 Short 1 15.71 7713.13 -6033.92 -7083.38 961017 Short 1 -9.10 7688.31 -6058.74 -7083.38 961018 Short 1 90.02 7787.44 -5959.61 -7083.38 961021 Exit Short 1 225.00 7922.42 -5824.63 -7083.38 MFE = 225.00 MAE = -9.10 961028 Exit Short 1 225.00 8147.42 -5599.63 -7083.38 MFE = 225.00 MAE = 0.00 675.00 961107 Exit Long 1 225.00 8372.42 -5374.63 -7083.38 MFE = 225.00 MAE = 0.00 961115 Enter Long 1 -99.17 8273.24 -5473.80 -7083.38 961118 Long 1 -351.76 8020.66 -5726.39 -7083.38 961119 Long 1 -412.04 7960.38 -5786.67 -7083.38 961120 Long 1 -366.84 8005.58 -5741.47 -7083.38 961121 Long 1 -235.85 8136.57 -5610.48 -7083.38 961122 Long 1 -316.53 8055.89 -5691.16 -7083.38 961125 Exit Long 1 -667.50 7704.92 -6042.13 -7083.38 MFE = 0.00 MAE = -667.50 961125 Exit Short 1 225.00 7929.92 -5817.13 -7083.38 MFE = 225.00 MAE = 0.00 961127 Enter Short 1 13.61 7943.53 -5803.52 -7083.38 961128 Exit Short 1 225.00 8154.92 -5592.13 -7083.38 MFE = 225.00 MAE = 0.00 7.50 961202 Exit Short 1 225.00 8379.92 -5367.13 -7083.38 MFE = 225.00 MAE = 0.00 961213 Enter Short 1 22.38 8402.29 -5344.75 -7083.38 961216 Short 1 -16.17 8363.74 -5383.30 -7083.38 961217 Short 1 -11.35 8368.57 -5378.48 -7083.38 961218 Short 1 -107.94 8271.98 -5475.07 -7083.38 961219 Short 1 70.49 8450.40 -5296.65 -7083.38 961220 Exit Short 1 225.00 8604.92 -5142.13 -7083.38 MFE = 225.00 MAE = -107.94 961226 Enter Short 1 -6.55 8598.37 -5148.68 -7083.38 961227 Exit Short 1 225.00 8829.92 -4917.13 -7083.38 MFE = 225.00 MAE = -6.55 675.00 970103 Enter Short 1 -119.23 8710.68 -5036.36 -7083.38 970106 Short 1 -425.15 8404.76 -5342.29 -7083.38 970107 Short 1 -682.77 8147.15 -5599.90 -7083.38 970108 Short 1 -383.23 8446.68 -5300.37 -7083.38 970109 Short 1 -142.28 8687.63 -5059.41 -7083.38 970110 Short 1 -257.85 8572.06 -5174.99 -7083.38 970113 Short 1 -91.59 8738.33 -5008.72 -7083.38 970114 Short 1 123.94 8953.86 -4793.19 -7083.38 970115 Exit Short 1 225.00 9054.92 -4692.13 -7083.38 MFE = 225.00 MAE = -682.77 970120 Enter Short 1 80.70 9135.62 -4611.43 -7083.38 970121 Short 1 85.19 9140.11 -4606.94 -7083.38 970122 Exit Short 1 225.00 9279.92 -4467.13 -7083.38 MFE = 225.00 MAE = 0.00 970123 Enter Short 1 -197.77 9082.14 -4664.91 -7083.38 970124 Short 1 -360.90 8919.01 -4828.03 -7083.38 970127 Short 1 -61.88 9218.03 -4529.02 -7083.38 970128 Exit Short 1 225.00 9504.92 -4242.13 -7083.38 MFE = 225.00 MAE = -360.90 970129 Enter Short 1 -207.99 9296.93 -4450.12 -7083.38 970130 Short 1 -308.93 9195.99 -4551.06 -7083.38 970131 Short 1 -512.02 8992.90 -4754.15 -7083.38 675.00 970203 Short 1 -351.11 9153.81 -4593.24 -7083.38 970204 Short 1 -15.61 9489.31 -4257.74 -7083.38 970205 Exit Short 1 225.00 9729.92 -4017.13 -7083.38 MFE = 225.00 MAE = -512.02 970207 Exit Long 1 -1137.50 8592.42 -5154.63 -7083.38 MFE = 0.00 MAE = -1137.50 970212 Enter Short 1 72.39 8664.81 -5082.24 -7083.38 970213 Short 1 35.99 8628.40 -5118.65 -7083.38 970214 Exit Short 1 225.00 8817.42 -4929.63 -7083.38 MFE = 225.00 MAE = 0.00 970220 Enter Long 1 66.66 8884.07 -4862.98 -7083.38 970221 Long 1 -256.15 8561.26 -5185.78 -7083.38 970224 Exit Long 1 225.00 9042.42 -4704.63 -7083.38 MFE = 225.00 MAE = -256.15 -462.50 970304 Exit Short 1 225.00 9267.42 -4479.63 -7083.38 MFE = 225.00 MAE = 0.00 970312 Exit Short 1 225.00 9492.42 -4254.63 -7083.38 MFE = 225.00 MAE = 0.00 970313 Enter Short 1 145.69 9638.11 -4108.94 -7083.38 970314 Exit Short 1 225.00 9717.42 -4029.63 -7083.38 MFE = 225.00 MAE = 0.00 970318 Enter Long 1 12.72 9730.13 -4016.92 -7083.38 970319 Long 1 -103.54 9613.87 -4133.17 -7083.38 970320 Long 1 -477.74 9239.67 -4507.37 -7083.38 970321 Long 1 -28.87 9688.55 -4058.50 -7083.38 970324 Long 1 -165.60 9551.81 -4195.24 -7083.38 970325 Exit Long 1 -591.87 9125.54 -4621.51 -7083.38 MFE = 12.72 MAE = -591.87 970325 Enter Short 1 -80.97 9044.57 -4702.47 -7083.38 970326 Short 1 45.21 9170.75 -4576.30 -7083.38 970327 Short 1 -121.81 9003.74 -4743.31 -7083.38 970328 Short 1 65.51 9191.05 -4556.00 -7083.38 970331 Short 1 -60.58 9064.96 -4682.08 -7083.38 83.13 970401 Exit Short 1 -416.25 8709.29 -5037.76 -7083.38 MFE = 65.51 MAE = -416.25 970401 Exit Long 1 225.00 8934.29 -4812.76 -7083.38 MFE = 225.00 MAE = 0.00 970404 Enter Short 1 214.71 9149.00 -4598.05 -7083.38 970407 Exit Short 1 225.00 9159.29 -4587.76 -7083.38 MFE = 225.00 MAE = 0.00 970422 Enter Short 1 -10.90 9148.39 -4598.66 -7083.38 970423 Short 1 -140.37 9018.92 -4728.13 -7083.38 970424 Short 1 -120.72 9038.58 -4708.47 -7083.38 970425 Short 1 -50.06 9109.23 -4637.82 -7083.38 970428 Exit Short 1 225.00 9384.29 -4362.76 -7083.38 MFE = 225.00 MAE = -140.37 258.75 970501 Exit Long 1 -450.62 8933.67 -4813.38 -7083.38 MFE = 0.00 MAE = -450.62 970506 Enter Long 1 170.60 9104.26 -4642.79 -7083.38 970507 Exit Long 1 225.31 9158.97 -4588.07 -7083.38 MFE = 225.31 MAE = 0.00 970508 Exit Long 1 225.00 9383.97 -4363.07 -7083.38 MFE = 225.00 MAE = 0.00 970509 Exit Long 1 225.00 9608.97 -4138.07 -7083.38 MFE = 225.00 MAE = 0.00 970514 Enter Long 1 -5.56 9603.42 -4143.63 -7083.38 970515 Exit Long 1 225.00 9833.97 -3913.07 -7083.38 MFE = 225.00 MAE = -5.56 970520 Exit Long 1 225.00 10058.97 -3688.07 -7083.38 MFE = 225.00 MAE = 0.00 674.68 970606 Exit Long 1 225.00 10283.97 -3463.07 -7083.38 MFE = 225.00 MAE = 0.00 970609 Exit Long 1 225.00 10508.97 -3238.07 -7083.38 MFE = 225.00 MAE = 0.00 970611 Exit Long 1 225.00 10733.97 -3013.07 -7083.38 MFE = 225.00 MAE = 0.00 970612 Exit Short 1 225.00 10958.97 -2788.07 -7083.38 MFE = 225.00 MAE = 0.00 970619 Enter Short 1 -88.37 10870.61 -2876.44 -7083.38 970620 Exit Short 1 225.00 11183.97 -2563.07 -7083.38 MFE = 225.00 MAE = -88.37 970625 Exit Long 1 225.00 11408.97 -2338.07 -7083.38 MFE = 225.00 MAE = 0.00 1350.00 970703 Exit Long 1 225.00 11633.97 -2113.07 -7083.38 MFE = 225.00 MAE = 0.00 970704 Enter Long 1 -583.53 11050.45 -2696.60 -7083.38 970707 Exit Long 1 225.00 11858.97 -1888.07 -7083.38 MFE = 225.00 MAE = -583.53 970711 Enter Short 1 132.48 11991.46 -1755.59 -7083.38 970714 Short 1 -60.06 11798.92 -1948.13 -7083.38 970715 Exit Short 1 225.00 12083.97 -1663.07 -7083.38 MFE = 225.00 MAE = -60.06 970722 Enter Long 1 -112.56 11971.41 -1775.64 -7083.38 970723 Long 1 -323.49 11760.49 -1986.56 -7083.38 970724 Long 1 -504.96 11579.02 -2168.03 -7083.38 970725 Exit Long 1 -916.87 11167.10 -2579.95 -7083.38 MFE = 0.00 MAE = -916.87 970725 Enter Short 1 -23.02 11144.08 -2602.97 -7083.38 970728 Exit Short 1 225.00 11392.10 -2354.95 -7083.38 MFE = 225.00 MAE = -23.02 -16.88 970808 Exit Long 1 225.00 11617.10 -2129.95 -7083.38 MFE = 225.00 MAE = 0.00 970814 Exit Short 1 225.00 11842.10 -1904.95 -7083.38 MFE = 225.00 MAE = 0.00 970821 Enter Long 1 -20.44 11821.66 -1925.39 -7083.38 970822 Exit Long 1 225.00 12067.10 -1679.95 -7083.38 MFE = 225.00 MAE = -20.44 970829 Exit Short 1 225.00 12292.10 -1454.95 -7083.38 MFE = 225.00 MAE = 0.00 900.00 970909 Exit Long 1 225.00 12517.10 -1229.95 -7083.38 MFE = 225.00 MAE = 0.00 970912 Exit Short 1 225.00 12742.10 -1004.95 -7083.38 MFE = 225.00 MAE = 0.00 970918 Enter Short 1 33.92 12776.02 -971.03 -7083.38 970919 Exit Short 1 225.00 12967.10 -779.95 -7083.38 MFE = 225.00 MAE = 0.00 970922 Enter Short 1 -515.64 12451.45 -1295.59 -7083.38 970923 Short 1 -393.70 12573.40 -1173.65 -7083.38 970924 Exit Short 1 -1186.87 11780.22 -1966.82 -7083.38 MFE = 0.00 MAE = -1186.87 970924 Exit Long 1 225.00 12005.22 -1741.82 -7083.38 MFE = 225.00 MAE = 0.00 -286.88 971002 Enter Short 1 -129.31 11875.91 -1871.14