RSI SYSTEM: LONG/SHORT SPY ONLY

Statistics
All trades Long trades Short trades
Initial capital 50000.00 50000.00 50000.00
Ending capital 219550.03 177533.60 92016.43
Net Profit 169550.03 127533.60 42016.43
Net Profit % 339.10 % 255.07 % 84.03 %
Exposure % 15.32 % 10.04 % 5.28 %
Net Risk Adjusted Return % 2213.35 % 2540.57 % 1591.26 %
Annual Return % 8.47 % 7.21 % 3.41 %
Risk Adjusted Return % 55.29 % 71.83 % 64.55 %

All trades 126 98 (77.78 %) 28 (22.22 %)

Avg. Profit/Loss 1345.64 1301.36 1500.59
Avg. Profit/Loss % 1.25 % 1.27 % 1.19 %
Avg. Bars Held 7.16 6.05 11.04

Winners 100 (79.37 %) 83 (65.87 %) 17 (13.49 %)

Total Profit 204609.53 144908.63 59700.90
Avg. Profit 2046.10 1745.89 3511.82
Avg. Profit % 1.91 % 1.74 % 2.77 %
Avg. Bars Held 5.00 5.01 4.94
Max. Consecutive 9 10 6
Largest win 15559.52 7862.63 15559.52
# bars in largest win 3 5 3

Losers 26 (20.63 %) 15 (11.90 %) 11 (8.73 %)

Total Loss -35059.50 -17375.03 -17684.47
Avg. Loss -1348.44 -1158.34 -1607.68
 Avg. Loss % -1.29 % -1.31 % -1.26 %
Avg. Bars Held 15.46 11.80 20.45
Max. Consecutive 3 1 3
Largest loss -9191.15 -3414.47 -9191.15
# bars in largest loss 13 11 13

Max. trade drawdown -19527.29 -8453.14 -19527.29

Max. trade % drawdown -11.70 % -7.66 % -11.70 %
Max. system drawdown -19527.29 -8453.14 -19527.29
Max. system % drawdown -11.70 % -7.65 % -20.46 %
Recovery Factor 8.68 15.09 2.15
CAR/MaxDD 0.72 0.94 0.17
RAR/MaxDD 4.72 9.39 3.15
Profit Factor 5.84 8.34 3.38
Payoff Ratio 1.52 1.51 2.18
Standard Error 10710.94 6724.84 6355.34
Risk-Reward Ratio 0.81 0.97 0.34
Ulcer Index 1.57 1.60 3.51
Ulcer Performance Index 1.95 1.13 -0.57
Sharpe Ratio of trades 3.52 4.70 1.71
K-Ratio 0.0626 0.0750 0.0261

Settings

Initial Equity: 50000 Periodicity/Positions: Daily/Long Short

Commissions: 10.00 per trade Annual interest rate: 0.00%
Range: All quotations Apply to: Current Symbol
Account margin: 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
 Charts

1. Portfolio Equity
2. Underwater Equity
3. Profit Table

Trades

Trade list

Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit # bars Profit/bar MAE/MFE Scale In/Out
5/4/1993 5/13/1993 29.20 -0.60%
SPY Short -1.01% 149.1 4863.64 29.20 8 3.65 0/0
32.62 32.29 0.60% 1.01%
11/22/1993 11/24/1993 34.55 -0.33%
SPY Long 0.97% 165.3 5649.95 63.75 3 11.52 0/0
34.18 34.51 0.61% 0.97%
2/4/1994 2/15/1994 499.18 -0.35%
SPY Long 1.05% 1403.2 49238.29 562.94 8 62.40 0/0
35.09 35.46 1.01% 2.47%
3/24/1994 4/25/1994 -968.39 -6.56%
SPY Long -2.27% 1200.5 41849.43 -405.46 22 -44.02 0/0
34.86 34.07 -2.31% 0.99%
4/25/1994 5/6/1994 153.62 -0.87%
SPY Short -1.29% 394.6 13444.02 -251.83 9 17.07 0/0
34.07 33.63 1.14% 1.29%
 5/17/1994 6/23/1994 -57.62 -3.05%
SPY Short 0.24% 470.2 15967.99 -309.45 27 -2.13 0/0
33.96 34.04 -0.36% 1.53%
9/12/1994 9/15/1994 56.35 -0.17%
SPY Long 1.66% 129.4 4585.94 -253.10 4 14.09 0/0
35.44 36.03 1.23% 1.66%
9/23/1994 9/28/1994 55.94 -0.17%
SPY Long 1.22% 176.6 6209.26 -197.17 4 13.98 0/0
35.16 35.59 0.90% 1.22%
10/4/1994 10/10/1994 16.21 -0.86%
SPY Long 1.24% 84.2 2926.79 -180.96 5 3.24 0/0
34.76 35.19 0.55% 2.03%
10/24/1994 10/27/1994 36.85 -0.36%
SPY Long 1.07% 149.6 5289.86 -144.11 4 9.21 0/0
35.36 35.74 0.70% 1.30%
11/21/1994 12/6/1994 -96.44 -3.01%
SPY Long -0.77% 283.1 9973.61 -240.55 11 -8.77 0/0
35.23 34.96 -0.97% 1.26%
12/15/1994 12/30/1994 -16.10 -1.78%
SPY Short -0.09% 130.1 4573.01 -256.65 11 -1.46 0/0
35.15 35.12 -0.35% 0.17%
5/18/1995 5/22/1995 251.57 -0.30%
SPY Long 1.16% 577.8 23331.56 -5.08 3 83.86 0/0
40.38 40.85 1.08% 1.36%
8/11/1995 8/14/1995 80.31 -0.43%
SPY Long 0.90% 257.2 11167.62 75.23 2 40.15 0/0
43.42 43.81 0.72% 0.90%
10/26/1995 10/30/1995 368.35 -0.81%
SPY Long 1.41% 606.8 27481.97 443.58 3 122.78 0/0
45.29 45.93 1.34% 1.41%
12/18/1995 12/26/1995 574.99 -0.07%
SPY Long 1.44% 862.3 41209.32 1018.57 6 95.83 0/0
47.79 48.48 1.40% 1.46%
1/9/1996 1/16/1996 4.93 -1.86%
SPY Long 0.13% 415.5 19902.45 1023.50 6 0.82 0/0
47.9 47.96 0.02% 2.12%
2/20/1996 2/22/1996 683.99 -0.65%
SPY Long 2.82% 492.3 24954.69 1707.48 3 228.00 0/0
50.69 52.12 2.74% 2.82%
2/29/1996 3/4/1996 985.73 -0.42%
SPY Long 2.18% 914.3 46035.00 2693.21 3 328.58 0/0
50.35 51.45 2.14% 2.18%
4/8/1996 4/15/1996 -133.61 -3.50%
SPY Long -0.22% 1032.8 52683.22 2559.61 6 -22.27 0/0
51.01 50.9 -0.25% 0.38%
5/2/1996 5/8/1996 278.64 -1.15%
SPY Long 0.57% 1029.78 52549.61 2838.24 5 55.73 0/0
51.03 51.32 0.53% 1.49%
6/14/1996 6/21/1996 139.39 -1.13%
SPY Long 0.30% 996.195 52828.24 2977.63 6 23.23 0/0
53.03 53.19 0.26% 0.46%
 7/5/1996 7/18/1996 -787.04 -7.94%
SPY Long -1.74% 842.9 44007.81 2190.59 10 -78.70 0/0
52.21 51.3 -1.79% 1.31%
8/1/1996 8/30/1996 -160.84 -3.35%
SPY Short 0.27% 1005.99 52180.60 2029.76 22 -7.31 0/0
51.87 52.01 -0.31% 1.69%
8/30/1996 9/9/1996 1090.21 -1.48%
SPY Long 2.13% 1000.19 52019.76 3119.96 6 181.70 0/0
52.01 53.12 2.10% 2.17%
10/28/1996 10/31/1996 744.17 -0.21%
SPY Long 1.44% 955.215 53109.96 3864.14 4 186.04 0/0
55.6 56.4 1.40% 1.44%
12/6/1996 12/9/1996 771.97 -2.22%
SPY Long 1.47% 910.313 53854.14 4636.11 2 385.99 0/0
59.16 60.03 1.43% 1.47%
12/12/1996 12/19/1996 1425.18 -1.70%
SPY Long 2.65% 938.432 54626.11 6061.29 6 237.53 0/0
58.21 59.75 2.61% 2.65%
2/28/1997 3/5/1997 998.47 -0.58%
SPY Long 1.82% 885.626 56051.30 7059.76 4 249.62 0/0
63.29 64.44 1.78% 1.82%
3/20/1997 3/24/1997 1081.66 -0.64%
SPY Long 1.93% 910.465 57049.77 8141.43 3 360.55 0/0
62.66 63.87 1.90% 1.93%
3/27/1997 4/8/1997 -245.64 -3.69%
SPY Long -0.39% 940.182 58131.43 7895.78 8 -30.71 0/0
61.83 61.59 -0.42% 3.08%
4/11/1997 4/15/1997 1758.23 -0.09%
SPY Long 3.07% 982.447 57885.78 9654.01 3 586.08 0/0
58.92 60.73 3.04% 3.07%
8/8/1997 8/19/1997 -352.85 -4.31%
SPY Long -0.56% 792.506 59644.02 9301.16 8 -44.11 0/0
75.26 74.84 -0.59% 1.48%
10/16/1997 10/21/1997 1372.64 -2.36%
SPY Long 2.35% 769.416 59291.16 10673.80 4 343.16 0/0
77.06 78.87 2.32% 2.36%
10/27/1997 11/3/1997 4718.55 -3.23%
SPY Long 7.81% 859.992 60663.80 15392.36 6 786.43 0/0
70.54 76.05 7.78% 7.81%
11/12/1997 11/14/1997 1828.42 -0.45%
SPY Long 2.83% 892.958 65382.36 17220.78 3 609.47 0/0
73.22 75.29 2.80% 2.83%
12/11/1997 12/16/1997 1214.50 -0.67%
SPY Long 1.84% 869.367 67210.78 18435.28 4 303.63 0/0
77.31 78.73 1.81% 1.84%
12/19/1997 12/29/1997 584.59 -2.54%
SPY Long 0.88% 889.102 68425.28 19019.87 6 97.43 0/0
76.96 77.64 0.85% 1.20%
1/9/1998 1/14/1998 2558.09 -1.51%
SPY Long 3.74% 920.745 69009.87 21577.96 4 639.52 0/0
74.95 77.75 3.71% 3.74%
 4/27/1998 4/30/1998 1709.40 -1.01%
SPY Long 2.42% 808.13 71567.96 23287.35 4 427.35 0/0
88.56 90.7 2.39% 2.42%
5/26/1998 6/4/1998 251.18 -1.73%
SPY Long 0.37% 821.771 73277.36 23538.54 8 31.40 0/0
89.17 89.5 0.34% 2.39%
7/23/1998 8/18/1998 -2478.57 -7.61%
SPY Long -3.34% 788.003 73528.54 21059.97 19 -130.45 0/0
93.31 90.19 -3.37% 2.10%
9/23/1998 9/30/1998 3462.44 0.00%
SPY Short -4.90% 809.871 71049.97 24522.41 6 577.07 0/0
87.73 83.43 4.87% 4.90%
12/14/1998 12/17/1998 3015.78 0.00%
SPY Long 4.07% 798.889 74512.41 27538.19 4 753.94 0/0
93.27 97.07 4.05% 4.07%
1/14/1999 1/19/1999 2515.28 -0.26%
SPY Long 3.27% 777.693 77528.19 30053.47 3 838.43 0/0
99.69 102.95 3.24% 3.36%
2/9/1999 2/11/1999 2342.70 -0.17%
SPY Long 2.95% 800.915 80043.48 32396.17 3 780.90 0/0
99.94 102.89 2.93% 2.95%
3/23/1999 3/25/1999 2141.60 -0.45%
SPY Long 2.62% 791.794 82386.18 34537.77 3 713.87 0/0
104.05 106.78 2.60% 2.65%
4/19/1999 4/21/1999 3494.73 -0.86%
SPY Long 4.16% 791.607 84527.77 38032.50 3 1164.91 0/0
106.78 111.22 4.13% 4.16%
5/24/1999 6/4/1999 1380.15 -2.39%
SPY Long 1.59% 814.043 88022.50 39412.66 9 153.35 0/0
108.13 109.85 1.57% 2.07%
7/22/1999 8/13/1999 -1904.09 -6.64%
SPY Long -2.11% 794.973 89402.66 37508.57 17 -112.01 0/0
112.46 110.09 -2.13% 1.46%
8/16/1999 8/27/1999 -874.57 -3.76%
SPY Short 0.98% 791.269 87498.57 36634.00 10 -87.46 0/0
110.58 111.66 -1.00% 1.55%
8/31/1999 9/3/1999 2542.70 -1.06%
SPY Long 2.96% 793.405 86624.00 39176.70 4 635.67 0/0
109.18 112.41 2.94% 2.96%
9/15/1999 10/4/1999 -584.04 -4.58%
SPY Long -0.63% 817.443 89166.70 38592.67 14 -41.72 0/0
109.08 108.39 -0.65% 2.65%
11/30/1999 12/2/1999 1230.56 -0.20%
SPY Long 1.41% 767.215 88582.67 39823.23 3 410.19 0/0
115.46 117.09 1.39% 2.18%
1/4/2000 1/7/2000 3839.19 -1.79%
SPY Long 4.30% 773.385 89813.23 43662.42 4 959.80 0/0
116.13 121.12 4.27% 4.30%
1/24/2000 2/3/2000 1883.24 -3.80%
SPY Long 2.03% 803.056 93652.42 45545.66 9 209.25 0/0
116.62 118.99 2.01% 3.92%
 3/3/2000 3/7/2000 2741.48 -0.42%
SPY Short -2.89% 814.595 95535.66 48287.14 3 913.83 0/0
117.28 113.89 2.87% 2.89%
4/12/2000 4/25/2000 1246.06 -8.74%
SPY Long 1.29% 806.41 98277.14 49533.20 9 138.45 0/0
121.87 123.44 1.27% 3.34%
6/23/2000 7/3/2000 1977.56 -0.60%
SPY Long 2.01% 825.439 99523.20 51510.76 7 282.51 0/0
120.57 122.99 1.99% 2.01%
7/27/2000 8/3/2000 130.50 -2.65%
SPY Long 0.15% 836.085 101500.77 51641.26 6 21.75 0/0
121.4 121.58 0.13% 0.86%
9/12/2000 9/28/2000 -2167.20 -4.05%
SPY Long -2.11% 819.541 101631.26 49474.06 13 -166.71 0/0
124.01 121.39 -2.13% 1.18%
10/31/2000 11/8/2000 1650.48 -0.94%
SPY Short -1.68% 831.083 99464.07 51124.54 7 235.78 0/0
119.68 117.67 1.66% 2.02%
12/5/2000 12/7/2000 2961.69 -0.45%
SPY Short -2.95% 876.969 101114.54 54086.24 3 987.23 0/0
115.3 111.9 2.93% 2.95%
4/12/2001 6/14/2001 -2776.92 -11.14%
SPY Short 2.65% 1040.35 104076.23 51309.32 44 -63.11 0/0
100.04 102.69 -2.67% 2.43%
7/2/2001 7/5/2001 1981.24 -0.15%
SPY Short -1.98% 966.781 101299.32 53290.55 3 660.41 0/0
104.78 102.71 1.96% 1.98%
8/1/2001 8/6/2001 1513.13 -0.93%
SPY Short -1.48% 1002.04 103280.56 54803.68 4 378.28 0/0
103.07 101.54 1.47% 1.48%
10/2/2001 10/17/2001 -2081.90 -5.21%
SPY Short 1.97% 1171.53 104793.69 52721.78 12 -173.49 0/0
89.45 91.21 -1.99% 1.83%
7/30/2002 8/2/2002 4669.19 -0.67%
SPY Short -4.57% 1324.63 102711.78 57390.97 4 1167.30 0/0
77.54 74 4.55% 4.57%
6/25/2003 7/2/2003 2442.69 -1.14%
SPY Long 2.29% 1269.43 107380.97 59833.66 6 407.12 0/0
84.59 86.53 2.27% 2.29%
8/5/2003 8/11/2003 2527.93 -0.08%
SPY Long 2.32% 1313.37 109823.67 62361.59 5 505.59 0/0
83.62 85.56 2.30% 2.43%
9/25/2003 10/1/2003 1987.43 -1.03%
SPY Long 1.79% 1286.81 112351.60 64349.02 5 397.49 0/0
87.31 88.87 1.77% 1.79%
11/18/2003 11/24/2003 1915.16 -0.20%
SPY Long 1.69% 1264.81 114339.02 66264.18 5 383.03 0/0
90.4 91.93 1.67% 1.69%
3/10/2004 3/18/2004 487.61 -1.54%
SPY Long 0.44% 1180.49 116254.18 66751.79 7 69.66 0/0
98.48 98.91 0.42% 1.95%
 3/22/2004 3/25/2004 1423.35 -0.73%
SPY Long 1.24% 1212.9 116741.79 68175.14 4 355.84 0/0
96.25 97.44 1.22% 1.24%
3/29/2004 4/13/2004 -677.60 -2.50%
SPY Short 0.56% 1195.64 118165.14 67497.54 11 -61.60 0/0
98.83 99.38 -0.57% 0.90%
4/20/2004 4/22/2004 2431.64 -0.13%
SPY Long 2.09% 1195.92 117487.54 69929.18 3 810.55 0/0
98.24 100.29 2.07% 2.14%
4/29/2004 5/5/2004 1006.20 -0.83%
SPY Long 0.86% 1221.67 119919.18 70935.39 5 201.24 0/0
98.16 99 0.84% 1.33%
5/7/2004 5/24/2004 318.27 -1.73%
SPY Long 0.28% 1252.85 120925.39 71253.66 12 26.52 0/0
96.52 96.79 0.26% 2.06%
5/25/2004 7/6/2004 -513.96 -3.14%
SPY Short 0.41% 1234.91 121243.66 70739.69 28 -18.36 0/0
98.18 98.58 -0.42% 2.01%
7/6/2004 7/20/2004 -301.68 -1.70%
SPY Long -0.23% 1224.69 120729.70 70438.02 11 -27.43 0/0
98.58 98.35 -0.25% 0.61%
8/18/2004 10/14/2004 -1187.76 -4.65%
SPY Short 0.97% 1242.29 120428.01 69250.26 41 -28.97 0/0
96.94 97.88 -0.99% 1.40%
1/4/2005 1/18/2005 632.88 -1.11%
SPY Long 0.55% 1125.65 119240.26 69883.14 10 63.29 0/0
105.93 106.51 0.53% 1.44%
1/24/2005 1/31/2005 1641.38 -0.15%
SPY Long 1.39% 1153.74 119873.14 71524.52 6 273.56 0/0
103.9 105.34 1.37% 1.39%
2/22/2005 2/24/2005 1657.96 -0.02%
SPY Long 1.38% 1149.29 121514.52 73182.48 3 552.65 0/0
105.73 107.19 1.36% 1.58%
3/16/2005 3/30/2005 -507.17 -2.03%
SPY Long -0.40% 1159.93 123172.48 72675.31 10 -50.72 0/0
106.19 105.77 -0.41% 0.87%
4/14/2005 4/21/2005 240.46 -1.91%
SPY Long 0.21% 1183.91 122665.31 72915.77 6 40.08 0/0
103.61 103.83 0.20% 1.49%
6/23/2005 7/5/2005 619.01 -0.93%
SPY Long 0.52% 1141.08 122905.77 73534.78 8 77.38 0/0
107.71 108.27 0.50% 1.45%
8/24/2005 8/31/2005 1443.78 -0.63%
SPY Long 1.19% 1134.71 123524.78 74978.56 6 240.63 0/0
108.86 110.15 1.17% 1.30%
9/21/2005 9/29/2005 1789.64 -0.39%
SPY Long 1.45% 1145.34 124968.55 76768.20 7 255.66 0/0
109.11 110.69 1.43% 1.45%
10/5/2005 10/19/2005 132.64 -2.30%
SPY Long 0.12% 1174.12 126758.20 76900.84 11 12.06 0/0
107.96 108.09 0.10% 1.40%
 12/30/2005 1/3/2006 2204.18 -0.12%
SPY Long 1.75% 1123.33 126890.84 79105.02 2 1102.09 0/0
112.96 114.94 1.74% 1.75%
1/20/2006 1/26/2006 1403.34 -0.10%
SPY Long 1.10% 1129.64 129095.02 80508.37 5 280.67 0/0
114.28 115.54 1.09% 1.86%
3/9/2006 3/10/2006 1222.20 0.00%
SPY Long 0.95% 1129.27 130498.37 81730.56 2 611.10 0/0
115.56 116.66 0.94% 1.02%
4/11/2006 4/18/2006 2082.22 -0.49%
SPY Long 1.60% 1124.18 131720.56 83812.78 5 416.44 0/0
117.17 119.04 1.58% 1.60%
5/12/2006 5/25/2006 -1577.30 -3.46%
SPY Long -1.16% 1136.72 133802.79 82235.48 10 -157.73 0/0
117.71 116.34 -1.18% 1.15%
6/29/2006 7/12/2006 1240.59 -0.59%
SPY Short -0.95% 1135.67 132225.48 83476.07 9 137.84 0/0
116.43 115.32 0.94% 1.65%
11/2/2006 11/6/2006 1254.34 -0.85%
SPY Long 0.95% 1061.95 133466.07 84730.41 3 418.11 0/0
125.68 126.88 0.94% 0.95%
11/27/2006 11/29/2006 1971.31 -0.22%
SPY Long 1.48% 1059.21 134720.42 86701.72 3 657.10 0/0
127.19 129.07 1.46% 1.48%
12/22/2006 12/27/2006 1692.21 -0.06%
SPY Long 1.25% 1056.92 136691.72 88393.94 3 564.07 0/0
129.33 130.95 1.24% 1.25%
2/27/2007 3/8/2007 1210.75 -1.55%
SPY Long 0.89% 1079.61 138383.93 89604.69 8 151.34 0/0
128.18 129.32 0.87% 3.37%
6/7/2007 6/13/2007 2588.20 -0.03%
SPY Long 1.87% 1014.86 139594.68 92192.89 5 517.64 0/0
137.55 140.12 1.85% 2.28%
6/26/2007 7/2/2007 3333.03 -0.16%
SPY Long 2.36% 1034.89 142182.88 95525.92 5 666.61 0/0
137.39 140.63 2.34% 2.36%
7/24/2007 8/7/2007 -3414.47 -5.80%
SPY Long -2.33% 1038.06 145515.92 92111.45 11 -310.41 0/0
140.18 136.91 -2.35% 1.97%
8/24/2007 8/28/2007 4395.47 -0.01%
SPY Short -3.11% 1034.07 142101.45 96506.91 3 1465.16 0/0
137.42 133.15 3.09% 3.11%
10/19/2007 10/26/2007 3849.57 -0.67%
SPY Long 2.64% 1051.51 146496.91 100356.48 6 641.60 0/0
139.32 143 2.63% 4.55%
2/1/2008 2/5/2008 5850.21 -0.02%
SPY Short -3.90% 1151.02 150346.48 106206.69 3 1950.07 0/0
130.62 125.52 3.89% 3.90%
2/26/2008 2/29/2008 5106.94 -0.56%
SPY Short -3.28% 1206.34 156196.69 111313.63 4 1276.73 0/0
129.48 125.23 3.27% 3.28%
 7/22/2008 7/24/2008 2470.04 -1.31%
SPY Short -1.54% 1338.73 161303.63 113783.67 3 823.35 0/0
120.49 118.63 1.53% 2.06%
11/4/2008 11/6/2008 15559.52 -0.45%
SPY Short -9.51% 1715.81 163773.67 129343.19 3 5186.51 0/0
95.45 86.37 9.50% 9.51%
3/12/2009 3/30/2009 -9191.15 -11.13%
SPY Short 5.11% 2478.69 179333.20 120152.04 13 -707.01 0/0
72.35 76.05 -5.13% 4.68%
6/16/2009 6/25/2009 1768.94 -2.49%
SPY Long 1.05% 1923.6 170142.03 121920.98 8 221.12 0/0
88.45 89.38 1.04% 1.80%
7/7/2009 7/13/2009 3962.03 -1.21%
SPY Long 2.32% 2011.13 171910.98 125883.01 5 792.41 0/0
85.48 87.46 2.30% 2.32%
9/1/2009 9/4/2009 3234.90 -0.63%
SPY Long 1.85% 1808.28 175873.01 129117.91 4 808.72 0/0
97.26 99.06 1.84% 3.03%
10/1/2009 10/6/2009 4403.30 -0.94%
SPY Long 2.47% 1783.59 179107.90 133521.20 4 1100.82 0/0
100.42 102.9 2.46% 2.68%
10/28/2009 11/5/2009 4269.08 -1.28%
SPY Long 2.34% 1802.13 183511.20 137790.28 7 609.87 0/0
101.83 104.21 2.33% 2.34%
1/22/2010 2/2/2010 1996.69 -1.82%
SPY Long 1.07% 1753.64 187780.29 139786.97 8 249.59 0/0
107.08 108.23 1.06% 2.32%
2/8/2010 2/11/2010 3982.81 -0.08%
SPY Long 2.11% 1827.77 189776.97 143769.78 4 995.70 0/0
103.83 106.02 2.10% 2.13%
2/16/2010 2/23/2010 -146.05 -1.68%
SPY Short 0.07% 1800.74 193759.78 143623.73 6 -24.34 0/0
107.6 107.67 -0.08% 1.75%
4/27/2010 4/29/2010 3879.94 -0.19%
SPY Long 2.01% 1666.64 193613.72 147503.67 3 1293.31 0/0
116.17 118.51 2.00% 2.41%
5/6/2010 5/12/2010 7862.63 -7.03%
SPY Long 3.99% 1783.4 197493.67 155366.30 5 1572.53 0/0
110.74 115.16 3.98% 3.99%
5/19/2010 5/27/2010 -1856.55 -6.60%
SPY Long -0.89% 1874.03 205356.29 153509.75 7 -265.22 0/0
109.58 108.6 -0.90% 0.90%
6/15/2010 6/22/2010 3445.17 -1.55%
SPY Short -1.70% 1853.03 203499.74 156954.91 6 574.19 0/0
109.82 107.95 1.69% 1.71%
7/9/2010 7/16/2010 2470.50 -1.98%
SPY Short -1.20% 1945.7 206944.91 159425.41 6 411.75 0/0
106.36 105.08 1.19% 1.20%
11/16/2010 11/19/2010 3755.67 -0.48%
SPY Long 1.80% 1789.42 209415.41 163181.08 4 938.92 0/0
117.03 119.14 1.79% 1.89%
 2/23/2011 2/28/2011 3444.34 -1.01%
SPY Long 1.63% 1634.12 213171.08 166625.42 4 861.08 0/0
130.45 132.57 1.62% 1.63%
3/15/2011 3/21/2011 2924.62 -2.55%
SPY Long 1.36% 1692.31 216615.42 169550.03 5 584.92 0/0
128 129.74 1.35% 1.36%