SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 SWISS FRANC SPOT 5340 Trading days from 880104 to 080728 Tue Jul 29 09:32:08 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): today's high and low Compute volatility using: max (high - low) within N days Compute drawdown on an intra trade basis Reverse on protective stops: No Allow reverse below low filter: No High filter type: normal low filter type: normal MFE = Maximum Favorable Excursion of the trade equity based on closes MAE = Maximum Adverse Excursion of the trade equity based on closes TRADE/ TRADE CUM MAX MONTHLY DATE POSITION CTS EQUITY EQUITY DRAWDOWN DRAWDOWN PROFIT 880104 Enter Long 1 -872.75 -872.75 -872.75 -872.75 880105 Exit Long 1 -1250.00 -1250.00 -1250.00 -1250.00 MFE = 0.00 MAE = -1250.00 880113 Enter Long 1 -464.01 -1714.01 -1714.01 -1714.01 880114 Long 1 -252.58 -1502.58 -1502.58 -1714.01 880115 Exit Long 1 -1075.00 -2325.00 -2325.00 -2325.00 MFE = 0.00 MAE = -1075.00 880115 Exit Short 1 575.00 -1750.00 -1750.00 -2325.00 MFE = 575.00 MAE = 0.00 880129 Enter Short 1 210.81 -1539.19 -1539.19 -2325.00 -1750.00 880201 Exit Short 1 575.00 -1175.00 -1175.00 -2325.00 MFE = 575.00 MAE = 0.00 880203 Enter Short 1 19.14 -1155.86 -1155.86 -2325.00 880204 Short 1 -178.12 -1353.12 -1353.12 -2325.00 880205 Short 1 421.42 -753.58 -753.58 -2325.00 880208 Short 1 282.74 -892.26 -892.26 -2325.00 880209 Short 1 146.44 -1028.56 -1028.56 -2325.00 880210 Short 1 214.69 -960.31 -960.31 -2325.00 880211 Short 1 214.69 -960.31 -960.31 -2325.00 880212 Exit Short 1 575.00 -600.00 -600.00 -2325.00 MFE = 575.00 MAE = -178.12 880218 Enter Short 1 -39.15 -639.15 -639.15 -2325.00 880219 Short 1 -337.40 -937.40 -937.40 -2325.00 880222 Short 1 -597.65 -1197.65 -1197.65 -2325.00 880223 Short 1 -555.68 -1155.68 -1155.68 -2325.00 880224 Short 1 -500.91 -1100.91 -1100.91 -2325.00 880225 Short 1 -607.34 -1207.34 -1207.34 -2325.00 880226 Short 1 -652.65 -1252.65 -1252.65 -2325.00 880229 Short 1 -607.34 -1207.34 -1207.34 -2325.00 1150.00 880301 Short 1 -555.68 -1155.68 -1155.68 -2325.00 880302 Short 1 -238.60 -838.60 -838.60 -2325.00 880303 Short 1 -159.24 -759.24 -759.24 -2325.00 880304 Short 1 -350.19 -950.19 -950.19 -2325.00 880307 Exit Short 1 -706.25 -1306.25 -1306.25 -2325.00 MFE = 0.00 MAE = -706.25 880307 Enter Long 1 192.77 -1113.48 -1113.48 -2325.00 880308 Long 1 389.91 -916.34 -916.34 -2325.00 880309 Long 1 261.57 -1044.68 -1044.68 -2325.00 880310 Long 1 360.23 -946.02 -946.02 -2325.00 880311 Exit Long 1 575.00 -731.25 -731.25 -2325.00 MFE = 575.00 MAE = 0.00 880317 Enter Short 1 221.15 -510.10 -510.10 -2325.00 880318 Short 1 221.15 -510.10 -510.10 -2325.00 880321 Short 1 48.93 -682.32 -682.32 -2325.00 880322 Short 1 48.93 -682.32 -682.32 -2325.00 880323 Short 1 32.91 -698.34 -698.34 -2325.00 880324 Exit Short 1 -225.00 -956.25 -956.25 -2325.00 MFE = 221.15 MAE = -225.00 880324 Enter Long 1 141.85 -814.40 -814.40 -2325.00 880325 Long 1 220.17 -736.08 -736.08 -2325.00 880328 Exit Long 1 575.00 -381.25 -381.25 -2325.00 MFE = 575.00 MAE = 0.00 218.75 880405 Enter Short 1 -14.21 -395.46 -395.46 -2325.00 880406 Short 1 361.93 -19.32 -19.32 -2325.00 880407 Short 1 322.97 -58.28 -58.28 -2325.00 880408 Short 1 238.33 -142.92 -142.92 -2325.00 880411 Exit Short 1 575.00 193.75 0.00 -2325.00 MFE = 575.00 MAE = -14.21 880414 Exit Long 1 575.00 768.75 0.00 -2325.00 MFE = 575.00 MAE = 0.00 880422 Enter Short 1 29.63 798.38 0.00 -2325.00 880425 Short 1 58.94 827.69 0.00 -2325.00 880426 Short 1 97.97 866.72 0.00 -2325.00 880427 Short 1 68.71 837.46 -29.26 -2325.00 880428 Short 1 0.28 769.03 -97.68 -2325.00 880429 Short 1 385.31 1154.06 0.00 -2325.00 1150.00 880502 Exit Short 1 575.00 1343.75 0.00 -2325.00 MFE = 575.00 MAE = 0.00 880517 Exit Short 1 575.00 1918.75 0.00 -2325.00 MFE = 575.00 MAE = 0.00 880524 Enter Short 1 -85.93 1832.82 0.00 -2325.00 880525 Short 1 13.04 1931.79 0.00 -2325.00 880526 Short 1 3.78 1922.53 -9.26 -2325.00 880527 Short 1 349.91 2268.66 0.00 -2325.00 880530 Exit Short 1 575.00 2493.75 0.00 -2325.00 MFE = 575.00 MAE = -85.93 1725.00 880608 Enter Short 1 77.79 2571.54 0.00 -2325.00 880609 Short 1 -168.52 2325.23 -246.31 -2325.00 880610 Short 1 77.79 2571.54 0.00 -2325.00 880613 Short 1 141.19 2634.94 0.00 -2325.00 880614 Exit Short 1 575.00 3068.75 0.00 -2325.00 MFE = 575.00 MAE = -168.52 880620 Enter Short 1 -108.43 2960.32 0.00 -2325.00 880621 Short 1 -237.53 2831.22 -129.10 -2325.00 880622 Short 1 274.25 3343.00 0.00 -2325.00 880623 Short 1 311.56 3380.31 0.00 -2325.00 880624 Exit Short 1 575.00 3643.75 0.00 -2325.00 MFE = 575.00 MAE = -237.53 1150.00 880701 Enter Short 1 96.01 3739.76 0.00 -2325.00 880704 Short 1 337.45 3981.20 0.00 -2325.00 880705 Short 1 38.62 3682.37 -298.83 -2325.00 880706 Short 1 -57.37 3586.38 -394.82 -2325.00 880707 Short 1 155.96 3799.71 -181.50 -2325.00 880708 Short 1 453.10 4096.85 0.00 -2325.00 880711 Exit Short 1 575.00 4218.75 0.00 -2325.00 MFE = 575.00 MAE = -57.37 880713 Enter Short 1 -72.85 4145.90 0.00 -2325.00 880714 Short 1 70.89 4289.64 0.00 -2325.00 880715 Exit Short 1 575.00 4793.75 0.00 -2325.00 MFE = 575.00 MAE = -72.85 880718 Enter Short 1 -177.19 4616.56 0.00 -2325.00 880719 Short 1 -685.36 4108.39 -508.17 -2325.00 880720 Short 1 -521.56 4272.19 -344.37 -2325.00 880721 Short 1 -866.54 3927.21 -689.35 -2325.00 880722 Exit Short 1 -1250.00 3543.75 -1250.00 -2325.00 MFE = 0.00 MAE = -1250.00 880725 Enter Short 1 72.91 3616.66 -999.90 -2325.00 880726 Short 1 283.41 3827.16 -789.40 -2325.00 880727 Exit Short 1 575.00 4118.75 -497.81 -2325.00 MFE = 575.00 MAE = 0.00 880729 Enter Short 1 -17.03 4101.72 -514.84 -2325.00 475.00 880801 Short 1 -245.94 3872.81 -743.75 -2325.00 880802 Short 1 -57.99 4060.76 -555.80 -2325.00 880803 Short 1 -50.30 4068.45 -548.11 -2325.00 880804 Short 1 59.54 4178.29 -438.27 -2325.00 880805 Short 1 440.56 4559.31 -57.25 -2325.00 880808 Exit Short 1 575.00 4693.75 0.00 -2325.00 MFE = 575.00 MAE = -245.94 880809 Enter Short 1 204.99 4898.74 0.00 -2325.00 880810 Short 1 -137.41 4556.34 -342.40 -2325.00 880811 Short 1 -546.25 4147.50 -751.24 -2325.00 880812 Short 1 -533.66 4160.09 -738.65 -2325.00 880815 Short 1 -478.36 4215.39 -683.35 -2325.00 880816 Exit Short 1 -1043.75 3650.00 -1043.75 -2325.00 MFE = 204.99 MAE = -1043.75 880816 Enter Short 1 -76.14 3573.86 -1324.88 -2325.00 880817 Short 1 341.51 3991.51 -907.23 -2325.00 880818 Short 1 123.96 3773.96 -1124.78 -2325.00 880819 Short 1 143.62 3793.62 -1105.12 -2325.00 880822 Exit Short 1 575.00 4225.00 -673.74 -2325.00 MFE = 575.00 MAE = -76.14 106.25 880902 Enter Long 1 331.93 4556.93 -341.81 -2325.00 880905 Long 1 228.77 4453.77 -444.97 -2325.00 880906 Long 1 388.90 4613.90 -284.84 -2325.00 880907 Long 1 360.40 4585.40 -313.35 -2325.00 880908 Exit Long 1 -6.25 4218.75 -679.99 -2325.00 MFE = 388.90 MAE = -6.25 880908 Enter Short 1 -168.90 4049.85 -848.89 -2325.00 880909 Short 1 -132.99 4085.76 -812.98 -2325.00 880912 Short 1 -320.94 3897.81 -1000.93 -2325.00 880913 Short 1 -161.20 4057.55 -841.19 -2325.00 880914 Short 1 350.56 4569.31 -329.43 -2325.00 880915 Short 1 365.56 4584.31 -314.43 -2325.00 880916 Short 1 305.49 4524.24 -374.51 -2325.00 880919 Short 1 267.85 4486.60 -412.14 -2325.00 880920 Exit Short 1 87.50 4306.25 -592.49 -2325.00 MFE = 365.56 MAE = -320.94 880920 Enter Long 1 -115.12 4191.13 -707.61 -2325.00 880921 Long 1 -263.05 4043.20 -855.54 -2325.00 880922 Long 1 -322.91 3983.34 -915.40 -2325.00 880923 Long 1 -263.05 4043.20 -855.54 -2325.00 880926 Exit Long 1 -587.50 3718.75 -1179.99 -2325.00 MFE = 0.00 MAE = -587.50 880926 Enter Short 1 -93.20 3625.55 -1273.19 -2325.00 880927 Short 1 -122.89 3595.86 -1302.88 -2325.00 880928 Short 1 -85.79 3632.96 -1265.78 -2325.00 880929 Short 1 -9.34 3709.41 -1189.33 -2325.00 880930 Exit Short 1 -287.50 3431.25 -1467.49 -2325.00 MFE = 0.00 MAE = -287.50 880930 Enter Long 1 36.95 3468.20 -1430.54 -2325.00 -793.75 881003 Long 1 59.44 3490.69 -1408.05 -2325.00 881004 Long 1 29.45 3460.70 -1438.04 -2325.00 881005 Long 1 -0.48 3430.77 -1467.97 -2325.00 881006 Long 1 -15.44 3415.81 -1482.93 -2325.00 881007 Long 1 59.44 3490.69 -1408.05 -2325.00 881010 Long 1 275.68 3706.93 -1191.81 -2325.00 881011 Long 1 316.17 3747.42 -1151.32 -2325.00 881012 Exit Long 1 575.00 4006.25 -892.49 -2325.00 MFE = 575.00 MAE = -15.44 881013 Enter Long 1 -282.24 3724.01 -1174.73 -2325.00 881014 Long 1 -62.68 3943.57 -955.17 -2325.00 881017 Long 1 -178.11 3828.14 -1070.60 -2325.00 881018 Long 1 -250.26 3755.99 -1142.75 -2325.00 881019 Long 1 -266.25 3740.00 -1158.75 -2325.00 881020 Long 1 72.37 4078.62 -820.12 -2325.00 881021 Long 1 510.55 4516.80 -381.94 -2325.00 881024 Long 1 47.99 4054.24 -844.50 -2325.00 881025 Long 1 113.05 4119.30 -779.44 -2325.00 881026 Long 1 527.17 4533.42 -365.33 -2325.00 881027 Exit Long 1 575.00 4581.25 -317.49 -2325.00 MFE = 575.00 MAE = -282.24 881031 Enter Long 1 -487.58 4093.67 -805.07 -2325.00 1150.00 881101 Long 1 -170.94 4410.31 -488.44 -2325.00 881102 Long 1 8.94 4590.19 -308.56 -2325.00 881103 Long 1 -92.44 4488.81 -409.93 -2325.00 881104 Long 1 -299.28 4281.97 -616.78 -2325.00 881107 Long 1 0.47 4581.72 -317.02 -2325.00 881108 Long 1 -360.39 4220.86 -677.88 -2325.00 881109 Long 1 201.77 4783.02 -115.72 -2325.00 881110 Long 1 456.83 5038.08 0.00 -2325.00 881111 Exit Long 1 575.00 5156.25 0.00 -2325.00 MFE = 575.00 MAE = -487.58 881116 Enter Long 1 465.95 5622.20 0.00 -2325.00 881117 Exit Long 1 575.00 5731.25 0.00 -2325.00 MFE = 575.00 MAE = 0.00 881122 Enter Long 1 24.34 5755.59 0.00 -2325.00 881123 Long 1 228.87 5960.12 0.00 -2325.00 881124 Long 1 319.72 6050.97 0.00 -2325.00 881125 Long 1 283.33 6014.58 -36.39 -2325.00 881128 Long 1 -240.46 5490.79 -560.19 -2325.00 881129 Long 1 -86.14 5645.11 -405.87 -2325.00 881130 Long 1 -77.21 5654.04 -396.93 -2325.00 1150.00 881201 Long 1 -148.60 5582.65 -468.32 -2325.00 881202 Long 1 162.49 5893.74 -157.23 -2325.00 881205 Long 1 33.32 5764.57 -286.40 -2325.00 881206 Long 1 -323.11 5408.14 -642.83 -2325.00 881207 Exit Long 1 -931.25 4800.00 -931.25 -2325.00 MFE = 319.72 MAE = -931.25 881207 Enter Short 1 14.02 4814.02 -1236.95 -2325.00 881208 Short 1 -430.02 4369.98 -1680.99 -2325.00 881209 Short 1 -465.01 4334.99 -1715.98 -2325.00 881212 Short 1 -421.28 4378.72 -1672.25 -2325.00 881213 Short 1 -235.69 4564.31 -1486.66 -2325.00 881214 Exit Short 1 -612.50 4187.50 -1543.75 -2325.00 MFE = 14.02 MAE = -612.50 881214 Enter Long 1 -166.22 4021.28 -2029.69 -2325.00 881215 Long 1 -487.07 3700.43 -2350.55 -2350.55 881216 Long 1 -618.63 3568.87 -2482.11 -2482.11 881219 Long 1 -853.95 3333.55 -2717.42 -2717.42 881220 Exit Long 1 -1243.75 2943.75 -2787.50 -2787.50 MFE = 0.00 MAE = -1243.75 881220 Enter Short 1 -4.23 2939.52 -3111.45 -3111.45 881221 Short 1 -243.92 2699.83 -3351.14 -3351.14 881222 Short 1 -227.10 2716.65 -3334.33 -3351.14 881223 Short 1 -210.31 2733.44 -3317.53 -3351.14 881226 Short 1 -260.74 2683.01 -3367.96 -3367.96 881227 Short 1 -62.50 2881.25 -3169.72 -3367.96 881228 Short 1 284.72 3228.47 -2822.50 -3367.96 881229 Short 1 257.37 3201.12 -2849.85 -3367.96 881230 Short 1 -62.50 2881.25 -3169.72 -3367.96 -2787.50 890102 Short 1 -98.66 2845.09 -3205.88 -3367.96 890103 Short 1 -201.91 2741.84 -3309.13 -3367.96 890104 Short 1 458.88 3402.63 -2648.34 -3367.96 890105 Exit Short 1 575.00 3518.75 -2532.22 -3367.96 MFE = 575.00 MAE = -260.74 890106 Enter Short 1 63.31 3582.06 -2468.91 -3367.96 890109 Short 1 112.85 3631.60 -2419.37 -3367.96 890110 Exit Short 1 575.00 4093.75 -1957.22 -3367.96 MFE = 575.00 MAE = 0.00 890113 Enter Short 1 256.90 4350.65 -1700.32 -3367.96 890116 Short 1 450.54 4544.29 -1506.68 -3367.96 890117 Short 1 302.33 4396.08 -1654.89 -3367.96 890118 Exit Short 1 575.00 4668.75 -1382.22 -3367.96 MFE = 575.00 MAE = 0.00 890125 Enter Short 1 -109.94 4558.81 -1492.16 -3367.96 890126 Short 1 48.13 4716.88 -1334.09 -3367.96 890127 Short 1 455.32 5124.07 -926.90 -3367.96 890130 Short 1 315.51 4984.26 -1066.71 -3367.96 890131 Exit Short 1 575.00 5243.75 -807.22 -3367.96 MFE = 575.00 MAE = -109.94 2300.00 890203 Enter Short 1 -166.73 5077.02 -973.95 -3367.96 890206 Short 1 -275.37 4968.38 -1082.59 -3367.96 890207 Short 1 -253.10 4990.65 -1060.32 -3367.96 890208 Short 1 -260.51 4983.24 -1067.74 -3367.96 890209 Exit Short 1 -768.75 4475.00 -1575.97 -3367.96 MFE = 0.00 MAE = -768.75 890209 Enter Long 1 55.99 4530.99 -1519.98 -3367.96 890210 Long 1 -483.24 3991.76 -2059.21 -3367.96 890213 Long 1 -351.67 4123.33 -1927.64 -3367.96 890214 Long 1 198.87 4673.87 -1377.10 -3367.96 890215 Long 1 239.88 4714.88 -1336.09 -3367.96 890216 Long 1 280.98 4755.98 -1294.99 -3367.96 890217 Long 1 296.41 4771.41 -1279.56 -3367.96 890220 Long 1 134.96 4609.96 -1441.02 -3367.96 890221 Long 1 104.35 4579.35 -1471.62 -3367.96 890222 Long 1 183.52 4658.52 -1392.46 -3367.96 890223 Exit Long 1 575.00 5050.00 -1000.97 -3367.96 MFE = 575.00 MAE = -483.24 -193.75 890301 Enter Short 1 -23.36 5026.64 -1024.33 -3367.96 890302 Short 1 251.74 5301.74 -749.23 -3367.96 890303 Short 1 151.23 5201.23 -849.74 -3367.96 890306 Short 1 361.72 5411.72 -639.25 -3367.96 890307 Short 1 314.31 5364.31 -686.67 -3367.96 890308 Short 1 515.65 5565.65 -485.32 -3367.96 890309 Exit Short 1 575.00 5625.00 -425.97 -3367.96 MFE = 575.00 MAE = -23.36 890315 Enter Short 1 113.50 5738.50 -312.47 -3367.96 890316 Short 1 113.50 5738.50 -312.47 -3367.96 890317 Short 1 315.61 5940.61 -110.36 -3367.96 890320 Short 1 144.92 5769.92 -281.05 -3367.96 890321 Short 1 472.95 6097.95 0.00 -3367.96 890322 Exit Short 1 575.00 6200.00 0.00 -3367.96 MFE = 575.00 MAE = 0.00 890327 Enter Short 1 190.96 6390.96 0.00 -3367.96 890328 Short 1 456.24 6656.24 0.00 -3367.96 890329 Short 1 414.96 6614.96 -41.28 -3367.96 890330 Exit Short 1 575.00 6775.00 0.00 -3367.96 MFE = 575.00 MAE = 0.00 1725.00 890410 Enter Short 1 108.52 6883.52 0.00 -3367.96 890411 Short 1 178.76 6953.76 0.00 -3367.96 890412 Short 1 214.91 6989.91 0.00 -3367.96 890413 Exit Short 1 -237.50 6537.50 -237.50 -3367.96 MFE = 214.91 MAE = -237.50 890413 Enter Long 1 64.25 6601.75 -388.16 -3367.96 890414 Long 1 20.28 6557.78 -432.12 -3367.96 890417 Long 1 115.29 6652.79 -337.12 -3367.96 890418 Long 1 443.30 6980.80 -9.11 -3367.96 890419 Long 1 231.78 6769.28 -220.62 -3367.96 890420 Long 1 370.18 6907.68 -82.23 -3367.96 890421 Long 1 363.12 6900.62 -89.29 -3367.96 890424 Exit Long 1 43.75 6581.25 -193.75 -3367.96 MFE = 443.30 MAE = 0.00 890424 Enter Short 1 -25.64 6555.61 -434.30 -3367.96 890425 Short 1 62.33 6643.58 -346.33 -3367.96 890426 Short 1 326.10 6907.35 -82.56 -3367.96 890427 Short 1 389.77 6971.02 -18.89 -3367.96 890428 Exit Short 1 575.00 7156.25 0.00 -3367.96 MFE = 575.00 MAE = -25.64 381.25 890501 Enter Short 1 -95.26 7060.99 -95.26 -3367.96 890502 Short 1 -82.05 7074.20 -82.05 -3367.96 890503 Short 1 -46.84 7109.41 -46.84 -3367.96 890504 Short 1 8.03 7164.28 0.00 -3367.96 890505 Short 1 123.83 7280.08 0.00 -3367.96 890508 Short 1 286.46 7442.71 0.00 -3367.96 890509 Short 1 143.42 7299.67 -143.04 -3367.96 890510 Short 1 47.44 7203.69 -239.01 -3367.96 890511 Short 1 372.60 7528.85 0.00 -3367.96 890512 Exit Short 1 575.00 7731.25 0.00 -3367.96 MFE = 575.00 MAE = -95.26 890515 Enter Short 1 218.46 7949.71 0.00 -3367.96 890516 Short 1 68.64 7799.89 -149.82 -3367.96 890517 Exit Short 1 575.00 8306.25 0.00 -3367.96 MFE = 575.00 MAE = 0.00 890522 Exit Short 1 575.00 8881.25 0.00 -3367.96 MFE = 575.00 MAE = 0.00 890523 Enter Short 1 -247.11 8634.14 -247.11 -3367.96 890524 Short 1 -352.61 8528.64 -352.61 -3367.96 890525 Exit Short 1 -1250.00 7631.25 -1250.00 -3367.96 MFE = 0.00 MAE = -1250.00 475.00 890605 Enter Short 1 -44.81 7586.44 -1294.81 -3367.96 890606 Short 1 -130.37 7500.88 -1380.37 -3367.96 890607 Short 1 -96.09 7535.16 -1346.09 -3367.96 890608 Short 1 -130.37 7500.88 -1380.37 -3367.96 890609 Exit Short 1 575.00 8206.25 -675.00 -3367.96 MFE = 575.00 MAE = -130.37 890615 Exit Long 1 -1087.50 7118.75 -1762.50 -3367.96 MFE = 0.00 MAE = -1087.50 890629 Enter Long 1 -316.34 6802.41 -2078.84 -3367.96 890630 Long 1 -53.09 7065.66 -1815.59 -3367.96 -512.50 890703 Long 1 386.47 7505.22 -1376.03 -3367.96 890704 Exit Long 1 575.00 7693.75 -1187.50 -3367.96 MFE = 575.00 MAE = -316.34 890705 Exit Long 1 575.00 8268.75 -612.50 -3367.96 MFE = 575.00 MAE = 0.00 890718 Enter Long 1 -65.84 8202.91 -678.34 -3367.96 890719 Long 1 -364.18 7904.57 -976.68 -3367.96 890720 Long 1 -114.35 8154.40 -726.85 -3367.96 890721 Long 1 -183.44 8085.31 -795.94 -3367.96 890724 Long 1 141.14 8409.89 -471.36 -3367.96 890725 Long 1 507.04 8775.79 -105.46 -3367.96 890726 Exit Long 1 575.00 8843.75 -37.50 -3367.96 MFE = 575.00 MAE = -364.18 890731 Enter Long 1 -71.76 8771.99 -109.26 -3367.96 1725.00 890801 Long 1 432.58 9276.33 0.00 -3367.96 890802 Long 1 166.55 9010.30 -266.03 -3367.96 890803 Long 1 -163.38 8680.37 -595.96 -3367.96 890804 Exit Long 1 -818.75 8025.00 -856.25 -3367.96 MFE = 432.58 MAE = -818.75 890804 Enter Short 1 -9.21 8015.79 -1260.54 -3367.96 890807 Short 1 134.13 8159.13 -1117.20 -3367.96 890808 Short 1 -313.30 7711.70 -1564.63 -3367.96 890809 Short 1 -186.40 7838.60 -1437.73 -3367.96 890810 Short 1 -34.76 7990.24 -1286.09 -3367.96 890811 Exit Short 1 575.00 8600.00 -676.33 -3367.96 MFE = 575.00 MAE = -313.30 890817 Enter Short 1 59.88 8659.88 -616.45 -3367.96 890818 Short 1 -71.50 8528.50 -747.83 -3367.96 890821 Short 1 -89.08 8510.92 -765.41 -3367.96 890822 Short 1 -419.73 8180.27 -1096.06 -3367.96 890823 Short 1 -141.95 8458.05 -818.28 -3367.96 890824 Short 1 -71.50 8528.50 -747.83 -3367.96 890825 Short 1 7.44 8607.44 -668.89 -3367.96 890828 Short 1 59.88 8659.88 -616.45 -3367.96 890829 Exit Short 1 -418.75 8181.25 -1095.08 -3367.96 MFE = 59.88 MAE = -419.73 890829 Enter Long 1 37.18 8218.43 -1057.90 -3367.96 890830 Long 1 -280.45 7900.80 -1375.53 -3367.96 890831 Exit Long 1 -468.75 7712.50 -1563.83 -3367.96 MFE = 37.18 MAE = -468.75 890831 Enter Short 1 79.57 7792.07 -1484.26 -3367.96 -1131.25 890901 Short 1 336.42 8048.92 -1227.41 -3367.96 890904 Short 1 383.52 8096.02 -1180.31 -3367.96 890905 Short 1 511.34 8223.84 -1052.49 -3367.96 890906 Short 1 291.35 8003.85 -1272.47 -3367.96 890907 Exit Short 1 575.00 8287.50 -988.83 -3367.96 MFE = 575.00 MAE = 0.00 890908 Enter Short 1 1.24 8288.74 -987.58 -3367.96 890911 Short 1 -227.32 8060.18 -1216.15 -3367.96 890912 Short 1 -176.28 8111.22 -1165.11 -3367.96 890913 Short 1 -547.42 7740.08 -1536.25 -3367.96 890914 Short 1 -430.77 7856.73 -1419.60 -3367.96 890915 Short 1 -612.56 7674.94 -1601.39 -3367.96 890918 Short 1 -873.20 7414.30 -1862.03 -3367.96 890919 Short 1 -706.32 7581.18 -1695.14 -3367.96 890920 Short 1 -904.11 7383.39 -1892.93 -3367.96 890921 Short 1 -873.20 7414.30 -1862.03 -3367.96 890922 Short 1 -706.32 7581.18 -1695.14 -3367.96 890925 Exit Short 1 -1250.00 7037.50 -2238.83 -3367.96 MFE = 1.24 MAE = -1250.00 890925 Enter Long 1 358.64 7396.14 -1880.19 -3367.96 890926 Exit Long 1 575.00 7612.50 -1663.83 -3367.96 MFE = 575.00 MAE = 0.00 890929 Enter Long 1 -107.55 7504.95 -1771.38 -3367.96 -100.00 891002 Long 1 -294.59 7317.91 -1958.42 -3367.96 891003 Long 1 -463.48 7149.02 -2127.31 -3367.96 891004 Long 1 -306.36 7306.14 -1970.19 -3367.96 891005 Long 1 -442.45 7170.05 -2106.28 -3367.96 891006 Long 1 -614.68 6997.82 -2278.51 -3367.96 891009 Long 1 -679.45 6933.05 -2343.28 -3367.96 891010 Long 1 -1165.00 6447.50 -2828.83 -3367.96 891011 Exit Long 1 -1250.00 6362.50 -2913.83 -3367.96 MFE = 0.00 MAE = -1250.00 891013 Enter Long 1 509.26 6871.76 -2404.57 -3367.96 891016 Exit Long 1 575.00 6937.50 -2338.83 -3367.96 MFE = 575.00 MAE = 0.00 891019 Enter Long 1 -279.04 6658.46 -2617.87 -3367.96 891020 Long 1 -542.82 6394.68 -2881.65 -3367.96 891023 Long 1 -329.22 6608.28 -2668.05 -3367.96 891024 Long 1 -89.09 6848.41 -2427.92 -3367.96 891025 Long 1 -62.50 6875.00 -2401.32 -3367.96 891026 Long 1 -202.32 6735.18 -2541.15 -3367.96 891027 Long 1 136.93 7074.43 -2201.90 -3367.96 891030 Long 1 -52.81 6884.69 -2391.64 -3367.96 891031 Long 1 -238.33 6699.17 -2577.15 -3367.96 -675.00 891101 Long 1 -464.78 6472.72 -2803.61 -3367.96 891102 Long 1 -281.43 6656.07 -2620.26 -3367.96 891103 Long 1 -381.66 6555.84 -2720.48 -3367.96 891106 Long 1 -441.07 6496.43 -2779.90 -3367.96 891107 Long 1 -262.29 6675.21 -2601.12 -3367.96 891108 Long 1 -293.39 6644.11 -2632.22 -3367.96 891109 Long 1 -476.62 6460.88 -2815.45 -3367.96 891110 Exit Long 1 -750.00 6187.50 -3088.83 -3367.96 MFE = 136.93 MAE = -750.00 891110 Enter Short 1 196.40 6383.90 -2892.43 -3367.96 891113 Short 1 115.24 6302.74 -2973.59 -3367.96 891114 Exit Short 1 -212.50 5975.00 -3301.33 -3367.96 MFE = 196.40 MAE = -212.50 891114 Enter Long 1 203.50 6178.50 -3097.83 -3367.96 891115 Long 1 13.57 5988.57 -3287.76 -3367.96 891116 Long 1 -80.70 5894.30 -3382.03 -3382.03 891117 Long 1 -90.10 5884.90 -3391.43 -3391.43 891120 Long 1 -45.40 5929.60 -3346.73 -3391.43 891121 Long 1 311.17 6286.17 -2990.16 -3391.43 891122 Long 1 407.38 6382.38 -2893.95 -3391.43 891123 Long 1 287.19 6262.19 -3014.14 -3391.43 891124 Long 1 426.68 6401.68 -2874.65 -3391.43 891127 Exit Long 1 575.00 6550.00 -2726.33 -3391.43 MFE = 575.00 MAE = -90.10 891128 Enter Long 1 94.82 6644.82 -2631.51 -3391.43 891129 Long 1 -53.71 6496.29 -2780.04 -3391.43 891130 Long 1 -41.37 6508.63 -2767.70 -3391.43 -387.50 891201 Long 1 -274.40 6275.60 -3000.73 -3391.43 891204 Long 1 -395.93 6154.07 -3122.26 -3391.43 891205 Long 1 -41.37 6508.63 -2767.70 -3391.43 891206 Long 1 12.99 6562.99 -2713.34 -3391.43 891207 Long 1 -46.30 6503.70 -2772.63 -3391.43 891208 Long 1 -115.26 6434.74 -2841.59 -3391.43 891211 Long 1 -11.74 6538.26 -2738.07 -3391.43 891212 Long 1 433.13 6983.13 -2293.20 -3391.43 891213 Exit Long 1 575.00 7125.00 -2151.33 -3391.43 MFE = 575.00 MAE = -395.93 891222 Enter Long 1 -44.07 7080.93 -2195.40 -3391.43 891225 Long 1 34.33 7159.33 -2117.00 -3391.43 891226 Long 1 -44.07 7080.93 -2195.40 -3391.43 891227 Long 1 489.75 7614.75 -1661.58 -3391.43 891228 Exit Long 1 575.00 7700.00 -1576.33 -3391.43 MFE = 575.00 MAE = -44.07 1150.00 900110 Enter Long 1 -290.73 7409.27 -1867.06 -3391.43 900111 Long 1 -16.80 7683.20 -1593.13 -3391.43 900112 Long 1 191.04 7891.04 -1385.28 -3391.43 900115 Long 1 -285.29 7414.71 -1861.62 -3391.43 900116 Long 1 -113.09 7586.91 -1689.42 -3391.43 900117 Long 1 -44.36 7655.64 -1620.69 -3391.43 900118 Long 1 -507.29 7192.71 -2083.62 -3391.43 900119 Long 1 -466.86 7233.14 -2043.19 -3391.43 900122 Long 1 -814.64 6885.36 -2390.96 -3391.43 900123 Long 1 -44.36 7655.64 -1620.69 -3391.43 900124 Long 1 283.16 7983.16 -1293.17 -3391.43 900125 Exit Long 1 575.00 8275.00 -1001.33 -3391.43 MFE = 575.00 MAE = -814.64 900130 Enter Short 1 -222.29 8052.71 -1223.62 -3391.43 900131 Short 1 -91.80 8183.20 -1093.13 -3391.43 575.00 900201 Short 1 -362.02 7912.98 -1363.35 -3391.43 900202 Short 1 -418.17 7856.83 -1419.50 -3391.43 900205 Exit Short 1 -725.00 7550.00 -1726.33 -3391.43 MFE = 0.00 MAE = -725.00 900205 Enter Long 1 244.82 7794.82 -1481.51 -3391.43 900206 Long 1 172.88 7722.88 -1553.45 -3391.43 900207 Long 1 -197.31 7352.69 -1923.64 -3391.43 900208 Long 1 -211.42 7338.58 -1937.75 -3391.43 900209 Long 1 -281.83 7268.17 -2008.16 -3391.43 900212 Long 1 -513.88 7036.12 -2240.21 -3391.43 900213 Long 1 -421.93 7128.07 -2148.26 -3391.43 900214 Long 1 -435.89 7114.11 -2162.21 -3391.43 900215 Exit Long 1 -768.75 6781.25 -2495.08 -3391.43 MFE = 244.82 MAE = -768.75 900215 Enter Short 1 10.63 6791.88 -2484.45 -3391.43 900216 Short 1 -490.06 6291.19 -2985.14 -3391.43 900219 Short 1 -602.97 6178.28 -3098.05 -3391.43 900220 Short 1 -830.62 5950.63 -3325.70 -3391.43 900221 Short 1 -787.75 5993.50 -3282.83 -3391.43 900222 Short 1 -939.62 5841.63 -3434.70 -3434.70 900223 Short 1 -936.75 5844.50 -3431.83 -3434.70 900226 Short 1 -645.46 6135.79 -3140.54 -3434.70 900227 Short 1 -611.46 6169.79 -3106.54 -3434.70 900228 Short 1 -210.42 6570.83 -2705.50 -3434.70 -1493.75 900301 Short 1 29.86 6811.11 -2465.22 -3434.70 900302 Short 1 92.91 6874.16 -2402.16 -3434.70 900305 Short 1 -307.86 6473.39 -2802.94 -3434.70 900306 Short 1 -224.31 6556.94 -2719.39 -3434.70 900307 Short 1 -279.98 6501.27 -2775.06 -3434.70 900308 Short 1 5.13 6786.38 -2489.95 -3434.70 900309 Short 1 65.52 6846.77 -2429.56 -3434.70 900312 Exit Short 1 575.00 7356.25 -1920.08 -3434.70 MFE = 575.00 MAE = -939.62 900320 Enter Short 1 110.61 7466.86 -1809.47 -3434.70 900321 Short 1 172.57 7528.82 -1747.50 -3434.70 900322 Short 1 -136.39 7219.86 -2056.47 -3434.70 900323 Short 1 -11.16 7345.09 -1931.24 -3434.70 900326 Short 1 64.69 7420.94 -1855.39 -3434.70 900327 Short 1 15.96 7372.21 -1904.12 -3434.70 900328 Short 1 -30.17 7326.08 -1950.25 -3434.70 900329 Exit Short 1 -587.50 6768.75 -2507.58 -3434.70 MFE = 172.57 MAE = -587.50 900329 Enter Long 1 110.51 6879.26 -2397.07 -3434.70 900330 Long 1 -20.78 6747.97 -2528.35 -3434.70 -12.50 900402 Long 1 -137.40 6631.35 -2644.97 -3434.70 900403 Long 1 -145.70 6623.05 -2653.28 -3434.70 900404 Long 1 -209.26 6559.49 -2716.84 -3434.70 900405 Long 1 -70.83 6697.92 -2578.41 -3434.70 900406 Long 1 -70.83 6697.92 -2578.41 -3434.70 900409 Long 1 48.95 6817.70 -2458.62 -3434.70 900410 Long 1 421.02 7189.77 -2086.56 -3434.70 900411 Long 1 535.07 7303.82 -1972.51 -3434.70 900412 Exit Long 1 575.00 7343.75 -1932.58 -3434.70 MFE = 575.00 MAE = -209.26 900416 Enter Short 1 -146.44 7197.31 -2079.01 -3434.70 900417 Short 1 -104.14 7239.61 -2036.72 -3434.70 900418 Exit Short 1 -312.50 7031.25 -2245.08 -3434.70 MFE = 0.00 MAE = -312.50 900418 Enter Long 1 100.25 7131.50 -2144.83 -3434.70 900419 Long 1 -56.21 6975.04 -2301.29 -3434.70 900420 Long 1 -197.44 6833.81 -2442.52 -3434.70 900423 Long 1 -323.75 6707.50 -2568.82 -3434.70 900424 Long 1 -107.16 6924.09 -2352.24 -3434.70 900425 Exit Long 1 575.00 7606.25 -1670.08 -3434.70 MFE = 575.00 MAE = -323.75 837.50 900504 Enter Long 1 156.05 7762.30 -1514.03 -3434.70 900507 Exit Long 1 575.00 8181.25 -1095.08 -3434.70 MFE = 575.00 MAE = 0.00 900509 Exit Long 1 575.00 8756.25 -520.08 -3434.70 MFE = 575.00 MAE = 0.00 900515 Enter Long 1 -263.85 8492.40 -783.92 -3434.70 900516 Long 1 -398.08 8358.17 -918.16 -3434.70 900517 Long 1 -493.47 8262.78 -1013.55 -3434.70 900518 Long 1 -525.18 8231.07 -1045.26 -3434.70 900521 Long 1 -1057.36 7698.89 -1577.44 -3434.70 900522 Exit Long 1 -1250.00 7506.25 -1770.08 -3434.70 MFE = 0.00 MAE = -1250.00 900523 Enter Long 1 -151.87 7354.38 -1921.95 -3434.70 900524 Long 1 -414.32 7091.93 -2184.40 -3434.70 900525 Long 1 -291.20 7215.05 -2061.28 -3434.70 900528 Long 1 -244.86 7261.39 -2014.94 -3434.70 900529 Long 1 104.31 7610.56 -1665.77 -3434.70 900530 Long 1 -260.32 7245.93 -2030.40 -3434.70 900531 Long 1 -460.31 7045.94 -2230.39 -3434.70 -100.00 900601 Long 1 -719.11 6787.14 -2489.19 -3434.70 900604 Long 1 -536.75 6969.50 -2306.83 -3434.70 900605 Long 1 -429.66 7076.59 -2199.74 -3434.70 900606 Long 1 -658.49 6847.76 -2428.57 -3434.70 900607 Long 1 -944.93 6561.32 -2715.01 -3434.70 900608 Exit Long 1 -1143.75 6362.50 -2913.83 -3434.70 MFE = 104.31 MAE = -1143.75 900615 Enter Short 1 -351.50 6011.00 -3265.33 -3434.70 900618 Exit Short 1 -925.00 5437.50 -3838.83 -3838.83 MFE = 0.00 MAE = -925.00 900618 Enter Long 1 7.10 5444.60 -3831.73 -3838.83 900619 Long 1 141.92 5579.42 -3696.90 -3838.83 900620 Long 1 69.71 5507.21 -3769.12 -3838.83 900621 Long 1 7.10 5444.60 -3831.73 -3838.83 900622 Long 1 94.80 5532.30 -3744.03 -3838.83 900625 Long 1 132.49 5569.99 -3706.34 -3838.83 900626 Long 1 433.17 5870.67 -3405.66 -3838.83 900627 Exit Long 1 575.00 6012.50 -3263.83 -3838.83 MFE = 575.00 MAE = 0.00 -1493.75 900702 Enter Long 1 112.68 6125.18 -3151.15 -3838.83 900703 Long 1 177.05 6189.55 -3086.78 -3838.83 900704 Long 1 257.78 6270.28 -3006.05 -3838.83 900705 Long 1 -15.51 5996.99 -3279.34 -3838.83 900706 Long 1 0.47 6012.97 -3263.35 -3838.83 900709 Long 1 64.52 6077.02 -3199.31 -3838.83 900710 Long 1 177.05 6189.55 -3086.78 -3838.83 900711 Long 1 -142.97 5869.53 -3406.80 -3838.83 900712 Long 1 338.79 6351.29 -2925.03 -3838.83 900713 Long 1 -158.85 5853.65 -3422.68 -3838.83 900716 Long 1 -630.09 5382.41 -3893.92 -3893.92 900717 Long 1 -190.58 5821.92 -3454.41 -3893.92 900718 Long 1 -552.24 5460.26 -3816.07 -3893.92 900719 Long 1 -285.49 5727.01 -3549.32 -3893.92 900720 Long 1 -79.33 5933.17 -3343.16 -3893.92 900723 Exit Long 1 575.00 6587.50 -2688.83 -3893.92 MFE = 575.00 MAE = -630.09 900727 Enter Long 1 53.37 6640.87 -2635.46 -3893.92 900730 Long 1 87.13 6674.63 -2601.70 -3893.92 900731 Exit Long 1 575.00 7162.50 -2113.83 -3893.92 MFE = 575.00 MAE = 0.00 1150.00 900802 Enter Short 1 -765.31 6397.19 -2879.14 -3893.92 900803 Short 1 -1005.90 6156.60 -3119.73 -3893.92 900806 Exit Short 1 -1250.00 5912.50 -3363.83 -3893.92 MFE = 0.00 MAE = -1250.00 900813 Exit Long 1 575.00 6487.50 -2788.83 -3893.92 MFE = 575.00 MAE = 0.00 900817 Enter Long 1 158.20 6645.70 -2630.62 -3893.92 900820 Long 1 -368.44 6119.06 -3157.27 -3893.92 900821 Long 1 -181.67 6305.83 -2970.49 -3893.92 900822 Exit Long 1 575.00 7062.50 -2213.83 -3893.92 MFE = 575.00 MAE = -368.44 -100.00 901005 Enter Short 1 -154.58 6907.92 -2368.41 -3893.92 901008 Short 1 -482.94 6579.56 -2696.77 -3893.92 901009 Exit Short 1 -931.25 6131.25 -3145.08 -3893.92 MFE = 0.00 MAE = -931.25 901009 Enter Long 1 -175.06 5956.19 -3320.14 -3893.92 901010 Long 1 -442.30 5688.95 -3587.38 -3893.92 901011 Long 1 -78.90 6052.35 -3223.98 -3893.92 901012 Long 1 -537.04 5594.21 -3682.12 -3893.92 901015 Long 1 -725.41 5405.84 -3870.49 -3893.92 901016 Long 1 -128.95 6002.30 -3274.03 -3893.92 901017 Long 1 17.63 6148.88 -3127.45 -3893.92 901018 Long 1 525.79 6657.04 -2619.29 -3893.92 901019 Exit Long 1 575.00 6706.25 -2570.08 -3893.92 MFE = 575.00 MAE = -725.41 -356.25 901101 Enter Long 1 -103.38 6602.87 -2673.46 -3893.92 901102 Long 1 403.18 7109.43 -2166.90 -3893.92 901105 Exit Long 1 575.00 7281.25 -1995.08 -3893.92 MFE = 575.00 MAE = -103.38 901116 Enter Long 1 -170.31 7110.94 -2165.39 -3893.92 901119 Long 1 -97.78 7183.47 -2092.86 -3893.92 901120 Long 1 -97.78 7183.47 -2092.86 -3893.92 901121 Long 1 -158.24 7123.01 -2153.32 -3893.92 901122 Long 1 -258.68 7022.57 -2253.76 -3893.92 901123 Exit Long 1 -768.75 6512.50 -2763.83 -3893.92 MFE = 0.00 MAE = -768.75 901123 Enter Short 1 -67.57 6444.93 -2831.40 -3893.92 901126 Short 1 58.28 6570.78 -2705.54 -3893.92 901127 Short 1 -75.46 6437.04 -2839.29 -3893.92 901128 Short 1 343.02 6855.52 -2420.81 -3893.92 901129 Exit Short 1 575.00 7087.50 -2188.83 -3893.92 MFE = 575.00 MAE = -75.46 381.25 901207 Enter Long 1 68.95 7156.45 -2119.88 -3893.92 901210 Long 1 -247.75 6839.75 -2436.58 -3893.92 901211 Long 1 -431.94 6655.56 -2620.77 -3893.92 901212 Long 1 -267.41 6820.09 -2456.24 -3893.92 901213 Long 1 -443.65 6643.85 -2632.48 -3893.92 901214 Exit Long 1 -775.00 6312.50 -2963.83 -3893.92 MFE = 68.95 MAE = -775.00 901214 Enter Short 1 -34.66 6277.84 -2998.49 -3893.92 901217 Short 1 -15.37 6297.13 -2979.20 -3893.92 901218 Short 1 -325.86 5986.64 -3289.69 -3893.92 901219 Short 1 -247.87 6064.63 -3211.70 -3893.92 901220 Exit Short 1 575.00 6887.50 -2388.83 -3893.92 MFE = 575.00 MAE = -325.86 901228 Exit Long 1 575.00 7462.50 -1813.83 -3893.92 MFE = 575.00 MAE = 0.00 375.00 910107 Enter Short 1 136.65 7599.15 -1677.18 -3893.92 910108 Short 1 312.04 7774.54 -1501.79 -3893.92 910109 Short 1 106.67 7569.17 -1707.16 -3893.92 910110 Short 1 -221.79 7240.71 -2035.62 -3893.92 910111 Short 1 -366.66 7095.84 -2180.49 -3893.92 910114 Short 1 -233.20 7229.30 -2047.03 -3893.92 910115 Short 1 -130.74 7331.76 -1944.57 -3893.92 910116 Short 1 12.73 7475.23 -1801.10 -3893.92 910117 Exit Short 1 -631.25 6831.25 -2445.08 -3893.92 MFE = 312.04 MAE = -631.25 910117 Enter Long 1 138.03 6969.28 -2307.05 -3893.92 910118 Exit Long 1 575.00 7406.25 -1870.08 -3893.92 MFE = 575.00 MAE = 0.00 910131 Enter Long 1 -92.60 7313.65 -1962.68 -3893.92 -56.25 910201 Long 1 161.77 7568.02 -1708.31 -3893.92 910204 Long 1 193.75 7600.00 -1676.33 -3893.92 910205 Long 1 475.33 7881.58 -1394.75 -3893.92 910206 Exit Long 1 575.00 7981.25 -1295.08 -3893.92 MFE = 575.00 MAE = -92.60 910211 Enter Long 1 -60.36 7920.89 -1355.43 -3893.92 910212 Long 1 -465.86 7515.39 -1760.94 -3893.92 910213 Long 1 -706.05 7275.20 -2001.13 -3893.92 910214 Long 1 -845.10 7136.15 -2140.18 -3893.92 910215 Exit Long 1 -1250.00 6731.25 -2545.08 -3893.92 MFE = 0.00 MAE = -1250.00 910222 Enter Short 1 92.90 6824.15 -2452.18 -3893.92 910225 Exit Short 1 575.00 7306.25 -1970.08 -3893.92 MFE = 575.00 MAE = 0.00 910228 Enter Short 1 -105.44 7200.81 -2075.52 -3893.92 -100.00 910301 Short 1 276.51 7582.76 -1693.57 -3893.92 910304 Short 1 283.52 7589.77 -1686.56 -3893.92 910305 Exit Short 1 575.00 7881.25 -1395.08 -3893.92 MFE = 575.00 MAE = -105.44 910306 Enter Short 1 -244.06 7637.19 -1639.14 -3893.92 910307 Short 1 67.81 7949.06 -1327.27 -3893.92 910308 Exit Short 1 575.00 8456.25 -820.08 -3893.92 MFE = 575.00 MAE = -244.06 910311 Enter Short 1 0.34 8456.59 -819.74 -3893.92 910312 Short 1 -368.38 8087.87 -1188.46 -3893.92 910313 Short 1 -226.90 8229.35 -1046.98 -3893.92 910314 Short 1 0.34 8456.59 -819.74 -3893.92 910315 Exit Short 1 575.00 9031.25 -245.08 -3893.92 MFE = 575.00 MAE = -368.38 910318 Enter Short 1 303.90 9335.15 0.00 -3893.92 910319 Exit Short 1 575.00 9606.25 0.00 -3893.92 MFE = 575.00 MAE = 0.00 910325 Exit Short 1 575.00 10181.25 0.00 -3893.92 MFE = 575.00 MAE = 0.00 2875.00 910418 Exit Short 1 575.00 10756.25 0.00 -3893.92 MFE = 575.00 MAE = 0.00 910429 Enter Short 1 -567.91 10188.34 0.00 -3893.92 910430 Exit Short 1 -1250.00 9506.25 -1250.00 -3893.92 MFE = 0.00 MAE = -1250.00 -675.00 910509 Enter Short 1 -310.56 9195.69 -992.65 -3893.92 910510 Short 1 -478.07 9028.18 -1160.16 -3893.92 910513 Exit Short 1 -1050.00 8456.25 -2300.00 -3893.92 MFE = 0.00 MAE = -1050.00 910513 Enter Long 1 -144.92 8311.33 -1877.01 -3893.92 910514 Long 1 234.08 8690.33 -1498.01 -3893.92 910515 Long 1 381.38 8837.63 -1350.70 -3893.92 910516 Long 1 -18.31 8437.94 -1750.40 -3893.92 910517 Exit Long 1 -462.50 7993.75 -2762.50 -3893.92 MFE = 381.38 MAE = -462.50 910517 Enter Short 1 576.33 8570.08 -1618.25 -3893.92 910520 Exit Short 1 575.00 8568.75 -2187.50 -3893.92 MFE = 576.33 MAE = 0.00 910531 Enter Short 1 -2.30 8566.45 -1621.89 -3893.92 -937.50 910603 Short 1 175.58 8744.33 -1444.01 -3893.92 910604 Short 1 175.58 8744.33 -1444.01 -3893.92 910605 Short 1 259.75 8828.50 -1359.84 -3893.92 910606 Short 1 510.25 9079.00 -1109.34 -3893.92 910607 Exit Short 1 575.00 9143.75 -1612.50 -3893.92 MFE = 575.00 MAE = -2.30 910612 Enter Short 1 156.58 9300.33 -888.01 -3893.92 910613 Exit Short 1 575.00 9718.75 -1037.50 -3893.92 MFE = 575.00 MAE = 0.00 910618 Enter Short 1 361.94 10080.69 -107.64 -3893.92 910619 Short 1 -279.54 9439.21 -749.12 -3893.92 910620 Short 1 -372.10 9346.65 -841.69 -3893.92 910621 Short 1 -25.18 9693.57 -494.77 -3893.92 910624 Short 1 -411.90 9306.85 -881.49 -3893.92 910625 Short 1 -4.34 9714.41 -473.93 -3893.92 910626 Short 1 -69.52 9649.23 -539.11 -3893.92 910627 Short 1 8.67 9727.42 -460.92 -3893.92 910628 Short 1 73.60 9792.35 -395.99 -3893.92 1150.00 910701 Short 1 433.39 10152.14 -36.20 -3893.92 910702 Exit Short 1 575.00 10293.75 -462.50 -3893.92 MFE = 575.00 MAE = -411.90 910705 Enter Short 1 -263.89 10029.86 -158.48 -3893.92 910708 Short 1 -658.55 9635.20 -553.14 -3893.92 910709 Short 1 -263.89 10029.86 -158.48 -3893.92 910710 Short 1 -377.66 9916.09 -272.25 -3893.92 910711 Short 1 140.37 10434.12 0.00 -3893.92 910712 Exit Short 1 -1056.25 9237.50 -1518.75 -3893.92 MFE = 140.37 MAE = -1056.25 910718 Enter Long 1 5.24 9242.74 -1191.39 -3893.92 910719 Exit Long 1 575.00 9812.50 -621.62 -3893.92 MFE = 575.00 MAE = 0.00 93.75 910802 Enter Long 1 60.98 9873.48 -560.64 -3893.92 910805 Long 1 503.07 10315.57 -118.55 -3893.92 910806 Exit Long 1 575.00 10387.50 -46.62 -3893.92 MFE = 575.00 MAE = 0.00 910815 Exit Long 1 -743.75 9643.75 -790.37 -3893.92 MFE = 0.00 MAE = -743.75 910821 Enter Long 1 -43.82 9599.93 -834.20 -3893.92 910822 Long 1 287.56 9931.31 -502.81 -3893.92 910823 Long 1 -137.91 9505.84 -928.29 -3893.92 910826 Long 1 -97.64 9546.11 -888.01 -3893.92 910827 Long 1 -49.21 9594.54 -839.58 -3893.92 910828 Long 1 118.49 9762.24 -671.88 -3893.92 910829 Long 1 -43.82 9599.93 -834.20 -3893.92 910830 Long 1 -124.50 9519.25 -914.87 -3893.92 -168.75 910902 Long 1 -258.26 9385.49 -1048.63 -3893.92 910903 Long 1 -16.86 9626.89 -807.23 -3893.92 910904 Long 1 -51.91 9591.84 -842.28 -3893.92 910905 Long 1 -124.50 9519.25 -914.87 -3893.92 910906 Long 1 433.20 10076.95 -357.17 -3893.92 910909 Exit Long 1 575.00 10218.75 -215.37 -3893.92 MFE = 575.00 MAE = -258.26 910916 Enter Long 1 12.16 10230.91 -203.21 -3893.92 910917 Long 1 100.06 10318.81 -115.31 -3893.92 910918 Long 1 -249.39 9969.36 -464.77 -3893.92 910919 Long 1 -364.62 9854.13 -579.99 -3893.92 910920 Long 1 -206.02 10012.73 -421.40 -3893.92 910923 Long 1 144.15 10362.90 -71.22 -3893.92 910924 Long 1 -177.06 10041.69 -392.44 -3893.92 910925 Long 1 -17.06 10201.69 -232.43 -3893.92 910926 Long 1 -133.55 10085.20 -348.92 -3893.92 910927 Long 1 306.58 10525.33 0.00 -3893.92 910930 Long 1 306.58 10525.33 0.00 -3893.92 575.00 911001 Long 1 211.92 10430.67 -94.65 -3893.92 911002 Long 1 188.32 10407.07 -118.25 -3893.92 911003 Long 1 262.16 10480.91 -44.42 -3893.92 911004 Exit Long 1 -231.25 9987.50 -446.62 -3893.92 MFE = 306.58 MAE = -364.62 911023 Enter Short 1 110.09 10097.59 -427.74 -3893.92 911024 Short 1 -137.18 9850.32 -675.01 -3893.92 911025 Short 1 -137.18 9850.32 -675.01 -3893.92 911028 Short 1 393.09 10380.59 -144.74 -3893.92 911029 Exit Short 1 -662.50 9325.00 -1109.12 -3893.92 MFE = 393.09 MAE = -662.50 911029 Enter Long 1 -158.37 9166.63 -1358.69 -3893.92 911030 Long 1 145.43 9470.43 -1054.89 -3893.92 911031 Long 1 58.19 9383.19 -1142.14 -3893.92 -893.75 911101 Exit Long 1 575.00 9900.00 -625.33 -3893.92 MFE = 575.00 MAE = -158.37 911115 Enter Long 1 110.26 10010.26 -515.07 -3893.92 911118 Exit Long 1 575.00 10475.00 -50.33 -3893.92 MFE = 575.00 MAE = 0.00 911119 Enter Long 1 -205.09 10269.91 -255.41 -3893.92 911120 Long 1 -220.62 10254.38 -270.95 -3893.92 911121 Long 1 -298.14 10176.86 -348.47 -3893.92 911122 Long 1 44.99 10519.99 -5.33 -3893.92 911125 Long 1 -17.79 10457.21 -68.12 -3893.92 911126 Long 1 -452.36 10022.64 -502.68 -3893.92 911127 Long 1 -467.72 10007.28 -518.05 -3893.92 911128 Long 1 -507.61 9967.39 -557.94 -3893.92 911129 Long 1 -681.67 9793.33 -732.00 -3893.92 1150.00 911202 Long 1 -483.07 9991.93 -533.40 -3893.92 911203 Long 1 -359.95 10115.05 -410.28 -3893.92 911204 Long 1 -117.88 10357.12 -168.21 -3893.92 911205 Long 1 155.29 10630.29 0.00 -3893.92 911206 Exit Long 1 575.00 11050.00 0.00 -3893.92 MFE = 575.00 MAE = -681.67 911217 Enter Long 1 -65.87 10984.13 0.00 -3893.92 911218 Long 1 -169.32 10880.68 -103.45 -3893.92 911219 Long 1 204.70 11254.70 0.00 -3893.92 911220 Exit Long 1 575.00 11625.00 0.00 -3893.92 MFE = 575.00 MAE = -169.32 911227 Exit Long 1 -550.00 11075.00 -550.00 -3893.92 MFE = 0.00 MAE = -550.00 600.00 920102 Enter Long 1 -272.97 10802.03 -452.67 -3893.92 920103 Long 1 -566.05 10508.95 -745.75 -3893.92 920106 Long 1 476.53 11551.53 0.00 -3893.92 920107 Exit Long 1 575.00 11650.00 0.00 -3893.92 MFE = 575.00 MAE = -566.05 920123 Enter Short 1 87.45 11737.45 0.00 -3893.92 920124 Short 1 -191.51 11458.49 -278.96 -3893.92 920127 Short 1 240.92 11890.92 0.00 -3893.92 920128 Short 1 25.77 11675.77 -215.15 -3893.92 920129 Short 1 210.31 11860.31 -30.60 -3893.92 920130 Exit Short 1 575.00 12225.00 0.00 -3893.92 MFE = 575.00 MAE = -191.51 1150.00 920211 Enter Short 1 338.74 12563.74 0.00 -3893.92 920212 Exit Short 1 575.00 12800.00 0.00 -3893.92 MFE = 575.00 MAE = 0.00 920213 Enter Short 1 218.35 13018.35 0.00 -3893.92 920214 Exit Short 1 575.00 13375.00 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1150.00 920302 Enter Short 1 -83.81 13291.19 0.00 -3893.92 920303 Short 1 403.13 13778.13 0.00 -3893.92 920304 Exit Short 1 575.00 13950.00 0.00 -3893.92 MFE = 575.00 MAE = -83.81 920305 Enter Short 1 -70.17 13879.83 0.00 -3893.92 920306 Short 1 -422.31 13527.69 -352.14 -3893.92 920309 Short 1 -586.89 13363.11 -516.72 -3893.92 920310 Short 1 -313.32 13636.68 -243.15 -3893.92 920311 Short 1 -581.38 13368.62 -511.21 -3893.92 920312 Short 1 -518.16 13431.84 -447.98 -3893.92 920313 Short 1 -490.73 13459.27 -420.56 -3893.92 920316 Short 1 -600.66 13349.34 -530.49 -3893.92 920317 Exit Short 1 -1118.75 12831.25 -1118.75 -3893.92 MFE = 0.00 MAE = -1118.75 920319 Enter Short 1 299.88 13131.13 -748.70 -3893.92 920320 Exit Short 1 575.00 13406.25 -473.58 -3893.92 MFE = 575.00 MAE = 0.00 31.25 920403 Enter Long 1 -3.56 13402.69 -477.14 -3893.92 920406 Long 1 -144.23 13262.02 -617.81 -3893.92 920407 Long 1 -31.77 13374.48 -505.35 -3893.92 920408 Long 1 -172.25 13234.00 -645.82 -3893.92 920409 Long 1 10.56 13416.81 -463.02 -3893.92 920410 Long 1 -552.38 12853.87 -1025.96 -3893.92 920413 Long 1 -941.86 12464.39 -1415.44 -3893.92 920414 Long 1 -936.47 12469.78 -1410.04 -3893.92 920415 Exit Long 1 -1237.50 12168.75 -1711.08 -3893.92 MFE = 10.56 MAE = -1237.50 920424 Enter Long 1 -66.49 12102.26 -1777.56 -3893.92 920427 Long 1 81.18 12249.93 -1629.90 -3893.92 920428 Long 1 270.66 12439.41 -1440.41 -3893.92 920429 Long 1 108.14 12276.89 -1602.94 -3893.92 920430 Long 1 434.48 12603.23 -1276.60 -3893.92 -1237.50 920501 Exit Long 1 575.00 12743.75 -1136.08 -3893.92 MFE = 575.00 MAE = -66.49 920508 Enter Short 1 22.64 12766.39 -1113.43 -3893.92 920511 Short 1 -4.25 12739.50 -1140.33 -3893.92 920512 Exit Short 1 -481.25 12262.50 -1617.33 -3893.92 MFE = 22.64 MAE = -481.25 920512 Enter Long 1 87.83 12350.33 -1529.50 -3893.92 920513 Exit Long 1 575.00 12837.50 -1042.33 -3893.92 MFE = 575.00 MAE = 0.00 920521 Enter Short 1 -14.21 12823.29 -1056.54 -3893.92 920522 Short 1 56.57 12894.07 -985.76 -3893.92 920525 Short 1 14.12 12851.62 -1028.20 -3893.92 920526 Exit Short 1 -225.00 12612.50 -1267.33 -3893.92 MFE = 56.57 MAE = -225.00 920526 Enter Long 1 -163.08 12449.42 -1430.41 -3893.92 920527 Long 1 -284.81 12327.69 -1552.14 -3893.92 920528 Long 1 99.75 12712.25 -1167.58 -3893.92 920529 Exit Long 1 575.00 13187.50 -692.33 -3893.92 MFE = 575.00 MAE = -284.81 1018.75 920604 Enter Long 1 -58.06 13129.44 -750.39 -3893.92 920605 Long 1 116.11 13303.61 -576.22 -3893.92 920608 Long 1 252.89 13440.39 -439.44 -3893.92 920609 Long 1 30.32 13217.82 -662.00 -3893.92 920610 Long 1 163.59 13351.09 -528.74 -3893.92 920611 Exit Long 1 575.00 13762.50 -117.33 -3893.92 MFE = 575.00 MAE = -58.06 920612 Enter Long 1 -161.47 13601.03 -278.80 -3893.92 920615 Long 1 210.22 13972.72 0.00 -3893.92 920616 Long 1 524.82 14287.32 0.00 -3893.92 920617 Long 1 132.27 13894.77 -392.56 -3893.92 920618 Long 1 194.61 13957.11 -330.21 -3893.92 920619 Long 1 54.59 13817.09 -470.23 -3893.92 920622 Long 1 222.72 13985.22 -302.10 -3893.92 920623 Long 1 85.63 13848.13 -439.19 -3893.92 920624 Exit Long 1 575.00 14337.50 0.00 -3893.92 MFE = 575.00 MAE = -161.47 920625 Enter Long 1 380.56 14718.06 0.00 -3893.92 920626 Long 1 429.70 14767.20 0.00 -3893.92 920629 Exit Long 1 575.00 14912.50 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1725.00 920701 Enter Long 1 -64.55 14847.95 0.00 -3893.92 920702 Exit Long 1 575.00 15487.50 0.00 -3893.92 MFE = 575.00 MAE = -64.55 920708 Enter Long 1 -168.69 15318.81 0.00 -3893.92 920709 Exit Long 1 -1250.00 14237.50 -1250.00 -3893.92 MFE = 0.00 MAE = -1250.00 920716 Enter Long 1 43.57 14281.07 -1037.74 -3893.92 920717 Exit Long 1 575.00 14812.50 -506.31 -3893.92 MFE = 575.00 MAE = 0.00 920731 Enter Long 1 -47.15 14765.35 -553.46 -3893.92 -100.00 920803 Long 1 -119.38 14693.12 -625.69 -3893.92 920804 Long 1 -388.31 14424.19 -894.62 -3893.92 920805 Long 1 -601.27 14211.23 -1107.58 -3893.92 920806 Long 1 -512.77 14299.73 -1019.08 -3893.92 920807 Long 1 -10.96 14801.54 -517.26 -3893.92 920810 Long 1 -47.15 14765.35 -553.46 -3893.92 920811 Long 1 -202.18 14610.32 -708.49 -3893.92 920812 Long 1 -227.32 14585.18 -733.63 -3893.92 920813 Long 1 170.86 14983.36 -335.44 -3893.92 920814 Long 1 -227.32 14585.18 -733.63 -3893.92 920817 Long 1 -126.60 14685.90 -632.91 -3893.92 920818 Long 1 262.30 15074.80 -244.01 -3893.92 920819 Long 1 361.44 15173.94 -144.87 -3893.92 920820 Exit Long 1 575.00 15387.50 0.00 -3893.92 MFE = 575.00 MAE = -601.27 920821 Enter Long 1 231.35 15618.85 0.00 -3893.92 920824 Exit Long 1 575.00 15962.50 0.00 -3893.92 MFE = 575.00 MAE = 0.00 920828 Enter Long 1 -247.75 15714.75 0.00 -3893.92 920831 Long 1 160.75 16123.25 0.00 -3893.92 1150.00 920901 Exit Long 1 575.00 16537.50 0.00 -3893.92 MFE = 575.00 MAE = -247.75 920902 Enter Long 1 -375.03 16162.47 0.00 -3893.92 920903 Exit Long 1 -1250.00 15287.50 -1250.00 -3893.92 MFE = 0.00 MAE = -1250.00 -675.00 921019 Enter Short 1 269.10 15556.60 -605.87 -3893.92 921020 Exit Short 1 575.00 15862.50 -675.00 -3893.92 MFE = 575.00 MAE = 0.00 575.00 921106 Enter Short 1 331.67 16194.17 0.00 -3893.92 921109 Short 1 437.86 16300.36 0.00 -3893.92 921110 Exit Short 1 575.00 16437.50 -100.00 -3893.92 MFE = 575.00 MAE = 0.00 921116 Enter Short 1 256.61 16694.11 0.00 -3893.92 921117 Exit Short 1 575.00 17012.50 0.00 -3893.92 MFE = 575.00 MAE = 0.00 921127 Enter Short 1 69.65 17082.15 0.00 -3893.92 921130 Short 1 -112.08 16900.42 -181.73 -3893.92 1150.00 921201 Exit Short 1 -850.00 16162.50 -850.00 -3893.92 MFE = 69.65 MAE = -850.00 921216 Enter Long 1 19.22 16181.72 -900.42 -3893.92 921217 Long 1 19.22 16181.72 -900.42 -3893.92 921218 Long 1 -266.74 15895.76 -1186.39 -3893.92 921221 Long 1 -449.11 15713.39 -1368.76 -3893.92 921222 Exit Long 1 -1118.75 15043.75 -1968.75 -3893.92 MFE = 19.22 MAE = -1118.75 921222 Enter Short 1 221.09 15264.84 -1817.30 -3893.92 921223 Short 1 296.21 15339.96 -1742.19 -3893.92 921224 Short 1 439.71 15483.46 -1598.69 -3893.92 921225 Short 1 281.20 15324.95 -1757.19 -3893.92 921228 Exit Short 1 575.00 15618.75 -1463.40 -3893.92 MFE = 575.00 MAE = 0.00 -1393.75 930104 Enter Short 1 54.22 15672.97 -1409.18 -3893.92 930105 Short 1 -155.40 15463.35 -1618.79 -3893.92 930106 Short 1 295.69 15914.44 -1167.71 -3893.92 930107 Short 1 464.49 16083.24 -998.91 -3893.92 930108 Exit Short 1 575.00 16193.75 -888.40 -3893.92 MFE = 575.00 MAE = -155.40 930112 Enter Short 1 63.84 16257.59 -824.56 -3893.92 930113 Short 1 -369.30 15824.45 -1257.70 -3893.92 930114 Short 1 -340.90 15852.85 -1229.30 -3893.92 930115 Short 1 10.89 16204.64 -877.51 -3893.92 930118 Short 1 -483.28 15710.47 -1371.68 -3893.92 930119 Short 1 -669.82 15523.93 -1558.22 -3893.92 930120 Short 1 -785.44 15408.31 -1673.83 -3893.92 930121 Short 1 -483.28 15710.47 -1371.68 -3893.92 930122 Exit Short 1 -1187.50 15006.25 -2075.90 -3893.92 MFE = 63.84 MAE = -1187.50 930127 Enter Short 1 -47.54 14958.71 -2123.44 -3893.92 930128 Short 1 -62.16 14944.09 -2138.06 -3893.92 930129 Exit Short 1 575.00 15581.25 -1500.90 -3893.92 MFE = 575.00 MAE = -62.16 -37.50 930216 Enter Long 1 282.17 15863.42 -1218.73 -3893.92 930217 Exit Long 1 575.00 16156.25 -925.90 -3893.92 MFE = 575.00 MAE = 0.00 930225 Enter Short 1 -5.99 16150.26 -931.88 -3893.92 930226 Short 1 237.00 16393.25 -688.90 -3893.92 575.00 930301 Exit Short 1 575.00 16731.25 -350.90 -3893.92 MFE = 575.00 MAE = -5.99 930305 Enter Short 1 171.33 16902.58 -179.57 -3893.92 930308 Short 1 39.90 16771.15 -310.99 -3893.92 930309 Short 1 45.18 16776.43 -305.72 -3893.92 930310 Short 1 -79.11 16652.14 -430.01 -3893.92 930311 Exit Short 1 -418.75 16312.50 -769.65 -3893.92 MFE = 171.33 MAE = -418.75 930311 Enter Long 1 -1.91 16310.59 -771.56 -3893.92 930312 Long 1 119.66 16432.16 -649.99 -3893.92 930315 Long 1 0.79 16313.29 -768.86 -3893.92 930316 Long 1 -47.64 16264.86 -817.29 -3893.92 930317 Long 1 -253.54 16058.96 -1023.18 -3893.92 930318 Long 1 469.41 16781.91 -300.24 -3893.92 930319 Exit Long 1 575.00 16887.50 -194.65 -3893.92 MFE = 575.00 MAE = -253.54 731.25 930401 Enter Long 1 166.63 17054.13 -28.02 -3893.92 930402 Long 1 66.32 16953.82 -128.33 -3893.92 930405 Long 1 143.66 17031.16 -50.99 -3893.92 930406 Long 1 -118.71 16768.79 -313.36 -3893.92 930407 Long 1 -274.01 16613.49 -468.66 -3893.92 930408 Long 1 109.26 16996.76 -85.39 -3893.92 930409 Long 1 137.93 17025.43 -56.72 -3893.92 930412 Exit Long 1 575.00 17462.50 0.00 -3893.92 MFE = 575.00 MAE = -274.01 930413 Enter Long 1 181.38 17643.88 0.00 -3893.92 930414 Long 1 -189.31 17273.19 -370.69 -3893.92 930415 Long 1 -452.30 17010.20 -633.68 -3893.92 930416 Long 1 -883.51 16578.99 -1064.89 -3893.92 930419 Long 1 -466.81 16995.69 -648.20 -3893.92 930420 Long 1 -212.82 17249.68 -394.20 -3893.92 930421 Long 1 -100.93 17361.57 -282.31 -3893.92 930422 Long 1 211.32 17673.82 0.00 -3893.92 930423 Exit Long 1 575.00 18037.50 0.00 -3893.92 MFE = 575.00 MAE = -883.51 930426 Enter Long 1 10.63 18048.13 0.00 -3893.92 930427 Long 1 -313.12 17724.38 -323.75 -3893.92 930428 Long 1 -251.82 17785.68 -262.45 -3893.92 930429 Long 1 -122.53 17914.97 -133.16 -3893.92 930430 Long 1 -358.98 17678.52 -369.61 -3893.92 1150.00 930503 Long 1 -310.06 17727.44 -320.69 -3893.92 930504 Long 1 -4.90 18032.60 -15.53 -3893.92 930505 Long 1 72.84 18110.34 0.00 -3893.92 930506 Long 1 160.23 18197.73 0.00 -3893.92 930507 Long 1 -343.71 17693.79 -503.93 -3893.92 930510 Exit Long 1 -1087.50 16950.00 -1087.50 -3893.92 MFE = 160.23 MAE = -1087.50 930514 Enter Long 1 4.33 16954.33 -1243.40 -3893.92 930517 Long 1 -481.64 16468.36 -1729.37 -3893.92 930518 Long 1 -885.47 16064.53 -2133.19 -3893.92 930519 Long 1 -684.51 16265.49 -1932.24 -3893.92 930520 Long 1 -539.80 16410.20 -1787.52 -3893.92 930521 Long 1 -612.27 16337.73 -1860.00 -3893.92 930524 Long 1 -597.80 16352.20 -1845.53 -3893.92 930525 Long 1 -262.10 16687.90 -1509.83 -3893.92 930526 Long 1 -158.88 16791.12 -1406.61 -3893.92 930527 Exit Long 1 575.00 17525.00 -672.73 -3893.92 MFE = 575.00 MAE = -885.47 -512.50 930604 Exit Short 1 575.00 18100.00 -97.73 -3893.92 MFE = 575.00 MAE = 0.00 930611 Enter Long 1 -183.24 17916.76 -280.97 -3893.92 930614 Long 1 -227.63 17872.37 -325.36 -3893.92 930615 Exit Long 1 -593.75 17506.25 -691.48 -3893.92 MFE = 0.00 MAE = -593.75 930615 Enter Short 1 155.64 17661.89 -535.83 -3893.92 930616 Exit Short 1 575.00 18081.25 -116.48 -3893.92 MFE = 575.00 MAE = 0.00 930630 Enter Short 1 32.57 18113.82 -83.91 -3893.92 556.25 930701 Short 1 -211.15 17870.10 -327.63 -3893.92 930702 Short 1 -95.78 17985.47 -212.26 -3893.92 930705 Short 1 -41.06 18040.19 -157.54 -3893.92 930706 Short 1 -54.73 18026.52 -171.21 -3893.92 930707 Short 1 -41.06 18040.19 -157.54 -3893.92 930708 Short 1 -68.40 18012.85 -184.88 -3893.92 930709 Exit Short 1 575.00 18656.25 0.00 -3893.92 MFE = 575.00 MAE = -211.15 930716 Enter Short 1 -525.66 18130.59 -525.66 -3893.92 930719 Short 1 -677.78 17978.47 -677.78 -3893.92 930720 Short 1 -803.07 17853.18 -803.07 -3893.92 930721 Short 1 -705.56 17950.69 -705.56 -3893.92 930722 Short 1 -580.85 18075.40 -580.85 -3893.92 930723 Short 1 -170.49 18485.76 -170.49 -3893.92 930726 Short 1 -156.95 18499.30 -156.95 -3893.92 930727 Short 1 -129.90 18526.35 -129.90 -3893.92 930728 Short 1 -360.98 18295.27 -360.98 -3893.92 930729 Short 1 71.86 18728.11 0.00 -3893.92 930730 Short 1 -35.50 18620.75 -107.36 -3893.92 575.00 930802 Exit Short 1 -681.25 17975.00 -681.25 -3893.92 MFE = 71.86 MAE = -803.07 930802 Enter Long 1 188.75 18163.75 -564.36 -3893.92 930803 Long 1 -6.21 17968.79 -759.32 -3893.92 930804 Long 1 -61.58 17913.42 -814.69 -3893.92 930805 Long 1 -130.59 17844.41 -883.70 -3893.92 930806 Long 1 -33.91 17941.09 -787.02 -3893.92 930809 Long 1 -47.75 17927.25 -800.86 -3893.92 930810 Exit Long 1 -443.75 17531.25 -1125.00 -3893.92 MFE = 188.75 MAE = -443.75 930810 Enter Short 1 234.27 17765.52 -962.59 -3893.92 930811 Short 1 402.84 17934.09 -794.03 -3893.92 930812 Short 1 215.45 17746.70 -981.41 -3893.92 930813 Short 1 215.45 17746.70 -981.41 -3893.92 930816 Exit Short 1 -293.75 17237.50 -1418.75 -3893.92 MFE = 402.84 MAE = -293.75 930816 Enter Long 1 310.79 17548.29 -1179.82 -3893.92 930817 Long 1 116.09 17353.59 -1374.52 -3893.92 930818 Exit Long 1 575.00 17812.50 -915.61 -3893.92 MFE = 575.00 MAE = 0.00 -843.75 930901 Enter Long 1 29.44 17841.94 -886.17 -3893.92 930902 Long 1 394.15 18206.65 -521.46 -3893.92 930903 Exit Long 1 575.00 18387.50 -340.61 -3893.92 MFE = 575.00 MAE = 0.00 930909 Enter Long 1 329.17 18716.67 -11.44 -3893.92 930910 Exit Long 1 575.00 18962.50 0.00 -3893.92 MFE = 575.00 MAE = 0.00 930915 Enter Long 1 100.25 19062.75 0.00 -3893.92 930916 Long 1 -150.23 18812.27 -250.48 -3893.92 930917 Long 1 -309.33 18653.17 -409.58 -3893.92 930920 Long 1 -166.19 18796.31 -266.44 -3893.92 930921 Long 1 -872.82 18089.68 -973.07 -3893.92 930922 Long 1 -919.13 18043.37 -1019.38 -3893.92 930923 Exit Long 1 -1150.00 17812.50 -1150.00 -3893.92 MFE = 100.25 MAE = -1150.00 930927 Enter Long 1 120.38 17932.88 -1129.86 -3893.92 930928 Long 1 447.80 18260.30 -802.45 -3893.92 930929 Exit Long 1 574.77 18387.27 -675.47 -3893.92 MFE = 574.77 MAE = 0.00 574.77 931008 Enter Long 1 262.32 18649.60 -413.15 -3893.92 931011 Long 1 151.70 18538.98 -523.77 -3893.92 931012 Long 1 437.27 18824.54 -238.21 -3893.92 931013 Long 1 262.32 18649.60 -413.15 -3893.92 931014 Exit Long 1 -75.00 18312.27 -750.47 -3893.92 MFE = 437.27 MAE = -75.00 931014 Enter Short 1 266.20 18578.48 -484.27 -3893.92 931015 Short 1 383.18 18695.46 -367.29 -3893.92 931018 Exit Short 1 575.00 18887.27 -175.47 -3893.92 MFE = 575.00 MAE = 0.00 931021 Enter Short 1 32.99 18920.27 -142.48 -3893.92 931022 Short 1 234.49 19121.77 0.00 -3893.92 931025 Short 1 434.10 19321.37 0.00 -3893.92 931026 Short 1 228.77 19116.04 -205.33 -3893.92 931027 Short 1 331.68 19218.95 -102.42 -3893.92 931028 Exit Short 1 575.00 19462.27 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1075.00 931101 Enter Short 1 115.16 19577.44 0.00 -3893.92 931102 Short 1 280.61 19742.89 0.00 -3893.92 931103 Short 1 -46.03 19416.24 -326.65 -3893.92 931104 Short 1 76.36 19538.64 -204.25 -3893.92 931105 Short 1 -79.54 19382.73 -360.16 -3893.92 931108 Short 1 -389.21 19073.06 -669.83 -3893.92 931109 Short 1 -177.58 19284.69 -458.20 -3893.92 931110 Short 1 -261.98 19200.29 -542.60 -3893.92 931111 Short 1 -37.67 19424.61 -318.28 -3893.92 931112 Short 1 -276.08 19186.20 -556.69 -3893.92 931115 Short 1 -191.62 19270.65 -472.24 -3893.92 931116 Short 1 115.16 19577.44 -165.45 -3893.92 931117 Short 1 -59.99 19402.28 -340.61 -3893.92 931118 Short 1 156.65 19618.92 -123.97 -3893.92 931119 Short 1 170.46 19632.74 -110.15 -3893.92 931122 Short 1 -135.51 19326.77 -416.12 -3893.92 931123 Short 1 -211.30 19250.97 -491.91 -3893.92 931124 Short 1 -183.20 19279.07 -463.81 -3893.92 931125 Short 1 -23.73 19438.54 -304.35 -3893.92 931126 Short 1 -9.79 19452.48 -290.41 -3893.92 931129 Short 1 -233.81 19228.47 -514.42 -3893.92 931130 Short 1 -37.67 19424.61 -318.28 -3893.92 0.00 931201 Short 1 73.59 19535.87 -207.02 -3893.92 931202 Short 1 -59.99 19402.28 -340.61 -3893.92 931203 Exit Short 1 -381.25 19081.02 -381.25 -3893.92 MFE = 280.61 MAE = -389.21 931203 Enter Long 1 -108.36 18972.66 -770.23 -3893.92 931206 Exit Long 1 575.00 19656.02 -86.86 -3893.92 MFE = 575.00 MAE = -108.36 931210 Enter Long 1 74.99 19731.02 -11.87 -3893.92 931213 Long 1 -256.64 19399.39 -343.50 -3893.92 931214 Long 1 -236.24 19419.78 -323.10 -3893.92 931215 Long 1 -364.11 19291.91 -450.98 -3893.92 931216 Long 1 -110.53 19545.49 -197.39 -3893.92 931217 Long 1 -145.69 19510.34 -232.55 -3893.92 931220 Long 1 -37.10 19618.92 -123.97 -3893.92 931221 Long 1 244.24 19900.26 0.00 -3893.92 931222 Exit Long 1 575.00 20231.02 0.00 -3893.92 MFE = 575.00 MAE = -364.11 931229 Enter Short 1 273.23 20504.26 0.00 -3893.92 931230 Exit Short 1 575.00 20806.02 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1343.75 940204 Enter Short 1 -48.67 20757.36 0.00 -3893.92 940207 Short 1 -149.93 20656.09 -101.26 -3893.92 940208 Short 1 220.94 21026.96 0.00 -3893.92 940209 Short 1 80.82 20886.85 -140.11 -3893.92 940210 Short 1 152.43 20958.45 -68.51 -3893.92 940211 Short 1 181.00 20987.02 -39.94 -3893.92 940214 Exit Short 1 -293.75 20512.27 -293.75 -3893.92 MFE = 220.94 MAE = -293.75 940214 Enter Long 1 226.18 20738.45 -288.51 -3893.92 940215 Long 1 261.57 20773.85 -253.11 -3893.92 940216 Long 1 335.51 20847.78 -179.18 -3893.92 940217 Long 1 246.82 20759.10 -267.86 -3893.92 940218 Exit Long 1 575.00 21087.27 0.00 -3893.92 MFE = 575.00 MAE = 0.00 940224 Enter Long 1 243.79 21331.07 0.00 -3893.92 940225 Long 1 289.69 21376.96 0.00 -3893.92 940228 Long 1 366.39 21453.67 0.00 -3893.92 281.25 940301 Long 1 52.08 21139.36 -314.31 -3893.92 940302 Long 1 213.25 21300.52 -153.14 -3893.92 940303 Long 1 36.94 21124.22 -329.45 -3893.92 940304 Long 1 -74.79 21012.48 -441.18 -3893.92 940307 Long 1 6.69 21093.96 -359.71 -3893.92 940308 Long 1 -38.61 21048.66 -405.01 -3893.92 940309 Long 1 213.25 21300.52 -153.14 -3893.92 940310 Exit Long 1 575.00 21662.27 0.00 -3893.92 MFE = 575.00 MAE = -74.79 940322 Enter Long 1 -142.16 21520.11 -142.16 -3893.92 940323 Long 1 -105.33 21556.95 -105.33 -3893.92 940324 Long 1 244.61 21906.89 0.00 -3893.92 940325 Long 1 197.84 21860.11 -46.77 -3893.92 940328 Long 1 27.18 21689.45 -217.43 -3893.92 940329 Long 1 11.73 21674.00 -232.88 -3893.92 940330 Long 1 151.16 21813.44 -93.45 -3893.92 940331 Long 1 338.46 22000.73 0.00 -3893.92 575.00 940401 Exit Long 1 -268.75 21393.52 -268.75 -3893.92 MFE = 338.46 MAE = -268.75 940401 Enter Short 1 -132.28 21261.24 -739.49 -3893.92 940404 Short 1 -181.48 21212.05 -788.69 -3893.92 940405 Short 1 515.29 21908.81 -91.92 -3893.92 940406 Exit Short 1 575.00 21968.52 -32.21 -3893.92 MFE = 575.00 MAE = -181.48 940412 Enter Short 1 -158.84 21809.68 -191.05 -3893.92 940413 Short 1 -333.15 21635.37 -365.36 -3893.92 940414 Short 1 -111.01 21857.52 -143.22 -3893.92 940415 Short 1 94.09 22062.62 0.00 -3893.92 940418 Short 1 -114.00 21854.53 -208.09 -3893.92 940419 Short 1 -221.80 21746.73 -315.89 -3893.92 940420 Short 1 -521.04 21447.48 -615.14 -3893.92 940421 Short 1 -521.04 21447.48 -615.14 -3893.92 940422 Short 1 -551.50 21417.02 -645.60 -3893.92 940425 Short 1 -490.63 21477.89 -584.73 -3893.92 940426 Short 1 -594.21 21374.31 -688.31 -3893.92 940427 Short 1 -704.43 21264.10 -798.52 -3893.92 940428 Exit Short 1 -1156.25 20812.27 -1188.46 -3893.92 MFE = 94.09 MAE = -1156.25 940428 Enter Long 1 85.56 20897.84 -1164.78 -3893.92 940429 Exit Long 1 575.00 21387.27 -675.34 -3893.92 MFE = 575.00 MAE = 0.00 -275.00 940510 Enter Short 1 85.69 21472.96 -589.66 -3893.92 940511 Short 1 -143.98 21243.30 -819.32 -3893.92 940512 Short 1 -143.98 21243.30 -819.32 -3893.92 940513 Short 1 -116.29 21270.98 -791.64 -3893.92 940516 Short 1 -103.99 21283.28 -779.34 -3893.92 940517 Exit Short 1 -356.25 21031.02 -1031.59 -3893.92 MFE = 85.69 MAE = -356.25 940517 Enter Long 1 -104.00 20927.03 -1135.59 -3893.92 940518 Long 1 339.20 21370.23 -692.39 -3893.92 940519 Long 1 197.79 21228.81 -833.81 -3893.92 940520 Long 1 386.54 21417.57 -645.05 -3893.92 940523 Long 1 449.82 21480.85 -581.77 -3893.92 940524 Long 1 150.85 21181.87 -880.75 -3893.92 940525 Exit Long 1 575.00 21606.02 -456.59 -3893.92 MFE = 575.00 MAE = -104.00 218.75 940603 Enter Short 1 170.62 21776.64 -285.97 -3893.92 940606 Short 1 77.24 21683.27 -379.35 -3893.92 940607 Short 1 -25.94 21580.09 -482.53 -3893.92 940608 Short 1 -32.21 21573.81 -488.80 -3893.92 940609 Short 1 -76.14 21529.89 -532.73 -3893.92 940610 Exit Short 1 -293.75 21312.27 -750.34 -3893.92 MFE = 170.62 MAE = -293.75 940610 Enter Long 1 -31.84 21280.43 -782.18 -3893.92 940613 Exit Long 1 575.00 21887.27 -175.34 -3893.92 MFE = 575.00 MAE = -31.84 940615 Enter Long 1 -25.34 21861.93 -200.69 -3893.92 940616 Long 1 -41.96 21845.31 -217.30 -3893.92 940617 Exit Long 1 575.00 22462.27 0.00 -3893.92 MFE = 575.00 MAE = -41.96 940624 Enter Long 1 448.72 22910.99 0.00 -3893.92 940627 Exit Long 1 583.98 23046.25 0.00 -3893.92 MFE = 583.98 MAE = 0.00 1440.23 940701 Enter Long 1 -310.15 22736.10 -174.89 -3893.92 940704 Long 1 -351.96 22694.29 -216.70 -3893.92 940705 Long 1 140.49 23186.74 0.00 -3893.92 940706 Long 1 23.47 23069.73 -117.02 -3893.92 940707 Long 1 204.56 23250.81 0.00 -3893.92 940708 Long 1 516.70 23562.96 0.00 -3893.92 940711 Exit Long 1 745.86 23792.12 0.00 -3893.92 MFE = 745.86 MAE = -351.96 940718 Enter Long 1 -99.26 23692.85 0.00 -3893.92 940719 Exit Long 1 -865.89 22926.22 -865.89 -3893.92 MFE = 0.00 MAE = -865.89 940727 Enter Long 1 85.56 23011.79 -681.07 -3893.92 940728 Long 1 -414.71 22511.52 -1181.34 -3893.92 940729 Long 1 -85.88 22840.35 -852.51 -3893.92 -120.03 940801 Long 1 194.68 23120.90 -571.95 -3893.92 940802 Long 1 8.43 22934.66 -758.20 -3893.92 940803 Long 1 166.47 23092.69 -600.16 -3893.92 940804 Long 1 -124.19 22802.03 -890.82 -3893.92 940805 Long 1 124.22 23050.45 -642.41 -3893.92 940808 Long 1 71.52 22997.75 -695.11 -3893.92 940809 Long 1 120.71 23046.93 -645.92 -3893.92 940810 Long 1 36.45 22962.68 -730.18 -3893.92 940811 Exit Long 1 575.00 23501.22 -191.63 -3893.92 MFE = 575.00 MAE = -414.71 940826 Enter Short 1 354.52 23855.74 0.00 -3893.92 940829 Exit Short 1 575.00 24076.22 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1150.00 940902 Enter Long 1 353.73 24429.95 0.00 -3893.92 940905 Long 1 306.05 24382.27 -47.68 -3893.92 940906 Exit Long 1 575.00 24651.22 0.00 -3893.92 MFE = 575.00 MAE = 0.00 940909 Enter Long 1 202.81 24854.03 0.00 -3893.92 940912 Long 1 -24.82 24626.40 -227.63 -3893.92 940913 Long 1 39.45 24690.67 -163.35 -3893.92 940914 Long 1 164.72 24815.95 -38.08 -3893.92 940915 Long 1 -2.16 24649.06 -204.97 -3893.92 940916 Exit Long 1 575.00 25226.22 0.00 -3893.92 MFE = 575.00 MAE = -24.82 940927 Enter Long 1 168.25 25394.48 0.00 -3893.92 940928 Long 1 -238.74 24987.48 -407.00 -3893.92 940929 Long 1 -155.61 25070.61 -323.87 -3893.92 940930 Long 1 -174.54 25051.68 -342.79 -3893.92 1150.00 941003 Long 1 -400.41 24825.82 -568.66 -3893.92 941004 Long 1 -132.90 25093.33 -301.15 -3893.92 941005 Long 1 42.00 25268.23 -126.25 -3893.92 941006 Long 1 91.66 25317.89 -76.59 -3893.92 941007 Long 1 -3.74 25222.48 -172.00 -3893.92 941010 Long 1 -53.21 25173.02 -221.46 -3893.92 941011 Long 1 -295.26 24930.96 -463.52 -3893.92 941012 Long 1 -155.61 25070.61 -323.87 -3893.92 941013 Long 1 349.20 25575.42 0.00 -3893.92 941014 Exit Long 1 575.00 25801.22 0.00 -3893.92 MFE = 575.00 MAE = -400.41 941017 Enter Long 1 174.35 25975.57 0.00 -3893.92 941018 Long 1 246.64 26047.87 0.00 -3893.92 941019 Long 1 294.96 26096.18 0.00 -3893.92 941020 Exit Long 1 575.00 26376.22 0.00 -3893.92 MFE = 575.00 MAE = 0.00 941025 Enter Long 1 -518.25 25857.98 -238.21 -3893.92 941026 Long 1 -204.44 26171.79 0.00 -3893.92 941027 Long 1 -645.86 25730.37 -441.42 -3893.92 941028 Long 1 -903.07 25473.15 -698.64 -3893.92 941031 Long 1 -717.36 25658.87 -512.92 -3893.92 1150.00 941101 Long 1 -333.66 26042.57 -129.22 -3893.92 941102 Exit Long 1 -1250.00 25126.22 -1250.00 -3893.92 MFE = 0.00 MAE = -1250.00 941108 Enter Long 1 -87.77 25038.45 -1133.33 -3893.92 941109 Exit Long 1 -843.75 24282.47 -2093.75 -3893.92 MFE = 0.00 MAE = -843.75 941109 Enter Short 1 73.05 24355.52 -1816.27 -3893.92 941110 Short 1 118.64 24401.12 -1770.67 -3893.92 941111 Short 1 103.45 24385.93 -1785.86 -3893.92 941114 Exit Short 1 575.00 24857.47 -1314.31 -3893.92 MFE = 575.00 MAE = 0.00 941115 Enter Short 1 34.36 24891.83 -1279.95 -3893.92 941116 Short 1 -174.30 24683.17 -1488.61 -3893.92 941117 Short 1 -185.33 24672.14 -1499.64 -3893.92 941118 Short 1 370.93 25228.41 -943.38 -3893.92 941121 Exit Short 1 575.00 25432.47 -739.31 -3893.92 MFE = 575.00 MAE = -185.33 941124 Enter Short 1 53.49 25485.97 -685.82 -3893.92 941125 Short 1 -10.98 25421.49 -750.30 -3893.92 941128 Short 1 274.25 25706.72 -465.07 -3893.92 941129 Short 1 309.66 25742.13 -429.65 -3893.92 941130 Short 1 231.68 25664.15 -507.63 -3893.92 -943.75 941201 Short 1 291.96 25724.43 -447.35 -3893.92 941202 Short 1 440.22 25872.70 -299.09 -3893.92 941205 Short 1 203.26 25635.73 -536.05 -3893.92 941206 Short 1 238.78 25671.25 -500.53 -3893.92 941207 Short 1 167.69 25600.17 -571.62 -3893.92 941208 Exit Short 1 575.00 26007.47 -164.31 -3893.92 MFE = 575.00 MAE = -10.98 941209 Enter Short 1 -109.69 25897.78 -274.00 -3893.92 941212 Short 1 -225.39 25782.08 -389.70 -3893.92 941213 Short 1 -373.47 25634.00 -537.79 -3893.92 941214 Short 1 -454.97 25552.50 -619.28 -3893.92 941215 Short 1 -472.72 25534.75 -637.03 -3893.92 941216 Short 1 -260.56 25746.91 -424.88 -3893.92 941219 Short 1 -295.79 25711.68 -460.10 -3893.92 941220 Short 1 -430.14 25577.34 -594.45 -3893.92 941221 Short 1 -260.56 25746.91 -424.88 -3893.92 941222 Short 1 -313.43 25694.05 -477.74 -3893.92 941223 Short 1 -264.09 25743.39 -428.40 -3893.92 941226 Short 1 -218.36 25789.11 -382.68 -3893.92 941227 Short 1 -359.33 25648.14 -523.65 -3893.92 941228 Exit Short 1 -600.00 25407.47 -764.31 -3893.92 MFE = 0.00 MAE = -600.00 941228 Exit Long 1 575.00 25982.47 -189.31 -3893.92 MFE = 575.00 MAE = 0.00 550.00 950105 Enter Long 1 -8.89 25973.58 -198.21 -3893.92 950106 Long 1 -364.53 25617.94 -553.84 -3893.92 950109 Exit Long 1 575.00 26557.47 0.00 -3893.92 MFE = 575.00 MAE = -364.53 950119 Enter Long 1 58.55 26616.02 0.00 -3893.92 950120 Long 1 251.60 26809.08 0.00 -3893.92 950123 Long 1 243.85 26801.32 -7.76 -3893.92 950124 Long 1 224.48 26781.96 -27.12 -3893.92 950125 Long 1 -6.75 26550.73 -258.35 -3893.92 950126 Long 1 8.60 26566.08 -243.00 -3893.92 950127 Long 1 77.79 26635.26 -173.82 -3893.92 950130 Long 1 391.54 26949.02 0.00 -3893.92 950131 Long 1 -357.10 26200.38 -748.64 -3893.92 575.00 950201 Long 1 -273.77 26283.70 -665.32 -3893.92 950202 Long 1 -307.90 26249.58 -699.44 -3893.92 950203 Long 1 -605.37 25952.11 -996.91 -3893.92 950206 Exit Long 1 -856.25 25701.22 -1247.79 -3893.92 MFE = 391.54 MAE = -856.25 950210 Enter Long 1 97.06 25798.28 -1150.74 -3893.92 950213 Long 1 -28.15 25673.07 -1275.95 -3893.92 950214 Long 1 407.14 26108.36 -840.65 -3893.92 950215 Long 1 334.05 26035.28 -913.74 -3893.92 950216 Exit Long 1 575.00 26276.22 -672.79 -3893.92 MFE = 575.00 MAE = -28.15 950227 Enter Long 1 -260.69 26015.54 -933.48 -3893.92 950228 Long 1 -37.04 26239.19 -709.83 -3893.92 -281.25 950301 Long 1 -110.45 26165.77 -783.24 -3893.92 950302 Exit Long 1 575.00 26851.22 -97.79 -3893.92 MFE = 575.00 MAE = -260.69 950327 Enter Long 1 74.35 26925.57 -23.45 -3893.92 950328 Exit Long 1 575.00 27426.22 0.00 -3893.92 MFE = 575.00 MAE = 0.00 1150.00 950417 Exit Long 1 575.00 28001.22 0.00 -3893.92 MFE = 575.00 MAE = 0.00 575.00 950509 Enter Short 1 -58.25 27942.97 -58.25 -3893.92 950510 Exit Short 1 575.00 28576.22 0.00 -3893.92 MFE = 575.00 MAE = -58.25 575.00 950621 Enter Long 1 220.36 28796.59 0.00 -3893.92 950622 Long 1 -393.48 28182.74 -613.85 -3893.92 950623 Long 1 172.66 28748.88 -47.71 -3893.92 950626 Long 1 -64.67 28511.55 -285.04 -3893.92 950627 Long 1 125.02 28701.24 -95.35 -3893.92 950628 Long 1 -486.70 28089.52 -707.07 -3893.92 950629 Long 1 172.66 28748.88 -47.71 -3893.92 950630 Long 1 30.01 28606.23 -190.35 -3893.92 0.00 950703 Long 1 220.36 28796.59 0.00 -3893.92 950704 Long 1 30.01 28606.23 -190.35 -3893.92 950705 Long 1 196.50 28772.72 -23.87 -3893.92 950706 Long 1 258.60 28834.82 0.00 -3893.92 950707 Exit Long 1 -406.25 28169.97 -406.25 -3893.92 MFE = 258.60 MAE = -486.70 950707 Enter Short 1 12.23 28182.20 -652.62 -3893.92 950710 Short 1 35.57 28205.54 -629.28 -3893.92 950711 Exit Short 1 575.00 28744.97 -89.85 -3893.92 MFE = 575.00 MAE = 0.00 950713 Enter Long 1 -2.63 28742.34 -92.48 -3893.92 950714 Long 1 -211.56 28533.41 -301.41 -3893.92 950717 Long 1 -496.77 28248.20 -586.62 -3893.92 950718 Long 1 -114.26 28630.71 -204.11 -3893.92 950719 Exit Long 1 575.00 29319.97 0.00 -3893.92 MFE = 575.00 MAE = -496.77 743.75 950801 Enter Long 1 -76.53 29243.44 -76.53 -3893.92 950802 Exit Long 1 -1250.00 28069.97 -1250.00 -3893.92 MFE = 0.00 MAE = -1250.00 950810 Enter Short 1 -58.76 28011.22 -1308.76 -3893.92 950811 Exit Short 1 575.00 28644.97 -675.00 -3893.92 MFE = 575.00 MAE = -58.76 950824 Enter Short 1 -790.80 27854.17 -1465.80 -3893.92 950825 Short 1 -1130.18 27514.79 -1805.18 -3893.92 950828 Exit Short 1 -1250.00 27394.97 -1925.00 -3893.92 MFE = 0.00 MAE = -1250.00 -1925.00 950905 Enter Short 1 -108.33 27286.64 -2033.33 -3893.92 950906 Exit Short 1 575.00 27969.97 -1350.00 -3893.92 MFE = 575.00 MAE = -108.33 950907 Enter Short 1 -116.60 27853.38 -1466.60 -3893.92 950908 Short 1 -213.95 27756.02 -1563.95 -3893.92 950911 Short 1 -405.50 27564.48 -1755.50 -3893.92 950912 Short 1 -663.12 27306.86 -2013.12 -3893.92 950913 Short 1 -44.88 27925.10 -1394.88 -3893.92 950914 Short 1 -286.15 27683.82 -1636.15 -3893.92 950915 Short 1 -512.52 27457.45 -1862.52 -3893.92 950918 Short 1 -576.96 27393.02 -1926.96 -3893.92 950919 Short 1 -697.66 27272.32 -2047.66 -3893.92 950920 Exit Short 1 -1250.00 26719.97 -2600.00 -3893.92 MFE = 0.00 MAE = -1250.00 950920 Exit Long 1 575.00 27294.97 -2025.00 -3893.92 MFE = 575.00 MAE = 0.00 950928 Enter Long 1 17.09 27312.07 -2007.91 -3893.92 950929 Long 1 -518.67 26776.31 -2543.67 -3893.92 -100.00 951002 Long 1 -316.04 26978.94 -2341.04 -3893.92 951003 Long 1 -784.96 26510.02 -2809.96 -3893.92 951004 Long 1 -485.79 26809.19 -2510.79 -3893.92 951005 Long 1 89.01 27383.99 -1935.99 -3893.92 951006 Long 1 -126.17 27168.80 -2151.17 -3893.92 951009 Exit Long 1 575.00 27869.97 -1450.00 -3893.92 MFE = 575.00 MAE = -784.96 951017 Enter Long 1 -48.76 27821.21 -1498.76 -3893.92 951018 Long 1 -496.76 27373.22 -1946.76 -3893.92 951019 Long 1 -110.50 27759.47 -1560.50 -3893.92 951020 Long 1 238.03 28108.00 -1211.97 -3893.92 951023 Exit Long 1 575.00 28444.97 -875.00 -3893.92 MFE = 575.00 MAE = -496.76 1150.00 951124 Enter Short 1 3.50 28448.48 -871.50 -3893.92 951127 Exit Short 1 575.00 29019.97 -300.00 -3893.92 MFE = 575.00 MAE = 0.00 951130 Enter Short 1 -40.01 28979.97 -340.01 -3893.92 575.00 951201 Short 1 -17.43 29002.55 -317.43 -3893.92 951204 Short 1 -426.94 28593.03 -726.94 -3893.92 951205 Short 1 -541.82 28478.15 -841.82 -3893.92 951206 Short 1 -344.54 28675.44 -644.54 -3893.92 951207 Short 1 -289.73 28730.24 -589.73 -3893.92 951208 Short 1 -381.13 28638.84 -681.13 -3893.92 951211 Short 1 -381.13 28638.84 -681.13 -3893.92 951212 Short 1 -130.55 28889.43 -430.55 -3893.92 951213 Short 1 -85.24 28934.73 -385.24 -3893.92 951214 Exit Short 1 -625.00 28394.97 -925.00 -3893.92 MFE = 0.00 MAE = -625.00 951222 Enter Short 1 -359.60 28035.37 -1284.60 -3893.92 951225 Short 1 -257.05 28137.93 -1182.05 -3893.92 951226 Short 1 -584.72 27810.25 -1509.72 -3893.92 951227 Short 1 -373.62 28021.35 -1298.62 -3893.92 951228 Short 1 -396.99 27997.98 -1321.99 -3893.92 951229 Short 1 -514.17 27880.80 -1439.17 -3893.92 -625.00 960102 Short 1 -280.32 28114.65 -1205.32 -3893.92 960103 Short 1 -2.35 28392.62 -927.35 -3893.92 960104 Short 1 -117.83 28277.15 -1042.83 -3893.92 960105 Short 1 -164.15 28230.82 -1089.15 -3893.92 960108 Short 1 -131.71 28263.26 -1056.71 -3893.92 960109 Short 1 -140.98 28254.00 -1065.98 -3893.92 960110 Short 1 -210.56 28184.41 -1135.56 -3893.92 960111 Short 1 -140.98 28254.00 -1065.98 -3893.92 960112 Short 1 -94.69 28300.29 -1019.69 -3893.92 960115 Short 1 66.69 28461.67 -858.31 -3893.92 960116 Exit Short 1 575.00 28969.97 -350.00 -3893.92 MFE = 575.00 MAE = -584.72 960117 Enter Short 1 -12.59 28957.38 -362.59 -3893.92 960118 Short 1 -65.68 28904.29 -415.68 -3893.92 960119 Short 1 102.06 29072.04 -247.94 -3893.92 960122 Short 1 -265.71 28704.26 -615.71 -3893.92 960123 Short 1 -56.82 28913.15 -406.82 -3893.92 960124 Short 1 97.66 29067.64 -252.34 -3893.92 960125 Short 1 329.88 29299.86 -20.12 -3893.92 960126 Exit Short 1 575.00 29544.97 0.00 -3893.92 MFE = 575.00 MAE = -265.71 960129 Enter Short 1 -409.76 29135.21 -409.76 -3893.92 960130 Short 1 41.85 29586.83 0.00 -3893.92 960131 Short 1 -119.14 29425.83 -160.99 -3893.92 1150.00 960201 Short 1 -55.47 29489.50 -97.32 -3893.92 960202 Short 1 -51.23 29493.74 -93.08 -3893.92 960205 Exit Short 1 -850.00 28694.97 -850.00 -3893.92 MFE = 41.85 MAE = -850.00 960216 Enter Long 1 -56.59 28638.39 -948.44 -3893.92 960219 Long 1 266.38 28961.35 -625.47 -3893.92 960220 Long 1 198.77 28893.74 -693.09 -3893.92 960221 Long 1 10.37 28705.34 -881.48 -3893.92 960222 Long 1 189.77 28884.74 -702.09 -3893.92 960223 Long 1 325.11 29020.09 -566.74 -3893.92 960226 Long 1 167.28 28862.25 -724.58 -3893.92 960227 Long 1 50.63 28745.60 -841.22 -3893.92 960228 Exit Long 1 -625.00 28069.97 -1475.00 -3893.92 MFE = 325.11 MAE = -625.00 960228 Enter Short 1 -57.50 28012.47 -1574.36 -3893.92 960229 Short 1 229.77 28299.74 -1287.08 -3893.92 -1475.00 960301 Short 1 311.88 28381.86 -1204.97 -3893.92 960304 Short 1 247.08 28317.05 -1269.77 -3893.92 960305 Short 1 99.58 28169.56 -1417.27 -3893.92 960306 Short 1 203.78 28273.76 -1313.07 -3893.92 960307 Short 1 116.98 28186.95 -1399.87 -3893.92 960308 Exit Short 1 -125.00 27944.97 -1600.00 -3893.92 MFE = 311.88 MAE = -125.00 960308 Enter Long 1 -355.73 27589.24 -1997.58 -3893.92 960311 Long 1 -321.11 27623.86 -1962.96 -3893.92 960312 Long 1 49.58 27994.55 -1592.27 -3893.92 960313 Long 1 283.40 28228.37 -1358.46 -3893.92 960314 Long 1 301.13 28246.11 -1340.72 -3893.92 960315 Long 1 345.51 28290.48 -1296.34 -3893.92 960318 Long 1 124.35 28069.32 -1517.50 -3893.92 960319 Long 1 186.08 28131.06 -1455.77 -3893.92 960320 Long 1 93.53 28038.51 -1548.32 -3893.92 960321 Long 1 -116.79 27828.18 -1758.65 -3893.92 960322 Long 1 45.19 27990.16 -1596.67 -3893.92 960325 Long 1 106.74 28051.71 -1535.11 -3893.92 960326 Long 1 62.75 28007.73 -1579.10 -3893.92 960327 Exit Long 1 -175.00 27769.97 -1775.00 -3893.92 MFE = 345.51 MAE = -355.73 960327 Enter Short 1 23.47 27793.44 -1793.39 -3893.92 960328 Short 1 -362.59 27407.38 -2179.44 -3893.92 960329 Short 1 -371.43 27398.54 -2188.28 -3893.92 -300.00 960401 Short 1 -116.26 27653.71 -1933.11 -3893.92 960402 Short 1 -116.26 27653.71 -1933.11 -3893.92 960403 Short 1 -63.78 27706.20 -1880.63 -3893.92 960404 Short 1 -225.95 27544.03 -2042.80 -3893.92 960405 Short 1 -133.78 27636.19 -1950.63 -3893.92 960408 Short 1 -98.75 27671.22 -1915.61 -3893.92 960409 Exit Short 1 575.00 28344.97 -1241.85 -3893.92 MFE = 575.00 MAE = -371.43 960418 Enter Long 1 -132.43 28212.55 -1374.28 -3893.92 960419 Long 1 -512.65 27832.32 -1754.50 -3893.92 960422 Long 1 -549.95 27795.02 -1791.80 -3893.92 960423 Long 1 -756.17 27588.80 -1998.02 -3893.92 960424 Long 1 -611.99 27732.98 -1853.84 -3893.92 960425 Exit Long 1 -931.25 27413.72 -2173.10 -3893.92 MFE = 0.00 MAE = -931.25 960425 Enter Short 1 42.25 27455.97 -2130.85 -3893.92 960426 Short 1 -113.13 27300.59 -2286.24 -3893.92 960429 Short 1 103.32 27517.05 -2069.78 -3893.92 960430 Short 1 277.59 27691.32 -1895.51 -3893.92 -356.25 960501 Exit Short 1 575.00 27988.72 -1598.10 -3893.92 MFE = 575.00 MAE = -113.13 960502 Enter Short 1 -393.15 27595.57 -1991.25 -3893.92 960503 Short 1 -546.72 27442.00 -2144.82 -3893.92 960506 Short 1 -441.54 27547.18 -2039.64 -3893.92 960507 Short 1 -433.47 27555.25 -2031.57 -3893.92 960508 Short 1 -836.19 27152.54 -2434.29 -3893.92 960509 Short 1 -656.41 27332.32 -2254.51 -3893.92 960510 Short 1 -292.63 27696.10 -1890.73 -3893.92 960513 Short 1 -212.50 27776.22 -1810.60 -3893.92 960514 Short 1 -212.50 27776.22 -1810.60 -3893.92 960515 Short 1 -136.62 27852.11 -1734.72 -3893.92 960516 Short 1 -49.04 27939.68 -1647.14 -3893.92 960517 Short 1 243.31 28232.03 -1354.80 -3893.92 960520 Short 1 255.09 28243.81 -1343.02 -3893.92 960521 Exit Short 1 575.00 28563.72 -1023.10 -3893.92 MFE = 575.00 MAE = -836.19 960528 Enter Short 1 133.53 28697.25 -889.58 -3893.92 960529 Short 1 -354.11 28209.61 -1377.22 -3893.92 960530 Short 1 -354.11 28209.61 -1377.22 -3893.92 960531 Short 1 -807.36 27756.36 -1830.46 -3893.92 1150.00 960603 Short 1 -611.53 27952.19 -1634.64 -3893.92 960604 Short 1 -433.04 28130.69 -1456.14 -3893.92 960605 Short 1 -456.77 28106.96 -1479.87 -3893.92 960606 Short 1 -448.86 28114.87 -1471.96 -3893.92 960607 Short 1 36.77 28600.49 -986.33 -3893.92 960610 Short 1 -64.27 28499.45 -1087.37 -3893.92 960611 Short 1 -165.72 28398.00 -1188.82 -3893.92 960612 Short 1 -251.89 28311.83 -1274.99 -3893.92 960613 Exit Short 1 -518.75 28044.97 -1541.85 -3893.92 MFE = 133.53 MAE = -807.36 960613 Enter Long 1 89.93 28134.91 -1451.92 -3893.92 960614 Exit Long 1 575.00 28619.97 -966.85 -3893.92 MFE = 575.00 MAE = 0.00 960621 Enter Short 1 152.13 28772.10 -814.73 -3893.92 960624 Short 1 -102.25 28517.72 -1069.10 -3893.92 960625 Short 1 -125.86 28494.11 -1092.72 -3893.92 960626 Short 1 -240.31 28379.66 -1207.16 -3893.92 960627 Exit Short 1 -531.25 28088.72 -1498.10 -3893.92 MFE = 152.13 MAE = -531.25 960627 Enter Long 1 156.92 28245.64 -1341.19 -3893.92 960628 Long 1 -150.96 27937.76 -1649.06 -3893.92 -475.00 960701 Long 1 8.50 28097.22 -1489.60 -3893.92 960702 Long 1 -3.49 28085.23 -1501.59 -3893.92 960703 Long 1 -59.39 28029.33 -1557.50 -3893.92 960704 Long 1 -154.94 27933.79 -1653.04 -3893.92 960705 Exit Long 1 -443.75 27644.97 -1941.85 -3893.92 MFE = 156.92 MAE = -443.75 960705 Enter Short 1 32.41 27677.38 -1909.44 -3893.92 960708 Short 1 40.26 27685.23 -1901.59 -3893.92 960709 Short 1 110.81 27755.78 -1831.04 -3893.92 960710 Short 1 91.24 27736.21 -1850.62 -3893.92 960711 Exit Short 1 -256.25 27388.72 -2198.10 -3893.92 MFE = 110.81 MAE = -256.25 960711 Enter Long 1 -58.65 27330.07 -2256.76 -3893.92 960712 Long 1 -173.20 27215.53 -2371.30 -3893.92 960715 Long 1 220.01 27608.73 -1978.10 -3893.92 960716 Exit Long 1 575.00 27963.72 -1623.10 -3893.92 MFE = 575.00 MAE = -173.20 960722 Enter Long 1 -22.27 27941.46 -1645.37 -3893.92 960723 Long 1 -287.11 27676.61 -1910.21 -3893.92 960724 Long 1 -367.73 27595.99 -1990.83 -3893.92 960725 Long 1 7.81 27971.53 -1615.30 -3893.92 960726 Long 1 -129.38 27834.34 -1752.49 -3893.92 960729 Long 1 -0.79 27962.94 -1623.89 -3893.92 960730 Long 1 163.02 28126.74 -1460.08 -3893.92 960731 Exit Long 1 575.00 28538.72 -1048.10 -3893.92 MFE = 575.00 MAE = -367.73 450.00 960805 Enter Long 1 -147.53 28391.19 -1195.64 -3893.92 960806 Long 1 -414.80 28123.92 -1462.91 -3893.92 960807 Long 1 -534.61 28004.11 -1582.71 -3893.92 960808 Long 1 -534.61 28004.11 -1582.71 -3893.92 960809 Long 1 -195.15 28343.57 -1243.26 -3893.92 960812 Long 1 -229.73 28308.99 -1277.83 -3893.92 960813 Long 1 -69.42 28469.30 -1117.52 -3893.92 960814 Long 1 -479.05 28059.67 -1527.15 -3893.92 960815 Long 1 -281.51 28257.21 -1329.62 -3893.92 960816 Long 1 -500.43 28038.29 -1548.54 -3893.92 960819 Long 1 -389.06 28149.67 -1437.16 -3893.92 960820 Long 1 -389.06 28149.67 -1437.16 -3893.92 960821 Long 1 -60.73 28478.00 -1108.83 -3893.92 960822 Long 1 -423.38 28115.35 -1471.48 -3893.92 960823 Long 1 223.40 28762.12 -824.70 -3893.92 960826 Long 1 175.10 28713.82 -873.00 -3893.92 960827 Long 1 205.83 28744.55 -842.27 -3893.92 960828 Long 1 240.98 28779.71 -807.12 -3893.92 960829 Long 1 157.56 28696.28 -890.54 -3893.92 960830 Long 1 -156.20 28382.52 -1204.30 -3893.92 0.00 960902 Long 1 -491.88 28046.84 -1539.99 -3893.92 960903 Long 1 -491.88 28046.84 -1539.99 -3893.92 960904 Long 1 -328.88 28209.84 -1376.99 -3893.92 960905 Long 1 -427.66 28111.06 -1475.77 -3893.92 960906 Exit Long 1 -718.75 27819.97 -1766.85 -3893.92 MFE = 240.98 MAE = -718.75 960906 Enter Short 1 209.60 28029.57 -1557.26 -3893.92 960909 Short 1 335.53 28155.50 -1431.33 -3893.92 960910 Exit Short 1 575.00 28394.97 -1191.85 -3893.92 MFE = 575.00 MAE = 0.00 960926 Enter Short 1 264.61 28659.58 -927.24 -3893.92 960927 Short 1 344.04 28739.01 -847.82 -3893.92 960930 Short 1 284.49 28679.46 -907.37 -3893.92 -143.75 961001 Short 1 367.82 28762.79 -824.03 -3893.92 961002 Short 1 415.30 28810.28 -776.55 -3893.92 961003 Short 1 308.33 28703.30 -883.52 -3893.92 961004 Short 1 423.21 28818.19 -768.64 -3893.92 961007 Short 1 320.23 28715.21 -871.62 -3893.92 961008 Short 1 304.36 28699.33 -887.50 -3893.92 961009 Short 1 224.80 28619.78 -967.05 -3893.92 961010 Short 1 56.90 28451.88 -1134.95 -3893.92 961011 Short 1 264.61 28659.58 -927.24 -3893.92 961014 Short 1 204.87 28599.84 -986.98 -3893.92 961015 Exit Short 1 575.00 28969.97 -616.85 -3893.92 MFE = 575.00 MAE = 0.00 961022 Enter Long 1 -15.74 28954.24 -632.59 -3893.92 961023 Long 1 -35.61 28934.37 -652.46 -3893.92 961024 Long 1 -47.51 28922.46 -664.37 -3893.92 961025 Long 1 -272.75 28697.23 -889.60 -3893.92 961028 Long 1 -284.55 28685.42 -901.40 -3893.92 961029 Long 1 -95.10 28874.87 -711.96 -3893.92 961030 Long 1 -43.54 28926.43 -660.39 -3893.92 961031 Exit Long 1 -425.00 28544.97 -1041.85 -3893.92 MFE = 0.00 MAE = -425.00 961031 Enter Short 1 166.03 28711.00 -875.82 -3893.92 150.00 961101 Short 1 204.87 28749.85 -836.98 -3893.92 961104 Short 1 88.16 28633.14 -953.69 -3893.92 961105 Exit Short 1 575.00 29119.97 -466.85 -3893.92 MFE = 575.00 MAE = 0.00 961125 Enter Short 1 351.51 29471.48 -115.34 -3893.92 961126 Exit Short 1 575.00 29694.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 961129 Enter Short 1 68.95 29763.93 0.00 -3893.92 1150.00 961202 Exit Short 1 575.00 30269.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 961213 Enter Short 1 60.57 30330.54 0.00 -3893.92 961216 Short 1 -110.98 30158.99 -171.55 -3893.92 961217 Short 1 60.57 30330.54 0.00 -3893.92 961218 Short 1 191.96 30461.93 0.00 -3893.92 961219 Exit Short 1 575.00 30844.97 0.00 -3893.92 MFE = 575.00 MAE = -110.98 961224 Enter Short 1 122.37 30967.34 0.00 -3893.92 961225 Short 1 115.47 30960.45 -6.90 -3893.92 961226 Short 1 35.97 30880.94 -86.40 -3893.92 961227 Short 1 259.96 31104.93 0.00 -3893.92 961230 Short 1 208.46 31053.43 -51.50 -3893.92 961231 Short 1 -85.54 30759.43 -345.49 -3893.92 1150.00 970102 Short 1 174.06 31019.03 -85.89 -3893.92 970103 Exit Short 1 575.00 31419.97 0.00 -3893.92 MFE = 575.00 MAE = -85.54 970108 Enter Short 1 81.20 31501.18 0.00 -3893.92 970109 Short 1 234.99 31654.96 0.00 -3893.92 970110 Short 1 437.33 31857.31 0.00 -3893.92 970113 Short 1 440.63 31860.61 0.00 -3893.92 970114 Short 1 407.59 31827.56 -33.04 -3893.92 970115 Exit Short 1 575.00 31994.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970117 Enter Short 1 547.44 32542.42 0.00 -3893.92 970120 Exit Short 1 575.00 32569.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970122 Enter Short 1 178.68 32748.66 0.00 -3893.92 970123 Short 1 -319.63 32250.34 -498.31 -3893.92 970124 Short 1 -539.85 32030.13 -718.53 -3893.92 970127 Short 1 203.15 32773.12 0.00 -3893.92 970128 Short 1 114.32 32684.30 -88.83 -3893.92 970129 Short 1 108.18 32678.16 -94.97 -3893.92 970130 Short 1 15.88 32585.86 -187.27 -3893.92 970131 Short 1 -24.23 32545.74 -227.38 -3893.92 1725.00 970203 Short 1 -148.13 32421.84 -351.28 -3893.92 970204 Short 1 190.92 32760.89 -12.23 -3893.92 970205 Short 1 22.05 32592.02 -181.10 -3893.92 970206 Short 1 108.18 32678.16 -94.97 -3893.92 970207 Exit Short 1 575.00 33144.97 0.00 -3893.92 MFE = 575.00 MAE = -539.85 970211 Enter Short 1 162.26 33307.24 0.00 -3893.92 970212 Exit Short 1 575.00 33719.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970214 Enter Short 1 135.82 33855.79 0.00 -3893.92 970217 Exit Short 1 575.00 34294.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970219 Enter Short 1 -92.13 34202.85 0.00 -3893.92 970220 Short 1 -420.38 33874.59 -328.25 -3893.92 970221 Short 1 -489.53 33805.44 -397.40 -3893.92 970224 Short 1 -938.68 33356.29 -846.55 -3893.92 970225 Short 1 -818.17 33476.80 -726.05 -3893.92 970226 Short 1 -251.33 34043.64 -159.21 -3893.92 970227 Short 1 -469.33 33825.64 -377.21 -3893.92 970228 Short 1 -291.32 34003.65 -199.19 -3893.92 1725.00 970303 Short 1 -277.03 34017.94 -184.91 -3893.92 970304 Short 1 -63.82 34231.15 0.00 -3893.92 970305 Short 1 -177.27 34117.71 -113.45 -3893.92 970306 Short 1 -234.22 34060.76 -170.39 -3893.92 970307 Short 1 -248.48 34046.49 -184.66 -3893.92 970310 Short 1 -498.19 33796.78 -434.37 -3893.92 970311 Short 1 -463.57 33831.40 -399.75 -3893.92 970312 Exit Short 1 -900.00 33394.97 -900.00 -3893.92 MFE = 0.00 MAE = -938.68 970312 Enter Long 1 113.84 33508.82 -722.33 -3893.92 970313 Long 1 -223.23 33171.74 -1059.41 -3893.92 970314 Long 1 25.40 33420.37 -810.78 -3893.92 970317 Long 1 -77.33 33317.64 -913.51 -3893.92 970318 Exit Long 1 575.00 33969.97 -261.18 -3893.92 MFE = 575.00 MAE = -223.23 970327 Enter Long 1 112.07 34082.04 -149.11 -3893.92 970328 Long 1 61.56 34031.53 -199.62 -3893.92 970331 Long 1 126.95 34096.92 -134.23 -3893.92 -325.00 970401 Long 1 321.31 34291.28 0.00 -3893.92 970402 Long 1 306.30 34276.27 -15.01 -3893.92 970403 Exit Long 1 575.00 34544.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970407 Enter Short 1 272.80 34817.77 0.00 -3893.92 970408 Short 1 417.12 34962.09 0.00 -3893.92 970409 Exit Short 1 575.00 35119.97 0.00 -3893.92 MFE = 575.00 MAE = 0.00 970418 Enter Long 1 -16.14 35103.83 0.00 -3893.92 970421 Long 1 415.06 35535.03 0.00 -3893.92 970422 Long 1 -192.06 34927.91 -607.12 -3893.92 970423 Long 1 -162.84 34957.13 -577.90 -3893.92 970424 Long 1 -148.22 34971.75 -563.28 -3893.92 970425 Long 1 -366.55 34753.43 -781.60 -3893.92 970428 Exit Long 1 -593.75 34526.22 -1008.81 -3893.92 MFE = 415.06 MAE = -593.75 970428 Enter Short 1 -57.88 34468.34 -1066.69 -3893.92 970429 Short 1 -231.18 34295.04 -1239.99 -3893.92 970430 Short 1 -101.07 34425.15 -1109.88 -3893.92 556.25 970501 Short 1 -173.26 34352.97 -1182.06 -3893.92 970502 Short 1 -138.58 34387.65 -1147.38 -3893.92 970505 Short 1 -14.77 34511.45 -1023.58 -3893.92 970506 Exit Short 1 -456.25 34069.97 -1465.06 -3893.92 MFE = 0.00 MAE = -456.25 970506 Enter Long 1 -34.11 34035.86 -1499.17 -3893.92 970507 Long 1 33.22 34103.19 -1431.84 -3893.92 970508 Exit Long 1 575.00 34644.97 -890.06 -3893.92 MFE = 575.00 MAE = -34.11 970509 Enter Long 1 55.87 34700.84 -834.19 -3893.92 970512 Long 1 -401.97 34243.01 -1292.02 -3893.92 970513 Long 1 -280.81 34364.16 -1170.87 -3893.92 970514 Long 1 -247.38 34397.60 -1137.43 -3893.92 970515 Long 1 -67.16 34577.81 -957.22 -3893.92 970516 Long 1 164.09 34809.06 -725.97 -3893.92 970519 Long 1 -82.49 34562.48 -972.55 -3893.92 970520 Exit Long 1 575.00 35219.97 -315.06 -3893.92 MFE = 575.00 MAE = -401.97 693.75 970609 Enter Long 1 10.53 35230.51 -304.52 -3893.92 970610 Long 1 -94.92 35125.05 -409.98 -3893.92 970611 Long 1 25.64 35245.62 -289.41 -3893.92 970612 Long 1 -184.91 35035.07 -499.96 -3893.92 970613 Long 1 -139.96 35080.01 -455.01 -3893.92 970616 Long 1 -94.92 35125.05 -409.98 -3893.92 970617 Long 1 -154.95 35065.02 -470.01 -3893.92 970618 Long 1 -277.50 34942.48 -592.55 -3893.92 970619 Long 1 -4.56 35215.41 -319.62 -3893.92 970620 Long 1 -49.79 35170.18 -364.84 -3893.92 970623 Long 1 284.08 35504.06 -30.97 -3893.92 970624 Long 1 10.53 35230.51 -304.52 -3893.92 970625 Long 1 46.81 35266.79 -268.24 -3893.92 970626 Long 1 131.69 35351.66 -183.37 -3893.92 970627 Exit Long 1 -268.75 34951.22 -583.81 -3893.92 MFE = 284.08 MAE = -277.50 970627 Enter Short 1 253.18 35204.40 -330.63 -3893.92 970630 Short 1 429.47 35380.69 -154.34 -3893.92 -268.75 970701 Short 1 575.27 35526.49 -8.53 -3893.92 970702 Exit Short 1 575.00 35526.22 -8.81 -3893.92 MFE = 575.27 MAE = 0.00 970710 Enter Long 1 84.14 35610.37 0.00 -3893.92 970711 Long 1 -518.82 35007.40 -602.96 -3893.92 970714 Exit Long 1 -887.50 34638.72 -896.31 -3893.92 MFE = 84.14 MAE = -887.50 970714 Enter Short 1 -213.57 34425.15 -1185.21 -3893.92 970715 Short 1 -176.13 34462.59 -1147.77 -3893.92 970716 Short 1 -98.58 34540.14 -1070.22 -3893.92 970717 Short 1 -27.03 34611.69 -998.68 -3893.92 970718 Short 1 -184.77 34453.96 -1156.41 -3893.92 970721 Short 1 -98.58 34540.14 -1070.22 -3893.92 970722 Short 1 115.35 34754.07 -856.30 -3893.92 970723 Short 1 123.86 34762.59 -847.78 -3893.92 970724 Exit Short 1 575.00 35213.72 -396.64 -3893.92 MFE = 575.00 MAE = -213.57 970730 Enter Short 1 -306.72 34907.00 -703.36 -3893.92 970731 Short 1 -328.56 34885.16 -725.20 -3893.92 262.50 970801 Short 1 37.00 35250.72 -359.64 -3893.92 970804 Short 1 20.89 35234.61 -375.75 -3893.92 970805 Short 1 258.56 35472.28 -138.08 -3893.92 970806 Short 1 216.04 35429.76 -180.60 -3893.92 970807 Short 1 162.76 35376.48 -233.88 -3893.92 970808 Exit Short 1 -456.25 34757.47 -852.89 -3893.92 MFE = 258.56 MAE = -456.25 970822 Enter Long 1 -21.41 34736.06 -874.30 -3893.92 970825 Long 1 117.48 34874.95 -735.41 -3893.92 970826 Exit Long 1 575.00 35332.47 -277.89 -3893.92 MFE = 575.00 MAE = -21.41 118.75 970905 Enter Long 1 243.12 35575.60 -34.77 -3893.92 970908 Long 1 -26.94 35305.53 -304.83 -3893.92 970909 Long 1 1.32 35333.80 -276.57 -3893.92 970910 Long 1 220.25 35552.72 -57.65 -3893.92 970911 Long 1 329.13 35661.61 0.00 -3893.92 970912 Exit Long 1 575.00 35907.47 0.00 -3893.92 MFE = 575.00 MAE = -26.94 970915 Enter Long 1 303.93 36211.41 0.00 -3893.92 970916 Long 1 169.84 36077.31 -134.10 -3893.92 970917 Long 1 -125.19 35782.29 -429.12 -3893.92 970918 Long 1 -285.73 35621.74 -589.67 -3893.92 970919 Long 1 -169.09 35738.38 -473.03 -3893.92 970922 Long 1 -395.96 35511.52 -699.89 -3893.92 970923 Long 1 -398.85 35508.62 -702.79 -3893.92 970924 Long 1 -66.50 35840.97 -370.44 -3893.92 970925 Long 1 163.90 36071.37 -140.04 -3893.92 970926 Long 1 101.63 36009.10 -202.31 -3893.92 970929 Long 1 63.16 35970.63 -240.77 -3893.92 970930 Long 1 223.38 36130.85 -80.56 -3893.92 575.00 971001 Long 1 -104.67 35802.81 -408.60 -3893.92 971002 Long 1 10.02 35917.50 -293.91 -3893.92 971003 Long 1 217.42 36124.90 -86.51 -3893.92 971006 Long 1 265.11 36172.58 -38.82 -3893.92 971007 Long 1 280.03 36187.51 -23.90 -3893.92 971008 Long 1 408.81 36316.28 0.00 -3893.92 971009 Long 1 12.97 35920.44 -395.83 -3893.92 971010 Long 1 1.18 35908.65 -407.62 -3893.92 971013 Long 1 -163.24 35744.23 -572.05 -3893.92 971014 Long 1 -142.76 35764.72 -551.56 -3893.92 971015 L