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A watered down version to play with …
As I said I don’t trade it or it’s big brother but I do find it to be at least semi-interesting.
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Attachment:
QQQ.png
Description: PNG image
Title: AmiBroker System Test Report
Settings
Initial Equity:
100000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
3/10/1999 00:00:00 - 2/14/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Close
Sell price:
Close
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Close
Cover price:
Close
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
FormulaLength = 3;//Optimize("RSILen", 0, 2, 6, 1);
LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
Price = Foreign("NDX_D","C");
RSIx = RSIa(Price, Length);
RSIxHHV = HHV(RSIx, Length);
RSIxLLV = LLV(RSIx, Length);
StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV - RSIxLLV), Length);
Buy = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
Short = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom, StoRSIx);
Sell = NOT Short AND (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx));
Cover = NOT Buy AND (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom));
Overall performance summary
Total net profit:
6387776.48
Total commissions paid:
0.00
Return on account:
6387.78 %
Open position gain/loss
-92643.64
Buy&Hold profit:
-52036.82
Bars (avg. days) in test:
990 (1438)
Buy&Hold % return:
-52.04%
System to Buy&Hold index:
12375.49%
Annual system % return:
188.37%
Annual B&H % return:
-17.01%
System drawdown:
-9781.07
B&H drawdown:
-61300.43
Max. system drawdown:
-951137.69
B&H max. drawdown:
-197297.29
Max. system % drawdown:
-21.28%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-571131.03
Max. trade % drawdown:
-21.01%
Trade drawdown:
-462086.66
Total number of trades:
254
Percent profitable:
64.6%
Number winning trades:
164
Number losing trades:
90
Profit of winners:
10133347.14
Loss of losers:
-3652927.02
Total # of bars in winners:
720
Total # of bars in losers:
387
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
605486.36
Largest losing trade:
-391172.51
# of bars in largest winner:
11
# bars in largest loser:
9
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
61788.70
Average losing trade:
-40588.08
Avg. # of bars in winners:
4.4
Avg. # bars in losers:
4.3
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
8
Max consec. losers:
3
Bars out of the market:
93
Interest earned:
0.00
Exposure:
90.6%
Risk adjusted ann. return:
207.90%
Ratio avg win/avg loss:
1.52
Avg. trade (win & loss):
25513.47
Profit factor:
2.77
Trade list for QQQ_D
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Out
3/10/1999
51.06
3/19/1999
51.22
0.00
100000.00
Long
3/19/1999
51.22
3/22/1999
50.59
-1220.35
98779.65
Short
3/22/1999
50.59
3/23/1999
48.81
3475.54
102255.20
Out
3/23/1999
48.81
3/25/1999
52.31
0.00
102255.20
Long
3/25/1999
52.31
3/26/1999
51.75
-1094.69
101160.51
Short
3/26/1999
51.75
4/5/1999
55.50
-7330.47
93830.04
Out
4/5/1999
55.50
4/6/1999
55.60
0.00
93830.04
Long
4/6/1999
55.60
4/13/1999
54.69
-1552.44
92277.60
Short
4/13/1999
54.69
4/14/1999
52.81
3163.95
95441.55
Out
4/14/1999
52.81
4/21/1999
53.15
0.00
95441.55
Long
4/21/1999
53.15
4/22/1999
54.59
2576.59
98018.14
Short
4/22/1999
54.59
4/28/1999
53.81
1400.51
99418.65
Long
4/28/1999
53.81
4/29/1999
53.38
-803.70
98614.95
Out
4/29/1999
53.38
5/5/1999
54.19
0.00
98614.95
Long
5/5/1999
54.19
5/11/1999
54.34
282.09
98897.04
Short
5/11/1999
54.34
5/14/1999
53.40
1701.67
100598.71
Long
5/14/1999
53.40
5/19/1999
54.88
2769.03
103367.75
Short
5/19/1999
54.88
5/21/1999
52.88
3767.39
107135.14
Long
5/21/1999
52.88
5/24/1999
51.53
-2725.24
104409.90
Out
5/24/1999
51.53
5/27/1999
51.19
0.00
104409.90
Long
5/27/1999
51.19
5/28/1999
52.03
1723.67
106133.57
Short
5/28/1999
52.03
6/4/1999
52.56
-1081.13
105052.44
Long
6/4/1999
52.56
6/10/1999
52.58
29.98
105082.42
Short
6/10/1999
52.58
6/14/1999
50.79
3557.72
108640.14
Out
6/14/1999
50.79
6/16/1999
54.20
0.00
108640.14
Long
6/16/1999
54.20
6/17/1999
54.81
1222.70
109862.84
Short
6/17/1999
54.81
6/23/1999
55.85
-2094.63
107768.22
Long
6/23/1999
55.85
6/24/1999
54.75
-2132.02
105636.20
Short
6/24/1999
54.75
6/29/1999
56.75
-3858.86
101777.34
Long
6/29/1999
56.75
6/30/1999
57.63
1569.25
103346.60
Short
6/30/1999
57.63
7/7/1999
58.47
-1506.48
101840.11
Long
7/7/1999
58.47
7/16/1999
61.38
5068.93
106909.04
Short
7/16/1999
61.38
7/20/1999
58.40
5173.44
112082.48
Long
7/20/1999
58.40
7/28/1999
58.10
-575.72
111506.76
Short
7/28/1999
58.10
8/2/1999
56.44
3204.82
114711.58
Long
8/2/1999
56.44
8/13/1999
57.65
2479.81
117191.39
Short
8/13/1999
57.65
8/19/1999
57.06
1209.41
118400.80
Long
8/19/1999
57.06
8/24/1999
60.22
6546.69
124947.49
Short
8/24/1999
60.22
8/27/1999
59.88
705.51
125653.00
Long
8/27/1999
59.88
8/30/1999
59.03
-1773.31
123879.69
Out
8/30/1999
59.03
9/2/1999
59.90
0.00
123879.69
Long
9/2/1999
59.90
9/3/1999
62.65
5686.82
129566.52
Short
9/3/1999
62.65
9/15/1999
61.50
2388.46
131954.98
Long
9/15/1999
61.50
9/23/1999
60.00
-3218.41
128736.57
Short
9/23/1999
60.00
9/29/1999
59.56
944.07
129680.63
Long
9/29/1999
59.56
10/4/1999
61.56
4354.62
134035.25
Short
10/4/1999
61.56
10/12/1999
63.19
-3538.13
130497.12
Long
10/12/1999
63.19
10/13/1999
61.31
-3872.47
126624.65
Out
10/13/1999
61.31
10/20/1999
61.25
0.00
126624.65
Long
10/20/1999
61.25
10/21/1999
62.25
2067.34
128691.99
Short
10/21/1999
62.25
10/26/1999
61.50
1550.51
130242.50
Long
10/26/1999
61.50
10/27/1999
61.40
-201.19
130041.31
Out
10/27/1999
61.40
10/29/1999
65.75
0.00
130041.31
Long
10/29/1999
65.75
11/1/1999
65.40
-682.35
129358.96
Short
11/1/1999
65.40
11/4/1999
67.50
-4143.52
125215.44
Out
11/4/1999
67.50
11/5/1999
68.18
0.00
125215.44
Long
11/5/1999
68.18
11/17/1999
72.88
8612.76
133828.19
Short
11/17/1999
72.88
11/22/1999
76.25
-6197.88
127630.32
Long
11/22/1999
76.25
12/1/1999
75.09
-1941.66
125688.66
Short
12/1/1999
75.09
12/3/1999
79.13
-6753.95
118934.70
Long
12/3/1999
79.13
12/6/1999
79.84
1074.73
120009.43
Out
12/6/1999
79.84
12/9/1999
79.25
0.00
120009.43
Long
12/9/1999
79.25
12/20/1999
84.88
8518.02
128527.45
Short
12/20/1999
84.88
12/28/1999
89.13
-6435.84
122091.61
Long
12/28/1999
89.13
1/4/2000
88.25
-1198.66
120892.96
Short
1/4/2000
88.25
1/6/2000
80.09
11178.32
132071.28
Out
1/6/2000
80.09
1/10/2000
92.50
0.00
132071.28
Long
1/10/2000
92.50
1/18/2000
93.88
1963.22
134034.50
Short
1/18/2000
93.88
1/24/2000
91.63
3212.54
137247.05
Long
1/24/2000
91.63
1/26/2000
89.25
-3557.56
133689.49
Short
1/26/2000
89.25
1/28/2000
86.00
4868.24
138557.73
Out
1/28/2000
86.00
2/1/2000
92.09
0.00
138557.73
Long
2/1/2000
92.09
2/2/2000
92.88
1181.11
139738.84
Short
2/2/2000
92.88
2/11/2000
99.88
-10532.13
129206.71
Long
2/11/2000
99.88
2/17/2000
102.13
2910.79
132117.49
Short
2/17/2000
102.13
2/22/2000
98.75
4366.18
136483.68
Long
2/22/2000
98.75
3/14/2000
107.38
11920.73
148404.41
Short
3/14/2000
107.38
3/15/2000
102.88
6219.51
154623.91
Out
3/15/2000
102.88
3/17/2000
110.81
0.00
154623.91
Long
3/17/2000
110.81
3/23/2000
116.00
7242.11
161866.03
Short
3/23/2000
116.00
3/28/2000
114.75
1744.25
163610.27
Long
3/28/2000
114.75
3/29/2000
110.00
-6772.54
156837.74
Out
3/29/2000
110.00
4/5/2000
100.12
0.00
156837.74
Long
4/5/2000
100.12
4/7/2000
107.00
10777.50
167615.23
Short
4/7/2000
107.00
4/12/2000
92.37
22917.85
190533.09
Long
4/12/2000
92.37
4/18/2000
92.00
-763.21
189769.88
Short
4/18/2000
92.00
4/24/2000
84.75
14954.69
204724.57
Long
4/24/2000
84.75
4/27/2000
91.25
15701.59
220426.16
Short
4/27/2000
91.25
5/3/2000
89.12
5145.28
225571.44
Long
5/3/2000
89.12
5/4/2000
89.31
480.90
226052.34
Out
5/4/2000
89.31
5/10/2000
79.75
0.00
226052.34
Long
5/10/2000
79.75
5/15/2000
88.31
24263.42
250315.75
Short
5/15/2000
88.31
5/19/2000
81.68
18792.81
269108.56
Long
5/19/2000
81.68
6/5/2000
93.84
40063.16
309171.72
Short
6/5/2000
93.84
6/7/2000
93.68
527.13
309698.86
Long
6/7/2000
93.68
6/8/2000
93.25
-1421.55
308277.31
Short
6/8/2000
93.25
6/12/2000
90.75
8264.81
316542.11
Long
6/12/2000
90.75
6/19/2000
98.00
25288.49
341830.60
Short
6/19/2000
98.00
6/22/2000
95.25
9592.19
351422.79
Long
6/22/2000
95.25
6/23/2000
91.50
-13835.54
337587.25
Short
6/23/2000
91.50
6/28/2000
94.00
-9223.70
328363.55
Long
6/28/2000
94.00
7/14/2000
100.62
23125.19
351488.74
Short
7/14/2000
100.62
7/19/2000
97.25
11772.19
363260.93
Long
7/19/2000
97.25
7/28/2000
86.87
-38772.72
324488.21
Short
7/28/2000
86.87
8/2/2000
86.68
709.72
325197.93
Long
8/2/2000
86.68
8/7/2000
92.25
20897.00
346094.93
Short
8/7/2000
92.25
8/10/2000
89.81
9154.17
355249.11
Long
8/10/2000
89.81
8/15/2000
93.00
12618.26
367867.36
Short
8/15/2000
93.00
8/23/2000
97.06
-16059.58
351807.78
Long
8/23/2000
97.06
8/24/2000
98.56
5436.96
357244.75
Short
8/24/2000
98.56
8/29/2000
99.00
-1594.85
355649.90
Long
8/29/2000
99.00
8/31/2000
101.62
9412.16
365062.06
Short
8/31/2000
101.62
9/6/2000
96.00
20189.43
385251.48
Long
9/6/2000
96.00
9/12/2000
91.50
-18058.66
367192.82
Short
9/12/2000
91.50
9/14/2000
93.00
-6019.55
361173.27
Long
9/14/2000
93.00
9/25/2000
90.46
-9864.31
351308.96
Short
9/25/2000
90.46
10/3/2000
84.00
25087.95
376396.91
Long
10/3/2000
84.00
10/10/2000
78.31
-25496.42
350900.49
Short
10/10/2000
78.31
10/12/2000
75.12
14294.10
365194.58
Out
10/12/2000
75.12
10/13/2000
81.25
0.00
365194.58
Long
10/13/2000
81.25
10/16/2000
82.00
3371.03
368565.61
Short
10/16/2000
82.00
10/20/2000
86.31
-19372.16
349193.45
Long
10/20/2000
86.31
10/23/2000
86.18
-525.94
348667.51
Short
10/23/2000
86.18
10/25/2000
77.87
33620.63
382288.14
Long
10/25/2000
77.87
11/2/2000
82.00
20275.45
402563.59
Short
11/2/2000
82.00
11/8/2000
75.68
31026.85
433590.44
Long
11/8/2000
75.68
11/15/2000
77.37
9682.46
443272.90
Short
11/15/2000
77.37
11/20/2000
69.84
43141.37
486414.27
Long
11/20/2000
69.84
11/30/2000
62.96
-47917.08
438497.19
Short
11/30/2000
62.96
12/4/2000
63.68
-5014.59
433482.60
Long
12/4/2000
63.68
12/5/2000
70.68
47650.41
481133.01
Short
12/5/2000
70.68
12/13/2000
68.71
13410.20
494543.21
Long
12/13/2000
68.71
12/14/2000
65.37
-24039.77
470503.44
Short
12/14/2000
65.37
12/22/2000
60.50
35052.06
505555.49
Long
12/22/2000
60.50
12/26/2000
60.87
3091.82
508647.31
Short
12/26/2000
60.87
1/2/2001
53.43
62170.78
570818.09
Long
1/2/2001
53.43
1/9/2001
57.25
40810.87
611628.97
Short
1/9/2001
57.25
1/10/2001
60.18
-31302.59
580326.38
Out
1/10/2001
60.18
1/11/2001
61.93
0.00
580326.38
Long
1/11/2001
61.93
1/19/2001
66.31
41043.56
621369.94
Short
1/19/2001
66.31
1/26/2001
65.53
7309.12
628679.06
Long
1/26/2001
65.53
2/2/2001
61.55
-38183.16
590495.90
Short
2/2/2001
61.55
2/9/2001
56.40
49407.84
639903.75
Out
2/9/2001
56.40
2/14/2001
57.45
0.00
639903.75
Long
2/14/2001
57.45
2/15/2001
58.40
10581.53
650485.28
Out
2/15/2001
58.40
2/21/2001
51.50
0.00
650485.28
Long
2/21/2001
51.50
2/26/2001
52.15
8210.03
658695.31
Short
2/26/2001
52.15
3/1/2001
48.80
42313.15
701008.45
Long
3/1/2001
48.80
3/7/2001
49.42
8906.24
709914.69
Short
3/7/2001
49.42
3/9/2001
45.10
62056.48
771971.18
Long
3/9/2001
45.10
3/12/2001
42.30
-47927.25
724043.93
Short
3/12/2001
42.30
3/15/2001
42.15
2567.49
726611.42
Long
3/15/2001
42.15
3/29/2001
38.95
-55163.87
671447.56
Short
3/29/2001
38.95
4/4/2001
34.05
84469.68
755917.23
Out
4/4/2001
34.05
4/6/2001
36.30
0.00
755917.23
Long
4/6/2001
36.30
4/11/2001
41.00
97873.60
853790.83
Short
4/11/2001
41.00
4/17/2001
41.25
-5206.04
848584.79
Long
4/17/2001
41.25
4/20/2001
48.40
147088.06
995672.85
Short
4/20/2001
48.40
4/24/2001
44.30
84344.23
1080017.09
Long
4/24/2001
44.30
5/1/2001
48.05
91423.57
1171440.66
Short
5/1/2001
48.05
5/7/2001
47.20
20722.64
1192163.30
Long
5/7/2001
47.20
5/10/2001
45.77
-36118.51
1156044.78
Short
5/10/2001
45.77
5/11/2001
45.55
5556.72
1161601.51
Out
5/11/2001
45.55
5/16/2001
47.15
0.00
1161601.51
Long
5/16/2001
47.15
5/17/2001
47.90
18477.22
1180078.73
Short
5/17/2001
47.90
5/23/2001
48.65
-18477.22
1161601.51
Long
5/23/2001
48.65
5/24/2001
49.90
29845.88
1191447.38
Short
5/24/2001
49.90
5/30/2001
44.43
130605.58
1322052.96
Out
5/30/2001
44.43
6/4/2001
45.83
0.00
1322052.96
Long
6/4/2001
45.83
6/11/2001
46.05
6346.24
1328399.20
Short
6/11/2001
46.05
6/12/2001
45.80
7211.72
1335610.92
Out
6/12/2001
45.80
6/20/2001
42.77
0.00
1335610.92
Long
6/20/2001
42.77
6/28/2001
44.35
49339.78
1384950.71
Short
6/28/2001
44.35
7/5/2001
43.45
28104.90
1413055.61
Long
7/5/2001
43.45
7/13/2001
43.15
-9756.40
1403299.21
Short
7/13/2001
43.15
7/18/2001
41.65
48782.13
1452081.34
Long
7/18/2001
41.65
7/24/2001
40.15
-52295.84
1399785.49
Short
7/24/2001
40.15
7/26/2001
41.10
-33120.60
1366664.90
Long
7/26/2001
41.10
7/27/2001
41.95
28264.44
1394929.34
Short
7/27/2001
41.95
8/6/2001
42.50
-18288.68
1376640.66
Long
8/6/2001
42.50
8/7/2001
42.28
-7126.18
1369514.48
Out
8/7/2001
42.28
8/14/2001
40.60
0.00
1369514.48
Long
8/14/2001
40.60
8/17/2001
37.75
-96135.82
1273378.66
Short
8/17/2001
37.75
8/22/2001
37.69
2023.96
1275402.62
Long
8/22/2001
37.69
8/24/2001
39.30
54481.27
1329883.89
Short
8/24/2001
39.30
8/30/2001
36.17
105917.00
1435800.89
Long
8/30/2001
36.17
9/6/2001
33.90
-90109.58
1345691.31
Short
9/6/2001
33.90
9/19/2001
29.97
156005.00
1501696.31
Long
9/19/2001
29.97
9/24/2001
29.61
-18038.33
1483657.98
Short
9/24/2001
29.61
10/2/2001
28.82
39584.30
1523242.28
Long
10/2/2001
28.82
10/4/2001
31.30
131077.04
1654319.32
Short
10/4/2001
31.30
10/9/2001
31.09
11099.22
1665418.54
Long
10/9/2001
31.09
10/12/2001
34.55
185344.05
1850762.59
Short
10/12/2001
34.55
10/17/2001
32.45
112492.00
1963254.59
Long
10/17/2001
32.45
10/23/2001
34.63
131892.00
2095146.60
Short
10/23/2001
34.63
10/29/2001
34.04
35695.55
2130842.14
Long
10/29/2001
34.04
10/30/2001
33.38
-41314.79
2089527.35
Out
10/30/2001
33.38
11/2/2001
35.60
0.00
2089527.35
Long
11/2/2001
35.60
11/9/2001
37.73
125019.54
2214546.90
Short
11/9/2001
37.73
11/13/2001
39.36
-95672.25
2118874.65
Long
11/13/2001
39.36
11/14/2001
39.64
15073.23
2133947.88
Short
11/14/2001
39.64
11/20/2001
38.62
54909.89
2188857.76
Long
11/20/2001
38.62
11/21/2001
38.64
1133.56
2189991.33
Out
11/21/2001
38.64
11/27/2001
40.20
0.00
2189991.33
Long
11/27/2001
40.20
12/6/2001
42.91
147633.69
2337625.02
Short
12/6/2001
42.91
12/10/2001
41.00
104051.82
2441676.83
Long
12/10/2001
41.00
12/11/2001
41.23
13697.18
2455374.02
Out
12/11/2001
41.23
12/14/2001
40.11
0.00
2455374.02
Long
12/14/2001
40.11
12/21/2001
39.48
-38566.15
2416807.87
Short
12/21/2001
39.48
12/26/2001
39.69
-12855.31
2403952.56
Long
12/26/2001
39.69
12/27/2001
40.01
19381.81
2423334.38
Out
12/27/2001
40.01
1/4/2002
41.67
0.00
2423334.38
Long
1/4/2002
41.67
1/9/2002
41.11
-32566.87
2390767.51
Short
1/9/2002
41.11
1/14/2002
39.96
66878.77
2457646.28
Out
1/14/2002
39.96
1/17/2002
39.65
0.00
2457646.28
Long
1/17/2002
39.65
1/25/2002
38.83
-50826.46
2406819.82
Short
1/25/2002
38.83
1/29/2002
37.98
52686.13
2459505.94
Long
1/29/2002
37.98
2/5/2002
36.31
-108145.62
2351360.33
Short
2/5/2002
36.31
2/8/2002
36.17
9066.32
2360426.65
Long
2/8/2002
36.17
2/11/2002
36.63
30019.44
2390446.09
Short
2/11/2002
36.63
2/15/2002
35.78
55470.50
2445916.59
Long
2/15/2002
35.78
2/19/2002
34.68
-75195.77
2370720.82
Short
2/19/2002
34.68
2/25/2002
35.01
-22558.63
2348162.20
Out
2/25/2002
35.01
2/26/2002
34.88
0.00
2348162.20
Long
2/26/2002
34.88
3/5/2002
37.42
170995.56
2519157.75
Short
3/5/2002
37.42
3/13/2002
37.08
22888.95
2542046.70
Long
3/13/2002
37.08
3/19/2002
37.38
20566.67
2562613.37
Short
3/19/2002
37.38
3/28/2002
36.06
90493.55
2653106.91
Long
3/28/2002
36.06
4/1/2002
36.75
50766.50
2703873.42
Out
4/1/2002
36.75
4/3/2002
35.03
0.00
2703873.42
Long
4/3/2002
35.03
4/4/2002
34.76
-20840.62
2683032.79
Short
4/4/2002
34.76
4/8/2002
34.80
-3087.57
2679945.23
Long
4/8/2002
34.80
4/16/2002
35.20
30804.09
2710749.31
Short
4/16/2002
35.20
4/19/2002
34.46
56987.47
2767736.78
Long
4/19/2002
34.46
4/22/2002
33.59
-69876.03
2697860.75
Short
4/22/2002
33.59
4/30/2002
31.73
149390.37
2847251.12
Long
4/30/2002
31.73
5/1/2002
31.56
-15254.74
2831996.38
Short
5/1/2002
31.56
5/6/2002
28.97
232410.37
3064406.75
Long
5/6/2002
28.97
5/15/2002
32.81
406190.15
3470596.89
Short
5/15/2002
32.81
5/20/2002
32.21
63467.42
3534064.31
Long
5/20/2002
32.21
5/21/2002
31.32
-97650.27
3436414.04
Out
5/21/2002
31.32
5/29/2002
30.28
0.00
3436414.04
Long
5/29/2002
30.28
6/10/2002
28.25
-230380.54
3206033.50
Short
6/10/2002
28.25
6/13/2002
27.68
64688.08
3270721.58
Long
6/13/2002
27.68
6/20/2002
26.46
-144157.67
3126563.91
Short
6/20/2002
26.46
6/21/2002
25.82
75623.55
3202187.46
Out
6/21/2002
25.82
6/27/2002
26.21
0.00
3202187.46
Long
6/27/2002
26.21
6/28/2002
26.10
-13439.01
3188748.45
Short
6/28/2002
26.10
7/2/2002
23.95
262674.63
3451423.08
Long
7/2/2002
23.95
7/10/2002
23.90
-7205.64
3444217.44
Short
7/10/2002
23.90
7/12/2002
24.80
-129698.51
3314518.92
Long
7/12/2002
24.80
7/15/2002
25.57
102910.53
3417429.46
Short
7/15/2002
25.57
7/18/2002
24.73
112265.99
3529695.44
Long
7/18/2002
24.73
7/19/2002
23.99
-105619.65
3424075.80
Short
7/19/2002
23.99
7/22/2002
23.40
84210.31
3508286.10
Out
7/22/2002
23.40
7/26/2002
22.67
0.00
3508286.10
Long
7/26/2002
22.67
7/30/2002
24.31
253797.40
3762083.50
Short
7/30/2002
24.31
8/2/2002
22.25
318794.33
4080877.83
Long
8/2/2002
22.25
8/7/2002
22.80
100875.49
4181753.33
Short
8/7/2002
22.80
8/13/2002
22.60
36681.84
4218435.16
Long
8/13/2002
22.60
8/16/2002
24.70
391978.55
4610413.72
Short
8/16/2002
24.70
8/26/2002
25.25
-102660.89
4507752.83
Long
8/26/2002
25.25
8/27/2002
24.37
-157101.73
4350651.10
Short
8/27/2002
24.37
9/6/2002
22.85
271357.88
4622008.97
Long
9/6/2002
22.85
9/10/2002
23.65
161820.73
4783829.70
Short
9/10/2002
23.65
9/13/2002
22.99
133502.20
4917331.89
Long
9/13/2002
22.99
9/16/2002
22.66
-70583.70
4846748.20
Short
9/16/2002
22.66
9/18/2002
21.93
156139.63
5002887.83
Out
9/18/2002
21.93
9/25/2002
21.87
0.00
5002887.83
Long
9/25/2002
21.87
10/7/2002
20.16
-391172.51
4611715.32
Short
10/7/2002
20.16
10/10/2002
21.08
-210455.28
4401260.03
Long
10/10/2002
21.08
10/24/2002
23.98
605486.36
5006746.39
Short
10/24/2002
23.98
10/29/2002
23.92
12527.19
5019273.59
Long
10/29/2002
23.92
11/1/2002
25.25
279081.67
5298355.26
Short
11/1/2002
25.25
11/7/2002
25.54
-60852.59
5237502.67
Long
11/7/2002
25.54
11/8/2002
25.07
-96383.42
5141119.25
Out
11/8/2002
25.07
11/13/2002
25.23
0.00
5141119.25
Long
11/13/2002
25.23
11/14/2002
26.10
177280.15
5318399.39
Short
11/14/2002
26.10
11/19/2002
25.65
91696.70
5410096.09
Long
11/19/2002
25.65
11/22/2002
27.72
436604.19
5846700.28
Short
11/22/2002
27.72
11/26/2002
27.05
141316.37
5988016.65
Long
11/26/2002
27.05
12/4/2002
26.57
-106256.76
5881759.89
Short
12/4/2002
26.57
12/11/2002
25.72
188163.27
6069923.16
Out
12/11/2002
25.72
12/12/2002
25.86
0.00
6069923.16
Long
12/12/2002
25.86
12/20/2002
25.32
-126750.35
5943172.81
Short
12/20/2002
25.32
12/24/2002
25.35
-7041.84
5936130.98
Long
12/24/2002
25.35
12/27/2002
24.82
-124108.62
5812022.36
Short
12/27/2002
24.82
12/30/2002
24.63
44491.84
5856514.20
Out
12/30/2002
24.63
1/3/2003
25.68
0.00
5856514.20
Long
1/3/2003
25.68
1/15/2003
26.74
241740.73
6098254.92
Short
1/15/2003
26.74
1/17/2003
25.31
326122.16
6424377.08
Out
1/17/2003
25.31
1/30/2003
24.50
0.00
6424377.08
Long
1/30/2003
24.50
2/3/2003
24.49
-2622.25
6421754.83
Short
2/3/2003
24.49
2/10/2003
24.02
123242.97
6544997.80
Long
2/10/2003
24.02
2/11/2003
24.15
35422.32
6580420.12
Open Short
2/11/2003
24.15
2/14/2003
24.49
-92643.64
6487776.48
Attachment:
Description: ""
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