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Hi,
I am trying to find out which trade in the trades list (not
statistics) has this DD, so that I could verify it and then use it in
the Position_Size equation:
AVAILABLE_EQUITY(AE) = 0.1 * USABLE_MARGIN (UM); //Max % of closed
equity to risk/trade = 10%
POSITION_SIZE (PS) = AE / MAX_DRAWDOWN_% = 0.1 * UM / MAX_DRAWDOWN_%
Also, I find that the
Max. trade drawdown -10166.01 -2347.24 -10166.01
Max. trade % drawdown -7.19 % -1.08 % -7.19 %
are different from
Max. system drawdown -2389.70 -2804.53 -2389.70
Max. system % drawdown -2.88 % -4.90 % -4.35 %
eventhough the portfolio optimization applied to only one (current)
instrument (UC-9967) (I would expect it to be the same).
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "bvandyke" <bvandyke@xxxx> wrote:
> Hi Pal,
>
> I'm not understanding what you're saying below. The Max Trade%
> shows up in the list below you provided. It shows up in the
> Statistics Section of a Report. Can you help me understand what
> you're referring to better? Thanks.
>
> Bill
>
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
wrote:
> >
> > Statistics | Charts | Trades | Formula | Settings | Symbols
> >
> > Statistics
> > All trades Long trades Short trades
> > Initial capital 10000.00 10000.00 10000.00
> > Ending capital 147321.27 65186.14 92135.14
> > Net Profit 137321.27 55186.14 82135.14
> > Net Profit % 1373.21 % 551.86 % 821.35 %
> > Exposure % 196.91 % 85.23 % 111.68 %
> > Net Risk Adjusted Return % 697.38 % 647.52 % 735.43 %
> > Annual Return % 148.01 % 88.32 % 111.66 %
> > Risk Adjusted Return % 75.17 % 103.63 % 99.98 %
> >
> > ------------------------------------------------------------------
-
> ---
> > ----------
> >
> > All trades 148 74 (50.00 %) 74 (50.00 %)
> > Avg. Profit/Loss 927.85 745.76 1109.93
> > Avg. Profit/Loss % 0.93 % 0.83 % 1.02 %
> > Avg. Bars Held 6.13 5.43 6.82
> >
> > ------------------------------------------------------------------
-
> ---
> > ----------
> >
> > Winners 133 (89.86 %) 65 (43.92 %) 68 (45.95 %)
> > Total Profit 139261.92 56702.17 82559.75
> > Avg. Profit 1047.08 872.34 1214.11
> > Avg. Profit % 1.06 % 0.98 % 1.13 %
> > Avg. Bars Held 6.28 5.57 6.96
> > Max. Consecutive 63 31 37
> > Largest win 9762.69 9762.69 8886.25
> > # bars in largest win 13 13 20
> >
> > ------------------------------------------------------------------
-
> ---
> > ----------
> >
> > Losers 15 (10.14 %) 9 (6.08 %) 6 (4.05 %)
> > Total Loss -1940.64 -1516.04 -424.61
> > Avg. Loss -129.38 -168.45 -70.77
> > Avg. Loss % -0.23 % -0.27 % -0.17 %
> > Avg. Bars Held 4.80 4.44 5.33
> > Max. Consecutive 2 2 2
> > Largest loss -573.82 -573.82 -208.63
> > # bars in largest loss 8 8 3
> >
> > ------------------------------------------------------------------
-
> ---
> > ----------
> >
> > Max. trade drawdown -10166.01 -2347.24 -10166.01
> > Max. trade % drawdown -7.19 % -1.08 % -7.19 %
> > Max. system drawdown -2389.70 -2804.53 -2389.70
> > Max. system % drawdown -2.88 % -4.90 % -4.35 %
> > Recovery Factor 57.46 19.68 34.37
> > CAR/MaxDD 51.33 18.03 25.67
> > RAR/MaxDD 26.07 21.15 22.98
> > Profit Factor 71.76 37.40 194.44
> > Payoff Ratio 8.09 5.18 17.16
> > Standard Error 15458.39 5631.33 9996.12
> > Risk-Reward Ratio 2.36 2.71 2.12
> > Ulcer Index 0.54 1.16 0.83
> > Ulcer Performance Index 266.27 71.39 128.60
> > Sharpe Ratio of trades 5.08 5.53 5.30
> > K-Ratio 2.02 2.32 1.81
> >
> > Statistics | Charts | Trades | Formula | Settings | Symbols
> >
> > Trades
> >
> > Trade list Ticker Trade Entry Exit % change Profit Shares Pos.
> value
> > Cum. profit # bars Profit/bar MAE/MFE
> > UC-9967 Long 12/18/00
> > 1.5209 12/21/00
> > 1.5201 -0.05% -10.5203
> > -0.05% 13150.1 20000 -10.5203 4 -2.63007 -0.09%
> > 0.43%
> > UC-9967 Short 12/21/00
> > 1.5201 1/4/01
> > 1.4982 -1.44% 287.835
> > 1.44% 13143.2 19979 277.315 9 31.9817 -0.20%
> > 1.99%
> > UC-9967 Long 1/4/01
> > 1.4982 1/8/01
> > 1.4984 0.01% 2.74273
> > 0.01% 13719.5 20554.6 280.057 3 0.914243 -0.47%
> > 0.42%
> > UC-9967 Short 1/8/01
> > 1.4984 1/15/01
> > 1.503 0.31% -63.119
> > -0.31% 13721.4 20560.1 216.938 6 -10.5198 -0.31%
> > 0.43%
> > UC-9967 Long 1/15/01
> > 1.503 1/25/01
> > 1.5122 0.61% 125.077
> > 0.61% 13595.4 20433.9 342.016 9 13.8975 -0.29%
> > 0.93%
> > UC-9967 Short 1/25/01
> > 1.5122 2/5/01
> > 1.4975 -0.97% 201.069
> > 0.97% 13678.1 20684 543.085 8 25.1336 -0.25%
> > 1.45%
> > UC-9967 Long 2/5/01
> > 1.4975 2/24/01
> > 1.5366 2.61% 550.564
> > 2.61% 14080.9 21086.2 1093.65 16 34.4103 -0.26%
> > 3.01%
> > UC-9967 Short 2/24/01
> > 1.5366 2/28/01
> > 1.5285 -0.53% 116.958
> > 0.53% 14439.2 22187.3 1210.61 4 29.2395 -0.03%
> > 0.75%
> > UC-9967 Long 2/28/01
> > 1.5285 3/5/01
> > 1.5453 1.10% 246.436
> > 1.10% 14668.8 22421.2 1457.04 4 61.609 -0.12%
> > 1.37%
> > UC-9967 Short 3/5/01
> > 1.5453 3/6/01
> > 1.5382 -0.46% 105.28
> > 0.46% 14828.2 22914.1 1562.32 2 52.6402 -0.21%
> > 0.46%
> > UC-9967 Long 3/6/01
> > 1.5382 3/23/01
> > 1.5673 1.89% 437.476
> > 1.89% 15033.6 23124.6 1999.8 14 31.2483 -0.08%
> > 2.53%
> > UC-9967 Short 3/23/01
> > 1.5673 3/27/01
> > 1.5576 -0.62% 148.532
> > 0.62% 15312.7 23999.6 2148.33 4 37.1331 -0.30%
> > 0.90%
> > UC-9967 Long 3/27/01
> > 1.5576 4/3/01
> > 1.581 1.50% 365.011
> > 1.50% 15598.8 24296.7 2513.34 7 52.1444 -0.15%
> > 1.52%
> > UC-9967 Short 4/3/01
> > 1.581 4/17/01
> > 1.5555 -1.61% 403.655
> > 1.61% 15829.7 25026.7 2917 12 33.6379 -0.09%
> > 1.71%
> > UC-9967 Long 4/17/01
> > 1.5555 4/18/01
> > 1.5682 0.82% 210.923
> > 0.82% 16608.2 25834 3127.92 2 105.462 -0.08%
> > 0.82%
> > UC-9967 Short 4/18/01
> > 1.5682 4/23/01
> > 1.548 -1.29% 338.202
> > 1.29% 16742.7 26255.8 3466.12 5 67.6404 -0.37%
> > 1.66%
> > UC-9967 Long 4/23/01
> > 1.548 4/28/01
> > 1.5421 -0.38% -102.649
> > -0.38% 17398.1 26932.2 3363.47 6 -17.1082 -0.57%
> > 0.26%
> > UC-9967 Short 4/28/01
> > 1.5421 5/5/01
> > 1.535 -0.46% 123.054
> > 0.46% 17331.5 26726.9 3486.53 7 17.5791 -0.12%
> > 0.98%
> > UC-9967 Long 5/5/01
> > 1.535 5/15/01
> > 1.5519 1.10% 296.968
> > 1.10% 17572 26973.1 3783.5 8 37.121 -0.16%
> > 1.24%
> > UC-9967 Short 5/15/01
> > 1.5519 5/21/01
> > 1.5326 -1.24% 342.833
> > 1.24% 17763.4 27567 4126.33 5 68.5666 -0.23%
> > 1.31%
> > UC-9967 Long 5/21/01
> > 1.5326 5/25/01
> > 1.5457 0.85% 241.49
> > 0.85% 18434.5 28252.7 4367.82 5 48.298 -0.08%
> > 1.38%
> > UC-9967 Short 5/25/01
> > 1.5457 6/11/01
> > 1.519 -1.73% 496.37
> > 1.73% 18590.7 28735.6 4864.19 12 41.3641 -0.34%
> > 1.80%
> > UC-9967 Long 6/11/01
> > 1.519 6/20/01
> > 1.5344 1.01% 301.392
> > 1.01% 19571 29728.4 5165.58 9 33.488 -0.26%
> > 1.13%
> > UC-9967 Short 6/20/01
> > 1.5344 6/28/01
> > 1.5169 -1.14% 345.931
> > 1.14% 19767.4 30331.2 5511.51 7 49.4187 -0.20%
> > 1.58%
> > UC-9967 Long 6/28/01
> > 1.5169 7/3/01
> > 1.5122 -0.31% -96.1214
> > -0.31% 20451.6 31023 5415.39 4 -24.0303 -0.32%
> > 0.54%
> > UC-9967 Short 7/3/01
> > 1.5122 7/5/01
> > 1.5107 -0.10% 30.5823
> > 0.10% 20388 30830.8 5445.97 3 10.1941 -0.17%
> > 0.36%
> > UC-9967 Long 7/5/01
> > 1.5107 7/9/01
> > 1.5222 0.76% 235.161
> > 0.76% 20448.8 30891.9 5681.13 4 58.7902 -0.21%
> > 0.83%
> > UC-9967 Short 7/9/01
> > 1.5222 7/11/01
> > 1.5202 -0.13% 41.206
> > 0.13% 20603.3 31362.3 5722.34 3 13.7353 -0.09%
> > 0.33%
> > UC-9967 Long 7/11/01
> > 1.5202 7/23/01
> > 1.5466 1.74% 546.072
> > 1.74% 20684.6 31444.7 6268.41 10 54.6072 -0.12%
> > 1.78%
> > UC-9967 Short 7/23/01
> > 1.5466 7/31/01
> > 1.5283 -1.18% 384.988
> > 1.18% 21037.6 32536.8 6653.4 7 54.9982 -0.01%
> > 1.18%
> > UC-9967 Long 7/31/01
> > 1.5283 8/3/01
> > 1.5345 0.41% 135.118
> > 0.41% 21793.4 33306.8 6788.52 4 33.7795 -0.22%
> > 0.84%
> > UC-9967 Short 8/3/01
> > 1.5345 8/7/01
> > 1.5275 -0.46% 153.169
> > 0.46% 21881.4 33577 6941.69 3 51.0564 -0.11%
> > 0.72%
> > UC-9967 Long 8/7/01
> > 1.5275 8/14/01
> > 1.5399 0.81% 275.058
> > 0.81% 22182.2 33883.4 7216.74 6 45.843 -0.15%
> > 1.01%
> > UC-9967 Short 8/14/01
> > 1.5399 8/16/01
> > 1.5305 -0.61% 210.19
> > 0.61% 22360.9 34433.5 7426.93 3 70.0632 -0.09%
> > 0.92%
> > UC-9967 Long 8/16/01
> > 1.5305 8/22/01
> > 1.5477 1.12% 391.693
> > 1.12% 22772.9 34853.9 7818.63 5 78.3386 -0.33%
> > 1.28%
> > UC-9967 Short 8/22/01
> > 1.5477 8/28/01
> > 1.5395 -0.53% 188.814
> > 0.53% 23025.9 35637.3 8007.44 5 37.7628 -0.11%
> > 0.68%
> > UC-9967 Long 8/28/01
> > 1.5395 9/10/01
> > 1.565 1.66% 596.545
> > 1.66% 23393.9 36014.9 8603.99 11 54.2314 -0.11%
> > 1.86%
> > UC-9967 Short 9/10/01
> > 1.565 9/14/01
> > 1.5661 0.07% -26.1512
> > -0.07% 23775.1 37208 8577.83 3 -8.71708 -0.27%
> > 0.39%
> > UC-9967 Long 9/14/01
> > 1.5661 9/24/01
> > 1.569 0.19% 68.8025
> > 0.19% 23725 37155.7 8646.64 8 8.60031 -0.24%
> > 0.49%
> > UC-9967 Short 9/24/01
> > 1.569 9/25/01
> > 1.568 -0.06% 23.7699
> > 0.06% 23768.8 37293.3 8670.41 2 11.885 -0.17%
> > 0.15%
> > UC-9967 Long 9/25/01
> > 1.568 10/1/01
> > 1.5785 0.67% 250.052
> > 0.67% 23814.3 37340.8 8920.46 6 41.6753 -0.13%
> > 0.83%
> > UC-9967 Short 10/1/01
> > 1.5785 10/9/01
> > 1.5604 -1.15% 433.907
> > 1.15% 23972.7 37840.9 9354.37 8 54.2383 -0.06%
> > 1.15%
> > UC-9967 Long 10/9/01
> > 1.5604 10/11/01
> > 1.5648 0.28% 109.151
> > 0.28% 24806.9 38708.7 9463.52 3 36.3836 -0.17%
> > 0.57%
> > UC-9967 Short 10/11/01
> > 1.5648 10/16/01
> > 1.5577 -0.45% 176.624
> > 0.45% 24876.7 38927 9640.14 5 35.3248 -0.33%
> > 0.58%
> > UC-9967 Long 10/16/01
> > 1.5577 10/22/01
> > 1.5785 1.34% 524.51
> > 1.34% 25216.8 39280.3 10164.7 6 87.4184 -0.01%
> > 1.42%
> > UC-9967 Short 10/22/01
> > 1.5785 10/29/01
> > 1.5735 -0.32% 127.746
> > 0.32% 25549.1 40329.3 10292.4 6 21.2909 -0.07%
> > 0.58%
> > UC-9967 Long 10/29/01
> > 1.5735 11/12/01
> > 1.6032 1.89% 766.041
> > 1.89% 25792.7 40584.8 11058.4 9 85.1156 0.00%
> > 1.98%
> > UC-9967 Short 11/12/01
> > 1.6032 11/19/01
> > 1.5885 -0.92% 386.175
> > 0.92% 26270.5 42116.9 11444.6 6 64.3625 -0.04%
> > 1.10%
> > UC-9967 Long 11/19/01
> > 1.5885 11/22/01
> > 1.5995 0.69% 296.996
> > 0.69% 26999.8 42889.2 11741.6 4 74.249 0.00%
> > 0.86%
> > UC-9967 Short 11/22/01
> > 1.5995 12/17/01
> > 1.5687 -1.93% 837.313
> > 1.93% 27185.5 43483.2 12578.9 16 52.3321 -0.06%
> > 2.56%
> > UC-9967 Long 12/17/01
> > 1.5687 12/27/01
> > 1.5977 1.85% 834.818
> > 1.85% 28786.8 45157.8 13413.7 7 119.26 -0.17%
> > 2.24%
> > UC-9967 Short 12/27/01
> > 1.5977 1/9/02
> > 1.597 -0.04% 20.5164
> > 0.04% 29309.3 46827.5 13434.3 7 2.93092 -0.28%
> > 0.48%
> > UC-9967 Long 1/9/02
> > 1.597 1/10/02
> > 1.598 0.06% 29.3492
> > 0.06% 29347.8 46868.5 13463.6 2 14.6746 -0.06%
> > 0.46%
> > UC-9967 Short 1/10/02
> > 1.598 1/15/02
> > 1.5886 -0.59% 276.043
> > 0.59% 29366.2 46927.2 13739.6 3 92.0142 -0.22%
> > 0.71%
> > UC-9967 Long 1/15/02
> > 1.5886 1/21/02
> > 1.6106 1.38% 657.524
> > 1.38% 29887.5 47479.3 14397.2 4 164.381 -0.06%
> > 1.76%
> > UC-9967 Short 1/21/02
> > 1.6106 1/24/02
> > 1.6037 -0.43% 209.039
> > 0.43% 30295.8 48794.3 14606.2 4 52.2598 -0.20%
> > 0.72%
> > UC-9967 Long 1/24/02
> > 1.6037 1/28/02
> > 1.5994 -0.27% -131.953
> > -0.27% 30686.8 49212.4 14474.3 2 -65.9766 -0.27%
> > 0.52%
> > UC-9967 Short 1/28/02
> > 1.5994 2/4/02
> > 1.597 -0.15% 73.4516
> > 0.15% 30604.3 48948.5 14547.7 5 14.6903 -0.01%
> > 1.06%
> > UC-9967 Long 2/4/02
> > 1.597 2/11/02
> > 1.5906 -0.40% -196.75
> > -0.40% 30742.3 49095.4 14351 5 -39.35 -0.40%
> > 0.72%
> > UC-9967 Short 2/11/02
> > 1.5906 2/21/02
> > 1.5906 0.00% 0
> > 0.00% 30618.6 48701.9 14351 10 0 -0.33%
> > 0.32%
> > UC-9967 Long 2/21/02
> > 1.5906 2/27/02
> > 1.6072 1.04% 508.269
> > 1.04% 30618.6 48701.9 14859.2 6 84.7115 -0.03%
> > 1.36%
> > UC-9967 Short 2/27/02
> > 1.6072 3/7/02
> > 1.5837 -1.46% 726.971
> > 1.46% 30934.8 49718.5 15586.2 8 90.8714 -0.15%
> > 1.90%
> > UC-9967 Long 3/7/02
> > 1.5837 3/9/02
> > 1.5864 0.17% 87.2451
> > 0.17% 32311.9 51172.4 15673.4 3 29.0817 -0.06%
> > 0.20%
> > UC-9967 Short 3/9/02
> > 1.5864 3/11/02
> > 1.5818 -0.29% 148.889
> > 0.29% 32366.9 51346.9 15822.3 2 74.4447 0.00%
> > 0.29%
> > UC-9967 Long 3/11/02
> > 1.5818 3/14/02
> > 1.5906 0.56% 287.315
> > 0.56% 32649.3 51644.7 16109.6 4 71.8287 -0.02%
> > 1.01%
> > UC-9967 Short 3/14/02
> > 1.5906 3/18/02
> > 1.5839 -0.42% 219.962
> > 0.42% 32829.9 52219.3 16329.6 3 73.3206 -0.16%
> > 0.48%
> > UC-9967 Long 3/18/02
> > 1.5839 3/21/02
> > 1.5777 -0.39% -206.127
> > -0.39% 33246.6 52659.2 16123.5 4 -51.5318 -0.44%
> > 0.11%
> > UC-9967 Short 3/21/02
> > 1.5777 3/25/02
> > 1.584 0.40% -208.629
> > -0.40% 33115.9 52247 15914.9 3 -69.5431 -0.40%
> > 0.26%
> > UC-9967 Long 3/25/02
> > 1.584 4/2/02
> > 1.5925 0.54% 278.126
> > 0.54% 32720.8 51829.7 16193 6 46.3543 -0.18%
> > 1.11%
> > UC-9967 Short 4/2/02
> > 1.5925 4/8/02
> > 1.5951 0.16% -85.5305
> > -0.16% 32895.4 52386 16107.4 5 -17.1061 -0.24%
> > 0.33%
> > UC-9967 Long 4/8/02
> > 1.5951 4/10/02
> > 1.5925 -0.16% -85.1123
> > -0.16% 32734.6 52214.9 16022.3 3 -28.3708 -0.28%
> > 0.21%
> > UC-9967 Short 4/10/02
> > 1.5925 4/29/02
> > 1.5665 -1.63% 849.71
> > 1.63% 32681.1 52044.7 16872 12 70.8091 -0.01%
> > 2.00%
> > UC-9967 Long 4/29/02
> > 1.5665 4/30/02
> > 1.5669 0.03% 13.7256
> > 0.03% 34308.4 53744.1 16885.8 2 6.86282 -0.08%
> > 0.25%
> > UC-9967 Short 4/30/02
> > 1.5669 5/6/02
> > 1.5681 0.08% -41.1792
> > -0.08% 34317.1 53771.5 16844.6 5 -8.23585 -0.08%
> > 0.68%
> > UC-9967 Long 5/6/02
> > 1.5681 5/9/02
> > 1.5648 -0.21% -112.985
> > -0.21% 34238.4 53689.2 16731.6 4 -28.2462 -0.29%
> > 0.26%
> > UC-9967 Short 5/9/02
> > 1.5648 6/10/02
> > 1.5391 -1.64% 878.069
> > 1.64% 34166.2 53463.2 17609.7 21 41.8128 -0.06%
> > 2.59%
> > UC-9967 Long 6/10/02
> > 1.5391 6/18/02
> > 1.5453 0.40% 222.44
> > 0.40% 35877.7 55219.4 17832.1 6 37.0734 -0.33%
> > 0.84%
> > UC-9967 Short 6/18/02
> > 1.5453 7/1/02
> > 1.5157 -1.92% 1066.24
> > 1.92% 36021.6 55664.2 18898.4 8 133.28 -0.01%
> > 2.76%
> > UC-9967 Long 7/1/02
> > 1.5157 7/4/02
> > 1.5275 0.78% 449.96
> > 0.78% 38132 57796.7 19348.3 4 112.49 -0.01%
> > 1.22%
> > UC-9967 Short 7/4/02
> > 1.5275 7/12/02
> > 1.5238 -0.24% 142.179
> > 0.24% 38426.6 58696.6 19490.5 6 23.6965 -0.42%
> > 1.10%
> > UC-9967 Long 7/12/02
> > 1.5238 7/24/02
> > 1.5828 3.87% 2283.69
> > 3.87% 38706.5 58981 21774.2 8 285.461 -0.11%
> > 4.27%
> > UC-9967 Short 7/24/02
> > 1.5828 7/26/02
> > 1.5709 -0.75% 477.78
> > 0.75% 40149.3 63548.4 22252 3 159.26 -0.83%
> > 1.52%
> > UC-9967 Long 7/26/02
> > 1.5709 8/7/02
> > 1.5865 0.99% 640.567
> > 0.99% 41061.8 64503.9 22892.5 9 71.1741 -0.32%
> > 2.15%
> > UC-9967 Short 8/7/02
> > 1.5865 8/19/02
> > 1.5595 -1.70% 1119.57
> > 1.70% 41465.5 65785.1 24012.1 9 124.397 -0.26%
> > 1.97%
> > UC-9967 Long 8/19/02
> > 1.5595 8/21/02
> > 1.5647 0.33% 226.821
> > 0.33% 43619.2 68024.2 24238.9 3 75.6071 -0.16%
> > 0.95%
> > UC-9967 Short 8/21/02
> > 1.5647 8/28/02
> > 1.5531 -0.74% 507.665
> > 0.74% 43764.2 68477.8 24746.6 6 84.6109 -0.40%
> > 1.00%
> > UC-9967 Long 8/28/02
> > 1.5531 9/3/02
> > 1.5564 0.21% 147.656
> > 0.21% 44744.8 69493.2 24894.2 5 29.5311 -0.06%
> > 0.75%
> > UC-9967 Short 9/3/02
> > 1.5564 9/4/02
> > 1.552 -0.28% 197.29
> > 0.28% 44839.7 69788.5 25091.5 2 98.645 -0.04%
> > 0.40%
> > UC-9967 Long 9/4/02
> > 1.552 9/6/02
> > 1.5704 1.19% 832.065
> > 1.19% 45221 70183.1 25923.6 3 277.355 -0.06%
> > 1.36%
> > UC-9967 Short 9/6/02
> > 1.5704 9/10/02
> > 1.562 -0.53% 384.306
> > 0.53% 45750.9 71847.2 26307.9 3 128.102 -0.23%
> > 0.77%
> > UC-9967 Long 9/10/02
> > 1.562 9/19/02
> > 1.5769 0.95% 692.685
> > 0.95% 46489 72615.8 27000.6 8 86.5856 -0.08%
> > 1.66%
> > UC-9967 Short 9/19/02
> > 1.5769 9/23/02
> > 1.5738 -0.20% 145.479
> > 0.20% 46928.3 74001.2 27146.1 3 48.4931 -0.08%
> > 0.44%
> > UC-9967 Long 9/23/02
> > 1.5738 9/25/02
> > 1.5875 0.87% 646.717
> > 0.87% 47205.6 74292.1 27792.8 3 215.572 -0.19%
> > 1.14%
> > UC-9967 Short 9/25/02
> > 1.5875 9/30/02
> > 1.5869 -0.04% 28.5668
> > 0.04% 47613 75585.6 27821.4 4 7.14171 -0.07%
> > 0.89%
> > UC-9967 Long 9/30/02
> > 1.5869 10/10/02
> > 1.597 0.64% 481.437
> > 0.64% 47667 75642.7 28302.8 9 53.493 -0.75%
> > 0.79%
> > UC-9967 Short 10/10/02
> > 1.597 10/25/02
> > 1.5658 -1.95% 1496.62
> > 1.95% 47968.4 76605.6 29799.4 12 124.718 -0.11%
> > 2.34%
> > UC-9967 Long 10/25/02
> > 1.5658 10/28/02
> > 1.5666 0.05% 40.6694
> > 0.05% 50835.9 79598.8 29840.1 2 20.3347 -0.23%
> > 0.18%
> > UC-9967 Short 10/28/02
> > 1.5666 10/30/02
> > 1.5643 -0.15% 116.983
> > 0.15% 50861.8 79680.2 29957.1 3 38.9945 -0.01%
> > 0.72%
> > UC-9967 Long 10/30/02
> > 1.5643 10/31/02
> > 1.5677 0.22% 173.698
> > 0.22% 51086.2 79914.1 30130.8 2 86.8488 -0.13%
> > 0.40%
> > UC-9967 Short 10/31/02
> > 1.5677 11/8/02
> > 1.5569 -0.69% 552.928
> > 0.69% 51197 80261.5 30683.7 7 78.9897 -0.16%
> > 1.10%
> > UC-9967 Long 11/8/02
> > 1.5569 11/21/02
> > 1.5844 1.77% 1437.22
> > 1.77% 52262.4 81367.4 32120.9 10 143.722 -0.17%
> > 2.23%
> > UC-9967 Short 11/21/02
> > 1.5844 12/3/02
> > 1.556 -1.79% 1510.02
> > 1.79% 53169.5 84241.8 33630.9 8 188.752 -0.10%
> > 1.95%
> > UC-9967 Long 12/3/02
> > 1.556 12/11/02
> > 1.5602 0.27% 235.539
> > 0.27% 56080.9 87261.8 33866.5 7 33.6484 -0.01%
> > 0.85%
> > UC-9967 Short 12/11/02
> > 1.5602 12/13/02
> > 1.5533 -0.44% 387.997
> > 0.44% 56231.8 87732.9 34254.5 3 129.332 -0.03%
> > 0.54%
> > UC-9967 Long 12/13/02
> > 1.5533 12/17/02
> > 1.5594 0.39% 347.582
> > 0.39% 56981.2 88508.9 34602 3 115.861 -0.08%
> > 0.68%
> > UC-9967 Short 12/17/02
> > 1.5594 12/26/02
> > 1.5476 -0.76% 675.005
> > 0.76% 57204.1 89204.1 35277 7 96.4292 -0.04%
> > 0.92%
> > UC-9967 Long 12/26/02
> > 1.5476 1/2/03
> > 1.5754 1.80% 1626.65
> > 1.80% 58512.6 90554.1 36903.7 6 271.108 -0.03%
> > 2.08%
> > UC-9967 Short 1/2/03
> > 1.5754 1/27/03
> > 1.5182 -3.63% 3405.98
> > 3.63% 59545.1 93807.4 40309.7 18 189.221 -0.13%
> > 3.65%
> > UC-9967 Long 1/27/03
> > 1.5182 1/29/03
> > 1.5264 0.54% 543.454
> > 0.54% 66275.4 100619 40853.1 3 181.151 -0.07%
> > 1.19%
> > UC-9967 Short 1/29/03
> > 1.5264 2/5/03
> > 1.515 -0.75% 759.598
> > 0.75% 66631.5 101706 41612.7 6 126.6 -0.51%
> > 0.85%
> > UC-9967 Long 2/5/03
> > 1.515 2/13/03
> > 1.5284 0.88% 913.014
> > 0.88% 68135.6 103225 42525.7 7 130.431 -0.15%
> > 1.17%
> > UC-9967 Short 2/13/03
> > 1.5284 3/11/03
> > 1.4616 -4.37% 4591.36
> > 4.37% 68733 105051 47117.1 19 241.651 -0.07%
> > 4.59%
> > UC-9967 Long 3/11/03
> > 1.4616 3/14/03
> > 1.4842 1.55% 1766.35
> > 1.55% 78157 114234 48883.4 4 441.588 -0.08%
> > 1.74%
> > UC-9967 Short 3/14/03
> > 1.4842 3/21/03
> > 1.4805 -0.25% 293.586
> > 0.25% 79347.1 117767 49177 6 48.9309 -0.37%
> > 1.21%
> > UC-9967 Long 3/21/03
> > 1.4805 3/24/03
> > 1.4863 0.39% 463.664
> > 0.39% 79942 118354 49640.7 2 231.832 -0.14%
> > 0.96%
> > UC-9967 Short 3/24/03
> > 1.4863 3/28/03
> > 1.4641 -1.49% 1781.64
> > 1.49% 80253.9 119281 51422.3 5 356.327 -0.20%
> > 1.70%
> > UC-9967 Long 3/28/03
> > 1.4641 4/8/03
> > 1.4794 1.05% 1283.74
> > 1.05% 83904.6 122845 52706.1 8 160.468 -0.16%
> > 2.05%
> > UC-9967 Short 4/8/03
> > 1.4794 4/21/03
> > 1.4526 -1.81% 2271.9
> > 1.81% 84772.3 125412 54978 10 227.19 -0.12%
> > 2.28%
> > UC-9967 Long 4/21/03
> > 1.4526 4/22/03
> > 1.455 0.17% 214.718
> > 0.17% 89464.4 129956 55192.7 2 107.359 -0.28%
> > 0.26%
> > UC-9967 Short 4/22/03
> > 1.455 4/24/03
> > 1.4531 -0.13% 170.27
> > 0.13% 89612 130385 55363 3 56.7565 -0.07%
> > 0.85%
> > UC-9967 Long 4/24/03
> > 1.4531 4/25/03
> > 1.4557 0.18% 233.912
> > 0.18% 89963.5 130726 55596.9 2 116.956 -0.08%
> > 0.92%
> > UC-9967 Short 4/25/03
> > 1.4557 5/22/03
> > 1.3571 -6.77% 8886.25
> > 6.77% 90124.2 131194 64483.1 20 444.312 -0.24%
> > 7.93%
> > UC-9967 Long 5/22/03
> > 1.3571 5/26/03
> > 1.3742 1.26% 1877.03
> > 1.26% 109768 148966 66360.2 3 625.677 -0.28%
> > 1.89%
> > UC-9967 Short 5/26/03
> > 1.3742 5/28/03
> > 1.3741 -0.01% 11.1152
> > 0.01% 111134 152720 66371.3 3 3.70508 -0.46%
> > 0.52%
> > UC-9967 Long 5/28/03
> > 1.3741 5/29/03
> > 1.387 0.94% 1433.94
> > 0.94% 111158 152743 67805.2 2 716.97 -0.10%
> > 1.31%
> > UC-9967 Short 5/29/03
> > 1.387 6/20/03
> > 1.3435 -3.14% 4880.35
> > 3.14% 112192 155610 72685.6 17 287.079 -0.29%
> > 4.04%
> > UC-9967 Long 6/20/03
> > 1.3435 6/25/03
> > 1.359 1.15% 1907.89
> > 1.15% 123090 165371 74593.4 4 476.971 -0.15%
> > 1.74%
> > UC-9967 Short 6/25/03
> > 1.359 7/7/03
> > 1.3411 -1.32% 2228.44
> > 1.32% 124494 169187 76821.9 8 278.554 -0.22%
> > 1.85%
> > UC-9967 Long 7/7/03
> > 1.3411 7/23/03
> > 1.4165 5.62% 9762.69
> > 5.62% 129479 173644 86584.6 13 750.976 -0.34%
> > 5.71%
> > UC-9967 Short 7/23/03
> > 1.4165 7/30/03
> > 1.3864 -2.12% 4104.76
> > 2.12% 136371 193169 90689.3 6 684.126 -0.18%
> > 3.35%
> > UC-9967 Long 7/30/03
> > 1.3864 8/1/03
> > 1.3989 0.90% 1815.67
> > 0.90% 145253 201379 92505 3 605.223 -0.03%
> > 1.78%
> > UC-9967 Short 8/1/03
> > 1.3989 8/14/03
> > 1.3791 -1.42% 2901.72
> > 1.42% 146551 205010 95406.7 10 290.172 -0.89%
> > 1.64%
> > UC-9967 Long 8/14/03
> > 1.3791 8/26/03
> > 1.4011 1.60% 3363
> > 1.60% 152863 210813 98769.7 9 373.666 -0.12%
> > 2.70%
> > UC-9967 Short 8/26/03
> > 1.4011 9/2/03
> > 1.3782 -1.63% 3555.53
> > 1.63% 155263 217539 102325 6 592.588 -0.49%
> > 1.83%
> > UC-9967 Long 9/2/03
> > 1.3782 9/4/03
> > 1.3788 0.04% 97.7985
> > 0.04% 163003 224650 102423 3 32.5995 -0.13%
> > 1.41%
> > UC-9967 Short 9/4/03
> > 1.3788 9/8/03
> > 1.3693 -0.69% 1549.2
> > 0.69% 163074 224846 103972 3 516.402 -0.41%
> > 0.96%
> > UC-9967 Long 9/8/03
> > 1.3693 9/12/03
> > 1.37 0.05% 116.527
> > 0.05% 166468 227944 104089 5 23.3054 -0.48%
> > 0.59%
> > UC-9967 Short 9/12/03
> > 1.37 9/23/03
> > 1.3502 -1.45% 3297.74
> > 1.45% 166553 228178 107387 8 412.217 -0.31%
> > 2.45%
> > UC-9967 Long 9/23/03
> > 1.3502 10/2/03
> > 1.3469 -0.24% -573.817
> > -0.24% 173880 234773 106813 8 -71.7271 -0.53%
> > 1.01%
> > UC-9967 Short 10/2/03
> > 1.3469 10/9/03
> > 1.3341 -0.95% 2220.21
> > 0.95% 173454 233625 109033 6 370.035 -0.34%
> > 1.57%
> > UC-9967 Long 10/9/03
> > 1.3341 10/10/03
> > 1.3385 0.33% 785.168
> > 0.33% 178447 238066 109818 2 392.584 -0.45%
> > 0.58%
> > UC-9967 Short 10/10/03
> > 1.3385 10/27/03
> > 1.3068 -2.37% 5675.36
> > 2.37% 179033 239636 115493 12 472.947 -0.07%
> > 2.76%
> > UC-9967 Long 10/27/03
> > 1.3068 11/7/03
> > 1.3391 2.47% 6203.61
> > 2.47% 192062 250987 121697 10 620.361 -0.11%
> > 2.79%
> > UC-9967 Short 11/7/03
> > 1.3391 11/17/03
> > 1.3019 -2.78% 7317.04
> > 2.78% 196695 263394 129014 7 1045.29 -0.19%
> > 3.24%
> > UC-9967 Long 11/17/03
> > 1.3019 11/18/03
> > 1.3113 0.72% 2007.43
> > 0.72% 213556 278028 131022 2 1003.71 -0.21%
> > 1.01%
> > UC-9967 Short 11/18/03
> > 1.3113 11/24/03
> > 1.302 -0.71% 2000.3
> > 0.71% 215087 282043 133022 5 400.061 -0.48%
> > 1.13%
> > UC-9967 Long 11/24/03
> > 1.302 11/26/03
> > 1.31 0.61% 1757.54
> > 0.61% 219696 286044 134779 3 585.847 -0.05%
> > 1.54%
> > UC-9967 Open Short 11/26/03
> > 1.31 11/28/03
> > 1.2985 -0.88% 2541.93
> > 0.88% 221037 289559 137321 4 635.482 -0.19%
> > 1.29%
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