Strategy AnalysisStrategy Performance SummaryAll TradesLong TradesShort TradesNet Profit-562002200-58400Gross Profit377170161760215410Gross Loss-433370-159560-273810Adjusted Net Profit-218352.721427716-88843.0034308837-197375.257958796Adjusted Gross Profit288270.178446623110606.996569116139251.064132303Adjusted Gross Loss-506622.899874339-199450-336626.322091098Select Net Profit-72579.9999999997-10240-62340Select Gross Profit1845709669087880Select Gross Loss-257150-106930-150220Account Size Required19263076100144280Return on Account-291751.02528162828909.3298291723-404768.505683394Return on Initial Capital-56.22.2-58.4Max Strategy Drawdown-211750-117050-152710Max Strategy Drawdown (%)-119.1413942497-61.8886480199-127.3963460415Max Close To Close Drawdown-192630-76100-144280Max Close To Close Drawdown (%)-116.4279238441-42.6808749299-125.5700609225Return on Max Strategy Drawdown-0.265407320.0187953866-0.3824242027Profit Factor-0.87031866531.0137879168-0.7867134144Adjusted Profit Factor-0.5690034511-0.5545600229-0.4136665941Select Profit Factor-0.7177522847-0.9042364163-0.585008654Max # Contracts Held111Slippage Paid000Commission Paid000Open Position P/L-18840-18840n/aAnnual Rate of Return-68.80575418992.826084408-71.4992178771Monthly Rate of Return-5.73381284920.235507034-5.9582681564Buy & Hold Return3192.36767269061359.84441757963192.3676726906Avg Monthly Return-6821.8181818182Monthly Return StdDev43117.3426403302Performance RatiosUpside Potential Ration/aSharpe Ratio0.1387431948Sortino Ratio0.279508084Fouse Ratio-0.580454236Calmar Ratio0.0004910213Sterling Ratio0.0014931741Net Profit as % of Largest loss-106.7832034961Net Profit as % of Max Trade Drawdown-93.4330839568Net Profit as % of Max Strategy Drawdown-26.5407319953Select Net Profit as % of Largest loss-137.9061371841Select Net Profit as % of Max Trade Drawdown-120.6650041563Select Net Profit as % of Max Strategy Drawdown-34.2762691854Adj Net Profit as % of Largest loss-414.8826171912Adj Net Profit as % of Max Trade Drawdown-363.013668209Adj Net Profit as % of Max Strategy Drawdown-103.1181683248Time AnalysisTrading Period9 Mths, 28 Dys, 8 HrsTime in the Market9 Mths, 17 DysPercent in the Market96.2011173184Longest flat period12 Dys, 8 HrsMax Run-up Date9/12/11Max Drawdown Date6/16/11Max Strategy Drawdown Date8/25/11 11:00Max Close To Close Drawdown Date8/31/11 12:00Equity Curve DetailedEquity Curve Detailed with DrawDownEquity Run-up & DrawdownEquity Run-up & Drawdown (%)Equity Curve Close To CloseEquity Curve Close To Close With DrawdownBuy & Hold ReturnValue Added Monthly Index

List of TradesList of TradesTrade #Order #TypeSignalDateTimePriceContractsProfit ($)Profit (%)Cum. Profit ($)Cum. Profit (%)Run-up ($)Run-up (%)Drawdown ($)Drawdown (%)11EntryShortShort11/29/1011:00:00 AM1.308121-23650-1.8079381097-23650-23.65111900.8554261077-35440-2.7092315692ExitShortLong12/13/1011:00:00 AM1.33177123EntryLongLong12/13/1011:00:00 AM1.33177113600.1021197354-22290-22.29178201.3380688858-3250-0.24403613244ExitLongShort12/15/1011:00:00 AM1.33313135EntryShortShort12/15/1011:00:00 AM1.333131175301.31495053-4760-4.76276502.0740662951-2620-0.19652997086ExitShortLong12/27/1011:00:00 AM1.3156147EntryLongLong12/27/1011:00:00 AM1.31561-2580-0.1961082396-7340-7.34117300.8916083916-3030-0.23031316518ExitLongShort12/28/1012:00:00 PM1.31302159EntryShortShort12/28/1012:00:00 PM1.313021-1220-0.0929155687-8560-8.5647200.3594766264-2530-0.192685564610ExitShortLong12/29/1011:00:00 AM1.314241611EntryLongLong12/29/1011:00:00 AM1.3142413800.0289140492-8180-8.18288902.198228634-1200-0.091307523712ExitLongShort1/5/1111:00:00 AM1.314621713EntryShortShort1/5/1111:00:00 AM1.314621222401.69174362171406014.06272102.0697996379-4540-0.345346944414ExitShortLong1/10/1111:00:00 AM1.292381815EntryLongLong1/10/1111:00:00 AM1.292381-930-0.07196025941313013.1363400.4905677897-1190-0.092078181316ExitLongShort1/11/1111:00:00 AM1.291451917EntryShortShort1/11/1111:00:00 AM1.291451-12750-0.98726237953800.387300.0565256107-13170-1.019783963818ExitShortLong1/12/1111:00:00 AM1.304211019EntryLongLong1/12/1111:00:00 AM1.30421650704.98926545016545065.45714005.474620457-1840-0.14108265620ExitLongShort1/28/1111:00:00 AM1.3692711121EntryShortShort1/28/1111:00:00 AM1.369271-3300-0.24100433086215062.15122800.8968282369-3300-0.241004330822ExitShortLong1/31/1111:00:00 AM1.3725711223EntryLongLong1/31/1111:00:00 AM1.372571-8200-0.59741943945395053.95115900.8444013784-8290-0.603976482124ExitLongShort2/3/1111:00:00 AM1.3643711325EntryShortShort2/3/1111:00:00 AM1.364371-880-0.06449863315307053.07135700.9945982395-2540-0.186166509126ExitShortLong2/8/1111:00:00 AM1.3652511427EntryLongLong2/8/1111:00:00 AM1.365251-7060-0.51712140634601046.0190000.6592199231-7060-0.517121406328ExitLongShort2/10/1111:00:00 AM1.3581911529EntryShortShort2/10/1111:00:00 AM1.358191-6230-0.45869870933978039.78154001.1338619781-6230-0.458698709330ExitShortLong2/18/1112:00:00 PM1.3644211631EntryLongLong2/18/1112:00:00 PM1.36442114200.10407352574120041.270500.5167030680032ExitLongShort2/21/1111:00:00 AM1.3658411733EntryShortShort2/21/1111:00:00 AM1.365841-3040-0.22257365433816038.16131400.9620453347-3470-0.25405611234ExitShortLong2/22/1111:00:00 AM1.3688811835EntryLongLong2/22/1111:00:00 AM1.36888141300.30170650464229042.29148101.081906376-5380-0.393022032636ExitLongShort2/25/1111:00:00 AM1.3730111937EntryShortShort2/25/1111:00:00 AM1.373011-20010-1.45738195642228022.2819400.1412954021-30470-2.219211804738ExitShortLong3/9/1111:00:00 AM1.3930212039EntryLongLong3/9/1111:00:00 AM1.393021-13440-0.964810268388408.843200.0229716731-13440-0.964810268340ExitLongShort3/10/1111:00:00 AM1.3795812141EntryShortShort3/10/1111:00:00 AM1.379581-17290-1.2532799838-8450-8.4543800.3174879311-18370-1.331564679142ExitShortLong3/14/1111:00:00 AM1.3968712243EntryLongLong3/14/1111:00:00 AM1.396871194801.39454637871103011.03232201.6622878292-11310-0.809667327744ExitLongShort3/21/1111:00:00 AM1.4163512345EntryShortShort3/21/1111:00:00 AM1.41635114400.1016697851247012.47110100.7773502312-8390-0.592367705746ExitShortLong3/24/1111:00:00 AM1.4149112447EntryLongLong3/24/1111:00:00 AM1.414911-2750-0.194358651897209.7269400.4904905612-3560-0.251606109248ExitLongShort3/25/1111:00:00 AM1.4121612549EntryShortShort3/25/1111:00:00 AM1.41216127600.19544527531248012.48101300.7173408112-3330-0.235808973550ExitShortLong3/28/1111:00:00 AM1.409412651EntryLongLong3/28/1111:00:00 AM1.40941-3060-0.217113665494209.42138000.9791400596-4700-0.333475237752ExitLongShort4/1/1111:00:00 AM1.4063412753EntryShortShort4/1/1111:00:00 AM1.406341-24130-1.7158012998-14710-14.71800.0056885248-25180-1.790463188154ExitShortLong4/6/1111:00:00 AM1.4304712855EntryLongLong4/6/1111:00:00 AM1.430471244801.711325648297709.77343002.3978133061-14560-1.01784728156ExitLongShort4/22/1111:00:00 AM1.4549512957EntryShortShort4/22/1111:00:00 AM1.454951-28090-1.9306505378-18320-18.3256100.3855802605-33070-2.272930341258ExitShortLong4/28/1111:00:00 AM1.4830413059EntryLongLong4/28/1111:00:00 AM1.483041-15910-1.0727964182-34230-34.23108300.7302567699-17580-1.185402956160ExitLongShort5/5/1111:00:00 AM1.4671313161EntryShortShort5/5/1111:00:00 AM1.467131565503.85446415792232022.32702004.7848520581-1340-0.091334782962ExitShortLong5/24/1111:00:00 AM1.4105813263EntryLongLong5/24/1111:00:00 AM1.410581-5430-0.38494803561689016.8925800.1829034865-9240-0.655049695964ExitLongShort5/25/1111:00:00 AM1.4051513365EntryShortShort5/25/1111:00:00 AM1.405151-35600-2.5335373448-18710-18.7124000.1708002704-37140-2.64313418566ExitShortLong5/31/1111:00:00 AM1.4407513467EntryLongLong5/31/1111:00:00 AM1.440751-160-0.0111053271-18870-18.8739300.2727745966-4590-0.318584070868ExitLongShort6/1/1111:00:00 AM1.4405913569EntryShortShort6/1/1111:00:00 AM1.440591-26840-1.863125525-45710-45.7198600.6844417912-27470-1.90685760770ExitShortLong6/7/1111:00:00 AM1.4674313671EntryLongLong6/7/1111:00:00 AM1.467431-52630-3.5865424586-98340-98.3420700.1410629468-60150-4.099003018972ExitLongShort6/23/1111:00:00 AM1.414813773EntryShortShort6/23/1111:00:00 AM1.41481-7800-0.5513146735-106140-106.1445900.3244274809-15670-1.107577042774ExitShortLong6/27/1111:00:00 AM1.422613875EntryLongLong6/27/1111:00:00 AM1.42261242101.7018135808-81930-81.93324502.2810347252-370-0.026008716476ExitLongShort7/1/1111:00:00 AM1.4468113977EntryShortShort7/1/1111:00:00 AM1.446811391702.7073354483-42760-42.76630104.355098458-10810-0.747160995678ExitShortLong7/13/1111:00:00 AM1.4076414079EntryLongLong7/13/1111:00:00 AM1.40764176100.5406211816-35150-35.15203301.44426131680080ExitLongShort7/14/1112:00:00 PM1.4152514181EntryShortShort7/14/1112:00:00 PM1.415251-4360-0.3080727787-39510-39.51137900.9743861509-6310-0.445857622382ExitShortLong7/19/1111:00:00 AM1.4196114283EntryLongLong7/19/1111:00:00 AM1.419611136200.9594184318-25890-25.89240001.6906051662-8780-0.618479723384ExitLongShort7/22/1111:00:00 AM1.4332314385EntryShortShort7/22/1111:00:00 AM1.433231-15750-1.0989164335-41640-41.647900.0551202529-18880-1.317304270886ExitShortLong7/26/1111:00:00 AM1.4489814487EntryLongLong7/26/1111:00:00 AM1.448981-5150-0.3554224351-46790-46.7944800.3091830115-5150-0.355422435188ExitLongShort7/27/1111:00:00 AM1.4438314589EntryShortShort7/27/1111:00:00 AM1.44383147400.3282934972-42050-42.05208101.44130541680090ExitShortLong7/29/1112:00:00 PM1.4390914691EntryLongLong7/29/1112:00:00 PM1.439091-19070-1.3251429723-61120-61.1261000.4238789791-19070-1.325142972392ExitLongShort8/1/1112:00:00 PM1.4200214793EntryShortShort8/1/1112:00:00 PM1.420021-1400-0.0985901607-62520-62.52144601.018295517-16960-1.194349375494ExitShortLong8/5/1111:00:00 AM1.4214214895EntryLongLong8/5/1111:00:00 AM1.421421-3610-0.2539713807-66130-66.13209301.4724711908-6850-0.481912453796ExitLongShort8/8/1111:00:00 AM1.4178114997EntryShortShort8/8/1111:00:00 AM1.417811-33060-2.3317651872-99190-99.1974000.5219317116-33670-2.374789287798ExitShortLong8/17/1111:00:00 AM1.4508715099EntryLongLong8/17/1111:00:00 AM1.450871-16630-1.1462088264-115820-115.822800.0192987656-18870-1.300598951100ExitLongShort8/18/1111:00:00 AM1.43424151101EntryShortShort8/18/1111:00:00 AM1.434241-8410-0.5863732709-124230-124.2382700.5766120036-8710-0.6072902722102ExitShortLong8/19/1111:00:00 AM1.44265152103EntryLongLong8/19/1111:00:00 AM1.442651-2950-0.2044848023-127180-127.18120800.8373479361-9790-0.678612276104ExitLongShort8/31/1112:00:00 PM1.4397153105EntryShortShort8/31/1112:00:00 PM1.43971709804.9301937904-56200-56.2894906.215878308-3460-0.2403278461106ExitShortLong9/12/1111:00:00 AM1.36872154107EntryLongLong9/12/1111:00:00 AM1.368721-18840-1.3764685253-75040-75.04248501.8155649074-30120-2.2005961775108ExitLongopen9/23/117:00:00 PM1.349881

Trade AnalysisTotal Trade AnalysisAll TradesLong TradesShort TradesTotal # of Trades532627Total # of Open Trades110Number Winning Trades18108Number Losing Trades351619% Profitable33.962264150938.461538461529.6296296296Avg Trade (win & loss)-1060.377358490684.6153846154-2162.962962963Average Winning Trade20953.88888888891617626926.25Average Losing Trade-12382-9972.5-14411.0526315789Ratio Avg Win / Avg Loss1.69228629371.62206066681.8684443592Largest Winning Trade709806507070980Largest Losing Trade-52630-52630-35600Avg # Bars in Trades95.787104Avg # Bars in Winning Trades128.9118142.6Avg # Bars in Losing Trades78.567.687.7Avg # Bars Between Tradesn/an/an/aAvg # Bars Between Winning Trades167.6415.7524.5Avg # Bars Between Losing Trades73.9265.9193.2OutliersTotalPositiveNegative1 Std. Deviation of Avg. Trade22789.395050723522706.185251882612165.8424432072Avg. Trade +1 Std. Deviation21729.017692232943660.0741407715-216.1575567928Avg. Trade - 1 Std. Deviation-23849.772409214-1752.2963629937-24547.8424432072Number of Outliers835Outlier Profit/Loss16380192600-176220Run-up/DrawdownRun-upDrawdownMax Value89490-60150Max Value Date9/12/116/16/11Avg Value16411.6666666667-11897.037037037Max Value (%)6.215878308-4.0990030189Max Value (%) Date8/31/116/7/11Avg Value (%)1.1766517181-0.84549983161 Std. Deviation18647.610474671912288.0487465912Avg. Trade +1 Std. Deviation35059.2771413386391.0117095542Avg. Trade - 1 Std. Deviation-2235.9438080053-24185.0857836283Trade Series AnalysisZ-score0.5350370517Confidence Limits0.4073762296Strategy ME-1060.3773584906Max Consec. Winners3Max Consec. Losers7Largest Consec. Profit70990Largest Consec. Loss-128460Largest Consec. Profit (%)85.9814505094Largest Consec. Loss (%)-146.902502157Trade Series StatisticsConsecutive WinnersNumber of SeriesAvg. Gain per SeriesAvg. Loss Next Trade1927083.3333333333-10861.11111111112310405-2086.66666666673123663.3333333333-4360Consecutive LosersNumber of SeriesAvg. Loss per SeriesAvg. Gain Next Trade14-84505467.525-109573024431-16913.33333333331948051-5134142061-214102421071-12161.428571428670980Total TradesWinning TradesLosing TradesDrawdownDrawdown P/LMaximum Adverse ExcursionMaximum Adverse Excursion (%)Run-upRun-up P/LMaximum Favorable ExcursionMaximum Favorable Excursion (%)

Periodical AnalysisDaily Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% Profitable9/23/11-3610-12.63563178160-3610109/22/11-370-1.27850725640-370109/21/11-17450-37.61586548830-17450109/20/11991027.16557017549910011009/19/11-4930-11.90533687520-4930109/18/11-13540-24.64058234760-13540109/17/110000109/16/11-5160-8.5842621860-5160109/15/111227025.64799331112270011009/14/11788019.71971971977880011009/13/11-2750-6.4387731210-2750109/12/11-10630-19.92875890510-10630209/11/11629013.36875664196290011009/10/110000109/9/1127850145.052083333327850011009/8/1112710195.839753466912710011009/7/11-3310-33.77551020410-3310109/6/115130109.85010706645130011009/5/118960208.85780885788960011009/4/11232035.09833585482320011009/3/110000109/2/11694051.21771217716940011009/1/111125045.362903225811250011008/31/11-1470-6.30090012862380-38502508/30/11-8580-58.16949152540-8580108/29/11331018.32779623483310011008/28/113902.1138211382390011008/27/110000108/26/11824030.87298613718240011008/25/113401.2578616352340011008/24/114201.5300546448420011008/23/1112104.22191207261210011008/22/119403.1756756757940011008/21/11-2150-7.83242258650-2150108/20/110000108/19/11-13140-91.82389937110-13140208/18/11-3780-35.89743589741510-52902508/17/11-23110-183.70429252780-23110208/16/11372041.98645598193720011008/15/11-11430-56.33316904880-11430108/14/11-6860-25.26703499080-6860108/13/110000108/12/11-4230-13.47992351820-4230108/11/1114404.80961923851440011008/10/111344081.454545454513440011008/9/11-13070-44.20020290840-13070108/8/11-18910-39.00577557760-18910208/7/11445010.10674540094450011008/6/110000108/5/11-3200-6.77535464756550-97502508/4/111857064.794138171718570011008/3/11-12200-29.85805188450-12200108/2/11857026.54072468268570011008/1/11-24940-43.57854272230-24940207/31/11-1300-2.22108320520-1300107/30/110000107/29/11-6100-9.4383413276580-66802507/28/1122603.62353695692260011007/27/1126504.43737441399160-65102507/26/11-770-1.27293767561360-21302507/25/11-8570-12.40949898640-8570107/24/11-2610-3.64169108410-2610107/23/110000107/22/11-8150-10.21047356550-8150207/21/111431021.843993283514310011007/20/11917016.27618033379170011007/19/11-11490-16.93940734190-11490207/18/11-4920-6.76288659790-4920107/17/11812012.56382484918120011007/16/110000107/15/1125604.12437570482560011007/14/11-10400-14.35076583410-10400207/13/11690010.523105078515230-83302507/12/11-4610-6.56882302650-4610107/11/112622059.645131938126220011007/10/11525013.56238698015250011007/9/110000107/8/11895030.07392473128950011007/7/11-1270-4.09281340640-1270107/6/111154059.209851205711540011007/5/11312019.05925473433120011007/4/11699074.52025586356990011007/3/11-3130-25.01998401280-3130107/2/110000107/1/11-8490-40.42857142860-8490206/30/11800.382409177880011006/29/1114900247.508305647814900011006/28/114460285.89743589744460011006/27/11-2170-58.17694369977700-98702506/26/115000393.70078740165000011006/25/110000106/24/11739085.33487297927390011006/23/11-26510-148.51540616250-26510206/22/11-5970-25.06297229220-5970106/21/11386019.33867735473860011006/20/11580040.96045197745800011006/19/11-3670-20.58328659560-3670106/18/110000106/17/1113410303.393665158413410011006/16/11-1460-24.82993197280-1460106/15/11-22110-78.99249732050-22110106/14/11-390-1.37420718820-390106/13/11683031.69373549886830011006/12/111600.7480130902160011006/11/110000106/10/11-18280-46.0801613310-18280106/9/11-9660-19.58240421650-9660106/8/11-2860-5.47997700710-2860106/7/11-11020-17.43395032430-11020206/6/1154209.3787852575420011006/5/11-600-1.02757321460-600106/4/110000106/3/11-14990-20.42790951210-14990106/2/11-12750-14.80320445840-12750106/1/1138604.69186823875000-11402505/31/11-1460-1.7436999881980-24402505/30/11-9630-10.31491002570-9630105/29/1114501.57763029051450011005/28/110000105/27/11-11300-10.94855149690-11300105/26/11-2840-2.67798208390-2840105/25/11-10870-9.2969551830-10870205/24/11-12240-9.4766181480-12240205/23/1146303.71797960334630011005/22/1175006.40861317617500011005/21/110000105/20/111517014.89299037915170011005/19/11-1640-1.58454106280-1640105/18/11-2700-2.54237288140-2700105/17/11-12310-10.38730908780-12310105/16/11-5050-4.08708319840-5050105/15/1122301.83796258142230011005/14/110000105/13/1190708.07945840019070011005/12/1124502.23112649122450011005/11/111585016.868880374615850011005/10/11-5790-5.80451127820-5790105/9/1161406.55912829836140011005/8/11-7890-7.77339901480-7890105/7/110000105/6/112489032.489231170924890011005/5/11-5860-7.105614162710840-167002505/4/1147206.07073954984720011005/3/11-1520-1.91749716160-1520105/2/1122802.96142356152280011005/1/11-2320-2.92523010970-2320104/30/110000104/29/11-1610-1.98961937720-1610104/28/1132404.17095777554000-7602504/27/11-19720-20.24640657080-19720104/26/11-14590-13.0279489240-14590104/25/118800.7920079201880011004/24/1122602.07625172262260011004/23/110000104/22/11-950-0.86520947180-950204/21/11-2150-1.92050022330-2150104/20/111748018.503228538217480011004/19/111765022.975787555317650011004/18/11-16470-17.65462536180-16470104/17/11-4300-4.40618915870-4300104/16/110000104/15/11-4050-3.98465171190-4050104/14/1120402.04819277112040011004/13/11-2540-2.48678284710-2540104/12/1166907.0089051866690011004/11/11-5920-5.83999210810-5920104/10/11-1720-1.6684450480-1720104/9/110000104/8/111207013.260821797412070011004/7/1158306.84352623555830011004/6/11-4770-5.30235660290-4770204/5/11-6120-6.36969192340-6120104/4/1127502.94653380482750011004/3/119401.0174261284940011004/2/110000104/1/11-26480-22.27643644320-26480203/31/1114801.26075474911480011003/30/1158305.22588741485830011003/29/1111000.99583559661100011003/28/11-5200-4.49593636520-5200203/27/1125502.2544425782550011003/26/110000103/25/11-1430-1.24847214953390-48202503/24/11-4740-3.97384305842070-68102503/23/1187007.86760716228700011003/22/1155605.29422967055560011003/21/11-7320-6.51593377250-7320203/20/11-410-0.36363636360-410103/19/110000103/18/111145011.303060217211450011003/17/111477017.069224546414770011003/16/11-4410-4.84935122060-4410103/15/1117301.93924447931730011003/14/11-6120-6.41980488830-6120203/13/11-2920-2.97201017810-2920103/12/110000103/11/11-8180-7.68580287510-8180103/10/11-10890-9.28230480740-10890203/9/11-8850-7.0143457240-8850203/8/1190907.76392210459090011003/7/11-630-0.53521366070-630103/6/118400.7187473261840011003/5/110000103/4/11-2890-2.41315965260-2890103/3/11-9710-7.49980690510-9710103/2/11-10210-7.30956471940-10210103/1/1152003.86674598455200011002/28/11-6390-4.53609711080-6390102/27/117700.5496074233770011002/26/110000102/25/11-11330-7.48200488670-11330202/24/1150803.47113085075080011002/23/1176705.53071820027670011002/22/11-9710-6.5435676259520-102302502/21/1157404.02383456017190-14502502/20/11-1140-0.79282286670-1140102/19/110000102/18/114200.29294831554010-35902502/17/11-2140-1.47068929970-2140102/16/11-6060-3.99815266870-6060102/15/11-1150-0.75301204820-1150102/14/1119601.30007959671960011002/13/1111900.79561409371190011002/12/110000102/11/1135002.39611145343500011002/10/11-12390-7.819007951560-124502502/9/1157103.73813420625710011002/8/11-4040-2.57669494230-4040202/7/11-190-0.12103452670-190102/6/11-2770-1.73395931140-2770102/5/110000102/4/1147603.07116588174760011002/3/11-13850-8.20303245681040-148902502/2/11-3270-1.89994770790-3270102/1/11102406.326064125510240011001/31/11-13330-7.60844748860-13330201/30/1113100.75334981891310011001/29/110000101/28/1174104.45098510338440-10302501/27/111500.090182168150011001/26/1117801.08173807351780011001/25/1130601.89485417053060011001/24/1156403.61886429265640011001/23/11-1660-1.05390133960-1660101/22/110000101/21/11109107.442019099610910011001/20/1164104.57236607466410011001/19/11-560-0.39786856130-560101/18/111625013.052208835316250011001/17/11-5380-4.14228518630-5380101/16/11-3530-2.64597856230-3530101/15/110000101/14/1134802.67836527363480011001/13/112330021.851261371123300011001/12/1123202.22413958396250-39302501/11/11-11810-10.17051326210-11810201/10/11-330-0.28338342642060-23902501/9/118800.7614432811880011001/8/110000101/7/1184307.86820981898430011001/6/111488016.12833297214880011001/5/11-13370-12.6573889993440-138102501/4/11-7960-7.00765912490-7960101/3/1174206.98879156077420011001/2/11-9430-8.15743944640-9430101/1/1100001012/31/1090008.442776735590000110012/30/1062006.175298804862000110012/29/1073807.93377768228960-158025012/28/10-11180-10.7293666027360-1154025012/27/1062506.38080653398960-271025012/26/10-900-0.91047040970-9001012/25/1000001012/24/105200.52883148585200110012/23/10-880-0.88700735810-8801012/22/1019702.025915261219700110012/21/1031503.347858433431500110012/20/10-3280-3.36859402280-32801012/19/1049605.367384482249600110012/18/1000001012/17/101052012.8465014043105200110012/16/10-7940-8.83891795610-79401012/15/101058013.350157728712120-154025012/14/10-3990-4.79336857280-39901012/13/10-5640-6.34563456356890-1253025012/12/1034304.014043300234300110012/11/1000001012/10/1018902.261847774118900110012/9/1064408.350622406664400110012/8/10-8420-9.84334814120-84201012/7/101104014.8187919463110400110012/6/106500.88016249156500110012/5/10686010.240334378368600110012/4/1000001012/3/10-21330-24.15081521740-213301012/2/10-8430-8.71317829460-84301012/1/10-10300-9.62167211580-103001011/30/1091809.379789516791800110011/29/10-2130-2.130-213010Daily Rolling Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% ProfitableToday - 9/23/2011-3610-0.18338650360-3610109/22/2011 - 9/23/2011-3980-0.20218235020-3980109/21/2011 - 9/23/2011-21430-1.08863511670-21430109/20/2011 - 9/23/2011-11520-0.59116333970-11520109/19/2011 - 9/23/2011-16450-0.84415251190-16450109/18/2011 - 9/23/2011-29990-1.53897470110-29990109/17/2011 - 9/23/2011-29990-1.53897470110-29990109/16/2011 - 9/23/2011-35150-1.80376661360-35150109/15/2011 - 9/23/2011-22880-1.18909030430-22880109/14/2011 - 9/23/2011-15000-0.78599874240-15000109/13/2011 - 9/23/2011-17750-0.93009851180-17750109/12/2011 - 9/23/2011-28380-1.48710962060-28380209/11/2011 - 9/23/2011-22090-1.1651950080-22090209/10/2011 - 9/23/2011-22090-1.1651950080-22090209/9/2011 - 9/23/201157600.313023063724600-188402509/8/2011 - 9/23/2011184701.017799085237310-188402509/7/2011 - 9/23/2011151600.835399790634000-188402509/6/2011 - 9/23/2011202901.124448582439130-188402509/5/2011 - 9/23/2011292501.637261267748090-188402509/4/2011 - 9/23/2011315701.771724246350410-188402509/3/2011 - 9/23/2011315701.771724246350410-188402509/2/2011 - 9/23/2011385102.178167420857350-188402509/1/2011 - 9/23/2011497602.850759094868600-188402508/31/2011 - 9/23/2011482902.774107563570980-22690333.33333333338/30/2011 - 9/23/2011397102.281213736770980-31270333.33333333338/29/2011 - 9/23/2011430202.480797176770980-27960333.33333333338/28/2011 - 9/23/2011434102.504413444670980-27570333.33333333338/27/2011 - 9/23/2011434102.504413444670980-27570333.33333333338/26/2011 - 9/23/2011516503.008399054170980-19330333.33333333338/25/2011 - 9/23/2011519903.029402510270980-18990333.33333333338/24/2011 - 9/23/2011524103.055370946971250-18840366.66666666678/23/2011 - 9/23/2011536203.130327160672460-18840366.66666666678/22/2011 - 9/23/2011545603.188703946173400-18840366.66666666678/21/2011 - 9/23/2011524103.063049373571250-18840366.66666666678/20/2011 - 9/23/2011524103.063049373571250-18840366.66666666678/19/2011 - 9/23/2011392702.295095380670980-317104258/18/2011 - 9/23/2011354902.077844521770980-354905208/17/2011 - 9/23/2011123800.724815868770980-58600616.66666666678/16/2011 - 9/23/2011161000.946735819570980-54880616.66666666678/15/2011 - 9/23/201146700.274612191170980-66310616.66666666678/14/2011 - 9/23/2011-2190-0.128779592870980-73170616.66666666678/13/2011 - 9/23/2011-2190-0.128779592870980-73170616.66666666678/12/2011 - 9/23/2011-6420-0.377518258570980-77400616.66666666678/11/2011 - 9/23/2011-4980-0.293338045670980-75960616.66666666678/10/2011 - 9/23/201184600.506338205270980-62520616.66666666678/9/2011 - 9/23/2011-4610-0.275912426270980-75590616.66666666678/8/2011 - 9/23/2011-23520-1.407692031570980-94500714.28571428578/7/2011 - 9/23/2011-19070-1.147467988870980-90050714.28571428578/6/2011 - 9/23/2011-19070-1.147467988870980-90050714.28571428578/5/2011 - 9/23/2011-22270-1.350662898370980-93250812.58/4/2011 - 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9/23/2011-58600-34.8105025544377170-4357705433.333333333312/9/2010 - 9/23/2011-52160-33.5520391097377170-4293305433.333333333312/8/2010 - 9/23/2011-60580-38.9682233372377170-4377505433.333333333312/7/2010 - 9/23/2011-49540-37.1420002999379020-4285605435.185185185212/6/2010 - 9/23/2011-48890-37.0154451847379670-4285605435.185185185212/5/2010 - 9/23/2011-42030-35.5103075363386530-4285605435.185185185212/4/2010 - 9/23/2011-42030-35.5103075363386530-4285605435.185185185212/3/2010 - 9/23/2011-63360-53.531598513377170-4405305433.333333333312/2/2010 - 9/23/2011-71790-60.6539371409377170-4489605433.333333333312/1/2010 - 9/23/2011-82090-69.3562014194377170-4592605433.333333333311/30/2010 - 9/23/2011-72910-72.91377170-4500805433.333333333311/29/2010 - 9/23/2011-75040-75.04377170-4522105433.3333333333Monthly AnalysisPeriodAverage ProfitGross ProfitProfit FactorAverage # Trades% ProfitableJanuary462704627000728.5714285714February-273900-273900825March-156100-156100850April-395600-395600520May2960296000540June-612700-612700520July362303623000944.4444444444August-820300-820300812.5September497604976000250November70507050001100December8550855000650Monthly Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% ProfitableSep-1149760200.645161290368600-18840250Aug-11-82030-143.33391577842380-84410812.5Jul-1136230172.523809523865140-28910944.4444444444Jun-11-61270-74.474291965527140-88410520May-1129603.7321901457530-54570540Apr-11-39560-33.280053840324480-64040520Mar-11-15610-11.607674003630070-45680850Feb-11-27390-16.92098597645550-32940825Jan-114627040.025951557187310-41040728.5714285714Dec-1085507.986921999143050-34500650Nov-1070507.05705001100Monthly Rolling Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% ProfitableToday - 09/201149760200.645161290368600-1884025008/2011 - 09/2011-32270-56.386510571470980-103250911.111111111107/2011 - 09/2011396018.8571428571136120-1321601729.411764705906/2011 - 09/2011-57310-69.6608727361160330-2176402128.571428571405/2011 - 09/2011-54350-68.5285588198216880-271230252804/2011 - 09/2011-93910-79.0022713889241360-3352702927.586206896603/2011 - 09/2011-109520-81.4396192742265040-3745603630.555555555602/2011 - 09/2011-136910-84.580218694270590-4075004330.232558139501/2011 - 09/2011-90640-78.4083044983357900-4485404930.61224489812/2010 - 09/2011-82090-76.6837926203377170-4592605433.333333333311/2010 - 09/2011-75040-75.04377170-4522105433.3333333333Annual Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% Profitable2011-90640-78.4083044983357900-4485404930.61224489820101560015.643050-27450650Annual Rolling Period AnalysisPeriodProfit ($)Profit (%)Gross ProfitGross Loss# Trades% ProfitableToday - 2011-90640-78.4083044983357900-4485404930.6122448982010 - 2011-75040-75.04377170-4522105433.3333333333Monthly Returns & DrawdownsMonthly Returns & Drawdowns (%)Monthly Accumulative Net ProfitAverage Profit By MonthAnnual Returns & DrawdownsAnnual Returns & Drawdowns (%)Annual Accumulative Net Profit

SettingsSettingsStrategy Name!_LUXORStrategy Inputs(6, 21, 1000, 100)Symbol Name^EURUSDInitial Capital100000Commission0Backtesting AssumptionsFill Limit price or better. (Classic mode)Slippage0Interest Rate2Margin per Contract0Minimal Acceptable Rate of Return2Degree of Risk Aversion of the InvestorConservativeNumber of Standard Deviations1Compression1 HourBar MagnifierDisabled.Point Value$1,000,000Start Date11/29/10 11:00End Date9/23/11 19:00Back-Testing ModeClassicAsk Data Series^EURUSDBid Data Series^EURUSD