SHIVA TRADING SYSTEM ENVIRONMENT Version 1.18 JAPANESE YEN SPOT 5341 Trading days from 880104 to 080728 Tue Jul 29 09:32:15 2008 Rollovers enabled RolloverMonth: 12 RolloverDay: 99 Slippage: 25.00 dollars Position trading using ASCII daily data Reference price(s): weighted average with the following weights: (1) Today's high<0.00> (2) Today's low<0.00> (3) Today's close<1.00> (4) Tomorrow's open<0.00> Compute volatility using: opens 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 880205 Enter Short 1 223.37 223.37 0.00 0.00 880208 Exit Short 1 -130.00 -130.00 -130.00 -130.00 MFE = 223.37 MAE = -130.00 880208 Enter Long 1 -152.14 -282.14 -505.51 -505.51 880209 Long 1 -80.53 -210.53 -433.90 -505.51 880210 Long 1 -189.74 -319.74 -543.11 -543.11 880211 Long 1 -313.43 -443.43 -666.80 -666.80 880212 Exit Long 1 -666.87 -796.87 -796.87 -796.87 MFE = 0.00 MAE = -666.87 880212 Enter Short 1 291.54 -505.34 -728.71 -796.87 880215 Short 1 -53.39 -850.26 -1073.63 -1073.63 880216 Short 1 57.24 -739.64 -963.01 -1073.63 880217 Short 1 -38.60 -835.48 -1058.85 -1073.63 880218 Short 1 20.42 -776.45 -999.82 -1073.63 880219 Short 1 -5.39 -802.26 -1025.63 -1073.63 880222 Exit Short 1 -419.37 -1216.25 -1216.25 -1216.25 MFE = 291.54 MAE = -419.37 880225 Enter Short 1 -474.68 -1690.93 -1914.30 -1914.30 880226 Short 1 -505.02 -1721.27 -1944.64 -1944.64 880229 Short 1 -562.00 -1778.25 -2001.62 -2001.62 -1216.25 880301 Short 1 -489.84 -1706.09 -1929.46 -2001.62 880302 Short 1 -98.63 -1314.88 -1538.25 -2001.62 880303 Short 1 -218.33 -1434.58 -1657.95 -2001.62 880304 Short 1 -414.12 -1630.37 -1853.74 -2001.62 880307 Exit Short 1 -710.62 -1926.87 -1926.87 -2001.62 MFE = 0.00 MAE = -710.62 880307 Enter Long 1 40.47 -1886.40 -2109.77 -2109.77 880308 Long 1 25.17 -1901.71 -2125.08 -2125.08 880309 Long 1 -100.79 -2027.67 -2251.04 -2251.04 880310 Long 1 -5.43 -1932.30 -2155.68 -2251.04 880311 Long 1 236.54 -1690.33 -1913.71 -2251.04 880314 Long 1 387.53 -1539.34 -1762.72 -2251.04 880315 Long 1 201.83 -1725.05 -1948.42 -2251.04 880316 Long 1 144.08 -1782.80 -2006.17 -2251.04 880317 Exit Long 1 -270.62 -2197.50 -2197.50 -2251.04 MFE = 387.53 MAE = -270.62 880321 Enter Long 1 71.74 -2125.76 -2349.13 -2349.13 880322 Long 1 52.35 -2145.15 -2368.52 -2368.52 880323 Long 1 145.57 -2051.93 -2275.30 -2368.52 880324 Long 1 636.86 -1560.64 -1784.01 -2368.52 880325 Long 1 800.14 -1397.36 -1620.73 -2368.52 880328 Long 1 1333.18 -864.32 -1087.69 -2368.52 880329 Long 1 812.13 -1385.37 -1608.74 -2368.52 880330 Long 1 860.15 -1337.35 -1560.72 -2368.52 880331 Long 1 1117.79 -1079.71 -1303.08 -2368.52 -981.25 880401 Long 1 1276.11 -921.39 -1144.77 -2368.52 880404 Long 1 1186.67 -1010.83 -1234.20 -2368.52 880405 Exit Long 1 672.50 -1525.00 -1525.00 -2368.52 MFE = 1333.18 MAE = 0.00 880411 Enter Short 1 -100.19 -1625.19 -1848.56 -2368.52 880412 Short 1 63.80 -1461.20 -1684.57 -2368.52 880413 Short 1 -61.04 -1586.04 -1809.41 -2368.52 880414 Exit Short 1 -544.37 -2069.37 -2069.37 -2368.52 MFE = 63.80 MAE = -544.37 880429 Enter Short 1 19.72 -2049.66 -2273.03 -2368.52 128.13 880502 Short 1 -100.39 -2169.77 -2393.14 -2393.14 880503 Short 1 39.69 -2029.69 -2253.06 -2393.14 880504 Exit Short 1 -168.12 -2237.50 -2460.87 -2460.87 MFE = 39.69 MAE = -168.12 880504 Enter Long 1 5.47 -2232.03 -2455.40 -2460.87 880505 Long 1 -142.87 -2380.37 -2603.74 -2603.74 880506 Long 1 -18.64 -2256.14 -2479.51 -2603.74 880509 Long 1 -34.71 -2272.21 -2495.58 -2603.74 880510 Long 1 138.53 -2098.97 -2322.35 -2603.74 880511 Long 1 90.06 -2147.44 -2370.81 -2603.74 880512 Long 1 90.06 -2147.44 -2370.81 -2603.74 880513 Long 1 -18.64 -2256.14 -2479.51 -2603.74 880516 Long 1 -82.84 -2320.34 -2543.71 -2603.74 880517 Exit Long 1 -252.50 -2490.00 -2713.37 -2713.37 MFE = 138.53 MAE = -252.50 880517 Enter Short 1 146.15 -2343.85 -2567.22 -2713.37 880518 Exit Short 1 -217.50 -2707.50 -2930.87 -2930.87 MFE = 146.15 MAE = -217.50 880518 Enter Long 1 -59.85 -2767.35 -2990.72 -2990.72 880519 Long 1 -27.79 -2735.29 -2958.66 -2990.72 880520 Long 1 -7.73 -2715.23 -2938.60 -2990.72 880523 Long 1 116.99 -2590.51 -2813.88 -2990.72 880524 Long 1 238.29 -2469.21 -2692.58 -2990.72 880525 Long 1 157.36 -2550.14 -2773.51 -2990.72 880526 Long 1 116.99 -2590.51 -2813.88 -2990.72 880527 Long 1 -39.82 -2747.32 -2970.69 -2990.72 880530 Long 1 -79.87 -2787.37 -3010.74 -3010.74 880531 Long 1 -159.78 -2867.28 -3090.65 -3090.65 -638.12 880601 Long 1 -243.41 -2950.91 -3174.28 -3174.28 880602 Exit Long 1 -431.88 -3139.37 -3362.75 -3362.75 MFE = 238.29 MAE = -431.88 880602 Enter Short 1 152.59 -2986.79 -3210.16 -3362.75 880603 Exit Short 1 -198.75 -3338.12 -3561.50 -3561.50 MFE = 152.59 MAE = -198.75 880603 Enter Long 1 -263.45 -3601.57 -3824.94 -3824.94 880606 Long 1 -133.24 -3471.36 -3694.73 -3824.94 880607 Long 1 -18.24 -3356.37 -3579.74 -3824.94 880608 Long 1 -69.86 -3407.98 -3631.35 -3824.94 880609 Long 1 309.82 -3028.31 -3251.68 -3824.94 880610 Long 1 225.39 -3112.73 -3336.10 -3824.94 880613 Long 1 109.27 -3228.86 -3452.23 -3824.94 880614 Exit Long 1 -188.75 -3526.87 -3750.25 -3824.94 MFE = 309.82 MAE = -263.45 880614 Enter Short 1 276.17 -3250.71 -3474.08 -3824.94 880615 Short 1 201.81 -3325.06 -3548.43 -3824.94 880616 Short 1 -89.93 -3616.81 -3840.18 -3840.18 880617 Short 1 -18.65 -3545.52 -3768.90 -3840.18 880620 Short 1 193.97 -3332.90 -3556.27 -3840.18 880621 Short 1 240.97 -3285.90 -3509.27 -3840.18 880622 Short 1 1192.75 -2334.12 -2557.50 -3840.18 880623 Short 1 1075.79 -2451.09 -2674.46 -3840.18 880624 Short 1 1776.57 -1750.30 -1973.67 -3840.18 880627 Short 1 2036.01 -1490.86 -1714.24 -3840.18 880628 Short 1 2691.92 -834.96 -1058.33 -3840.18 880629 Short 1 2553.65 -973.22 -1196.59 -3840.18 880630 Short 1 2744.88 -782.00 -1005.37 -3840.18 -819.37 880701 Short 1 3188.56 -338.31 -561.68 -3840.18 880704 Exit Short 1 3475.00 -51.87 -275.25 -3840.18 MFE = 3475.00 MAE = -89.93 3475.00 880809 Enter Short 1 128.64 76.77 -146.60 -3840.18 880810 Exit Short 1 -311.25 -363.12 -586.50 -3840.18 MFE = 128.64 MAE = -311.25 880816 Enter Long 1 -498.06 -861.19 -1084.56 -3840.18 880817 Long 1 -578.37 -941.50 -1164.87 -3840.18 880818 Long 1 -378.83 -741.95 -965.32 -3840.18 880819 Long 1 -449.04 -812.16 -1035.53 -3840.18 880822 Long 1 -480.56 -843.69 -1067.06 -3840.18 880823 Long 1 -654.94 -1018.06 -1241.44 -3840.18 880824 Long 1 -533.02 -896.14 -1119.51 -3840.18 880825 Long 1 -354.20 -717.33 -940.70 -3840.18 880826 Long 1 -543.49 -906.62 -1129.99 -3840.18 880829 Long 1 -800.41 -1163.54 -1386.91 -3840.18 880830 Exit Long 1 -905.00 -1268.12 -1491.50 -3840.18 MFE = 0.00 MAE = -905.00 880831 Enter Short 1 251.60 -1016.52 -1239.89 -3840.18 -1216.25 880901 Short 1 164.21 -1103.92 -1327.29 -3840.18 880902 Short 1 29.10 -1239.02 -1462.39 -3840.18 880905 Short 1 46.04 -1222.09 -1445.46 -3840.18 880906 Short 1 -298.42 -1566.55 -1789.92 -3840.18 880907 Exit Short 1 -783.12 -2051.25 -2274.62 -3840.18 MFE = 251.60 MAE = -783.12 880919 Enter Long 1 -58.61 -2109.86 -2333.23 -3840.18 880920 Exit Long 1 -547.50 -2598.75 -2822.12 -3840.18 MFE = 0.00 MAE = -547.50 -1330.63 881005 Enter Short 1 138.70 -2460.05 -2683.42 -3840.18 881006 Exit Short 1 -321.25 -2920.00 -3143.37 -3840.18 MFE = 138.70 MAE = -321.25 881012 Enter Long 1 897.02 -2022.98 -2246.35 -3840.18 881013 Long 1 1494.78 -1425.22 -1648.59 -3840.18 881014 Long 1 1851.96 -1068.04 -1291.41 -3840.18 881017 Long 1 1595.20 -1324.80 -1548.18 -3840.18 881018 Long 1 1556.53 -1363.47 -1586.84 -3840.18 881019 Long 1 1494.78 -1425.22 -1648.59 -3840.18 881020 Long 1 1750.49 -1169.51 -1392.88 -3840.18 881021 Long 1 1985.28 -934.72 -1158.09 -3840.18 881024 Long 1 1602.94 -1317.06 -1540.43 -3840.18 881025 Long 1 1773.87 -1146.13 -1369.50 -3840.18 881026 Long 1 2194.54 -725.46 -948.83 -3840.18 881027 Long 1 2127.23 -792.77 -1016.14 -3840.18 881028 Long 1 2218.35 -701.65 -925.02 -3840.18 881031 Long 1 2202.48 -717.52 -940.90 -3840.18 -321.25 881101 Long 1 2457.62 -462.38 -685.75 -3840.18 881102 Long 1 2723.49 -196.51 -419.88 -3840.18 881103 Long 1 2578.12 -341.88 -565.25 -3840.18 881104 Long 1 2457.62 -462.38 -685.75 -3840.18 881107 Long 1 2634.56 -285.44 -508.81 -3840.18 881108 Exit Long 1 2194.21 -725.79 -949.16 -3840.18 MFE = 2723.49 MAE = 0.00 881109 Enter Long 1 377.26 -348.54 -571.91 -3840.18 881110 Long 1 348.70 -377.09 -600.46 -3840.18 881111 Long 1 788.77 62.98 -160.40 -3840.18 881114 Exit Long 1 321.87 -403.92 -627.29 -3840.18 MFE = 788.77 MAE = 0.00 2516.08 881207 Enter Short 1 513.62 109.70 -113.67 -3840.18 881208 Exit Short 1 18.13 -385.79 -609.16 -3840.18 MFE = 513.62 MAE = 0.00 881230 Enter Long 1 -73.23 -459.03 -682.40 -3840.18 18.13 890102 Long 1 6.98 -378.81 -602.18 -3840.18 890103 Long 1 387.48 1.69 -221.68 -3840.18 890104 Exit Long 1 3.13 -382.67 -606.04 -3840.18 MFE = 387.48 MAE = -73.23 890104 Enter Short 1 125.37 -257.30 -480.67 -3840.18 890105 Short 1 534.07 151.40 -71.97 -3840.18 890106 Short 1 815.82 433.15 0.00 -3840.18 890109 Exit Short 1 364.38 -18.29 -241.66 -3840.18 MFE = 815.82 MAE = 0.00 367.50 890210 Exit Long 1 -636.87 -655.17 -878.54 -3840.18 MFE = 0.00 MAE = -636.87 -636.87 890301 Enter Short 1 274.30 -380.87 -814.02 -3840.18 890302 Short 1 346.45 -308.72 -741.87 -3840.18 890303 Short 1 71.91 -583.26 -1016.41 -3840.18 890306 Short 1 617.92 -37.25 -470.41 -3840.18 890307 Short 1 467.48 -187.69 -620.84 -3840.18 890308 Short 1 640.40 -14.77 -447.92 -3840.18 890309 Short 1 456.15 -199.02 -632.17 -3840.18 890310 Short 1 726.40 71.23 -361.92 -3840.18 890313 Short 1 986.28 331.11 -102.04 -3840.18 890314 Short 1 830.69 175.52 -257.63 -3840.18 890315 Short 1 1203.16 547.99 0.00 -3840.18 890316 Short 1 1272.58 617.41 0.00 -3840.18 890317 Short 1 1562.70 907.53 0.00 -3840.18 890320 Short 1 1396.32 741.15 -166.38 -3840.18 890321 Short 1 1432.59 777.42 -130.11 -3840.18 890322 Short 1 1309.04 653.87 -253.66 -3840.18 890323 Short 1 1378.16 722.99 -184.54 -3840.18 890324 Short 1 1447.08 791.91 -115.62 -3840.18 890327 Short 1 1895.57 1240.40 0.00 -3840.18 890328 Short 1 2058.49 1403.32 0.00 -3840.18 890329 Short 1 2058.49 1403.32 0.00 -3840.18 890330 Exit Short 1 1668.75 1013.58 0.00 -3840.18 MFE = 2058.49 MAE = 0.00 890330 Enter Long 1 48.29 1061.87 -341.45 -3840.18 890331 Long 1 -237.33 776.25 -627.07 -3840.18 1668.75 890403 Long 1 159.90 1173.48 -229.84 -3840.18 890404 Long 1 421.17 1434.75 0.00 -3840.18 890405 Exit Long 1 88.75 1102.33 0.00 -3840.18 MFE = 421.17 MAE = -237.33 890405 Enter Short 1 -17.30 1085.03 -349.72 -3840.18 890406 Short 1 180.12 1282.45 -152.30 -3840.18 890407 Short 1 368.82 1471.15 0.00 -3840.18 890410 Short 1 375.91 1478.24 0.00 -3840.18 890411 Short 1 343.98 1446.31 -31.93 -3840.18 890412 Short 1 464.37 1566.70 0.00 -3840.18 890413 Exit Short 1 143.75 1246.08 0.00 -3840.18 MFE = 464.37 MAE = -17.30 890413 Enter Long 1 81.75 1327.83 -238.87 -3840.18 890414 Long 1 81.75 1327.83 -238.87 -3840.18 890417 Long 1 27.98 1274.06 -292.63 -3840.18 890418 Long 1 301.67 1547.75 -18.95 -3840.18 890419 Exit Long 1 30.00 1276.08 -290.62 -3840.18 MFE = 301.67 MAE = 0.00 890419 Enter Short 1 148.45 1424.53 -142.17 -3840.18 890420 Exit Short 1 -108.12 1167.96 -398.74 -3840.18 MFE = 148.45 MAE = -108.12 890420 Enter Long 1 214.31 1382.27 -184.43 -3840.18 890421 Long 1 130.97 1298.93 -267.77 -3840.18 890424 Long 1 94.83 1262.78 -303.92 -3840.18 890425 Long 1 163.55 1331.50 -235.20 -3840.18 890426 Exit Long 1 -129.37 1038.58 -528.12 -3840.18 MFE = 214.31 MAE = -129.37 890426 Enter Short 1 -15.72 1022.86 -543.84 -3840.18 890427 Short 1 -30.06 1008.52 -558.18 -3840.18 890428 Short 1 322.30 1360.88 -205.82 -3840.18 25.00 890501 Short 1 631.14 1669.72 0.00 -3840.18 890502 Short 1 763.25 1801.83 0.00 -3840.18 890503 Short 1 749.38 1787.96 -13.87 -3840.18 890504 Short 1 697.29 1735.87 -65.96 -3840.18 890505 Short 1 749.38 1787.96 -13.87 -3840.18 890508 Short 1 953.15 1991.73 0.00 -3840.18 890509 Short 1 853.21 1891.79 -99.94 -3840.18 890510 Short 1 801.36 1839.94 -151.79 -3840.18 890511 Short 1 1090.28 2128.86 0.00 -3840.18 890512 Short 1 1392.51 2431.09 0.00 -3840.18 890515 Short 1 1737.38 2775.97 0.00 -3840.18 890516 Short 1 1577.31 2615.89 -160.07 -3840.18 890517 Short 1 2421.50 3460.08 0.00 -3840.18 890518 Short 1 2256.46 3295.04 -165.04 -3840.18 890519 Short 1 2340.75 3379.33 -80.75 -3840.18 890522 Exit Short 1 3475.00 4513.58 0.00 -3840.18 MFE = 3475.00 MAE = -30.06 3475.00 890609 Enter Short 1 713.83 5227.41 0.00 -3840.18 890612 Short 1 1284.57 5798.15 0.00 -3840.18 890613 Short 1 1079.84 5593.42 -204.73 -3840.18 890614 Short 1 1520.92 6034.50 0.00 -3840.18 890615 Exit Short 1 590.00 5103.58 0.00 -3840.18 MFE = 1520.92 MAE = 0.00 590.00 890828 Enter Short 1 7.45 5111.03 -923.47 -3840.18 890829 Exit Short 1 -304.37 4799.21 -1235.29 -3840.18 MFE = 7.45 MAE = -304.37 890829 Enter Long 1 114.47 4913.68 -1120.82 -3840.18 890830 Exit Long 1 -250.62 4548.58 -1485.92 -3840.18 MFE = 114.47 MAE = -250.62 890830 Enter Short 1 7.33 4555.91 -1478.59 -3840.18 890831 Short 1 150.70 4699.28 -1335.22 -3840.18 -555.00 890901 Short 1 446.38 4994.96 -1039.54 -3840.18 890904 Short 1 469.86 5018.44 -1016.06 -3840.18 890905 Short 1 691.63 5240.21 -794.29 -3840.18 890906 Short 1 499.17 5047.75 -986.75 -3840.18 890907 Short 1 645.14 5193.72 -840.78 -3840.18 890908 Short 1 818.98 5367.56 -666.94 -3840.18 890911 Short 1 662.58 5211.16 -823.33 -3840.18 890912 Short 1 813.21 5361.79 -672.71 -3840.18 890913 Short 1 557.68 5106.26 -928.24 -3840.18 890914 Short 1 697.44 5246.02 -788.48 -3840.18 890915 Exit Short 1 373.12 4921.71 -1112.79 -3840.18 MFE = 818.98 MAE = 0.00 890915 Enter Long 1 -206.24 4715.47 -1319.03 -3840.18 890918 Long 1 34.13 4955.83 -1078.67 -3840.18 890919 Long 1 -30.63 4891.08 -1143.42 -3840.18 890920 Long 1 176.09 5097.79 -936.71 -3840.18 890921 Long 1 34.13 4955.83 -1078.67 -3840.18 890922 Long 1 -71.73 4849.97 -1184.53 -3840.18 890925 Long 1 1106.75 6028.45 -6.05 -3840.18 890926 Long 1 1044.89 5966.60 -67.90 -3840.18 890927 Long 1 1690.42 6612.13 0.00 -3840.18 890928 Long 1 1601.57 6523.28 -88.85 -3840.18 890929 Long 1 2065.58 6987.28 0.00 -3840.18 373.12 891002 Long 1 1891.64 6813.35 -173.93 -3840.18 891003 Long 1 1377.84 6299.55 -687.74 -3840.18 891004 Long 1 1274.62 6196.33 -790.96 -3840.18 891005 Exit Long 1 1020.62 5942.33 -1044.95 -3840.18 MFE = 2065.58 MAE = -206.24 891030 Enter Short 1 -40.30 5902.03 -1085.26 -3840.18 891031 Short 1 144.37 6086.70 -900.58 -3840.18 1020.62 891101 Short 1 412.43 6354.76 -632.52 -3840.18 891102 Short 1 312.30 6254.63 -732.65 -3840.18 891103 Exit Short 1 1.25 5943.58 -1043.70 -3840.18 MFE = 412.43 MAE = -40.30 891103 Enter Long 1 -273.87 5669.71 -1317.57 -3840.18 891106 Long 1 -431.55 5512.03 -1475.25 -3840.18 891107 Long 1 -136.50 5807.08 -1180.20 -3840.18 891108 Long 1 -255.61 5687.97 -1299.31 -3840.18 891109 Long 1 -194.61 5748.97 -1238.31 -3840.18 891110 Long 1 -301.24 5642.34 -1344.95 -3840.18 891113 Long 1 -431.55 5512.03 -1475.25 -3840.18 891114 Long 1 -194.61 5748.97 -1238.31 -3840.18 891115 Exit Long 1 -394.38 5549.21 -1438.08 -3840.18 MFE = 0.00 MAE = -431.55 891115 Enter Short 1 53.11 5602.31 -1384.97 -3840.18 891116 Short 1 143.59 5692.80 -1294.48 -3840.18 891117 Short 1 203.71 5752.91 -1234.37 -3840.18 891120 Short 1 215.71 5764.91 -1222.37 -3840.18 891121 Exit Short 1 -30.63 5518.58 -1468.70 -3840.18 MFE = 215.71 MAE = -30.63 891121 Enter Long 1 16.96 5535.54 -1451.74 -3840.18 891122 Long 1 147.77 5666.35 -1320.93 -3840.18 891123 Exit Long 1 -102.50 5416.08 -1571.20 -3840.18 MFE = 147.77 MAE = -102.50 891123 Enter Short 1 71.72 5487.80 -1499.48 -3840.18 891124 Exit Short 1 -143.75 5272.33 -1714.95 -3840.18 MFE = 71.72 MAE = -143.75 891124 Enter Long 1 -24.29 5248.04 -1739.24 -3840.18 891127 Long 1 82.13 5354.46 -1632.82 -3840.18 891128 Exit Long 1 -121.87 5150.46 -1836.83 -3840.18 MFE = 82.13 MAE = -121.87 891128 Enter Short 1 -194.25 4956.21 -2031.07 -3840.18 891129 Exit Short 1 -398.12 4752.33 -2234.95 -3840.18 MFE = 0.00 MAE = -398.12 891129 Enter Long 1 -93.31 4659.02 -2328.26 -3840.18 891130 Long 1 -71.87 4680.46 -2306.82 -3840.18 -1190.00 891201 Exit Long 1 -306.87 4445.46 -2541.83 -3840.18 MFE = 0.00 MAE = -306.87 891201 Enter Short 1 -17.76 4427.69 -2559.59 -3840.18 891204 Short 1 52.00 4497.46 -2489.82 -3840.18 891205 Short 1 67.14 4512.60 -2474.69 -3840.18 891206 Short 1 169.79 4615.25 -2372.04 -3840.18 891207 Short 1 226.94 4672.40 -2314.89 -3840.18 891208 Short 1 199.89 4645.34 -2341.94 -3840.18 891211 Short 1 235.95 4681.41 -2305.88 -3840.18 891212 Short 1 118.53 4563.98 -2423.30 -3840.18 891213 Short 1 229.94 4675.40 -2311.88 -3840.18 891214 Short 1 184.84 4630.30 -2356.98 -3840.18 891215 Short 1 154.72 4600.18 -2387.10 -3840.18 891218 Exit Short 1 0.62 4446.08 -2541.20 -3840.18 MFE = 235.95 MAE = -17.76 891218 Enter Long 1 37.31 4483.39 -2503.89 -3840.18 891219 Exit Long 1 -93.75 4352.33 -2634.95 -3840.18 MFE = 37.31 MAE = -93.75 891219 Enter Short 1 -27.24 4325.10 -2662.19 -3840.18 891220 Short 1 3.00 4355.33 -2631.95 -3840.18 891221 Exit Short 1 -149.37 4202.96 -2784.33 -3840.18 MFE = 3.00 MAE = -149.37 891221 Enter Long 1 -63.82 4139.13 -2848.15 -3840.18 891222 Long 1 349.23 4552.19 -2435.10 -3840.18 891225 Long 1 210.68 4413.64 -2573.65 -3840.18 891226 Long 1 473.13 4676.08 -2311.20 -3840.18 891227 Long 1 411.09 4614.05 -2373.23 -3840.18 891228 Exit Long 1 121.25 4324.21 -2663.08 -3840.18 MFE = 473.13 MAE = -63.82 891228 Enter Short 1 158.49 4482.69 -2504.59 -3840.18 891229 Short 1 285.72 4609.92 -2377.36 -3840.18 -428.12 900102 Short 1 1086.19 5410.40 -1576.89 -3840.18 900103 Short 1 725.22 5049.42 -1937.86 -3840.18 900104 Exit Short 1 205.00 4529.21 -2458.08 -3840.18 MFE = 1086.19 MAE = 0.00 900118 Enter Short 1 -21.69 4507.52 -2479.76 -3840.18 900119 Exit Short 1 -348.75 4180.46 -2806.83 -3840.18 MFE = 0.00 MAE = -348.75 900119 Enter Long 1 -199.62 3980.84 -3006.44 -3840.18 900122 Long 1 -369.12 3811.34 -3175.95 -3840.18 900123 Long 1 -170.26 4010.20 -2977.08 -3840.18 900124 Long 1 -111.41 4069.05 -2918.24 -3840.18 900125 Long 1 425.53 4605.99 -2381.29 -3840.18 900126 Long 1 738.88 4919.33 -2067.95 -3840.18 900129 Long 1 708.26 4888.71 -2098.57 -3840.18 900130 Exit Long 1 285.00 4465.46 -2521.83 -3840.18 MFE = 738.88 MAE = -369.12 141.25 900216 Enter Long 1 110.98 4576.44 -2410.85 -3840.18 900219 Exit Long 1 -86.25 4379.21 -2608.08 -3840.18 MFE = 110.98 MAE = -86.25 900219 Enter Short 1 22.94 4402.15 -2585.13 -3840.18 900220 Short 1 186.72 4565.92 -2421.36 -3840.18 900221 Exit Short 1 -12.50 4366.71 -2620.58 -3840.18 MFE = 186.72 MAE = -12.50 900221 Enter Long 1 -286.65 4080.05 -2907.23 -3840.18 900222 Exit Long 1 -484.37 3882.33 -3104.95 -3840.18 MFE = 0.00 MAE = -484.37 900222 Enter Short 1 62.07 3944.40 -3042.88 -3840.18 900223 Short 1 271.20 4153.53 -2833.75 -3840.18 900226 Short 1 700.37 4582.70 -2404.58 -3840.18 900227 Short 1 739.99 4622.32 -2364.96 -3840.18 900228 Short 1 841.51 4723.84 -2263.44 -3840.18 -583.12 900301 Short 1 1065.38 4947.71 -2039.58 -3840.18 900302 Short 1 1190.25 5072.58 -1914.70 -3840.18 900305 Short 1 827.44 4709.77 -2277.51 -3840.18 900306 Short 1 1107.08 4989.41 -1997.87 -3840.18 900307 Short 1 1184.72 5067.05 -1920.23 -3840.18 900308 Short 1 1410.42 5292.75 -1694.53 -3840.18 900309 Short 1 1451.44 5333.77 -1653.52 -3840.18 900312 Short 1 1862.58 5744.91 -1242.37 -3840.18 900313 Short 1 1668.85 5551.18 -1436.10 -3840.18 900314 Short 1 1682.36 5564.69 -1422.59 -3840.18 900315 Short 1 1655.33 5537.66 -1449.62 -3840.18 900316 Short 1 1808.95 5691.28 -1296.00 -3840.18 900319 Short 1 1916.07 5798.40 -1188.88 -3840.18 900320 Short 1 2260.37 6142.70 -844.59 -3840.18 900321 Short 1 2346.84 6229.18 -758.11 -3840.18 900322 Short 1 2438.16 6320.49 -666.79 -3840.18 900323 Exit Short 1 2031.25 5913.58 -1073.70 -3840.18 MFE = 2438.16 MAE = 0.00 900326 Enter Short 1 264.87 6178.45 -808.83 -3840.18 900327 Short 1 542.90 6456.48 -530.80 -3840.18 900328 Short 1 742.69 6656.27 -331.01 -3840.18 900329 Exit Short 1 95.63 6009.21 -978.08 -3840.18 MFE = 742.69 MAE = 0.00 2126.88 900418 Enter Long 1 64.44 6073.65 -913.64 -3840.18 900419 Long 1 374.41 6383.62 -603.67 -3840.18 900420 Long 1 227.64 6236.85 -750.43 -3840.18 900423 Long 1 107.00 6116.20 -871.08 -3840.18 900424 Long 1 -146.96 5862.25 -1125.04 -3840.18 900425 Long 1 -117.25 5891.95 -1095.33 -3840.18 900426 Long 1 -208.71 5800.50 -1186.78 -3840.18 900427 Long 1 -208.71 5800.50 -1186.78 -3840.18 900430 Long 1 -122.21 5887.00 -1100.28 -3840.18 0.00 900501 Long 1 -97.42 5911.78 -1075.50 -3840.18 900502 Long 1 69.44 6078.65 -908.63 -3840.18 900503 Long 1 51.95 6061.15 -926.13 -3840.18 900504 Long 1 51.95 6061.15 -926.13 -3840.18 900507 Long 1 51.95 6061.15 -926.13 -3840.18 900508 Long 1 194.89 6204.10 -783.18 -3840.18 900509 Exit Long 1 11.87 6021.08 -966.20 -3840.18 MFE = 374.41 MAE = -208.71 900509 Exit Short 1 -341.25 5679.83 -1307.45 -3840.18 MFE = 0.00 MAE = -341.25 900511 Enter Long 1 742.43 6422.26 -565.02 -3840.18 900514 Long 1 836.46 6516.29 -471.00 -3840.18 900515 Long 1 1409.84 7089.67 0.00 -3840.18 900516 Long 1 1012.24 6692.07 -397.60 -3840.18 900517 Long 1 901.19 6581.02 -508.65 -3840.18 900518 Long 1 662.17 6342.00 -747.66 -3840.18 900521 Long 1 492.01 6171.84 -917.83 -3840.18 900522 Long 1 1156.68 6836.51 -253.15 -3840.18 900523 Long 1 1091.15 6770.98 -318.69 -3840.18 900524 Long 1 1249.88 6929.71 -159.96 -3840.18 900525 Long 1 1674.52 7354.35 0.00 -3840.18 900528 Long 1 1772.89 7452.72 0.00 -3840.18 900529 Exit Long 1 1315.62 6995.46 0.00 -3840.18 MFE = 1772.89 MAE = 0.00 986.25 900614 Enter Long 1 -193.80 6801.66 -651.06 -3840.18 900615 Long 1 -141.09 6854.37 -598.35 -3840.18 900618 Long 1 -61.77 6933.68 -519.04 -3840.18 900619 Long 1 -29.96 6965.50 -487.22 -3840.18 900620 Long 1 -141.09 6854.37 -598.35 -3840.18 900621 Exit Long 1 -395.62 6599.83 -852.89 -3840.18 MFE = 0.00 MAE = -395.62 900621 Enter Short 1 -6.47 6593.36 -859.36 -3840.18 900622 Short 1 6.57 6606.41 -846.32 -3840.18 900625 Short 1 146.92 6746.76 -705.96 -3840.18 900626 Exit Short 1 -75.62 6524.21 -928.51 -3840.18 MFE = 146.92 MAE = -75.62 900626 Enter Long 1 -10.19 6514.01 -938.71 -3840.18 900627 Long 1 39.54 6563.75 -888.98 -3840.18 900628 Long 1 391.12 6915.32 -537.40 -3840.18 900629 Exit Long 1 131.88 6656.08 -796.64 -3840.18 MFE = 391.12 MAE = -10.19 900629 Exit Short 1 -493.13 6162.96 -1289.76 -3840.18 MFE = 0.00 MAE = -493.13 -832.50 900702 Enter Long 1 54.87 6217.83 -1234.89 -3840.18 900703 Long 1 21.91 6184.86 -1267.86 -3840.18 900704 Long 1 331.62 6494.57 -958.15 -3840.18 900705 Long 1 131.99 6294.94 -1157.78 -3840.18 900706 Long 1 -169.34 5993.62 -1459.10 -3840.18 900709 Long 1 -32.92 6130.04 -1322.68 -3840.18 900710 Long 1 770.80 6933.76 -518.96 -3840.18 900711 Long 1 705.47 6868.42 -584.30 -3840.18 900712 Long 1 1034.16 7197.12 -255.60 -3840.18 900713 Long 1 790.72 6953.68 -499.04 -3840.18 900716 Long 1 804.96 6967.92 -484.80 -3840.18 900717 Long 1 884.90 7047.86 -404.86 -3840.18 900718 Long 1 910.66 7073.62 -379.10 -3840.18 900719 Long 1 810.66 6973.62 -479.10 -3840.18 900720 Long 1 677.13 6840.08 -612.64 -3840.18 900723 Long 1 813.51 6976.47 -476.25 -3840.18 900724 Long 1 626.21 6789.17 -663.56 -3840.18 900725 Exit Long 1 404.37 6567.33 -885.39 -3840.18 MFE = 1034.16 MAE = -169.34 900725 Enter Short 1 117.25 6684.58 -768.14 -3840.18 900726 Exit Short 1 -168.75 6398.58 -1054.14 -3840.18 MFE = 117.25 MAE = -168.75 900726 Enter Long 1 -394.17 6004.41 -1448.31 -3840.18 900727 Long 1 -8.99 6389.60 -1063.13 -3840.18 900730 Long 1 303.20 6701.78 -750.94 -3840.18 900731 Long 1 926.99 7325.57 -127.15 -3840.18 235.62 900801 Exit Long 1 465.00 6863.58 -589.14 -3840.18 MFE = 926.99 MAE = -394.17 465.00 900927 Enter Short 1 98.07 6961.65 -491.07 -3840.18 900928 Short 1 212.40 7075.98 -376.74 -3840.18 0.00 901001 Exit Short 1 -143.75 6719.83 -732.89 -3840.18 MFE = 212.40 MAE = -143.75 901001 Enter Long 1 319.98 7039.82 -412.90 -3840.18 901002 Long 1 263.06 6982.89 -469.83 -3840.18 901003 Long 1 549.12 7268.95 -183.77 -3840.18 901004 Long 1 1323.94 8043.77 0.00 -3840.18 901005 Long 1 1819.35 8539.18 0.00 -3840.18 901008 Long 1 2398.55 9118.38 0.00 -3840.18 901009 Long 1 2479.30 9199.13 0.00 -3840.18 901010 Long 1 2831.15 9550.98 0.00 -3840.18 901011 Long 1 2797.59 9517.43 -33.56 -3840.18 901012 Long 1 2973.34 9693.17 0.00 -3840.18 901015 Exit Long 1 3475.00 10194.83 0.00 -3840.18 MFE = 3475.00 MAE = 0.00 3331.25 910204 Enter Long 1 99.80 10294.63 0.00 -3840.18 910205 Long 1 495.12 10689.95 0.00 -3840.18 910206 Long 1 1022.33 11217.16 0.00 -3840.18 910207 Long 1 915.97 11110.80 -106.36 -3840.18 910208 Long 1 1186.58 11381.42 0.00 -3840.18 910211 Long 1 1190.41 11385.25 0.00 -3840.18 910212 Long 1 832.72 11027.55 -357.69 -3840.18 910213 Long 1 480.22 10675.05 -710.19 -3840.18 910214 Long 1 439.31 10634.14 -751.10 -3840.18 910215 Exit Long 1 145.63 10340.46 -1044.79 -3840.18 MFE = 1190.41 MAE = 0.00 145.62 910509 Enter Short 1 -437.22 9903.24 -1482.01 -3840.18 910510 Short 1 -218.17 10122.29 -1262.96 -3840.18 910513 Short 1 11.65 10352.11 -1033.14 -3840.18 910514 Exit Short 1 -409.37 9931.08 -1454.16 -3840.18 MFE = 11.65 MAE = -437.22 910517 Enter Short 1 27.91 9958.99 -1426.25 -3840.18 910520 Short 1 60.52 9991.60 -1393.64 -3840.18 910521 Exit Short 1 -238.75 9692.33 -1692.91 -3840.18 MFE = 60.52 MAE = -238.75 910521 Enter Long 1 153.31 9845.64 -1539.60 -3840.18 910522 Exit Long 1 -146.25 9546.08 -1839.16 -3840.18 MFE = 153.31 MAE = -146.25 910522 Enter Short 1 -76.21 9469.87 -1915.38 -3840.18 910523 Short 1 -86.09 9459.99 -1925.25 -3840.18 910524 Short 1 71.42 9617.50 -1767.75 -3840.18 910527 Short 1 87.76 9633.85 -1751.40 -3840.18 910528 Exit Short 1 -208.75 9337.33 -2047.91 -3840.18 MFE = 87.76 MAE = -208.75 910528 Enter Long 1 17.88 9355.21 -2030.03 -3840.18 910529 Exit Long 1 -207.50 9129.83 -2255.41 -3840.18 MFE = 17.88 MAE = -207.50 910529 Enter Short 1 30.12 9159.95 -2225.30 -3840.18 910530 Exit Short 1 -178.75 8951.08 -2434.16 -3840.18 MFE = 30.12 MAE = -178.75 910530 Enter Long 1 -82.08 8869.00 -2516.24 -3840.18 910531 Exit Long 1 -285.63 8665.46 -2719.79 -3840.18 MFE = 0.00 MAE = -285.63 910531 Enter Short 1 14.79 8680.24 -2705.00 -3840.18 -1675.00 910603 Short 1 219.42 8884.88 -2500.37 -3840.18 910604 Short 1 148.17 8813.63 -2571.62 -3840.18 910605 Short 1 284.00 8949.46 -2435.79 -3840.18 910606 Short 1 242.05 8907.50 -2477.74 -3840.18 910607 Short 1 626.35 9291.81 -2093.44 -3840.18 910610 Short 1 960.40 9625.85 -1759.39 -3840.18 910611 Short 1 904.02 9569.48 -1815.77 -3840.18 910612 Short 1 1007.26 9672.71 -1712.53 -3840.18 910613 Short 1 951.01 9616.47 -1768.78 -3840.18 910614 Short 1 746.68 9412.14 -1973.11 -3840.18 910617 Short 1 730.89 9396.34 -1988.90 -3840.18 910618 Short 1 885.20 9550.66 -1834.59 -3840.18 910619 Exit Short 1 516.25 9181.71 -2203.54 -3840.18 MFE = 1007.26 MAE = 0.00 910619 Enter Long 1 -34.24 9147.46 -2237.78 -3840.18 910620 Long 1 542.78 9724.48 -1660.76 -3840.18 910621 Long 1 347.71 9529.41 -1855.83 -3840.18 910624 Long 1 370.38 9552.08 -1833.16 -3840.18 910625 Long 1 640.95 9822.66 -1562.59 -3840.18 910626 Long 1 591.81 9773.52 -1611.73 -3840.18 910627 Long 1 716.50 9898.21 -1487.04 -3840.18 910628 Long 1 845.20 10026.91 -1358.34 -3840.18 516.25 910701 Exit Long 1 418.75 9600.46 -1784.79 -3840.18 MFE = 845.20 MAE = -34.24 910705 Enter Long 1 14.11 9614.57 -1770.68 -3840.18 910708 Long 1 -60.92 9539.54 -1845.71 -3840.18 910709 Long 1 -158.41 9442.04 -1943.20 -3840.18 910710 Long 1 -83.71 9516.75 -1868.50 -3840.18 910711 Long 1 -99.97 9500.49 -1884.76 -3840.18 910712 Long 1 626.82 10227.28 -1157.97 -3840.18 910715 Long 1 459.59 10060.05 -1325.20 -3840.18 910716 Long 1 373.11 9973.57 -1411.68 -3840.18 910717 Long 1 476.26 10076.72 -1308.53 -3840.18 910718 Long 1 459.59 10060.05 -1325.20 -3840.18 910719 Long 1 677.23 10277.69 -1107.56 -3840.18 910722 Exit Long 1 343.13 9943.58 -1441.66 -3840.18 MFE = 677.23 MAE = -158.41 910722 Enter Short 1 124.11 10067.70 -1317.55 -3840.18 910723 Exit Short 1 -210.00 9733.58 -1651.66 -3840.18 MFE = 124.11 MAE = -210.00 910723 Enter Long 1 -146.79 9586.79 -1798.45 -3840.18 910724 Long 1 -246.31 9487.27 -1897.97 -3840.18 910725 Exit Long 1 -570.62 9162.96 -2222.29 -3840.18 MFE = 0.00 MAE = -570.62 910725 Enter Short 1 156.18 9319.14 -2066.11 -3840.18 910726 Exit Short 1 -168.12 8994.83 -2390.41 -3840.18 MFE = 156.18 MAE = -168.12 910726 Enter Long 1 76.89 9071.72 -2313.53 -3840.18 910729 Long 1 43.93 9038.76 -2346.49 -3840.18 910730 Long 1 34.05 9028.88 -2356.37 -3840.18 910731 Long 1 192.63 9187.46 -2197.78 -3840.18 -186.87 910801 Long 1 109.90 9104.73 -2280.52 -3840.18 910802 Long 1 242.42 9237.25 -2148.00 -3840.18 910805 Long 1 415.85 9410.68 -1974.56 -3840.18 910806 Long 1 770.12 9764.95 -1620.30 -3840.18 910807 Long 1 678.50 9673.33 -1711.92 -3840.18 910808 Long 1 560.27 9555.11 -1830.14 -3840.18 910809 Long 1 442.65 9437.49 -1947.76 -3840.18 910812 Long 1 466.13 9460.96 -1924.28 -3840.18 910813 Long 1 499.71 9494.54 -1890.71 -3840.18 910814 Long 1 412.51 9407.34 -1977.91 -3840.18 910815 Long 1 282.33 9277.16 -2108.09 -3840.18 910816 Long 1 176.06 9170.89 -2214.35 -3840.18 910819 Exit Long 1 -72.50 8922.33 -2462.91 -3840.18 MFE = 770.12 MAE = -72.50 910819 Enter Short 1 7.17 8929.51 -2455.74 -3840.18 910820 Exit Short 1 -322.50 8599.83 -2785.41 -3840.18 MFE = 7.17 MAE = -322.50 910820 Enter Long 1 -24.19 8575.64 -2809.60 -3840.18 910821 Long 1 249.71 8849.54 -2535.71 -3840.18 910822 Long 1 142.43 8742.26 -2642.98 -3840.18 910823 Long 1 92.32 8692.15 -2693.10 -3840.18 910826 Long 1 102.33 8702.16 -2683.09 -3840.18 910827 Long 1 75.64 8675.47 -2709.78 -3840.18 910828 Long 1 209.42 8809.25 -2575.99 -3840.18 910829 Exit Long 1 -40.62 8559.21 -2826.04 -3840.18 MFE = 249.71 MAE = -40.62 910829 Enter Short 1 -24.66 8534.55 -2850.70 -3840.18 910830 Short 1 -131.31 8427.89 -2957.35 -3840.18 -435.62 910902 Short 1 -158.06 8401.15 -2984.10 -3840.18 910903 Exit Short 1 -398.13 8161.08 -3224.16 -3840.18 MFE = 0.00 MAE = -398.13 910903 Enter Long 1 87.94 8249.02 -3136.23 -3840.18 910904 Long 1 217.09 8378.17 -3007.08 -3840.18 910905 Long 1 87.94 8249.02 -3136.23 -3840.18 910906 Long 1 172.82 8333.90 -3051.35 -3840.18 910909 Long 1 491.36 8652.44 -2732.81 -3840.18 910910 Long 1 467.23 8628.31 -2756.94 -3840.18 910911 Long 1 474.12 8635.20 -2750.05 -3840.18 910912 Long 1 671.38 8832.46 -2552.78 -3840.18 910913 Long 1 706.16 8867.25 -2518.00 -3840.18 910916 Long 1 845.81 9006.89 -2378.35 -3840.18 910917 Long 1 765.41 8926.49 -2458.75 -3840.18 910918 Long 1 588.12 8749.20 -2636.04 -3840.18 910919 Long 1 550.06 8711.14 -2674.11 -3840.18 910920 Long 1 647.07 8808.15 -2577.10 -3840.18 910923 Long 1 1134.72 9295.80 -2089.45 -3840.18 910924 Exit Long 1 850.62 9011.71 -2373.54 -3840.18 MFE = 1134.72 MAE = 0.00 910924 Enter Short 1 12.30 9024.01 -2361.24 -3840.18 910925 Short 1 -117.72 8893.98 -2491.26 -3840.18 910926 Short 1 99.74 9111.45 -2273.80 -3840.18 910927 Exit Short 1 -175.00 8836.71 -2548.54 -3840.18 MFE = 99.74 MAE = -175.00 910927 Enter Long 1 -4.08 8832.63 -2552.62 -3840.18 910930 Long 1 20.63 8857.34 -2527.91 -3840.18 277.50 911001 Long 1 -109.67 8727.03 -2658.21 -3840.18 911002 Long 1 197.88 9034.59 -2350.66 -3840.18 911003 Long 1 913.13 9749.83 -1635.41 -3840.18 911004 Long 1 1264.06 10100.76 -1284.48 -3840.18 911007 Long 1 1260.34 10097.04 -1288.20 -3840.18 911008 Long 1 986.58 9823.29 -1561.96 -3840.18 911009 Long 1 1197.17 10033.88 -1351.37 -3840.18 911010 Long 1 1004.98 9841.69 -1543.56 -3840.18 911011 Long 1 1293.84 10130.55 -1254.70 -3840.18 911014 Long 1 1245.46 10082.17 -1303.08 -3840.18 911015 Long 1 1115.67 9952.38 -1432.87 -3840.18 911016 Long 1 1089.80 9926.50 -1458.74 -3840.18 911017 Long 1 1357.26 10193.97 -1191.28 -3840.18 911018 Exit Long 1 1080.00 9916.71 -1468.54 -3840.18 MFE = 1357.26 MAE = -109.67 911018 Enter Short 1 -66.21 9850.50 -1534.75 -3840.18 911021 Short 1 287.03 10203.73 -1181.51 -3840.18 911022 Short 1 501.56 10418.27 -966.98 -3840.18 911023 Short 1 591.88 10508.59 -876.66 -3840.18 911024 Short 1 465.34 10382.04 -1003.20 -3840.18 911025 Short 1 537.73 10454.44 -930.81 -3840.18 911028 Short 1 800.12 10716.83 -668.42 -3840.18 911029 Exit Short 1 403.12 10319.83 -1065.41 -3840.18 MFE = 800.12 MAE = -66.21 911029 Enter Long 1 225.25 10545.08 -840.16 -3840.18 911030 Long 1 90.02 10409.85 -975.40 -3840.18 911031 Long 1 144.75 10464.58 -920.67 -3840.18 1483.13 911101 Long 1 550.00 10869.84 -515.41 -3840.18 911104 Long 1 755.22 11075.05 -310.20 -3840.18 911105 Long 1 431.40 10751.23 -634.01 -3840.18 911106 Long 1 464.70 10784.53 -600.71 -3840.18 911107 Long 1 475.81 10795.64 -589.60 -3840.18 911108 Long 1 309.71 10629.54 -755.71 -3840.18 911111 Long 1 449.90 10769.73 -615.52 -3840.18 911112 Long 1 449.90 10769.73 -615.52 -3840.18 911113 Long 1 412.92 10732.75 -652.49 -3840.18 911114 Long 1 598.35 10918.18 -467.07 -3840.18 911115 Long 1 699.07 11018.90 -366.34 -3840.18 911118 Exit Long 1 471.25 10791.08 -594.16 -3840.18 MFE = 755.22 MAE = 0.00 911118 Enter Short 1 -72.34 10718.74 -666.50 -3840.18 911119 Short 1 13.03 10804.11 -581.13 -3840.18 911120 Exit Short 1 -227.50 10563.58 -821.66 -3840.18 MFE = 13.03 MAE = -227.50 911120 Enter Long 1 -130.16 10433.42 -951.83 -3840.18 911121 Long 1 -92.95 10470.63 -914.62 -3840.18 911122 Long 1 -37.03 10526.55 -858.69 -3840.18 911125 Long 1 529.43 11093.01 -292.24 -3840.18 911126 Exit Long 1 206.87 10770.46 -614.79 -3840.18 MFE = 529.43 MAE = -130.16 911126 Enter Short 1 565.68 11336.13 -49.11 -3840.18 911127 Exit Short 1 105.00 10875.46 -509.79 -3840.18 MFE = 565.68 MAE = 0.00 555.63 911211 Enter Short 1 -72.82 10802.63 -582.61 -3840.18 911212 Short 1 -72.82 10802.63 -582.61 -3840.18 911213 Exit Short 1 -400.00 10475.46 -909.79 -3840.18 MFE = 0.00 MAE = -400.00 911213 Enter Long 1 -201.03 10274.43 -1110.82 -3840.18 911216 Long 1 44.22 10519.67 -865.57 -3840.18 911217 Long 1 93.57 10569.03 -816.22 -3840.18 911218 Long 1 44.22 10519.67 -865.57 -3840.18 911219 Long 1 139.21 10614.66 -770.58 -3840.18 911220 Long 1 380.24 10855.69 -529.55 -3840.18 911223 Long 1 689.75 11165.21 -220.04 -3840.18 911224 Long 1 361.02 10836.47 -548.77 -3840.18 911225 Long 1 592.61 11068.06 -317.18 -3840.18 911226 Long 1 806.83 11282.28 -102.96 -3840.18 911227 Long 1 1022.92 11498.38 0.00 -3840.18 911230 Long 1 1141.59 11617.04 0.00 -3840.18 911231 Long 1 1440.75 11916.21 0.00 -3840.18 -400.00 920101 Long 1 1440.75 11916.21 0.00 -3840.18 920102 Long 1 1621.99 12097.44 0.00 -3840.18 920103 Long 1 1513.08 11988.54 -108.90 -3840.18 920106 Long 1 2029.46 12504.91 0.00 -3840.18 920107 Exit Long 1 1443.75 11919.21 0.00 -3840.18 MFE = 2029.46 MAE = -201.03 1443.75 920210 Enter Short 1 255.25 12174.46 -330.46 -3840.18 920211 Short 1 507.03 12426.23 -78.68 -3840.18 920212 Short 1 526.29 12445.50 -59.42 -3840.18 920213 Short 1 618.53 12537.74 0.00 -3840.18 920214 Short 1 698.96 12618.17 0.00 -3840.18 920217 Exit Short 1 291.88 12211.08 0.00 -3840.18 MFE = 698.96 MAE = 0.00 291.88 920326 Enter Long 1 -455.17 11755.91 -862.26 -3840.18 920327 Long 1 -121.89 12089.19 -528.98 -3840.18 920330 Long 1 -51.12 12159.96 -458.21 -3840.18 920331 Long 1 -33.40 12177.68 -440.48 -3840.18 0.00 920401 Exit Long 1 -326.88 11884.21 -733.96 -3840.18 MFE = 0.00 MAE = -455.17 920401 Enter Short 1 344.10 12228.31 -389.86 -3840.18 920402 Exit Short 1 21.87 11906.08 -712.09 -3840.18 MFE = 344.10 MAE = 0.00 920402 Enter Long 1 -19.18 11886.90 -731.26 -3840.18 920403 Long 1 85.95 11992.03 -626.14 -3840.18 920406 Long 1 177.44 12083.52 -534.65 -3840.18 920407 Long 1 128.13 12034.22 -583.95 -3840.18 920408 Long 1 375.72 12281.80 -336.36 -3840.18 920409 Long 1 557.76 12463.84 -154.32 -3840.18 920410 Exit Long 1 204.37 12110.46 -507.71 -3840.18 MFE = 557.76 MAE = -19.18 920410 Enter Short 1 -50.54 12059.92 -558.25 -3840.18 920413 Short 1 27.24 12137.70 -480.47 -3840.18 920414 Short 1 2.52 12112.97 -505.19 -3840.18 920415 Short 1 136.40 12246.86 -371.31 -3840.18 920416 Short 1 328.83 12439.29 -178.88 -3840.18 920417 Short 1 318.37 12428.83 -189.34 -3840.18 920420 Short 1 457.40 12567.86 -50.31 -3840.18 920421 Short 1 422.72 12533.17 -84.99 -3840.18 920422 Short 1 422.72 12533.17 -84.99 -3840.18 920423 Short 1 543.87 12654.32 0.00 -3840.18 920424 Short 1 492.02 12602.48 -51.85 -3840.18 920427 Exit Short 1 233.12 12343.58 -274.59 -3840.18 MFE = 543.87 MAE = -50.54 920427 Enter Long 1 252.07 12595.66 -58.67 -3840.18 920428 Long 1 220.30 12563.88 -90.44 -3840.18 920429 Long 1 62.08 12405.66 -248.67 -3840.18 920430 Long 1 202.67 12546.25 -108.07 -3840.18 132.50 920501 Long 1 415.14 12758.72 0.00 -3840.18 920504 Exit Long 1 153.12 12496.71 -121.46 -3840.18 MFE = 415.14 MAE = 0.00 920504 Enter Short 1 0.12 12496.83 -261.89 -3840.18 920505 Short 1 -141.16 12355.54 -403.18 -3840.18 920506 Short 1 -354.70 12142.00 -616.72 -3840.18 920507 Short 1 -283.31 12213.40 -545.33 -3840.18 920508 Short 1 45.86 12542.57 -216.16 -3840.18 920511 Short 1 -112.84 12383.86 -374.86 -3840.18 920512 Exit Short 1 -325.00 12171.71 -446.46 -3840.18 MFE = 45.86 MAE = -354.70 920512 Enter Long 1 648.38 12820.08 0.00 -3840.18 920513 Long 1 1010.31 13182.01 0.00 -3840.18 920514 Long 1 714.45 12886.16 -295.85 -3840.18 920515 Long 1 961.99 13133.69 -48.32 -3840.18 920518 Long 1 1343.77 13515.48 0.00 -3840.18 920519 Long 1 1159.61 13331.32 -184.16 -3840.18 920520 Long 1 1047.55 13219.25 -296.22 -3840.18 920521 Long 1 780.70 12952.41 -563.07 -3840.18 920522 Long 1 1178.34 13350.05 -165.43 -3840.18 920525 Long 1 1122.20 13293.90 -221.57 -3840.18 920526 Long 1 1006.59 13178.29 -337.19 -3840.18 920527 Long 1 836.05 13007.75 -507.73 -3840.18 920528 Long 1 1058.73 13230.44 -285.04 -3840.18 920529 Long 1 1747.00 13918.71 0.00 -3840.18 -171.87 920601 Long 1 2016.98 14188.69 0.00 -3840.18 920602 Long 1 1754.68 13926.39 -262.30 -3840.18 920603 Long 1 1800.76 13972.47 -216.22 -3840.18 920604 Long 1 1927.95 14099.65 -89.03 -3840.18 920605 Long 1 2094.67 14266.37 0.00 -3840.18 920608 Long 1 1920.22 14091.93 -174.44 -3840.18 920609 Long 1 1804.61 13976.32 -290.05 -3840.18 920610 Long 1 1823.84 13995.55 -270.82 -3840.18 920611 Long 1 2231.20 14402.91 0.00 -3840.18 920612 Long 1 2153.09 14324.79 -78.11 -3840.18 920615 Long 1 2075.22 14246.92 -155.98 -3840.18 920616 Long 1 2207.75 14379.45 -23.46 -3840.18 920617 Exit Long 1 1928.13 14099.83 -303.08 -3840.18 MFE = 2231.20 MAE = 0.00 920617 Enter Short 1 71.51 14171.34 -231.57 -3840.18 920618 Exit Short 1 -208.12 13891.71 -511.20 -3840.18 MFE = 71.51 MAE = -208.12 920618 Enter Long 1 -68.80 13822.90 -580.01 -3840.18 920619 Long 1 -142.53 13749.18 -653.73 -3840.18 920622 Exit Long 1 -365.62 13526.08 -876.83 -3840.18 MFE = 0.00 MAE = -365.62 920622 Enter Short 1 -178.74 13347.34 -1055.56 -3840.18 920623 Short 1 -105.29 13420.79 -982.12 -3840.18 920624 Exit Short 1 -328.12 13197.96 -1204.95 -3840.18 MFE = 0.00 MAE = -328.12 920624 Enter Long 1 163.77 13361.72 -1041.18 -3840.18 920625 Long 1 646.28 13844.24 -558.67 -3840.18 920626 Exit Long 1 312.50 13510.46 -892.45 -3840.18 MFE = 646.28 MAE = 0.00 920626 Enter Short 1 -90.09 13420.36 -982.55 -3840.18 920629 Exit Short 1 -453.12 13057.33 -1345.58 -3840.18 MFE = 0.00 MAE = -453.12 920629 Enter Long 1 -334.07 12723.26 -1679.65 -3840.18 920630 Long 1 -298.41 12758.92 -1643.99 -3840.18 885.63 920701 Long 1 -218.98 12838.35 -1564.56 -3840.18 920702 Long 1 149.67 13207.00 -1195.91 -3840.18 920703 Long 1 24.84 13082.17 -1320.74 -3840.18 920706 Long 1 234.58 13291.91 -1111.00 -3840.18 920707 Long 1 323.85 13381.18 -1021.73 -3840.18 920708 Long 1 32.88 13090.21 -1312.70 -3840.18 920709 Exit Long 1 -381.25 12676.08 -1726.83 -3840.18 MFE = 323.85 MAE = -381.25 920717 Enter Long 1 184.70 12860.78 -1542.13 -3840.18 920720 Exit Long 1 -93.13 12582.96 -1819.95 -3840.18 MFE = 184.70 MAE = -93.13 920720 Enter Short 1 140.50 12723.46 -1679.45 -3840.18 920721 Short 1 108.62 12691.58 -1711.33 -3840.18 920722 Short 1 652.86 13235.82 -1167.09 -3840.18 920723 Short 1 699.63 13282.58 -1120.33 -3840.18 920724 Short 1 1238.75 13821.70 -581.21 -3840.18 920727 Short 1 974.52 13557.47 -845.44 -3840.18 920728 Short 1 970.66 13553.62 -849.29 -3840.18 920729 Short 1 1154.80 13737.76 -665.15 -3840.18 920730 Short 1 1024.52 13607.47 -795.44 -3840.18 920731 Short 1 835.52 13418.47 -984.44 -3840.18 -474.38 920803 Short 1 874.21 13457.16 -945.74 -3840.18 920804 Short 1 908.98 13491.93 -910.98 -3840.18 920805 Short 1 1059.07 13642.03 -760.88 -3840.18 920806 Short 1 1032.20 13615.16 -787.75 -3840.18 920807 Short 1 1009.14 13592.10 -810.81 -3840.18 920810 Short 1 1212.07 13795.02 -607.89 -3840.18 920811 Exit Short 1 1028.75 13611.71 -791.20 -3840.18 MFE = 1238.75 MAE = 0.00 920811 Enter Long 1 -112.52 13499.19 -903.72 -3840.18 920812 Long 1 148.63 13760.34 -642.57 -3840.18 920813 Long 1 459.47 14071.17 -331.73 -3840.18 920814 Exit Long 1 221.25 13832.96 -569.95 -3840.18 MFE = 459.47 MAE = -112.52 920814 Enter Short 1 -401.62 13431.34 -971.57 -3840.18 920817 Short 1 -468.69 13364.27 -1038.64 -3840.18 920818 Short 1 -291.54 13541.41 -861.50 -3840.18 920819 Short 1 -139.04 13693.92 -708.99 -3840.18 920820 Short 1 -185.87 13647.09 -755.82 -3840.18 920821 Exit Short 1 -528.13 13304.83 -1098.08 -3840.18 MFE = 0.00 MAE = -528.13 920821 Enter Long 1 76.42 13381.25 -1021.65 -3840.18 920824 Long 1 456.27 13761.11 -641.80 -3840.18 920825 Long 1 452.25 13757.08 -645.83 -3840.18 920826 Long 1 195.75 13500.59 -902.32 -3840.18 920827 Long 1 375.83 13680.66 -722.25 -3840.18 920828 Long 1 1109.30 14414.13 0.00 -3840.18 920831 Long 1 1067.98 14372.82 -41.32 -3840.18 721.87 920901 Long 1 1233.63 14538.46 0.00 -3840.18 920902 Long 1 993.79 14298.62 -239.84 -3840.18 920903 Long 1 727.67 14032.51 -505.96 -3840.18 920904 Long 1 1109.30 14414.13 -124.33 -3840.18 920907 Long 1 882.91 14187.74 -350.72 -3840.18 920908 Long 1 1171.39 14476.22 -62.24 -3840.18 920909 Long 1 989.68 14294.51 -243.95 -3840.18 920910 Long 1 780.68 14085.51 -452.95 -3840.18 920911 Long 1 565.29 13870.12 -668.34 -3840.18 920914 Exit Long 1 257.50 13562.33 -840.58 -3840.18 MFE = 1233.63 MAE = 0.00 920914 Enter Short 1 -335.45 13226.88 -1311.58 -3840.18 920915 Short 1 -234.28 13328.05 -1210.41 -3840.18 920916 Short 1 26.87 13589.20 -949.27 -3840.18 920917 Short 1 -290.89 13271.44 -1267.02 -3840.18 920918 Short 1 -234.28 13328.05 -1210.41 -3840.18 920921 Short 1 -559.47 13002.86 -1535.60 -3840.18 920922 Exit Short 1 -905.00 12657.33 -1745.58 -3840.18 MFE = 26.87 MAE = -905.00 -647.50 921008 Enter Short 1 309.93 12967.26 -1571.21 -3840.18 921009 Short 1 288.87 12946.20 -1592.26 -3840.18 921012 Exit Short 1 -203.13 12454.21 -1948.70 -3840.18 MFE = 309.93 MAE = -203.13 921020 Enter Short 1 371.66 12825.87 -1712.60 -3840.18 921021 Short 1 454.96 12909.16 -1629.30 -3840.18 921022 Exit Short 1 -41.25 12412.96 -1989.95 -3840.18 MFE = 454.96 MAE = -41.25 -244.38 921109 Enter Short 1 -4.20 12408.75 -2129.71 -3840.18 921110 Short 1 -24.49 12388.47 -2150.00 -3840.18 921111 Short 1 -101.71 12311.25 -2227.21 -3840.18 921112 Short 1 -134.30 12278.66 -2259.80 -3840.18 921113 Short 1 -32.60 12380.35 -2158.11 -3840.18 921116 Short 1 213.82 12626.78 -1911.69 -3840.18 921117 Short 1 64.64 12477.60 -2060.87 -3840.18 921118 Short 1 -207.77 12205.18 -2333.28 -3840.18 921119 Short 1 -330.71 12082.25 -2456.21 -3840.18 921120 Short 1 56.55 12469.51 -2068.96 -3840.18 921123 Short 1 -61.04 12351.92 -2186.54 -3840.18 921124 Short 1 -142.45 12270.50 -2267.96 -3840.18 921125 Short 1 -191.42 12221.53 -2316.93 -3840.18 921126 Short 1 -44.78 12368.17 -2170.29 -3840.18 921127 Short 1 76.76 12489.72 -2048.74 -3840.18 921130 Short 1 205.78 12618.73 -1919.73 -3840.18 0.00 921201 Exit Short 1 -46.25 12366.71 -2036.20 -3840.18 MFE = 213.82 MAE = -330.71 921201 Enter Long 1 3.24 12369.94 -2168.52 -3840.18 921202 Long 1 -146.47 12220.23 -2318.23 -3840.18 921203 Long 1 -194.83 12171.87 -2366.59 -3840.18 921204 Long 1 -331.36 12035.35 -2503.11 -3840.18 921207 Long 1 157.92 12524.63 -2013.84 -3840.18 921208 Long 1 149.76 12516.46 -2022.00 -3840.18 921209 Long 1 39.79 12406.49 -2131.97 -3840.18 921210 Long 1 170.17 12536.88 -2001.59 -3840.18 921211 Long 1 104.90 12471.60 -2066.86 -3840.18 921214 Long 1 170.17 12536.88 -2001.59 -3840.18 921215 Long 1 72.32 12439.02 -2099.44 -3840.18 921216 Long 1 494.98 12861.68 -1676.78 -3840.18 921217 Long 1 523.96 12890.66 -1647.80 -3840.18 921218 Long 1 432.98 12799.69 -1738.77 -3840.18 921221 Long 1 453.63 12820.34 -1718.13 -3840.18 921222 Exit Long 1 211.25 12577.96 -1824.95 -3840.18 MFE = 523.96 MAE = -331.36 921222 Enter Short 1 49.73 12627.68 -1910.78 -3840.18 921223 Short 1 110.97 12688.93 -1849.53 -3840.18 921224 Short 1 151.72 12729.68 -1808.79 -3840.18 921225 Short 1 49.73 12627.68 -1910.78 -3840.18 921228 Short 1 543.57 13121.53 -1416.93 -3840.18 921229 Short 1 467.30 13045.25 -1493.21 -3840.18 921230 Short 1 414.98 12992.93 -1545.53 -3840.18 921231 Short 1 515.50 13093.46 -1445.01 -3840.18 165.00 930104 Short 1 715.34 13293.29 -1245.17 -3840.18 930105 Short 1 515.50 13093.46 -1445.01 -3840.18 930106 Short 1 631.59 13209.55 -1328.91 -3840.18 930107 Short 1 667.52 13245.48 -1292.99 -3840.18 930108 Short 1 743.19 13321.15 -1217.32 -3840.18 930111 Short 1 651.56 13229.52 -1308.95 -3840.18 930112 Short 1 683.47 13261.43 -1277.04 -3840.18 930113 Short 1 822.59 13400.55 -1137.92 -3840.18 930114 Short 1 929.38 13507.34 -1031.13 -3840.18 930115 Short 1 1000.32 13578.28 -960.18 -3840.18 930118 Exit Short 1 794.38 13372.33 -1030.58 -3840.18 MFE = 1000.32 MAE = 0.00 930118 Enter Long 1 40.43 13412.76 -1125.70 -3840.18 930119 Long 1 64.26 13436.59 -1101.87 -3840.18 930120 Long 1 368.17 13740.50 -797.97 -3840.18 930121 Exit Long 1 166.87 13539.21 -863.70 -3840.18 MFE = 368.17 MAE = 0.00 930121 Enter Short 1 -79.92 13459.28 -1079.18 -3840.18 930122 Short 1 -3.89 13535.32 -1003.15 -3840.18 930125 Exit Short 1 -240.00 13299.21 -1103.70 -3840.18 MFE = 0.00 MAE = -240.00 930125 Enter Long 1 506.25 13805.45 -733.01 -3840.18 930126 Long 1 395.50 13694.70 -843.76 -3840.18 930127 Long 1 199.78 13498.99 -1039.47 -3840.18 930128 Long 1 138.93 13438.14 -1100.32 -3840.18 930129 Long 1 -22.61 13276.60 -1261.87 -3840.18 721.25 930201 Long 1 -207.11 13092.10 -1446.37 -3840.18 930202 Long 1 -30.67 13268.54 -1269.92 -3840.18 930203 Long 1 62.07 13361.28 -1177.19 -3840.18 930204 Long 1 -58.82 13240.39 -1298.08 -3840.18 930205 Long 1 58.03 13357.24 -1181.23 -3840.18 930208 Long 1 313.77 13612.97 -925.49 -3840.18 930209 Long 1 1405.81 14705.02 0.00 -3840.18 930210 Long 1 1405.81 14705.02 0.00 -3840.18 930211 Long 1 1384.53 14683.74 -21.28 -3840.18 930212 Long 1 1641.09 14940.29 0.00 -3840.18 930215 Long 1 1482.58 14781.78 -158.51 -3840.18 930216 Long 1 1913.23 15212.44 0.00 -3840.18 930217 Long 1 2070.03 15369.24 0.00 -3840.18 930218 Long 1 2280.57 15579.78 0.00 -3840.18 930219 Long 1 2693.35 15992.56 0.00 -3840.18 930222 Exit Long 1 3475.00 16774.21 0.00 -3840.18 MFE = 3475.00 MAE = -207.11 3475.00 930416 Enter Long 1 172.85 16947.06 0.00 -3840.18 930419 Long 1 775.06 17549.26 0.00 -3840.18 930420 Long 1 1065.69 17839.89 0.00 -3840.18 930421 Long 1 978.70 17752.90 -86.99 -3840.18 930422 Long 1 1390.42 18164.63 0.00 -3840.18 930423 Exit Long 1 662.50 17436.71 0.00 -3840.18 MFE = 1390.42 MAE = 0.00 662.50 930525 Enter Long 1 411.93 17848.64 -315.99 -3840.18 930526 Long 1 797.12 18233.82 0.00 -3840.18 930527 Long 1 1414.55 18851.26 0.00 -3840.18 930528 Long 1 1643.35 19080.06 0.00 -3840.18 930531 Long 1 1523.28 18959.98 -120.08 -3840.18 0.00 930601 Long 1 1643.35 19080.06 0.00 -3840.18 930602 Long 1 1561.43 18998.14 -81.92 -3840.18 930603 Long 1 1506.94 18943.65 -136.41 -3840.18 930604 Long 1 1176.75 18613.46 -466.60 -3840.18 930607 Long 1 1485.18 18921.89 -158.17 -3840.18 930608 Long 1 2067.54 19504.25 0.00 -3840.18 930609 Long 1 1907.06 19343.77 -160.48 -3840.18 930610 Long 1 2167.59 19604.30 0.00 -3840.18 930611 Long 1 2111.97 19548.67 -55.63 -3840.18 930614 Long 1 2678.64 20115.35 0.00 -3840.18 930615 Long 1 2195.44 19632.15 -483.20 -3840.18 930616 Long 1 1807.89 19244.60 -870.75 -3840.18 930617 Exit Long 1 1633.75 19070.46 -1044.89 -3840.18 MFE = 2678.64 MAE = 0.00 1633.75 931007 Enter Long 1 70.30 19140.75 -974.59 -3840.18 931008 Exit Long 1 -273.12 18797.33 -1318.01 -3840.18 MFE = 70.30 MAE = -273.12 931008 Enter Short 1 354.80 19152.13 -963.21 -3840.18 931011 Short 1 354.80 19152.13 -963.21 -3840.18 931012 Short 1 249.23 19046.56 -1068.79 -3840.18 931013 Short 1 176.78 18974.11 -1141.24 -3840.18 931014 Short 1 985.85 19783.18 -332.16 -3840.18 931015 Short 1 877.07 19674.40 -440.94 -3840.18 931018 Short 1 1077.99 19875.32 -240.03 -3840.18 931019 Short 1 860.72 19658.05 -457.29 -3840.18 931020 Short 1 1012.97 19810.31 -305.04 -3840.18 931021 Short 1 1400.86 20198.20 0.00 -3840.18 931022 Short 1 1363.38 20160.71 -37.49 -3840.18 931025 Short 1 1683.10 20480.43 0.00 -3840.18 931026 Short 1 1470.35 20267.68 -212.75 -3840.18 931027 Short 1 1725.47 20522.80 0.00 -3840.18 931028 Exit Short 1 1138.75 19936.08 -179.26 -3840.18 MFE = 1725.47 MAE = 0.00 865.63 931104 Enter Short 1 -20.17 19915.91 -606.89 -3840.18 931105 Short 1 27.90 19963.98 -558.82 -3840.18 931108 Short 1 -180.98 19755.10 -767.70 -3840.18 931109 Short 1 -143.38 19792.70 -730.10 -3840.18 931110 Exit Short 1 -473.12 19462.96 -1059.85 -3840.18 MFE = 27.90 MAE = -473.12 931110 Enter Long 1 127.93 19590.88 -931.92 -3840.18 931111 Long 1 539.47 20002.42 -520.38 -3840.18 931112 Long 1 872.90 20335.86 -186.94 -3840.18 931115 Exit Long 1 298.75 19761.71 -761.10 -3840.18 MFE = 872.90 MAE = 0.00 -174.37 931206 Enter Long 1 116.11 19877.81 -644.99 -3840.18 931207 Long 1 337.21 20098.92 -423.88 -3840.18 931208 Exit Long 1 -13.75 19747.96 -774.85 -3840.18 MFE = 337.21 MAE = -13.75 931208 Enter Short 1 422.16 20170.12 -352.69 -3840.18 931209 Short 1 305.87 20053.83 -468.97 -3840.18 931210 Short 1 585.22 20333.18 -189.62 -3840.18 931213 Short 1 464.33 20212.28 -310.52 -3840.18 931214 Short 1 679.47 20427.43 -95.37 -3840.18 931215 Short 1 903.39 20651.35 0.00 -3840.18 931216 Short 1 763.00 20510.96 -140.39 -3840.18 931217 Short 1 1099.82 20847.78 0.00 -3840.18 931220 Short 1 1325.57 21073.52 0.00 -3840.18 931221 Short 1 1585.00 21332.95 0.00 -3840.18 931222 Short 1 1202.66 20950.61 -382.34 -3840.18 931223 Short 1 1330.68 21078.63 -254.32 -3840.18 931224 Short 1 1407.22 21155.17 -177.78 -3840.18 931227 Short 1 1736.50 21484.45 0.00 -3840.18 931228 Short 1 1731.46 21479.42 -5.03 -3840.18 931229 Short 1 1902.20 21650.16 0.00 -3840.18 931230 Short 1 1937.22 21685.18 0.00 -3840.18 931231 Short 1 1937.22 21685.18 0.00 -3840.18 -13.75 940103 Short 1 2344.27 22092.22 0.00 -3840.18 940104 Short 1 2344.27 22092.22 0.00 -3840.18 940105 Short 1 2506.40 22254.36 0.00 -3840.18 940106 Short 1 2334.40 22082.36 -172.00 -3840.18 940107 Exit Short 1 1816.87 21564.83 -689.53 -3840.18 MFE = 2506.40 MAE = 0.00 940113 Enter Long 1 -76.60 21488.23 -766.13 -3840.18 940114 Long 1 372.08 21936.91 -317.45 -3840.18 940117 Long 1 301.02 21865.85 -388.51 -3840.18 940118 Long 1 448.41 22013.24 -241.12 -3840.18 940119 Long 1 144.32 21709.15 -545.21 -3840.18 940120 Long 1 149.36 21714.19 -540.17 -3840.18 940121 Long 1 43.69 21608.52 -645.84 -3840.18 940124 Exit Long 1 -370.00 21194.83 -1059.53 -3840.18 MFE = 448.41 MAE = -370.00 1446.87 940324 Enter Long 1 646.98 21841.81 -412.55 -3840.18 940325 Exit Long 1 246.25 21441.08 -813.28 -3840.18 MFE = 646.98 MAE = 0.00 246.25 940427 Exit Long 1 -700.62 20740.46 -1513.90 -3840.18 MFE = 0.00 MAE = -700.62 -700.62 940602 Enter Short 1 -131.15 20609.30 -1645.06 -3840.18 940603 Short 1 191.46 20931.91 -1322.45 -3840.18 940606 Short 1 118.18 20858.64 -1395.72 -3840.18 940607 Exit Short 1 -176.25 20564.21 -1690.15 -3840.18 MFE = 191.46 MAE = -176.25 940607 Enter Long 1 283.04 20847.25 -1407.11 -3840.18 940608 Long 1 484.92 21049.13 -1205.23 -3840.18 940609 Long 1 490.71 21054.91 -1199.45 -3840.18 940610 Long 1 728.97 21293.18 -961.18 -3840.18 940613 Long 1 1110.61 21674.82 -579.54 -3840.18 940614 Long 1 1163.83 21728.04 -526.32 -3840.18 940615 Long 1 1199.37 21763.57 -490.79 -3840.18 940616 Long 1 793.22 21357.43 -896.93 -3840.18 940617 Long 1 1175.67 21739.88 -514.48 -3840.18 940620 Long 1 1629.03 22193.23 -61.13 -3840.18 940621 Long 1 2692.86 23257.06 0.00 -3840.18 940622 Long 1 2150.25 22714.46 -542.61 -3840.18 940623 Long 1 1961.35 22525.56 -731.51 -3840.18 940624 Long 1 2550.12 23114.33 -142.74 -3840.18 940627 Long 1 2531.55 23095.76 -161.31 -3840.18 940628 Long 1 2967.75 23531.96 0.00 -3840.18 940629 Exit Long 1 3475.00 24039.21 0.00 -3840.18 MFE = 3475.00 MAE = 0.00 3298.75 940818 Enter Long 1 535.92 24575.13 0.00 -3840.18 940819 Long 1 535.92 24575.13 0.00 -3840.18 940822 Long 1 1066.96 25106.16 0.00 -3840.18 940823 Long 1 1060.43 25099.64 -6.53 -3840.18 940824 Exit Long 1 250.00 24289.21 -816.96 -3840.18 MFE = 1066.96 MAE = 0.00 250.00 940913 Enter Long 1 -61.99 24227.22 -878.94 -3840.18 940914 Long 1 -317.32 23971.89 -1134.27 -3840.18 940915 Long 1 -482.19 23807.02 -1299.14 -3840.18 940916 Long 1 -157.98 24131.22 -974.94 -3840.18 940919 Long 1 98.65 24387.86 -718.31 -3840.18 940920 Long 1 631.31 24920.52 -185.64 -3840.18 940921 Long 1 565.88 24855.08 -251.08 -3840.18 940922 Long 1 396.37 24685.57 -420.59 -3840.18 940923 Long 1 520.15 24809.36 -296.81 -3840.18 940926 Exit Long 1 88.75 24377.96 -728.21 -3840.18 MFE = 631.31 MAE = -482.19 88.75 941003 Exit Long 1 -709.38 23668.58 -1437.58 -3840.18 MFE = 0.00 MAE = -709.38 -709.38 941102 Exit Long 1 -612.50 23056.08 -2050.08 -3840.18 MFE = 0.00 MAE = -612.50 941103 Enter Short 1 -248.22 22807.86 -2298.30 -3840.18 941104 Short 1 -412.33 22643.75 -2462.41 -3840.18 941107 Short 1 -511.20 22544.88 -2561.28 -3840.18 941108 Short 1 -643.51 22412.58 -2693.59 -3840.18 941109 Short 1 -215.49 22840.59 -2265.57 -3840.18 941110 Short 1 -241.67 22814.41 -2291.75 -3840.18 941111 Short 1 -248.22 22807.86 -2298.30 -3840.18 941114 Short 1 77.50 23133.58 -1972.58 -3840.18 941115 Short 1 419.17 23475.25 -1630.91 -3840.18 941116 Short 1 161.65 23217.73 -1888.43 -3840.18 941117 Short 1 148.72 23204.80 -1901.36 -3840.18 941118 Short 1 284.23 23340.31 -1765.86 -3840.18 941121 Short 1 168.11 23224.19 -1881.97 -3840.18 941122 Short 1 142.25 23198.33 -1907.83 -3840.18 941123 Short 1 226.22 23282.30 -1823.86 -3840.18 941124 Short 1 226.22 23282.30 -1823.86 -3840.18 941125 Short 1 431.99 23488.07 -1618.10 -3840.18 941128 Short 1 303.54 23359.63 -1746.54 -3840.18 941129 Short 1 559.91 23615.99 -1490.17 -3840.18 941130 Short 1 527.98 23584.06 -1522.10 -3840.18 -612.50 941201 Short 1 776.20 23832.28 -1273.88 -3840.18 941202 Short 1 1534.07 24590.15 -516.01 -3840.18 941205 Short 1 1459.72 24515.80 -590.36 -3840.18 941206 Short 1 1241.87 24297.95 -808.21 -3840.18 941207 Short 1 1166.83 24222.91 -883.25 -3840.18 941208 Short 1 1527.88 24583.96 -522.20 -3840.18 941209 Short 1 1285.56 24341.64 -764.52 -3840.18 941212 Short 1 1191.86 24247.94 -858.22 -3840.18 941213 Short 1 1378.98 24435.06 -671.10 -3840.18 941214 Short 1 1391.42 24447.50 -658.66 -3840.18 941215 Short 1 1441.11 24497.19 -608.97 -3840.18 941216 Short 1 1347.87 24403.95 -702.21 -3840.18 941219 Short 1 1291.80 24347.88 -758.28 -3840.18 941220 Short 1 1329.19 24385.27 -720.89 -3840.18 941221 Short 1 1490.72 24546.81 -559.36 -3840.18 941222 Exit Short 1 1307.50 24363.58 -742.58 -3840.18 MFE = 1534.07 MAE = -643.51 941222 Enter Long 1 -15.37 24348.21 -757.95 -3840.18 941223 Long 1 65.65 24429.24 -676.93 -3840.18 941226 Exit Long 1 -121.87 24241.71 -864.46 -3840.18 MFE = 65.65 MAE = -121.87 941226 Enter Short 1 -175.01 24066.69 -1039.47 -3840.18 941227 Short 1 -19.31 24222.40 -883.76 -3840.18 941228 Exit Short 1 -151.25 24090.46 -1015.71 -3840.18 MFE = 0.00 MAE = -175.01 941228 Enter Long 1 552.29 24642.75 -463.42 -3840.18 941229 Exit Long 1 123.75 24214.21 -891.96 -3840.18 MFE = 552.29 MAE = 0.00 1158.12 950208 Enter Long 1 8.13 24222.33 -883.83 -3840.18 950209 Long 1 27.31 24241.51 -864.65 -3840.18 950210 Long 1 8.13 24222.33 -883.83 -3840.18 950213 Long 1 142.58 24356.79 -749.37 -3840.18 950214 Long 1 258.27 24472.48 -633.68 -3840.18 950215 Long 1 400.25 24614.46 -491.71 -3840.18 950216 Long 1 987.75 25201.96 0.00 -3840.18 950217 Long 1 1073.51 25287.72 0.00 -3840.18 950220 Long 1 1053.70 25267.91 -19.81 -3840.18 950221 Long 1 1219.17 25433.37 0.00 -3840.18 950222 Long 1 1278.95 25493.15 0.00 -3840.18 950223 Long 1 1452.26 25666.47 0.00 -3840.18 950224 Long 1 1285.60 25499.81 -166.66 -3840.18 950227 Long 1 1219.17 25433.37 -233.09 -3840.18 950228 Long 1 1438.89 25653.10 -13.36 -3840.18 0.00 950301 Long 1 1452.26 25666.47 0.00 -3840.18 950302 Long 1 2436.17 26650.38 0.00 -3840.18 950303 Exit Long 1 3475.00 27689.21 0.00 -3840.18 MFE = 3475.00 MAE = 0.00 3475.00 950627 Enter Long 1 -300.03 27389.18 0.00 -3840.18 950628 Exit Long 1 -651.88 27037.33 -651.88 -3840.18 MFE = 0.00 MAE = -651.88 950628 Enter Short 1 836.22 27873.56 0.00 -3840.18 950629 Exit Short 1 203.12 27240.46 -448.75 -3840.18 MFE = 836.22 MAE = 0.00 -448.75 951023 Enter Long 1 -136.84 27103.62 -769.93 -3840.18 951024 Exit Long 1 -515.00 26725.46 -963.75 -3840.18 MFE = 0.00 MAE = -515.00 951024 Enter Short 1 -23.14 26702.32 -1171.24 -3840.18 951025 Short 1 376.89 27102.35 -771.21 -3840.18 951026 Short 1 529.39 27254.84 -618.71 -3840.18 951027 Exit Short 1 97.50 26822.96 -866.25 -3840.18 MFE = 529.39 MAE = -23.14 -417.50 951208 Enter Long 1 -196.11 26626.85 -1246.71 -3840.18 951211 Long 1 -135.02 26687.94 -1185.62 -3840.18 951212 Exit Long 1 -477.50 26345.46 -1343.75 -3840.18 MFE = 0.00 MAE = -477.50 951212 Enter Short 1 101.58 26447.03 -1426.52 -3840.18 951213 Short 1 17.01 26362.47 -1511.09 -3840.18 951214 Short 1 -73.85 26271.60 -1601.95 -3840.18 951215 Short 1 227.99 26573.44 -1300.11 -3840.18 951218 Exit Short 1 -46.88 26298.58 -1390.63 -3840.18 MFE = 227.99 MAE = -73.85 951218 Enter Long 1 94.48 26393.06 -1480.50 -3840.18 951219 Exit Long 1 -183.75 26114.83 -1574.38 -3840.18 MFE = 94.48 MAE = -183.75 951219 Enter Short 1 61.06 26175.89 -1697.66 -3840.18 951220 Short 1 -89.64 26025.19 -1848.36 -3840.18 951221 Short 1 -41.33 26073.50 -1800.06 -3840.18 951222 Short 1 252.88 26367.71 -1505.84 -3840.18 951225 Short 1 240.93 26355.76 -1517.80 -3840.18 951226 Short 1 252.88 26367.71 -1505.84 -3840.18 951227 Short 1 597.51 26712.35 -1161.21 -3840.18 951228 Exit Short 1 290.00 26404.83 -1284.38 -3840.18 MFE = 597.51 MAE = -89.64 951228 Enter Long 1 -164.12 26240.71 -1632.84 -3840.18 951229 Exit Long 1 -487.50 25917.33 -1771.88 -3840.18 MFE = 0.00 MAE = -487.50 951229 Enter Short 1 114.01 26031.34 -1842.22 -3840.18 -905.63 960102 Short 1 445.71 26363.04 -1510.52 -3840.18 960103 Short 1 979.16 26896.49 -977.06 -3840.18 960104 Short 1 1166.18 27083.51 -790.04 -3840.18 960105 Short 1 1267.70 27185.03 -688.52 -3840.18 960108 Short 1 1149.23 27066.56 -807.00 -3840.18 960109 Short 1 722.23 26639.56 -1234.00 -3840.18 960110 Short 1 933.64 26850.97 -1022.58 -3840.18 960111 Short 1 950.72 26868.05 -1005.50 -3840.18 960112 Short 1 1177.47 27094.81 -778.75 -3840.18 960115 Short 1 1211.35 27128.68 -744.88 -3840.18 960116 Short 1 1603.60 27520.93 -352.62 -3840.18 960117 Short 1 1458.51 27375.84 -497.71 -3840.18 960118 Exit Short 1 1053.75 26971.08 -718.13 -3840.18 MFE = 1603.60 MAE = 0.00 960122 Enter Short 1 -142.21 26828.88 -1044.68 -3840.18 960123 Short 1 -80.77 26890.31 -983.25 -3840.18 960124 Short 1 532.10 27503.18 -370.37 -3840.18 960125 Short 1 493.83 27464.91 -408.65 -3840.18 960126 Short 1 340.23 27311.31 -562.24 -3840.18 960129 Short 1 422.62 27393.70 -479.86 -3840.18 960130 Short 1 679.26 27650.34 -223.21 -3840.18 960131 Short 1 586.69 27557.78 -315.78 -3840.18 1053.75 960201 Short 1 395.18 27366.26 -507.30 -3840.18 960202 Short 1 230.03 27201.11 -672.45 -3840.18 960205 Exit Short 1 -208.13 26762.96 -926.25 -3840.18 MFE = 679.26 MAE = -208.13 -208.13 960315 Enter Short 1 -101.07 26661.89 -1211.67 -3840.18 960318 Short 1 71.65 26834.60 -1038.95 -3840.18 960319 Short 1 104.96 26867.92 -1005.64 -3840.18 960320 Short 1 254.40 27017.36 -856.20 -3840.18 960321 Short 1 474.40 27237.36 -636.20 -3840.18 960322 Short 1 474.40 27237.36 -636.20 -3840.18 960325 Exit Short 1 72.50 26835.46 -853.75 -3840.18 MFE = 474.40 MAE = -101.07 960329 Enter Short 1 198.32 27033.77 -839.78 -3840.18 72.50 960401 Short 1 436.77 27272.23 -601.33 -3840.18 960402 Short 1 404.37 27239.83 -633.73 -3840.18 960403 Exit Short 1 84.38 26919.83 -769.38 -3840.18 MFE = 436.77 MAE = 0.00 960403 Enter Long 1 25.56 26945.39 -928.17 -3840.18 960404 Long 1 -7.20 26912.63 -960.93 -3840.18 960405 Exit Long 1 -365.00 26554.83 -1134.38 -3840.18 MFE = 25.56 MAE = -365.00 960405 Enter Short 1 -1.81 26553.02 -1320.54 -3840.18 960408 Short 1 41.32 26596.15 -1277.41 -3840.18 960409 Short 1 352.11 26906.94 -966.62 -3840.18 960410 Short 1 373.42 26928.25 -945.31 -3840.18 960411 Short 1 500.96 27055.79 -817.77 -3840.18 960412 Short 1 527.45 27082.28 -791.27 -3840.18 960415 Short 1 463.81 27018.64 -854.91 -3840.18 960416 Short 1 250.66 26805.49 -1068.06 -3840.18 960417 Short 1 277.39 26832.22 -1041.33 -3840.18 960418 Exit Short 1 -101.25 26453.58 -1235.63 -3840.18 MFE = 527.45 MAE = -101.25 960418 Enter Long 1 431.70 26885.28 -988.28 -3840.18 960419 Long 1 104.15 26557.73 -1315.82 -3840.18 960422 Long 1 437.19 26890.77 -982.79 -3840.18 960423 Long 1 415.23 26868.81 -1004.75 -3840.18 960424 Long 1 541.70 26995.28 -878.28 -3840.18 960425 Long 1 420.72 26874.30 -999.26 -3840.18 960426 Long 1 1154.16 27607.74 -265.81 -3840.18 960429 Long 1 1465.21 27918.79 0.00 -3840.18 960430 Long 1 1380.06 27833.64 -85.15 -3840.18 -381.87 960501 Long 1 1193.57 27647.15 -271.64 -3840.18 960502 Long 1 1773.81 28227.39 0.00 -3840.18 960503 Long 1 1380.06 27833.64 -393.75 -3840.18 960506 Long 1 1425.45 27879.03 -348.36 -3840.18 960507 Long 1 1266.90 27720.48 -506.91 -3840.18 960508 Long 1 1312.11 27765.69 -461.70 -3840.18 960509 Long 1 1664.86 28118.44 -108.95 -3840.18 960510 Exit Long 1 1086.88 27540.46 -148.75 -3840.18 MFE = 1773.81 MAE = 0.00 960513 Enter Long 1 -42.44 27498.02 -729.37 -3840.18 960514 Exit Long 1 -316.25 27224.21 -1003.18 -3840.18 MFE = 0.00 MAE = -316.25 960514 Enter Short 1 201.28 27425.49 -801.90 -3840.18 960515 Short 1 781.78 28005.99 -221.40 -3840.18 960516 Short 1 600.57 27824.78 -402.61 -3840.18 960517 Short 1 737.95 27962.16 -265.23 -3840.18 960520 Short 1 891.07 28115.28 -112.11 -3840.18 960521 Short 1 945.56 28169.76 -57.63 -3840.18 960522 Short 1 912.87 28137.08 -90.31 -3840.18 960523 Short 1 792.73 28016.94 -210.45 -3840.18 960524 Short 1 1324.14 28548.35 0.00 -3840.18 960527 Short 1 1313.39 28537.60 -10.75 -3840.18 960528 Short 1 1840.70 29064.91 0.00 -3840.18 960529 Short 1 1458.16 28682.37 -382.54 -3840.18 960530 Exit Short 1 983.12 28207.33 -857.58 -3840.18 MFE = 1840.70 MAE = 0.00 1753.75 960614 Enter Long 1 -651.33 27556.00 -1508.91 -3840.18 960617 Long 1 -556.80 27650.53 -1414.38 -3840.18 960618 Long 1 108.39 28315.72 -749.19 -3840.18 960619 Long 1 -4.44 28202.90 -862.01 -3840.18 960620 Long 1 -111.49 28095.84 -969.07 -3840.18 960621 Exit Long 1 -471.25 27736.08 -1328.83 -3840.18 MFE = 108.39 MAE = -651.33 960621 Enter Short 1 173.61 27909.69 -1155.22 -3840.18 960624 Short 1 52.62 27788.71 -1276.20 -3840.18 960625 Short 1 47.35 27783.43 -1281.48 -3840.18 960626 Short 1 377.59 28113.67 -951.24 -3840.18 960627 Exit Short 1 14.37 27750.46 -1314.45 -3840.18 MFE = 377.59 MAE = 0.00 960627 Enter Long 1 -97.47 27652.99 -1411.92 -3840.18 960628 Exit Long 1 -477.50 27272.96 -1791.95 -3840.18 MFE = 0.00 MAE = -477.50 960628 Enter Short 1 -15.44 27257.52 -1807.39 -3840.18 -934.38 960701 Short 1 -41.42 27231.54 -1833.37 -3840.18 960702 Short 1 299.61 27572.57 -1492.34 -3840.18 960703 Short 1 268.78 27541.74 -1523.17 -3840.18 960704 Short 1 330.42 27603.37 -1461.54 -3840.18 960705 Short 1 534.90 27807.86 -1257.05 -3840.18 960708 Short 1 545.09 27818.05 -1246.86 -3840.18 960709 Short 1 345.81 27618.76 -1446.15 -3840.18 960710 Short 1 320.16 27593.11 -1471.80 -3840.18 960711 Short 1 268.78 27541.74 -1523.17 -3840.18 960712 Short 1 585.80 27858.75 -1206.16 -3840.18 960715 Exit Short 1 300.00 27572.96 -1491.95 -3840.18 MFE = 585.80 MAE = -41.42 960715 Enter Long 1 66.50 27639.46 -1425.45 -3840.18 960716 Long 1 538.48 28111.44 -953.47 -3840.18 960717 Long 1 917.52 28490.48 -574.43 -3840.18 960718 Long 1 1050.31 28623.27 -441.64 -3840.18 960719 Long 1 1349.99 28922.94 -141.97 -3840.18 960722 Long 1 1560.54 29133.50 0.00 -3840.18 960723 Long 1 1344.61 28917.57 -215.93 -3840.18 960724 Long 1 1023.70 28596.66 -536.84 -3840.18 960725 Long 1 1124.94 28697.90 -435.60 -3840.18 960726 Long 1 1076.94 28649.89 -483.61 -3840.18 960729 Long 1 1151.63 28724.59 -408.91 -3840.18 960730 Long 1 1274.78 28847.73 -285.76 -3840.18 960731 Long 1 1887.47 29460.43 0.00 -3840.18 300.00 960801 Long 1 1745.36 29318.31 -142.11 -3840.18 960802 Long 1 1898.44 29471.39 0.00 -3840.18 960805 Long 1 2035.80 29608.75 0.00 -3840.18 960806 Exit Long 1 1638.12 29211.08 0.00 -3840.18 MFE = 2035.80 MAE = 0.00 960806 Enter Short 1 -235.31 28975.77 -632.98 -3840.18 960807 Short 1 420.52 29631.60 0.00 -3840.18 960808 Short 1 548.86 29759.94 0.00 -3840.18 960809 Short 1 527.51 29738.59 -21.35 -3840.18 960812 Exit Short 1 140.63 29351.71 -408.24 -3840.18 MFE = 548.86 MAE = -235.31 960812 Enter Long 1 -72.10 29279.60 -480.34 -3840.18 960813 Long 1 -61.31 29290.39 -469.55 -3840.18 960814 Long 1 -303.09 29048.62 -711.32 -3840.18 960815 Long 1 -152.89 29198.82 -561.13 -3840.18 960816 Long 1 -93.67 29258.04 -501.91 -3840.18 960819 Long 1 -152.89 29198.82 -561.13 -3840.18 960820 Exit Long 1 -512.50 28839.21 -920.74 -3840.18 MFE = 0.00 MAE = -512.50 960820 Enter Short 1 -72.27 28766.94 -993.00 -3840.18 960821 Short 1 12.88 28852.08 -907.86 -3840.18 960822 Exit Short 1 -192.50 28646.71 -1113.24 -3840.18 MFE = 12.88 MAE = -192.50 960822 Enter Long 1 -73.90 28572.80 -1187.14 -3840.18 960823 Long 1 11.56 28658.27 -1101.67 -3840.18 960826 Long 1 226.33 28873.04 -886.91 -3840.18 960827 Long 1 247.90 28894.60 -865.34 -3840.18 960828 Exit Long 1 21.88 28668.58 -1091.36 -3840.18 MFE = 247.90 MAE = -73.90 960828 Enter Short 1 211.31 28879.89 -880.05 -3840.18 960829 Short 1 174.06 28842.64 -917.30 -3840.18 960830 Short 1 475.93 29144.52 -615.43 -3840.18 1095.63 960902 Short 1 570.61 29239.19 -520.75 -3840.18 960903 Short 1 638.79 29307.37 -452.57 -3840.18 960904 Exit Short 1 309.37 28977.96 -781.99 -3840.18 MFE = 638.79 MAE = 0.00 960904 Enter Long 1 -67.71 28910.25 -849.70 -3840.18 960905 Long 1 -288.69 28689.27 -1070.68 -3840.18 960906 Long 1 -288.69 28689.27 -1070.68 -3840.18 960909 Long 1 -304.41 28673.54 -1086.40 -3840.18 960910 Exit Long 1 -649.37 28328.58 -1431.36 -3840.18 MFE = 0.00 MAE = -649.37 960910 Enter Short 1 -64.43 28264.15 -1495.79 -3840.18 960911 Short 1 199.12 28527.70 -1232.24 -3840.18 960912 Short 1 152.79 28481.37 -1278.57 -3840.18 960913 Short 1 271.04 28599.62 -1160.32 -3840.18 960916 Short 1 163.10 28491.68 -1268.26 -3840.18 960917 Short 1 209.41 28537.99 -1221.95 -3840.18 960918 Exit Short 1 -127.50 28201.08 -1558.86 -3840.18 MFE = 271.04 MAE = -127.50 960918 Enter Long 1 264.65 28465.73 -1294.21 -3840.18 960919 Long 1 123.32 28324.40 -1435.54 -3840.18 960920 Exit Long 1 -180.00 28021.08 -1738.86 -3840.18 MFE = 264.65 MAE = -180.00 960920 Enter Short 1 17.74 28038.82 -1721.12 -3840.18 960923 Short 1 -23.63 27997.45 -1762.49 -3840.18 960924 Exit Short 1 -326.87 27694.21 -2065.74 -3840.18 MFE = 17.74 MAE = -326.87 960924 Enter Long 1 91.55 27785.75 -1974.19 -3840.18 960925 Exit Long 1 -211.87 27482.33 -2277.61 -3840.18 MFE = 91.55 MAE = -211.87 960925 Enter Short 1 338.67 27821.00 -1938.94 -3840.18 960926 Short 1 476.84 27959.17 -1800.77 -3840.18 960927 Short 1 558.40 28040.73 -1719.21 -3840.18 960930 Short 1 836.97 28319.30 -1440.64 -3840.18 -1186.25 961001 Short 1 877.26 28359.59 -1400.35 -3840.18 961002 Short 1 1082.84 28565.17 -1194.77 -3840.18 961003 Short 1 867.19 28349.52 -1410.42 -3840.18 961004 Short 1 1072.85 28555.18 -1204.76 -3840.18 961007 Short 1 700.56 28182.89 -1577.05 -3840.18 961008 Short 1 982.74 28465.08 -1294.87 -3840.18 961009 Short 1 932.56 28414.89 -1345.05 -3840.18 961010 Short 1 730.93 28213.26 -1546.68 -3840.18 961011 Short 1 917.49 28399.82 -1360.12 -3840.18 961014 Short 1 977.73 28460.06 -1299.88 -3840.18 961015 Short 1 1267.08 28749.41 -1010.53 -3840.18 961016 Short 1 1281.96 28764.29 -995.65 -3840.18 961017 Exit Short 1 1030.00 28512.33 -1247.61 -3840.18 MFE = 1281.96 MAE = 0.00 961017 Enter Long 1 -202.15 28310.18 -1449.76 -3840.18 961018 Long 1 -301.27 28211.06 -1548.88 -3840.18 961021 Exit Long 1 -575.00 27937.33 -1822.61 -3840.18 MFE = 0.00 MAE = -575.00 961021 Enter Short 1 -100.71 27836.62 -1923.33 -3840.18 961022 Short 1 -278.43 27658.90 -2101.04 -3840.18 961023 Short 1 -2.47 27934.86 -1825.08 -3840.18 961024 Short 1 -31.91 27905.42 -1854.52 -3840.18 961025 Short 1 241.61 28178.94 -1581.00 -3840.18 961028 Short 1 627.70 28565.03 -1194.91 -3840.18 961029 Short 1 675.59 28612.92 -1147.02 -3840.18 961030 Short 1 594.13 28531.46 -1228.48 -3840.18 961031 Exit Short 1 133.75 28071.08 -1688.86 -3840.18 MFE = 675.59 MAE = -278.43 588.75 961107 Enter Long 1 568.93 28640.02 -1119.93 -3840.18 961108 Long 1 778.42 28849.50 -910.44 -3840.18 961111 Long 1 1100.69 29171.77 -588.17 -3840.18 961112 Long 1 918.96 28990.04 -769.90 -3840.18 961113 Long 1 793.45 28864.53 -895.41 -3840.18 961114 Long 1 893.81 28964.90 -795.05 -3840.18 961115 Long 1 1156.45 29227.53 -532.41 -3840.18 961118 Long 1 903.87 28974.95 -784.99 -3840.18 961119 Long 1 843.59 28914.67 -845.27 -3840.18 961120 Long 1 888.79 28959.87 -800.08 -3840.18 961121 Long 1 1019.78 29090.86 -669.08 -3840.18 961122 Long 1 939.09 29010.18 -749.77 -3840.18 961125 Exit Long 1 711.88 28782.96 -976.99 -3840.18 MFE = 1156.45 MAE = 0.00 961125 Enter Short 1 415.29 29198.25 -561.69 -3840.18 961126 Short 1 341.32 29124.27 -635.67 -3840.18 961127 Short 1 684.86 29467.82 -292.13 -3840.18 961128 Short 1 917.99 29700.94 -59.00 -3840.18 961129 Short 1 1000.08 29783.03 0.00 -3840.18 711.88 961202 Short 1 1335.55 30118.51 0.00 -3840.18 961203 Exit Short 1 745.00 29527.96 -231.99 -3840.18 MFE = 1335.55 MAE = 0.00 961227 Enter Short 1 -150.16 29377.79 -740.72 -3840.18 961230 Short 1 292.81 29820.76 -297.74 -3840.18 961231 Short 1 107.18 29635.13 -483.37 -3840.18 745.00 970102 Short 1 32.57 29560.52 -557.98 -3840.18 970103 Short 1 385.14 29913.10 -205.41 -3840.18 970106 Exit Short 1 -48.75 29479.21 -280.74 -3840.18 MFE = 385.14 MAE = -150.16 970117 Enter Short 1 10.52 29489.73 -628.78 -3840.18 970120 Short 1 276.95 29756.16 -362.35 -3840.18 970121 Short 1 281.44 29760.65 -357.86 -3840.18 970122 Short 1 740.16 30219.37 0.00 -3840.18 970123 Short 1 859.10 30338.31 0.00 -3840.18 970124 Short 1 695.97 30175.18 -163.13 -3840.18 970127 Short 1 994.99 30474.20 0.00 -3840.18 970128 Short 1 1600.03 31079.23 0.00 -3840.18 970129 Short 1 2048.89 31528.09 0.00 -3840.18 970130 Short 1 1947.94 31427.15 -100.94 -3840.18 970131 Short 1 1744.86 31224.06 -304.03 -3840.18 -48.75 970203 Short 1 1905.77 31384.97 -143.12 -3840.18 970204 Short 1 2241.26 31720.47 0.00 -3840.18 970205 Short 1 2621.70 32100.91 0.00 -3840.18 970206 Short 1 2785.35 32264.56 0.00 -3840.18 970207 Exit Short 1 2022.50 31501.71 0.00 -3840.18 MFE = 2785.35 MAE = 0.00 2022.50 970312 Enter Short 1 -134.07 31367.63 -896.92 -3840.18 970313 Short 1 354.44 31856.15 -408.41 -3840.18 970314 Short 1 391.32 31893.03 -371.53 -3840.18 970317 Short 1 485.31 31987.02 -277.54 -3840.18 970318 Exit Short 1 31.87 31533.58 -730.97 -3840.18 MFE = 485.31 MAE = -134.07 970325 Enter Short 1 -27.84 31505.74 -758.82 -3840.18 970326 Short 1 98.34 31631.92 -632.64 -3840.18 970327 Exit Short 1 -224.37 31309.21 -955.35 -3840.18 MFE = 98.34 MAE = -224.37 970327 Enter Long 1 -130.69 31178.51 -1086.04 -3840.18 970328 Long 1 -318.01 30991.20 -1273.36 -3840.18 970331 Long 1 -191.92 31117.28 -1147.27 -3840.18 -192.50 970401 Long 1 599.03 31908.24 -356.32 -3840.18 970402 Exit Long 1 201.87 31511.08 -753.47 -3840.18 MFE = 599.03 MAE = -318.01 970402 Enter Short 1 152.38 31663.46 -601.09 -3840.18 970403 Short 1 -75.26 31435.82 -828.74 -3840.18 970404 Short 1 609.71 32120.79 -143.77 -3840.18 970407 Short 1 1189.68 32700.76 0.00 -3840.18 970408 Short 1 1425.77 32936.85 0.00 -3840.18 970409 Short 1 1640.23 33151.32 0.00 -3840.18 970410 Short 1 1225.24 32736.32 -415.00 -3840.18 970411 Short 1 1347.33 32858.41 -292.91 -3840.18 970414 Short 1 1523.49 33034.57 -116.75 -3840.18 970415 Short 1 1315.88 32826.96 -324.36 -3840.18 970416 Short 1 1237.08 32748.16 -403.16 -3840.18 970417 Short 1 1308.01 32819.09 -332.23 -3840.18 970418 Short 1 1229.18 32740.26 -411.05 -3840.18 970421 Short 1 1046.94 32558.02 -593.29 -3840.18 970422 Short 1 1445.35 32956.43 -194.89 -3840.18 970423 Short 1 1315.88 32826.96 -324.36 -3840.18 970424 Short 1 1335.53 32846.62 -304.70 -3840.18 970425 Exit Short 1 1108.75 32619.83 -531.48 -3840.18 MFE = 1640.23 MAE = -75.26 970425 Enter Long 1 -272.44 32347.39 -803.92 -3840.18 970428 Exit Long 1 -499.38 32120.46 -1030.86 -3840.18 MFE = 0.00 MAE = -499.38 970428 Enter Short 1 43.75 32164.21 -987.11 -3840.18 970429 Short 1 16.57 32137.03 -1014.29 -3840.18 970430 Short 1 109.64 32230.09 -921.22 -3840.18 811.25 970501 Exit Short 1 -149.38 31971.08 -1180.23 -3840.18 MFE = 109.64 MAE = -149.38 970501 Enter Long 1 -0.70 31970.38 -1180.93 -3840.18 970502 Long 1 -86.50 31884.58 -1266.73 -3840.18 970505 Long 1 -20.23 31950.86 -1200.46 -3840.18 970506 Long 1 464.66 32435.74 -715.57 -3840.18 970507 Long 1 520.45 32491.53 -659.78 -3840.18 970508 Long 1 1089.43 33060.51 -90.81 -3840.18 970509 Long 1 2646.02 34617.10 0.00 -3840.18 970512 Exit Long 1 3475.00 35446.08 0.00 -3840.18 MFE = 3475.00 MAE = -86.50 3325.62 970606 Exit Long 1 -513.75 34932.33 -513.75 -3840.18 MFE = 0.00 MAE = -513.75 -513.75 971008 Enter Long 1 251.02 35183.35 0.00 -3840.18 971009 Long 1 178.55 35110.88 -72.46 -3840.18 971010 Long 1 777.12 35709.45 0.00 -3840.18 971013 Exit Long 1 351.25 35283.58 -162.50 -3840.18 MFE = 777.12 MAE = 0.00 971023 Enter Short 1 133.24 35416.82 -292.63 -3840.18 971024 Exit Short 1 -248.12 35035.46 -410.63 -3840.18 MFE = 133.24 MAE = -248.12 971024 Enter Long 1 -343.75 34691.71 -1017.74 -3840.18 971027 Long 1 -229.98 34805.48 -903.97 -3840.18 971028 Long 1 316.36 35351.82 -357.63 -3840.18 971029 Long 1 238.83 35274.28 -435.17 -3840.18 971030 Long 1 463.44 35498.90 -210.55 -3840.18 971031 Long 1 346.57 35382.03 -327.42 -3840.18 103.13 971103 Exit Long 1 -138.13 34897.33 -548.75 -3840.18 MFE = 463.44 MAE = -343.75 -138.13 971217 Enter Long 1 1024.62 35921.96 0.00 -3840.18 971218 Exit Long 1 385.63 35282.96 -163.13 -3840.18 MFE = 1024.62 MAE = 0.00 385.62 980512 Enter Short 1 153.11 35436.07 -485.89 -3840.18 980513 Short 1 229.67 35512.62 -409.33 -3840.18 980514 Short 1 55.32 35338.27 -583.68 -3840.18 980515 Short 1 392.37 35675.33 -246.62 -3840.18 980518 Short 1 951.33 36234.28 0.00 -3840.18 980519 Short 1 1021.93 36304.88 0.00 -3840.18 980520 Short 1 850.09 36133.04 -171.84 -3840.18 980521 Short 1 471.58 35754.54 -550.34 -3840.18 980522 Short 1 768.77 36051.73 -253.16 -3840.18 980525 Short 1 1215.80 36498.75 0.00 -3840.18 980526 Short 1 1490.40 36773.36 0.00 -3840.18 980527 Short 1 1351.86 36634.82 -138.54 -3840.18 980528 Short 1 1774.71 37057.67 0.00 -3840.18 980529 Short 1 1829.85 37112.80 0.00 -3840.18 0.00 980601 Short 1 2068.30 37351.26 0.00 -3840.18 980602 Short 1 1774.71 37057.67 -293.59 -3840.18 980603 Short 1 1758.47 37041.42 -309.84 -3840.18 980604 Short 1 1654.24 36937.19 -414.07 -3840.18 980605 Short 1 2103.53 37386.49 0.00 -3840.18 980608 Short 1 2389.70 37672.66 0.00 -3840.18 980609 Short 1 2247.08 37530.03 -142.63 -3840.18 980610 Short 1 2644.15 37927.11 0.00 -3840.18 980611 Short 1 3363.11 38646.06 0.00 -3840.18 980612 Exit Short 1 3475.00 38757.96 0.00 -3840.18 MFE = 3475.00 MAE = 0.00 3475.00 981228 Enter Short 1 -531.35 38226.60 -419.46 -3840.18 981229 Short 1 -680.99 38076.97 -569.10 -3840.18 981230 Exit Short 1 -905.00 37852.96 -905.00 -3840.18 MFE = 0.00 MAE = -905.00 981230 Enter Long 1 -142.80 37710.15 -935.91 -3840.18 981231 Long 1 391.71 38244.66 -401.40 -3840.18 -905.00 990104 Long 1 1362.82 39215.77 0.00 -3840.18 990105 Long 1 1734.63 39587.59 0.00 -3840.18 990106 Exit Long 1 744.38 38597.33 -160.62 -3840.18 MFE = 1734.63 MAE = -142.80 744.38 990512 Enter Long 1 -338.76 38258.57 -1329.02 -3840.18 990513 Exit Long 1 -746.25 37851.08 -1736.51 -3840.18 MFE = 0.00 MAE = -746.25 -746.25 990705 Enter Short 1 291.19 38142.27 -1445.32 -3840.18 990706 Short 1 152.99 38004.08 -1583.51 -3840.18 990707 Short 1 245.21 38096.29 -1491.30 -3840.18 990708 Short 1 387.07 38238.15 -1349.44 -3840.18 990709 Short 1 307.89 38158.97 -1428.62 -3840.18 990712 Short 1 194.95 38046.03 -1541.56 -3840.18 990713 Exit Short 1 -110.63 37740.46 -1847.13 -3840.18 MFE = 387.07 MAE = -110.63 990713 Enter Long 1 44.28 37784.74 -1802.85 -3840.18 990714 Long 1 343.20 38083.66 -1503.93 -3840.18 990715 Long 1 206.12 37946.58 -1641.01 -3840.18 990716 Long 1 214.67 37955.12 -1632.47 -3840.18 990719 Long 1 1323.49 39063.95 -523.64 -3840.18 990720 Long 1 1079.38 38819.83 -767.76 -3840.18 990721 Long 1 1457.61 39198.07 -389.52 -3840.18 990722 Long 1 2189.15 39929.61 0.00 -3840.18 990723 Long 1 2152.33 39892.79 -36.82 -3840.18 990726 Long 1 2129.34 39869.79 -59.81 -3840.18 990727 Long 1 2267.58 40008.04 0.00 -3840.18 990728 Long 1 2397.26 40137.71 0.00 -3840.18 990729 Long 1 2714.80 40455.25 0.00 -3840.18 990730 Long 1 3102.73 40843.19 0.00 -3840.18 -110.63 990802 Long 1 3207.76 40948.21 0.00 -3840.18 990803 Long 1 2841.92 40582.38 -365.84 -3840.18 990804 Long 1 3207.76 40948.21 0.00 -3840.18 990805 Exit Long 1 3475.00 41215.46 0.00 -3840.18 MFE = 3475.00 MAE = 0.00 990813 Exit Long 1 -588.13 40627.33 -588.13 -3840.18 MFE = 0.00 MAE = -588.13 990816 Enter Long 1 208.87 40836.21 -112.01 -3840.18 990817 Long 1 385.43 41012.76 0.00 -3840.18 990818 Long 1 1549.05 42176.39 0.00 -3840.18 990819 Long 1 1789.75 42417.09 0.00 -3840.18 990820 Long 1 1840.16 42467.49 0.00 -3840.18 990823 Long 1 1759.56 42386.89 -80.61 -3840.18 990824 Long 1 1976.72 42604.05 0.00 -3840.18 990825 Long 1 1910.88 42538.22 -65.83 -3840.18 990826 Long 1 1699.25 42326.58 -277.47 -3840.18 990827 Long 1 1759.56 42386.89 -217.16 -3840.18 990830 Long 1 2154.73 42782.06 0.00 -3840.18 990831 Long 1 2747.62 43374.95 0.00 -3840.18 2886.87 990901 Long 1 2993.53 43620.86 0.00 -3840.18 990902 Long 1 2893.86 43521.19 -99.67 -3840.18 990903 Long 1 2493.48 43120.81 -500.05 -3840.18 990906 Long 1 2643.61 43270.94 -349.92 -3840.18 990907 Exit Long 1 1995.00 42622.33 -998.53 -3840.18 MFE = 2993.53 MAE = 0.00 1995.00 991122 Enter Long 1 584.76 43207.09 -413.77 -3840.18 991123 Long 1 773.69 43396.02 -224.84 -3840.18 991124 Long 1 596.18 43218.51 -402.35 -3840.18 991125 Long 1 808.16 43430.50 -190.37 -3840.18 991126 Long 1 2299.01 44921.34 0.00 -3840.18 991129 Exit Long 1 1301.88 43924.21 0.00 -3840.18 MFE = 2299.01 MAE = 0.00 1301.87 991214 Enter Short 1 -165.64 43758.56 -1162.78 -3840.18 991215 Short 1 -37.51 43886.70 -1034.65 -3840.18 991216 Exit Short 1 -363.75 43560.46 -1360.89 -3840.18 MFE = 0.00 MAE = -363.75 991216 Enter Long 1 -15.10 43545.35 -1375.99 -3840.18 991217 Long 1 26.00 43586.45 -1334.89 -3840.18 991220 Long 1 416.26 43976.71 -944.63 -3840.18 991221 Long 1 631.25 44191.71 -729.64 -3840.18 991222 Long 1 908.19 44468.64 -452.70 -3840.18 991223 Long 1 685.25 44245.70 -675.64 -3840.18 991227 Exit Long 1 189.59 43750.05 -1171.30 -3840.18 MFE = 908.19 MAE = -15.10 -174.16 000104 Enter Short 1 681.93 44431.97 -489.37 -3840.18 000105 Short 1 1291.19 45041.24 0.00 -3840.18 000106 Short 1 1831.97 45582.02 0.00 -3840.18 000107 Short 1 1854.53 45604.57 0.00 -3840.18 000110 Short 1 1798.10 45548.15 -56.43 -3840.18 000111 Short 1 2274.28 46024.33 0.00 -3840.18 000112 Short 1 2179.66 45929.70 -94.63 -3840.18 000113 Short 1 2313.16 46063.21 0.00 -3840.18 000114 Short 1 2157.35 45907.40 -155.81 -3840.18 000117 Short 1 1582.73 45332.77 -730.44 -3840.18 000118 Short 1 2062.35 45812.40 -250.81 -3840.18 000119 Short 1 1854.53 45604.57 -458.64 -3840.18 000120 Short 1 1826.32 45576.37 -486.84 -3840.18 000121 Exit Short 1 1486.25 45236.30 -826.91 -3840.18 MFE = 2313.16 MAE = 0.00 000121 Enter Long 1 8.27 45244.57 -818.64 -3840.18 000124 Exit Long 1 -331.25 44905.05 -1158.16 -3840.18 MFE = 8.27 MAE = -331.25 000124 Enter Short 1 211.25 45116.29 -946.91 -3840.18 000125 Short 1 401.16 45306.20 -757.01 -3840.18 000126 Short 1 222.45 45127.50 -935.71 -3840.18 000127 Exit Short 1 -93.12 44811.92 -1251.29 -3840.18 MFE = 401.16 MAE = -93.12 000127 Enter Long 1 2.14 44814.07 -1249.14 -3840.18 000128 Exit Long 1 -313.13 44498.80 -1564.41 -3840.18 MFE = 2.14 MAE = -313.13 000128 Enter Short 1 787.32 45286.12 -777.09 -3840.18 000131 Short 1 923.35 45422.15 -641.06 -3840.18 748.75 000201 Short 1 1182.75 45681.55 -381.66 -3840.18 000202 Short 1 1375.80 45874.60 -188.61 -3840.18 000203 Short 1 1091.15 45589.94 -473.27 -3840.18 000204 Short 1 923.35 45422.15 -641.06 -3840.18 000207 Short 1 1678.84 46177.64 0.00 -3840.18 000208 Short 1 2057.11 46555.91 0.00 -3840.18 000209 Short 1 1852.83 46351.63 -204.28 -3840.18 000210 Short 1 1915.85 46414.65 -141.26 -3840.18 000211 Short 1 1752.79 46251.58 -304.33 -3840.18 000214 Short 1 1742.23 46241.03 -314.88 -3840.18 000215 Short 1 1847.58 46346.37 -209.54 -3840.18 000216 Short 1 2031.00 46529.80 -26.11 -3840.18 000217 Short 1 2681.73 47180.53 0.00 -3840.18 000218 Short 1 2905.50 47404.29 0.00 -3840.18 000221 Short 1 2971.27 47470.07 0.00 -3840.18 000222 Short 1 2697.05 47195.85 -274.22 -3840.18 000223 Short 1 2930.81 47429.61 -40.46 -3840.18 000224 Short 1 3011.67 47510.46 0.00 -3840.18 000225 Exit Short 1 2448.12 46946.92 0.00 -3840.18 MFE = 3011.67 MAE = 0.00 2448.12 000622 Enter Long 1 255.81 47202.73 -307.73 -3840.18 000623 Long 1 193.04 47139.96 -370.50 -3840.18 000626 Exit Long 1 -381.25 46565.67 -381.25 -3840.18 MFE = 255.81 MAE = -381.25 -381.25 000720 Enter Long 1 31.02 46596.69 -913.77 -3840.18 000721 Exit Long 1 -311.25 46254.42 -1256.04 -3840.18 MFE = 31.02 MAE = -311.25 000721 Enter Short 1 322.79 46577.21 -933.26 -3840.18 000724 Short 1 285.84 46540.26 -970.21 -3840.18 000725 Short 1 407.06 46661.48 -848.98 -3840.18 000726 Short 1 512.06 46766.48 -743.98 -3840.18 000727 Short 1 512.06 46766.48 -743.98 -3840.18 000728 Exit Short 1 158.12 46412.55 -1097.92 -3840.18 MFE = 512.06 MAE = 0.00 000728 Enter Long 1 -470.08 45942.47 -1567.99 -3840.18 000731 Long 1 -412.65 45999.89 -1510.57 -3840.18 -153.12 000801 Long 1 -328.93 46083.61 -1426.85 -3840.18 000802 Long 1 -171.29 46241.26 -1269.21 -3840.18 000803 Long 1 119.99 46532.53 -977.93 -3840.18 000804 Long 1 8.42 46420.97 -1089.50 -3840.18 000807 Exit Long 1 -281.88 46130.67 -1379.79 -3840.18 MFE = 119.99 MAE = -470.08 000807 Enter Short 1 19.61 46150.28 -1360.18 -3840.18 000808 Exit Short 1 -270.63 45860.05 -1650.42 -3840.18 MFE = 19.61 MAE = -270.63 000808 Enter Long 1 3.77 45863.82 -1646.64 -3840.18 000809 Long 1 398.61 46258.65 -1251.81 -3840.18 000810 Exit Long 1 76.25 45936.30 -1574.17 -3840.18 MFE = 398.61 MAE = 0.00 000810 Enter Short 1 203.28 46139.57 -1370.89 -3840.18 000811 Short 1 70.98 46007.27 -1503.19 -3840.18 000814 Short 1 523.55 46459.85 -1050.61 -3840.18 000815 Short 1 324.45 46260.75 -1249.71 -3840.18 000816 Exit Short 1 -37.50 45898.80 -1611.67 -3840.18 MFE = 523.55 MAE = -37.50 000816 Enter Long 1 -109.98 45788.82 -1721.64 -3840.18 000817 Long 1 -115.28 45783.52 -1726.95 -3840.18 000818 Long 1 6.85 45905.64 -1604.82 -3840.18 000821 Long 1 -125.87 45772.92 -1737.54 -3840.18 000822 Long 1 60.10 45958.90 -1551.57 -3840.18 000823 Long 1 679.71 46578.51 -931.96 -3840.18 000824 Long 1 843.54 46742.34 -768.13 -3840.18 000825 Long 1 859.97 46758.77 -751.69 -3840.18 000828 Long 1 1063.42 46962.22 -548.25 -3840.18 000829 Long 1 1234.96 47133.76 -376.70 -3840.18 000830 Long 1 997.28 46896.08 -614.39 -3840.18 000831 Long 1 931.29 46830.09 -680.37 -3840.18 -513.75 000901 Long 1 1346.17 47244.97 -265.49 -3840.18 000904 Long 1 1401.93 47300.73 -209.73 -3840.18 000905 Long 1 1413.10 47311.89 -198.57 -3840.18 000906 Long 1 1401.93 47300.73 -209.73 -3840.18 000907 Exit Long 1 1090.00 46988.80 -521.67 -3840.18 MFE = 1413.10 MAE = -125.87 000907 Exit Short 1 -598.75 46390.05 -1120.42 -3840.18 MFE = 0.00 MAE = -598.75 000908 Enter Short 1 205.11 46595.16 -915.31 -3840.18 000911 Short 1 155.11 46545.16 -965.31 -3840.18 000912 Short 1 563.73 46953.77 -556.69 -3840.18 000913 Short 1 760.47 47150.52 -359.94 -3840.18 000914 Short 1 1036.94 47426.98 -83.48 -3840.18 000915 Short 1 733.22 47123.27 -387.20 -3840.18 000918 Short 1 634.93 47024.97 -485.49 -3840.18 000919 Short 1 689.58 47079.62 -430.84 -3840.18 000920 Short 1 442.84 46832.89 -677.58 -3840.18 000921 Short 1 492.35 46882.40 -628.06 -3840.18 000922 Short 1 1176.88 47566.93 0.00 -3840.18 000925 Short 1 1144.64 47534.69 -32.24 -3840.18 000926 Short 1 1036.94 47426.98 -139.94 -3840.18 000927 Short 1 885.47 47275.52 -291.41 -3840.18 000928 Short 1 1009.95 47400.00 -166.93 -3840.18 000929 Short 1 1284.06 47674.11 0.00 -3840.18 491.25 001002 Short 1 1714.15 48104.20 0.00 -3840.18 001003 Short 1 1698.33 48088.38 -15.82 -3840.18 001004 Short 1 1955.55 48345.60 0.00 -3840.18 001005 Short 1 1819.36 48209.41 -136.19 -3840.18 001006 Short 1 1629.70 48019.75 -325.85 -3840.18 001009 Short 1 1613.84 48003.89 -341.71 -3840.18 001010 Exit Short 1 1192.50 47582.55 -763.05 -3840.18 MFE = 1955.55 MAE = 0.00 001019 Enter Short 1 -76.61 47505.94 -839.66 -3840.18 001020 Short 1 188.55 47771.10 -574.50 -3840.18 001023 Exit Short 1 -111.88 47470.67 -874.93 -3840.18 MFE = 188.55 MAE = -111.88 001023 Enter Long 1 59.08 47529.75 -815.85 -3840.18 001024 Long 1 268.11 47738.79 -606.81 -3840.18 001025 Exit Long 1 -26.87 47443.80 -901.80 -3840.18 MFE = 268.11 MAE = -26.87 001025 Enter Short 1 -98.36 47345.43 -1000.17 -3840.18 001026 Short 1 61.62 47505.42 -840.18 -3840.18 001027 Short 1 204.85 47648.64 -696.96 -3840.18 001030 Short 1 336.83 47780.62 -564.98 -3840.18 001031 Short 1 368.42 47812.21 -533.39 -3840.18 1053.75 001101 Exit Short 1 71.87 47515.67 -829.93 -3840.18 MFE = 368.42 MAE = -98.36 001101 Enter Long 1 152.49 47668.16 -677.44 -3840.18 001102 Long 1 189.89 47705.56 -640.04 -3840.18 001103 Long 1 816.81 48332.48 -13.12 -3840.18 001106 Long 1 555.75 48071.43 -274.17 -3840.18 001107 Long 1 789.50 48305.18 -40.42 -3840.18 001108 Exit Long 1 373.12 47888.80 -456.80 -3840.18 MFE = 816.81 MAE = 0.00 001115 Enter Short 1 -28.67 47860.13 -485.47 -3840.18 001116 Short 1 39.86 47928.65 -416.95 -3840.18 001117 Short 1 -7.57 47881.23 -464.37 -3840.18 001120 Short 1 525.39 48414.19 0.00 -3840.18 001121 Short 1 639.05 48527.84 0.00 -3840.18 001122 Short 1 690.56 48579.36 0.00 -3840.18 001123 Short 1 757.39 48646.19 0.00 -3840.18 001124 Short 1 1210.70 49099.50 0.00 -3840.18 001127 Short 1 911.00 48799.80 -299.69 -3840.18 001128 Short 1 664.82 48553.62 -545.88 -3840.18 001129 Short 1 1190.48 49079.27 -20.22 -3840.18 001130 Short 1 757.39 48646.19 -453.31 -3840.18 445.00 001201 Short 1 1190.48 49079.27 -20.22 -3840.18 001204 Short 1 1079.02 48967.82 -131.68 -3840.18 001205 Short 1 1160.13 49048.92 -50.57 -3840.18 001206 Exit Short 1 806.88 48695.67 -403.82 -3840.18 MFE = 1210.70 MAE = -28.67 001206 Enter Long 1 84.76 48780.43 -319.06 -3840.18 001207 Long 1 43.70 48739.37 -360.13 -3840.18 001208 Exit Long 1 -295.62 48400.05 -699.45 -3840.18 MFE = 84.76 MAE = -295.62 001208 Enter Short 1 1.89 48401.94 -697.55 -3840.18 001211 Short 1 -115.00 48285.05 -814.45 -3840.18 001212 Short 1 219.14 48619.18 -480.31 -3840.18 001213 Short 1 643.67 49043.72 -55.77 -3840.18 001214 Short 1 474.63 48874.67 -224.82 -3840.18 001215 Short 1 806.77 49206.81 0.00 -3840.18 001218 Short 1 623.84 49023.88 -182.93 -3840.18 001219 Short 1 693.20 49093.24 -113.57 -3840.18 001220 Short 1 875.67 49275.72 0.00 -3840.18 001221 Short 1 529.43 48929.48 -346.24 -3840.18 001222 Short 1 929.69 49329.74 0.00 -3840.18 001225 Short 1 910.05 49310.10 -19.63 -3840.18 001226 Short 1 1261.30 49661.34 0.00 -3840.18 001227 Short 1 1550.61 49950.65 0.00 -3840.18 001228 Short 1 1675.04 50075.08 0.00 -3840.18 001229 Short 1 1651.15 50051.20 -23.89 -3840.18 511.25 010102 Short 1 1646.37 50046.42 -28.67 -3840.18 010103 Short 1 1290.36 49690.41 -384.68 -3840.18 010104 Short 1 2260.76 50660.81 0.00 -3840.18 010105 Short 1 2664.26 51064.31 0.00 -3840.18 010108 Short 1 2400.58 50800.63 -263.69 -3840.18 010109 Short 1 2806.59 51206.64 0.00 -3840.18 010110 Short 1 2659.66 51059.71 -146.93 -3840.18 010111 Short 1 3211.04 51611.0