Sister QQQ's 15 minutes Trading System

summer123 · 发表于 2008-12-4 10:37 PM

pump

biorjin · 发表于 2008-12-4 10:43 PM

interesting, I assume she assigned two VAR for EMAs and did the optimization. I tried SMA cross before and was not impressed at all. How did you set up the entry point: open or average or close? any profit target?

zero · 发表于 2008-12-4 10:56 PM

EMA16 & EMA34. enter at open of next bar of the previous EMA crossing. Exit at end of day. 2% stop [ 本帖最后由 zero 于 2008-12-4 22:59 编辑 ]

biorjin · 发表于 2008-12-4 11:12 PM

weird, this is what I got. last 2 years of QQQQ trades

Statistics

	All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	10934.69	9538.65	11396.03
Net Profit	934.69	-461.35	1396.03
Net Profit %	9.35 %	-4.61 %	13.96 %
Exposure %	98.52 %	52.87 %	45.65 %
Net Risk Adjusted Return %	9.49 %	-8.73 %	30.58 %
Annual Return %	4.58 %	-2.34 %	6.77 %
Risk Adjusted Return %	4.65 %	-4.43 %	14.83 %

All trades	312	156 (50.00 %)	156 (50.00 %)
Avg. Profit/Loss	3.00	-2.96	8.95
Avg. Profit/Loss %	0.04 %	-0.02 %	0.10 %
Avg. Bars Held	41.99	44.98	38.99

Winners	107 (34.29 %)	57 (18.27 %)	50 (16.03 %)
Total Profit	16873.34	7817.63	9055.70
Avg. Profit	157.69	137.15	181.11
Avg. Profit %	1.64 %	1.43 %	1.88 %
Avg. Bars Held	84.34	86.60	81.76
Max. Consecutive	6	5	5
Largest win	923.38	923.38	704.42
# bars in largest win	108	108	109

Losers	205 (65.71 %)	99 (31.73 %)	106 (33.97 %)
Total Loss	-15938.65	-8278.98	-7659.67
Avg. Loss	-77.75	-83.63	-72.26
Avg. Loss %	-0.79 %	-0.85 %	-0.74 %
Avg. Bars Held	19.88	21.02	18.82
Max. Consecutive	11	8	13
Largest loss	-321.69	-321.69	-215.97
# bars in largest loss	25	25	5

Max. trade drawdown	-823.48	-699.54	-823.48
Max. trade % drawdown	-7.90 %	-7.01 %	-7.90 %
Max. system drawdown	-3116.64	-2744.17	-2019.26
Max. system % drawdown	-26.84 %	-23.62 %	-18.37 %
Recovery Factor	0.30	-0.17	0.69
CAR/MaxDD	0.17	-0.10	0.37
RAR/MaxDD	0.17	-0.19	0.81
Profit Factor	1.06	0.94	1.18
Payoff Ratio	2.03	1.64	2.51
Standard Error	532.03	502.24	462.80
Risk-Reward Ratio	0.11	-0.17	0.31
Ulcer Index	12.35	10.13	9.54
Ulcer Performance Index	-0.07	-0.76	0.14
Sharpe Ratio of trades	0.08	-0.40	0.54
K-Ratio	0.0005	-0.0009	0.0016

biorjin · 发表于 2008-12-4 11:13 PM

last year

Statistics

	All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	10499.23	8640.68	11858.55
Net Profit	499.23	-1359.32	1858.55
Net Profit %	4.99 %	-13.59 %	18.59 %
Exposure %	97.38 %	45.15 %	52.23 %
Net Risk Adjusted Return %	5.13 %	-30.10 %	35.59 %
Annual Return %	5.01 %	-13.63 %	18.64 %
Risk Adjusted Return %	5.14 %	-30.18 %	35.69 %

All trades	156	78 (50.00 %)	78 (50.00 %)
Avg. Profit/Loss	3.20	-17.43	23.83
Avg. Profit/Loss %	0.05 %	-0.16 %	0.26 %
Avg. Bars Held	41.45	38.47	44.42

Winners	54 (34.62 %)	25 (16.03 %)	29 (18.59 %)
Total Profit	9870.47	3876.62	5993.85
Avg. Profit	182.79	155.06	206.68
Avg. Profit %	1.98 %	1.70 %	2.22 %
Avg. Bars Held	81.37	73.88	87.83
Max. Consecutive	6	3	4
Largest win	886.61	886.61	641.23
# bars in largest win	108	108	189

Losers	102 (65.38 %)	53 (33.97 %)	49 (31.41 %)
Total Loss	-9371.24	-5235.94	-4135.30
Avg. Loss	-91.87	-98.79	-84.39
Avg. Loss %	-0.97 %	-1.04 %	-0.90 %
Avg. Bars Held	20.31	21.77	18.73
Max. Consecutive	10	8	9
Largest loss	-308.88	-308.88	-207.37
# bars in largest loss	25	25	5

Max. trade drawdown	-790.69	-671.68	-790.69
Max. trade % drawdown	-7.90 %	-7.01 %	-7.90 %
Max. system drawdown	-2992.53	-2191.21	-1938.85
Max. system % drawdown	-26.84 %	-21.49 %	-16.90 %
Recovery Factor	0.17	-0.62	0.96
CAR/MaxDD	0.19	-0.63	1.10
RAR/MaxDD	0.19	-1.40	2.11
Profit Factor	1.05	0.74	1.45
Payoff Ratio	1.99	1.57	2.45
Standard Error	509.43	269.32	529.82
Risk-Reward Ratio	-1.41	-5.00	1.19
Ulcer Index	15.65	11.14	10.35
Ulcer Performance Index	-0.03	-1.71	1.28
Sharpe Ratio of trades	0.12	-1.35	1.38
K-Ratio	-0.0050	-0.0179	0.0042

zero · 发表于 2008-12-4 11:18 PM

OK, let me try QQQQ late today. By the way, do you use 15min chart? In addition, SDS SRS only give ~120 trades for year 2008, why the QQQQ have 321 trades? Almost 1 trade per day, seem not right

biorjin · 发表于 2008-12-4 11:19 PM

if you consider the commission, say $5 per trade, you actually lose money

All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	7415.49	8158.31	9257.18
Net Profit	-2584.51	-1841.69	-742.82
Net Profit %	-25.85 %	-18.42 %	-7.43 %
Exposure %	98.52 %	52.87 %	45.65 %
Net Risk Adjusted Return %	-26.23 %	-34.83 %	-16.27 %
Annual Return %	-13.92 %	-9.70 %	-3.80 %
Risk Adjusted Return %	-14.13 %	-18.35 %	-8.32 %

All trades	312	156 (50.00 %)	156 (50.00 %)
Avg. Profit/Loss	-8.28	-11.81	-4.76
Avg. Profit/Loss %	-0.08 %	-0.14 %	-0.02 %
Avg. Bars Held	41.99	44.98	38.99

Winners	99 (31.73 %)	53 (16.99 %)	46 (14.74 %)
Total Profit	12557.18	5863.35	6693.83
Avg. Profit	126.84	110.63	145.52
Avg. Profit %	1.64 %	1.41 %	1.91 %
Avg. Bars Held	86.75	88.64	84.57
Max. Consecutive	6	3	4
Largest win	620.89	620.89	580.85
# bars in largest win	108	108	109

Losers	213 (68.27 %)	103 (33.01 %)	110 (35.26 %)
Total Loss	-15141.69	-7705.04	-7436.65
Avg. Loss	-71.09	-74.81	-67.61
Avg. Loss %	-0.88 %	-0.94 %	-0.83 %
Avg. Bars Held	21.18	22.51	19.94
Max. Consecutive	11	8	14
Largest loss	-233.79	-233.79	-191.63
# bars in largest loss	25	25	11

Max. trade drawdown	-566.78	-482.22	-566.78
Max. trade % drawdown	-7.91 %	-7.01 %	-7.91 %
Max. system drawdown	-4152.20	-2955.32	-2395.10
Max. system % drawdown	-40.67 %	-27.67 %	-23.66 %
Recovery Factor	-0.62	-0.62	-0.31
CAR/MaxDD	-0.34	-0.35	-0.16
RAR/MaxDD	-0.35	-0.66	-0.35
Profit Factor	0.83	0.76	0.90
Payoff Ratio	1.78	1.48	2.15
Standard Error	454.64	416.02	367.92
Risk-Reward Ratio	-3.36	-1.93	-1.97
Ulcer Index	22.35	12.83	14.11
Ulcer Performance Index	-0.86	-1.18	-0.65
Sharpe Ratio of trades	-0.88	-1.38	-0.41
K-Ratio	-0.0170	-0.0097	-0.0100

biorjin · 发表于 2008-12-4 11:20 PM

Yes, I used 15min chart. I took a quick look at the chart. It is about right that you got 1 trade per day.

原帖由 zero 于 2008-12-4 23:18 发表 OK, let me try QQQQ late today. By the way, do you use 15min chart? In addition, SDS SRS only give ~120 trades for year 2008, why the QQQQ have 321 trades? Almost 1 trade per day, seem not right

biorjin · 发表于 2008-12-4 11:24 PM

Based what I learned, EMA SMA fMA cross systems generally have problem with whipsaw trades.

I believe she or he did a optimization about the periods which might be different for QQQQ based on backtest.

This is what I tried before, still a lot of whipsaws.

pWMA1 = Param("WMA 1 period", 6, 1, 20, 1);
pWMA2 = Param("WMA 2 period", 7, 1, 20, 1);

fMA1 = WMA(C, pWMA1); fMA2 = WMA( (Open + Close)/2, pWMA2);

Buy = Cross(fMA1, fMA2);

Short   = Cross(fMA2, fMA1);
Sell   = Short;
Cover    = Buy;

[ 本帖最后由 biorjin 于 2008-12-4 23:29 编辑 ]

zero · 发表于 2008-12-4 11:28 PM

Why the max trade draw down is only 790? Maybe your stop is not ok? I will test QQQQ tonight and let you know the result. BTW, I noticed this system is not good when tesing DIG/DUG, but really good on SSO SDS SKF etc

大泡泡 · 发表于 2008-12-4 11:31 PM

原帖由 biorjin 于 2008-12-4 23:24 发表 Based what I learned, EMA SMA fMA cross systems generally have problem with whipsaw trades. I believe she or he did a optimization about the periods which might be different for QQQQ based on ba ...

如果加上BB呢？另外是不是要在动荡的市场才有用？
[ 本帖最后由大泡泡于 2008-12-4 23:32 编辑 ]

zero · 发表于 2008-12-4 11:31 PM

I guess the DIG/DUG usually got big gap frequently, so the EMA system is not good for it

biorjin · 发表于 2008-12-4 11:37 PM

I think stop worked and I went through the trades roughly.

Ticker Trade Date Price Ex. date Ex. Price % chg Profit % Profit Shares Position value Cum. Profit # bars Profit/bar MAE MFE Scale In/Out
QQQQ Long 11/14/2006 12:59:00 PM 43.55 11/17/2006 11:14:00 AM 44.023 1.09% 98.56 0.99% 229.506 9995.00 98.56 72 1.37 -0.39% 2.00% 0/0
QQQQ Short 11/17/2006 11:14:00 AM 44.023 11/17/2006 2:59:00 PM 44.212 0.43% -53.33 -0.53% 229.279 10093.56 45.22 16 -3.33 -0.52% 0.17% 0/0
QQQQ Long 11/17/2006 2:59:00 PM 44.212 11/27/2006 10:14:00 AM 44.2 -0.03% -12.73 -0.13% 227.093 10040.22 32.50 100 -0.13 -0.46% 1.47% 0/0
QQQQ Short 11/27/2006 10:14:00 AM 44.2 11/29/2006 10:14:00 AM 44.1 -0.23% 12.69 0.13% 226.866 10027.50 45.18 53 0.24 -0.41% 1.95% 0/0
QQQQ Long 11/29/2006 10:14:00 AM 44.1 12/1/2006 10:29:00 AM 43.53 -1.29% -139.77 -1.39% 227.669 10040.18 -94.59 54 -2.59 -1.29% 0.41% 0/0
QQQQ Short 12/1/2006 10:29:00 AM 43.53 12/4/2006 10:29:00 AM 44.12 1.36% -144.19 -1.46% 227.439 9900.41 -238.78 27 -5.34 -1.88% 0.62% 0/0
QQQQ Long 12/4/2006 10:29:00 AM 44.12 12/6/2006 10:44:00 AM 44.27 0.34% 23.17 0.24% 221.129 9756.22 -215.61 54 0.43 -0.27% 0.97% 0/0
QQQQ Short 12/6/2006 10:44:00 AM 44.27 12/8/2006 12:59:00 PM 44.13 -0.32% 20.93 0.21% 220.903 9779.39 -194.68 62 0.34 -0.47% 1.81% 0/0
QQQQ Long 12/8/2006 12:59:00 PM 44.13 12/8/2006 3:59:00 PM 43.9 -0.52% -61.08 -0.62% 222.078 9800.32 -255.76 13 -4.70 -0.52% 0.05% 0/0
QQQQ Short 12/8/2006 3:59:00 PM 43.9 12/11/2006 10:14:00 AM 44.27 0.84% -92.08 -0.95% 221.851 9739.24 -347.84 4 -23.02 -0.84% 0.34% 0/0
QQQQ Long 12/11/2006 10:14:00 AM 44.27 12/12/2006 10:14:00 AM 43.87 -0.90% -97.17 -1.01% 217.916 9647.16 -445.01 27 -3.60 -0.90% 0.23% 0/0
QQQQ Short 12/12/2006 10:14:00 AM 43.87 12/14/2006 9:44:00 AM 44.08 0.48% -55.71 -0.58% 217.688 9549.99 -500.72 51 -1.09 -0.55% 0.71% 0/0
QQQQ Long 12/14/2006 9:44:00 AM 44.08 12/18/2006 12:29:00 PM 44.3 0.50% 37.39 0.39% 215.387 9494.28 -463.34 64 0.58 -0.32% 1.54% 0/0
QQQQ Short 12/18/2006 12:29:00 PM 44.3 12/20/2006 10:44:00 AM 44.05 -0.56% 43.79 0.46% 215.162 9531.66 -419.55 46 0.95 -0.18% 2.08...
QQQQ Long 12/20/2006 10:44:00 AM 44.05 12/20/2006 1:44:00 PM 43.71 -0.77% -83.91 -0.88% 217.377 9575.45 -503.46 13 -6.45 -0.77% 0.05% 0/0
QQQQ Short 12/20/2006 1:44:00 PM 43.71 12/27/2006 9:59:00 AM 43.27 -1.01% 85.55 0.90% 217.148 9491.54 -417.91 90 0.95 -0.34% 1.90% 0/0
QQQQ Long 12/27/2006 9:59:00 AM 43.27 12/28/2006 11:14:00 AM 43.13 -0.32% -40.99 -0.43% 221.333 9577.09 -458.90 32 -1.28 -0.51% 0.30% 0/0
QQQQ Short 12/28/2006 11:14:00 AM 43.13 12/28/2006 2:29:00 PM 43.31 0.42% -49.80 -0.52% 221.101 9536.10 -508.70 14 -3.56 -0.42% 0.14% 0/0
QQQQ Long 12/28/2006 2:29:00 PM 43.31 12/29/2006 3:29:00 PM 43.15 -0.37% -45.05 -0.47% 219.033 9486.30 -553.74 31 -1.45 -0.37% 0.69% 0/0
QQQQ Short 12/29/2006 3:29:00 PM 43.15 1/3/2007 9:44:00 AM 43.7 1.27% -130.34 -1.38% 218.801 9441.26 -684.08 4 -32.59 -1.27% 0.07% 0/0
QQQQ Long 1/3/2007 9:44:00 AM 43.7 1/3/2007 2:44:00 PM 42.67 -2.36% -229.46 -2.46% 213.064 9310.92 -913.54 21 -10.93 -2.36% 0.82% 0/0
QQQQ Short (max loss) 1/3/2007 2:44:00 PM 42.67 1/4/2007 10:44:00 AM 43.5234 2.00% -191.63 -2.11% 212.83 9081.46 -1105.17 11 -17.42 -2.02% 0.35% 0/0
QQQQ Long 1/4/2007 11:29:00 AM 43.73 1/9/2007 12:59:00 PM 43.78 0.11% 0.16 0.00% 203.289 8889.83 -1105.00 85 0.00 -0.57% 1.10% 0/0
QQQQ Short 1/9/2007 12:59:00 PM 43.78 1/9/2007 1:44:00 PM 44.14 0.82% -83.10 -0.93% 203.061 8890.00 -1188.10 4 -20.78 -0.82% 0.07% 0/0
QQQQ Long 1/9/2007 1:44:00 PM 44.14 1/17/2007 10:14:00 AM 45.1 2.17% 181.54 2.06% 199.522 8806.90 -1006.56 117 1.55 -0.72% 2.85% 0/0
QQQQ Short 1/17/2007 10:14:00 AM 45.1 1/23/2007 12:59:00 PM 43.89 -2.68% 231.15 2.57% 199.3 8988.44 -775.41 116 1.99 -0.42% 3.53% 0/0
QQQQ Short 1/23/2007 2:44:00 PM 43.56 1/24/2007 10:29:00 AM 43.92 0.83% -85.54 -0.94% 209.832 9140.27 -940.27 10 -8.55 -1.03% 0.14% 0/0
QQQQ Long 1/23/2007 12:59:00 PM 43.89 1/23/2007 2:44:00 PM 43.56 -0.75% -79.32 -0.86% 210.061 9219.59 -854.73 8 -9.92 -0.75% 0.21% 0/0
QQQQ Long 1/24/2007 10:29:00 AM 43.92 1/25/2007 12:44:00 PM 43.9878 0.15% 3.98 0.04% 206.164 9054.73 -936.29 36 0.11 -0.11% 1.25% 0/0
QQQQ Short 1/25/2007 12:44:00 PM 43.9878 1/29/2007 1:14:00 PM 43.8326 -0.35% 21.96 0.24% 205.937 9058.71 -914.33 55 0.40 -0.16% 1.59% 0/0
QQQQ Long 1/29/2007 1:14:00 PM 43.8326 1/29/2007 2:14:00 PM 43.43 -0.92% -93.41 -1.03% 207.167 9080.67 -1007.74 5 -18.68 -0.92% 0.18% 0/0
QQQQ Short 1/29/2007 2:14:00 PM 43.43 1/30/2007 11:14:00 AM 43.683 0.58% -62.36 -0.69% 206.937 8987.26 -1070.09 15 -4.16 -0.67% 0.07% 0/0
QQQQ Long 1/30/2007 3:44:00 PM 43.6499 1/31/2007 9:44:00 AM 43.44 -0.48% -52.59 -0.59% 202.918 8857.35 -1190.24 3 -17.53 -0.48% 0.11% 0/0
QQQQ Short 1/30/2007 1:14:00 PM 43.55 1/30/2007 3:44:00 PM 43.6499 0.23% -30.39 -0.34% 204.081 8887.74 -1137.65 11 -2.76 -0.30% 0.07% 0/0
QQQQ Long 1/30/2007 11:14:00 AM 43.683 1/30/2007 1:14:00 PM 43.55 -0.30% -37.17 -0.42% 204.311 8924.91 -1107.26 9 -4.13 -0.30% 0.24% 0/0
QQQQ Long 1/31/2007 10:59:00 AM 43.77 2/6/2007 10:29:00 AM 44.05 0.64% 45.83 0.53% 199.403 8727.87 -1221.30 103 0.44 -0.48% 1.44% 0/0
QQQQ Short 1/31/2007 9:44:00 AM 43.44 1/31/2007 10:59:00 AM 43.77 0.76% -76.89 -0.87% 202.688 8804.76 -1267.13 6 -12.81 -0.99% 0.25% 0/0
QQQQ Short 2/6/2007 10:29:00 AM 44.05 2/7/2007 9:44:00 AM 44.2001 0.34% -39.90 -0.45% 199.176 8773.70 -1261.20 24 -1.66 -0.54% 0.93% 0/0
QQQQ Long 2/7/2007 9:44:00 AM 44.2001 2/9/2007 12:44:00 PM 44.34 0.32% 17.64 0.20% 197.597 8733.80 -1243.55 65 0.27 -0.18% 1.18% 0/0
QQQQ Short 2/9/2007 12:44:00 PM 44.34 2/14/2007 9:44:00 AM 44.08 -0.59% 41.32 0.47% 197.371 8751.45 -1202.23 67 0.62 -0.02% 1.69% 0/0
QQQQ Long 2/14/2007 9:44:00 AM 44.08 2/20/2007 10:14:00 AM 44.5 0.95% 73.78 0.84% 199.473 8792.77 -1128.46 81 0.91 -0.09% 1.75% 0/0
QQQQ Long 2/20/2007 11:29:00 AM 44.95 2/26/2007 10:44:00 AM 45 0.11% -0.25 -0.00% 195.036 8766.88 -1228.37 102 -0.00 -0.40% 1.33% 0/0
QQQQ Short 2/20/2007 10:14:00 AM 44.5 2/20/2007 11:29:00 AM 44.95 1.01% -99.66 -1.12% 199.248 8866.54 -1228.12 6 -16.61 -1.01% 0.16% 0/0
QQQQ Short 2/26/2007 10:44:00 AM 45 3/6/2007 11:59:00 AM 42.69 -5.13% 440.02 5.02% 194.814 8766.63 -788.35 162 2.72 -0.38% 6.53% 0/0
QQQQ Long 3/6/2007 11:59:00 AM 42.69 3/9/2007 1:29:00 PM 42.967 0.65% 49.74 0.54% 215.663 9206.65 -738.61 85 0.59 -0.21% 1.52% 0/0
QQQQ Short 3/9/2007 1:29:00 PM 42.967 3/12/2007 12:14:00 PM 43.09 0.29% -36.50 -0.39% 215.43 9256.39 -775.10 22 -1.66 -0.33% 0.74% 0/0
QQQQ Long 3/12/2007 12:14:00 PM 43.09 3/13/2007 12:29:00 PM 42.7 -0.91% -93.45 -1.01% 213.968 9219.90 -868.55 28 -3.34 -0.91% 0.44% 0/0
QQQQ Short 3/13/2007 12:29:00 PM 42.7 3/14/2007 3:59:00 PM 42.89 0.44% -50.61 -0.55% 213.734 9126.45 -919.16 41 -1.23 -0.68% 1.41% 0/0
QQQQ Long 3/14/2007 3:59:00 PM 42.89 3/16/2007 11:59:00 AM 42.7 -0.44% -50.21 -0.55% 211.607 9075.84 -969.37 37 -1.36 -0.65% 0.40% 0/0
QQQQ Short 3/16/2007 11:59:00 AM 42.7 3/19/2007 9:44:00 AM 43.08 0.89% -90.32 -1.00% 211.373 9025.63 -1059.69 18 -5.02 -0.89% 0.07% 0/0
QQQQ Long 3/19/2007 9:44:00 AM 43.08 3/26/2007 10:14:00 AM 43.91 1.93% 162.15 1.81% 207.412 8935.31 -897.54 133 1.22 -0.30% 3.18% 0/0
QQQQ Short 3/26/2007 10:14:00 AM 43.91 3/26/2007 3:44:00 PM 44.26 0.80% -82.51 -0.91% 207.184 9097.46 -980.05 23 -3.59 -0.80% 0.64% 0/0
QQQQ Long 3/26/2007 3:44:00 PM 44.26 3/27/2007 2:44:00 PM 44.02 -0.54% -58.88 -0.65% 203.682 9014.95 -1038.94 23 -2.56 -0.70% 0.14% 0/0
QQQQ Long 3/27/2007 3:14:00 PM 44.1 3/27/2007 3:59:00 PM 43.99 -0.25% -32.27 -0.36% 202.49 8929.79 -1097.49 4 -8.07 -0.25% 0.09% 0/0
QQQQ Short 3/27/2007 3:59:00 PM 43.99 3/30/2007 10:59:00 AM 43.7 -0.66% 48.66 0.55% 202.262 8897.51 -1048.83 59 0.82 -0.27% 2.02% 0/0
QQQQ Short 3/27/2007 2:44:00 PM 44.02 3/27/2007 3:14:00 PM 44.1 0.18% -26.28 -0.29% 203.454 8956.06 -1065.21 3 -8.76 -0.18% 0.09% 0/0
QQQQ Short 3/30/2007 11:44:00 AM 43.39 3/30/2007 2:29:00 PM 43.63 0.55% -59.08 -0.67% 204.487 8872.71 -1181.37 12 -4.92 -0.55% 0.39% 0/0
QQQQ Long 3/30/2007 10:59:00 AM 43.7 3/30/2007 11:44:00 AM 43.39 -0.71% -73.46 -0.82% 204.718 8946.17 -1122.29 4 -18.37 -0.71% 0.07% 0/0
QQQQ Long 3/30/2007 2:29:00 PM 43.63 4/2/2007 10:44:00 AM 43.43 -0.46% -50.40 -0.57% 202.008 8813.63 -1231.77 12 -4.20 -0.71% 0.30% 0/0
QQQQ Short 4/2/2007 10:44:00 AM 43.43 4/3/2007 9:44:00 AM 43.83 0.92% -90.71 -1.04% 201.778 8763.23 -1322.48 23 -3.94 -0.92% 0.30% 0/0
QQQQ Long 4/3/2007 9:44:00 AM 43.83 4/10/2007 12:59:00 PM 44.46 1.44% 114.66 1.32% 197.867 8672.52 -1207.83 118 0.97 -0.09% 2.10% 0/0
QQQQ Short 4/10/2007 12:59:00 PM 44.46 4/10/2007 2:44:00 PM 44.555 0.21% -28.78 -0.33% 197.642 8787.17 -1236.60 8 -3.60 -0.25% 0.02% 0/0
QQQQ Long 4/10/2007 2:44:00 PM 44.555 4/11/2007 10:29:00 AM 44.38 -0.39% -44.40 -0.51% 196.575 8758.40 -1281.00 10 -4.44 -0.39% 0.28% 0/0
QQQQ Short 4/11/2007 10:29:00 AM 44.38 4/12/2007 12:29:00 PM 44.49 0.25% -31.60 -0.36% 196.35 8714.00 -1312.60 35 -0.90 -0.41% 0.97% 0/0
QQQQ Long 4/12/2007 12:29:00 PM 44.49 4/18/2007 1:29:00 PM 45.01 1.17% 91.48 1.05% 195.154 8682.40 -1221.12 109 0.84 -0.45% 1.60% 0/0
QQQQ Short 4/18/2007 1:29:00 PM 45.01 4/18/2007 1:44:00 PM 45.06 0.11% -19.75 -0.23% 194.932 8773.88 -1240.87 2 -9.87 -0.11% 0.02% 0/0
QQQQ Long 4/18/2007 1:44:00 PM 45.06 4/19/2007 9:59:00 AM 44.9 -0.36% -41.08 -0.47% 194.277 8754.13 -1281.95 12 -3.42 -0.75% 0.38% 0/0
QQQQ Long 4/19/2007 11:59:00 AM 45.12 4/30/2007 11:59:00 AM 46.35 2.73% 226.09 2.61% 191.941 8660.36 -1108.56 183 1.24 -0.38% 3.50% 0/0
QQQQ Short 4/19/2007 9:59:00 AM 44.9 4/19/2007 11:59:00 AM 45.12 0.49% -52.69 -0.60% 194.055 8713.05 -1334.64 9 -5.85 -0.53% 0.27% 0/0
QQQQ Short 4/30/2007 11:59:00 AM 46.35 5/2/2007 10:14:00 AM 46.35 0.00% -10.00 -0.11% 191.725 8886.44 -1118.56 46 -0.22 -0.19% 1.49% 0/0
QQQQ Long 5/2/2007 10:14:00 AM 46.35 5/4/2007 2:44:00 PM 46.53 0.39% 24.47 0.28% 191.509 8876.44 -1094.09 71 0.34 -0.32% 1.17% 0/0
QQQQ Short 5/4/2007 2:44:00 PM 46.53 5/7/2007 9:44:00 AM 46.727 0.42% -47.68 -0.54% 191.294 8900.91 -1141.77 7 -6.81 -0.42% 0.09% 0/0
QQQQ Long 5/7/2007 9:44:00 AM 46.727 5/8/2007 9:44:00 AM 46.47 -0.55% -58.69 -0.66% 189.467 8853.23 -1200.46 27 -2.17 -0.55% 0.11% 0/0
QQQQ Long 5/8/2007 2:29:00 PM 46.73 5/9/2007 10:44:00 AM 46.52 -0.45% -49.26 -0.56% 186.932 8735.33 -1308.92 12 -4.10 -0.58% 0.09% 0/0
QQQQ Short 5/8/2007 9:44:00 AM 46.47 5/8/2007 2:29:00 PM 46.73 0.56% -59.21 -0.67% 189.252 8794.54 -1259.67 20 -2.96 -0.56% 0.37% 0/0
QQQQ Long 5/9/2007 12:44:00 PM 46.6901 5/10/2007 11:44:00 AM 46.49 -0.43% -47.05 -0.54% 185.142 8644.32 -1397.73 23 -2.05 -0.56% 0.60% 0/0
QQQQ Short 5/9/2007 10:44:00 AM 46.52 5/9/2007 12:44:00 PM 46.6901 0.37% -41.76 -0.48% 186.717 8686.08 -1350.68 9 -4.64 -0.37% 0.04% 0/0
QQQQ Short 5/10/2007 11:44:00 AM 46.49 5/11/2007 12:29:00 PM 46.55 0.13% -21.10 -0.25% 184.927 8597.27 -1418.83 30 -0.70 -0.32% 0.90% 0/0
QQQQ Long 5/11/2007 12:29:00 PM 46.55 5/14/2007 1:44:00 PM 46.393 -0.34% -38.93 -0.45% 184.236 8576.17 -1457.75 32 -1.22 -0.34% 0.71% 0/0
QQQQ Short 5/14/2007 1:44:00 PM 46.393 5/15/2007 11:44:00 AM 46.593 0.43% -46.80 -0.55% 184.02 8537.25 -1504.56 19 -2.46 -0.66% 0.44% 0/0
QQQQ Short 5/15/2007 1:59:00 PM 46.37 5/16/2007 3:44:00 PM 46.47 0.22% -28.20 -0.33% 182.01 8439.81 -1583.39 34 -0.83 -0.22% 0.99% 0/0
QQQQ Long 5/15/2007 11:44:00 AM 46.593 5/15/2007 1:59:00 PM 46.37 -0.48% -50.64 -0.60% 182.226 8490.44 -1555.19 10 -5.06 -0.48% 0.19% 0/0
QQQQ Long 5/16/2007 3:44:00 PM 46.47 5/23/2007 2:59:00 PM 47.001 1.14% 86.12 1.02% 181.012 8411.61 -1497.28 128 0.67 -0.39% 1.94% 0/0
QQQQ Short 5/23/2007 2:59:00 PM 47.001 5/25/2007 3:44:00 PM 46.47 -1.13% 86.00 1.01% 180.799 8497.72 -1411.27 56 1.54 -0.13% 2.19% 0/0
QQQQ Long 5/25/2007 3:44:00 PM 46.47 6/5/2007 10:44:00 AM 47.36 1.92% 154.40 1.80% 184.715 8583.73 -1256.88 137 1.13 -0.26% 2.80% 0/0
QQQQ Long 6/5/2007 11:14:00 AM 47.5015 6/5/2007 11:29:00 AM 47.45 -0.11% -19.43 -0.22% 183.195 8702.02 -1312.42 2 -9.72 -0.15% 0.06% 0/0
QQQQ Short 6/5/2007 11:29:00 AM 47.45 6/5/2007 3:59:00 PM 47.575 0.26% -32.87 -0.38% 182.984 8682.58 -1345.29 19 -1.73 -0.26% 0.95% 0/0
QQQQ Short 6/5/2007 10:44:00 AM 47.36 6/5/2007 11:14:00 AM 47.5015 0.30% -36.11 -0.41% 184.504 8738.12 -1292.98 3 -12.04 -0.34% 0.06% 0/0
QQQQ Long 6/5/2007 3:59:00 PM 47.575 6/6/2007 9:44:00 AM 47.252 -0.68% -68.73 -0.79% 181.812 8649.71 -1414.02 2 -34.36 -0.68% 0.01% 0/0
QQQQ Short 6/6/2007 9:44:00 AM 47.252 6/8/2007 3:14:00 PM 46.88 -0.79% 57.56 0.67% 181.6 8580.98 -1356.46 75 0.77 -0.27% 2.31% 0/0
QQQQ Long 6/8/2007 3:14:00 PM 46.88 6/12/2007 9:59:00 AM 46.5811 -0.64% -65.08 -0.75% 184.269 8638.54 -1421.54 32 -2.03 -0.81% 0.66% 0/0
QQQQ Short 6/12/2007 9:59:00 AM 46.5811 6/13/2007 2:44:00 PM 46.86 0.60% -61.33 -0.72% 184.055 8573.46 -1482.87 46 -1.33 -0.99% 0.28% 0/0
QQQQ Long 6/13/2007 2:44:00 PM 46.86 6/19/2007 10:29:00 AM 47.58 1.54% 120.79 1.42% 181.65 8512.13 -1362.08 88 1.37 -0.09% 2.16% 0/0
QQQQ Long 6/19/2007 3:44:00 PM 47.8 6/20/2007 10:14:00 AM 47.65 -0.31% -36.68 -0.43% 177.866 8501.99 -1529.69 5 -7.34 -0.40% 0.10% 0/0
QQQQ Short 6/19/2007 10:29:00 AM 47.58 6/19/2007 12:59:00 PM 47.83 0.53% -55.36 -0.64% 181.44 8632.92 -1417.44 11 -5.03 -0.59% 0.15% 0/0
QQQQ Short 6/19/2007 2:44:00 PM 47.66 6/19/2007 3:44:00 PM 47.8 0.29% -35.08 -0.41% 179.124 8537.07 -1493.01 5 -7.02 -0.30% 0.06% 0/0
QQQQ Long 6/19/2007 12:59:00 PM 47.83 6/19/2007 2:44:00 PM 47.66 -0.36% -40.49 -0.47% 179.334 8577.56 -1457.93 8 -5.06 -0.40% 0.06% 0/0
QQQQ Short 6/20/2007 10:14:00 AM 47.65 6/20/2007 10:44:00 AM 47.89 0.50% -52.64 -0.62% 177.656 8465.31 -1582.33 3 -17.55 -0.50% 0.17% 0/0
QQQQ Long 6/20/2007 10:44:00 AM 47.89 6/20/2007 1:29:00 PM 47.59 -0.63% -62.70 -0.75% 175.667 8412.67 -1645.03 12 -5.22 -0.63% 0.06% 0/0
QQQQ Short 6/20/2007 1:29:00 PM 47.59 6/21/2007 2:14:00 PM 47.68 0.19% -25.79 -0.31% 175.456 8349.97 -1670.82 30 -0.86 -0.40% 1.07% 0/0
QQQQ Long 6/21/2007 2:14:00 PM 47.68 6/22/2007 11:29:00 AM 47.51 -0.36% -39.68 -0.48% 174.584 8324.18 -1710.50 16 -2.48 -0.48% 0.23% 0/0
QQQQ Short 6/22/2007 11:29:00 AM 47.51 6/25/2007 12:29:00 PM 47.51 0.00% -10.00 -0.12% 174.374 8284.50 -1720.50 31 -0.32 -0.15% 1.07% 0/0
QQQQ Long 6/25/2007 12:29:00 PM 47.51 6/25/2007 2:14:00 PM 47.26 -0.53% -53.54 -0.65% 174.163 8274.50 -1774.04 8 -6.69 -0.53% 0.13% 0/0
QQQQ Short 6/25/2007 2:14:00 PM 47.26 6/27/2007 12:59:00 PM 47.17 -0.19% 5.66 0.07% 173.952 8220.96 -1768.38 48 0.12 -0.28% 1.18% 0/0
QQQQ Long 6/27/2007 12:59:00 PM 47.17 6/29/2007 3:14:00 PM 47.24 0.15% 2.21 0.03% 174.404 8226.62 -1766.17 62 0.04 -0.28% 1.51% 0/0
QQQQ Short 6/29/2007 3:14:00 PM 47.24 7/2/2007 10:14:00 AM 47.95 1.50% -133.68 -1.62% 174.192 8228.83 -1899.85 7 -19.10 -1.50% 0.06% 0/0
QQQQ Long 7/2/2007 10:14:00 AM 47.95 7/10/2007 12:14:00 PM 48.7689 1.71% 128.25 1.58% 168.825 8095.15 -1771.60 127 1.01 -0.19% 2.15% 0/0
QQQQ Short 7/10/2007 12:14:00 PM 48.7689 7/11/2007 3:44:00 PM 48.73 -0.08% -3.44 -0.04% 168.62 8223.40 -1775.04 41 -0.08 -0.22% 0.92% 0/0
QQQQ Long 7/11/2007 3:44:00 PM 48.73 7/18/2007 10:59:00 AM 49.842 2.28% 177.58 2.16% 168.684 8219.96 -1597.46 112 1.59 -0.08% 3.22% 0/0
QQQQ Short 7/18/2007 10:59:00 AM 49.842 7/19/2007 9:44:00 AM 50.45 1.22% -112.44 -1.34% 168.483 8397.54 -1709.90 22 -5.11 -1.22% 0.41% 0/0
QQQQ Long 7/19/2007 9:44:00 AM 50.45 7/20/2007 10:59:00 AM 50.09 -0.71% -69.12 -0.83% 164.224 8285.10 -1779.02 32 -2.16 -0.87% 0.42% 0/0
QQQQ Short 7/20/2007 10:59:00 AM 50.09 7/23/2007 11:44:00 AM 50.21 0.24% -29.68 -0.36% 164.024 8215.98 -1808.70 30 -0.99 -0.38% 0.70% 0/0
QQQQ Long 7/23/2007 11:44:00 AM 50.21 7/23/2007 2:14:00 PM 50.01 -0.40% -42.61 -0.52% 163.041 8186.30 -1851.31 11 -3.87 -0.42% 0.20% 0/0
QQQQ Short 7/23/2007 2:14:00 PM 50.01 7/30/2007 3:14:00 PM 48.63 -2.76% 214.72 2.64% 162.841 8143.69 -1636.59 135 1.59 -0.34% 4.12% 0/0
QQQQ Long 7/30/2007 3:14:00 PM 48.63 7/31/2007 1:29:00 PM 48.34 -0.60% -59.84 -0.72% 171.878 8358.41 -1696.44 20 -2.99 -0.66% 0.74% 0/0
QQQQ Short 7/31/2007 1:29:00 PM 48.34 8/2/2007 10:44:00 AM 48.03 -0.64% 43.22 0.52% 171.671 8298.56 -1653.22 42 1.03 -0.31% 2.81% 0/0
QQQQ Long 8/2/2007 10:44:00 AM 48.03 8/3/2007 2:44:00 PM 47.85 -0.37% -41.26 -0.49% 173.679 8341.78 -1694.48 43 -0.96 -0.52% 0.83% 0/0
QQQQ Short 8/3/2007 2:44:00 PM 47.85 8/6/2007 3:44:00 PM 47.84 -0.02% -8.27 -0.10% 173.47 8300.52 -1702.75 31 -0.27 -0.17% 1.71% 0/0
QQQQ Long 8/6/2007 3:44:00 PM 47.84 8/9/2007 12:59:00 PM 48.23 0.82% 57.60 0.69% 173.333 8292.25 -1645.15 68 0.85 -0.75% 2.55% 0/0
QQQQ Short 8/9/2007 12:59:00 PM 48.23 8/13/2007 11:29:00 AM 47.78 -0.93% 67.91 0.81% 173.126 8349.85 -1577.24 47 1.44 -0.35% 3.32% 0/0
QQQQ Long 8/13/2007 11:29:00 AM 47.78 8/14/2007 10:29:00 AM 47.27 -1.07% -99.85 -1.19% 176.178 8417.76 -1677.09 23 -4.34 -1.07% 0.21% 0/0
QQQQ Short 8/14/2007 10:29:00 AM 47.27 8/17/2007 11:44:00 AM 46.06 -2.56% 202.92 2.44% 175.966 8317.91 -1474.17 84 2.42 -0.55% 6.09% 0/0
QQQQ Long 8/17/2007 11:44:00 AM 46.06 8/28/2007 9:59:00 AM 47.5285 3.19% 261.66 3.07% 184.994 8520.83 -1212.51 176 1.49 -0.76% 4.71% 0/0
QQQQ Short 8/28/2007 9:59:00 AM 47.5285 8/29/2007 2:44:00 PM 47.5595 0.07% -15.73 -0.18% 184.784 8782.49 -1228.23 46 -0.34 -0.19% 1.72% 0/0
QQQQ Long 8/29/2007 2:44:00 PM 47.5595 9/5/2007 1:44:00 PM 49.26 3.58% 303.46 3.46% 184.333 8766.76 -924.78 101 3.00 -0.23% 5.13% 0/0
QQQQ Short 9/5/2007 1:44:00 PM 49.26 9/10/2007 3:44:00 PM 48.46 -1.62% 137.30 1.51% 184.13 9070.22 -787.47 87 1.58 -0.20% 2.94% 0/0
QQQQ Long 9/10/2007 3:44:00 PM 48.46 9/14/2007 10:14:00 AM 49.07 1.26% 105.90 1.15% 190.003 9207.53 -681.57 83 1.28 -0.58% 1.88% 0/0
QQQQ Short 9/14/2007 10:14:00 AM 49.07 9/14/2007 11:59:00 AM 49.2095 0.28% -36.48 -0.39% 189.799 9313.43 -718.05 8 -4.56 -0.37% 0.21% 0/0
QQQQ Long 9/14/2007 11:59:00 AM 49.2095 9/17/2007 9:59:00 AM 48.9085 -0.61% -66.74 -0.72% 188.52 9276.95 -784.79 19 -3.51 -0.61% 0.20% 0/0
QQQQ Short 9/17/2007 9:59:00 AM 48.9085 9/18/2007 11:14:00 AM 49.18 0.56% -61.13 -0.66% 188.315 9210.21 -845.92 32 -1.91 -0.56% 0.65% 0/0
QQQQ Long 9/18/2007 11:14:00 AM 49.18 9/20/2007 3:29:00 PM 50.03 1.73% 148.13 1.62% 186.033 9149.08 -697.79 70 2.12 -0.55% 7.30% 0/0
QQQQ Short 9/20/2007 3:29:00 PM 50.03 9/21/2007 9:44:00 AM 50.31 0.56% -62.03 -0.67% 185.833 9297.21 -759.83 4 -15.51 -0.56% 0.10% 0/0
QQQQ Long 9/21/2007 9:44:00 AM 50.31 9/25/2007 9:44:00 AM 50.38 0.14% 2.85 0.03% 183.565 9235.17 -756.98 53 0.05 -0.59% 1.29% 0/0
QQQQ Long 9/25/2007 10:14:00 AM 50.66 9/28/2007 12:59:00 PM 51.41 1.48% 125.86 1.37% 181.143 9176.68 -692.46 90 1.40 -0.51% 2.01% 0/0
QQQQ Short 9/25/2007 9:44:00 AM 50.38 9/25/2007 10:14:00 AM 50.66 0.56% -61.34 -0.66% 183.367 9238.02 -818.32 3 -20.45 -0.56% 0.04% 0/0
QQQQ Short 9/28/2007 2:29:00 PM 51.36 10/1/2007 10:14:00 AM 51.628 0.52% -58.26 -0.63% 180.067 9248.24 -805.02 10 -5.83 -0.55% 0.35% 0/0
QQQQ Long 9/28/2007 1:44:00 PM 51.48 9/28/2007 2:29:00 PM 51.36 -0.23% -31.63 -0.34% 180.262 9279.87 -746.76 4 -7.91 -0.23% 0.12% 0/0
QQQQ Short 9/28/2007 12:59:00 PM 51.41 9/28/2007 1:44:00 PM 51.48 0.14% -22.67 -0.24% 180.948 9302.54 -715.13 4 -5.67 -0.18% 0.06% 0/0
QQQQ Long 10/1/2007 10:14:00 AM 51.628 10/3/2007 1:59:00 PM 51.76 0.26% 13.50 0.15% 178.004 9189.98 -791.52 68 0.20 -0.23% 1.03% 0/0
QQQQ Short 10/3/2007 1:59:00 PM 51.76 10/5/2007 9:44:00 AM 52.14 0.73% -77.57 -0.84% 177.811 9203.48 -869.09 36 -2.15 -0.79% 0.81% 0/0
QQQQ Long 10/5/2007 9:44:00 AM 52.14 10/11/2007 2:44:00 PM 53.0915 1.82% 156.54 1.72% 175.027 9125.91 -712.55 125 1.25 -0.15% 3.45% 0/0
QQQQ Short 10/11/2007 2:44:00 PM 53.0915 10/12/2007 2:29:00 PM 53.41 0.60% -65.69 -0.71% 174.839 9282.45 -778.24 26 -2.53 -0.77% 1.53% 0/0
QQQQ Long 10/12/2007 2:29:00 PM 53.41 10/15/2007 11:44:00 AM 53.155 -0.48% -54.00 -0.59% 172.566 9216.76 -832.24 16 -3.38 -0.75% 0.56% 0/0
QQQQ Short 10/15/2007 11:44:00 AM 53.155 10/17/2007 9:59:00 AM 53.4674 0.59% -63.85 -0.70% 172.378 9162.76 -896.09 46 -1.39 -0.95% 0.89% 0/0
QQQQ Long 10/17/2007 9:59:00 AM 53.4674 10/17/2007 1:59:00 PM 52.72 -1.40% -137.19 -1.51% 170.177 9098.91 -1033.28 17 -8.07 -1.40% 0.32% 0/0
QQQQ Long 10/17/2007 3:59:00 PM 53.55 10/19/2007 10:59:00 AM 52.74 -1.51% -143.27 -1.63% 164.531 8810.63 -1327.64 33 -4.34 -1.51% 0.63% 0/0
QQQQ Short 10/17/2007 1:59:00 PM 52.72 10/17/2007 3:59:00 PM 53.55 1.57% -151.09 -1.69% 169.987 8961.72 -1184.37 9 -16.79 -1.57% 0.08% 0/0
QQQQ Short 10/19/2007 10:59:00 AM 52.74 10/23/2007 9:44:00 AM 53.587 1.61% -149.20 -1.72% 164.341 8667.36 -1476.84 48 -3.11 -1.65% 1.37% 0/0
QQQQ Long 10/23/2007 9:44:00 AM 53.587 10/24/2007 11:44:00 AM 52.96 -1.17% -109.67 -1.29% 158.959 8518.16 -1586.51 35 -3.13 -1.77% 1.16% 0/0
QQQQ Short 10/24/2007 11:44:00 AM 52.96 10/24/2007 3:59:00 PM 53.8 1.59% -143.37 -1.71% 158.771 8408.49 -1729.87 18 -7.96 -1.59% 1.81% 0/0
QQQQ Long 10/24/2007 3:59:00 PM 53.8 10/25/2007 12:44:00 PM 53.24 -1.04% -96.03 -1.16% 153.627 8265.13 -1825.91 14 -6.86 -1.56% 0.33% 0/0
QQQQ Short 10/25/2007 12:44:00 PM 53.24 10/26/2007 9:59:00 AM 53.63 0.73% -69.84 -0.85% 153.439 8169.09 -1895.75 16 -4.37 -1.80% 0.92% 0/0
QQQQ Long 10/26/2007 9:59:00 AM 53.63 11/1/2007 2:29:00 PM 54.36 1.36% 100.25 1.24% 151.021 8099.25 -1795.50 123 0.82 -0.35% 2.69% 0/0
QQQQ Short 11/1/2007 2:29:00 PM 54.36 11/6/2007 1:44:00 PM 54.31 -0.09% -2.46 -0.03% 150.837 8199.50 -1797.96 76 -0.03 -0.53% 1.42% 0/0
QQQQ Long 11/6/2007 1:44:00 PM 54.31 11/7/2007 1:14:00 PM 54.03 -0.52% -52.26 -0.64% 150.931 8197.04 -1850.22 25 -2.09 -0.61% 0.70% 0/0
QQQQ Short 11/7/2007 1:14:00 PM 54.03 11/13/2007 2:14:00 PM 50.1105 -7.25% 580.85 7.13% 150.746 8144.78 -1269.37 109 5.33 -0.26% 9.96% 0/0
QQQQ Long 11/13/2007 2:14:00 PM 50.1105 11/15/2007 9:59:00 AM 50.18 0.14% 2.10 0.02% 174.128 8725.63 -1267.27 36 0.06 -0.42% 2.65% 0/0
QQQQ Short 11/15/2007 9:59:00 AM 50.18 11/16/2007 3:44:00 PM 50.16 -0.04% -6.52 -0.07% 173.928 8727.73 -1273.79 50 -0.13 -0.72% 1.67% 0/0
QQQQ Long 11/16/2007 3:44:00 PM 50.16 11/19/2007 11:29:00 AM 49.75 -0.82% -81.29 -0.93% 173.868 8721.21 -1355.08 10 -8.13 -1.02% 0.66% 0/0
QQQQ Short 11/19/2007 11:29:00 AM 49.75 11/20/2007 10:14:00 AM 50.42 1.35% -126.36 -1.46% 173.667 8639.92 -1481.43 22 -5.74 -1.37% 0.68% 0/0
QQQQ Long (max loss) 11/20/2007 10:14:00 AM 50.42 11/20/2007 1:14:00 PM 49.4116 -2.00% -180.27 -2.12% 168.853 8513.56 -1661.71 13 -13.87 -2.00% 0.71% 0/0
QQQQ Short 11/20/2007 1:29:00 PM 49.44 11/21/2007 2:59:00 PM 50.05 1.23% -112.82 -1.35% 168.554 8333.29 -1774.52 33 -3.42 -1.38% 1.19% 0/0
QQQQ Long (max loss) 11/21/2007 2:59:00 PM 50.05 11/21/2007 3:14:00 PM 49.049 -2.00% -174.41 -2.12% 164.245 8220.48 -1948.93 2 -87.20 -2.10% 0.24% 0/0
QQQQ Short 11/21/2007 3:59:00 PM 49.32 11/23/2007 12:29:00 PM 49.891 1.16% -103.15 -1.28% 163.14 8046.07 -2052.09 13 -7.93 -1.16% 0.65% 0/0
QQQQ Long 11/23/2007 12:29:00 PM 49.891 11/26/2007 3:14:00 PM 49.39 -1.00% -89.76 -1.13% 159.205 7942.91 -2141.85 26 -3.45 -1.00% 0.96% 0/0
QQQQ Short 11/26/2007 3:14:00 PM 49.39 11/27/2007 12:29:00 PM 49.74 0.71% -65.65 -0.84% 159.003 7853.15 -2207.50 16 -4.10 -1.34% 0.99% 0/0
QQQQ Long 11/27/2007 3:59:00 PM 50.02 11/30/2007 2:29:00 PM 51.48 2.92% 211.61 2.79% 151.784 7592.26 -2191.14 73 2.90 -0.44% 4.46% 0/0
QQQQ Long 11/27/2007 12:29:00 PM 49.74 11/27/2007 2:44:00 PM 49.3199 -0.84% -75.77 -0.97% 156.564 7787.50 -2283.27 10 -7.58 -0.84% 0.60% 0/0
QQQQ Short 11/27/2007 2:44:00 PM 49.3199 11/27/2007 3:59:00 PM 50.02 1.42% -119.47 -1.55% 156.361 7711.73 -2402.74 6 -19.91 -1.42% 0.12% 0/0
QQQQ Short 11/30/2007 2:29:00 PM 51.48 12/5/2007 10:29:00 AM 51.39 -0.17% 3.64 0.05% 151.59 7803.86 -2187.49 63 0.06 -0.16% 2.14% 0/0
QQQQ Long 12/5/2007 10:29:00 AM 51.39 12/11/2007 2:44:00 PM 51.62 0.45% 24.94 0.32% 151.927 7807.51 -2162.55 122 0.20 -0.18% 2.82% 0/0
QQQQ Short 12/11/2007 2:44:00 PM 51.62 12/19/2007 3:14:00 PM 50.08 -2.98% 223.67 2.86% 151.733 7832.45 -1938.88 159 1.41 -1.57% 4.73% 0/0
QQQQ Long 12/19/2007 3:14:00 PM 50.08 12/27/2007 12:44:00 PM 52.04 3.91% 305.30 3.79% 160.865 8056.12 -1633.58 109 2.80 -0.34% 5.09% 0/0
QQQQ Short 12/27/2007 12:44:00 PM 52.04 1/8/2008 2:14:00 PM 48.63 -6.55% 537.89 6.43% 160.673 8361.42 -1095.69 189 2.85 -0.40% 8.86% 0/0
QQQQ Long 1/8/2008 2:14:00 PM 48.63 1/8/2008 3:14:00 PM 47.7 -1.91% -180.19 -2.02% 183 8899.31 -1275.88 5 -36.04 -1.91% 0.27% 0/0
QQQQ Short 1/8/2008 3:14:00 PM 47.7 1/10/2008 11:59:00 AM 47.59 -0.23% 10.11 0.12% 182.791 8719.12 -1265.77 40 0.25 -0.94% 2.60% 0/0
QQQQ Long 1/10/2008 11:59:00 AM 47.59 1/11/2008 11:14:00 AM 47.45 -0.29% -35.68 -0.41% 183.426 8729.23 -1301.45 24 -1.49 -0.53% 1.72% 0/0
QQQQ Short 1/11/2008 11:14:00 AM 47.45 1/14/2008 11:14:00 AM 47.78 0.70% -70.46 -0.81% 183.215 8693.55 -1371.91 27 -2.61 -0.78% 1.58% 0/0
QQQQ Long 1/14/2008 11:14:00 AM 47.78 1/15/2008 10:29:00 AM 47.13 -1.36% -127.31 -1.48% 180.475 8623.09 -1499.22 24 -5.30 -1.36% 0.48% 0/0
QQQQ Short 1/15/2008 10:29:00 AM 47.13 1/24/2008 9:59:00 AM 44.75 -5.05% 419.02 4.93% 180.263 8495.78 -1080.20 155 2.70 -0.45% 11.71% 0/0
QQQQ Long 1/24/2008 9:59:00 AM 44.75 1/25/2008 2:44:00 PM 44.24 -1.14% -111.60 -1.25% 199.213 8914.80 -1191.80 46 -2.43 -1.54% 2.50% 0/0
QQQQ Short 1/25/2008 2:44:00 PM 44.24 1/29/2008 10:14:00 AM 44.37 0.29% -35.87 -0.41% 198.987 8803.20 -1227.67 35 -1.02 -0.99% 1.51% 0/0
QQQQ Short 1/29/2008 2:44:00 PM 44.25 1/29/2008 2:59:00 PM 44.39 0.32% -37.11 -0.43% 193.633 8568.25 -1463.86 2 -18.55 -0.32% 0.16% 0/0
QQQQ Short 1/29/2008 2:14:00 PM 44.19 1/29/2008 2:29:00 PM 44.35 0.36% -41.28 -0.48% 195.495 8638.91 -1397.37 2 -20.64 -0.36% 0.02% 0/0
QQQQ Long 1/29/2008 2:59:00 PM 44.39 1/31/2008 10:14:00 AM 44.115 -0.62% -62.85 -0.74% 192.186 8531.14 -1526.71 34 -1.85 -1.28% 2.10% 0/0
QQQQ Long 1/29/2008 1:44:00 PM 44.37 1/29/2008 2:14:00 PM 44.19 -0.41% -45.23 -0.52% 195.721 8684.14 -1356.09 3 -15.08 -0.41% 0.02% 0/0
QQQQ Short 1/29/2008 1:14:00 PM 44.21 1/29/2008 1:44:00 PM 44.37 0.36% -41.58 -0.48% 197.37 8725.72 -1310.86 3 -13.86 -0.36% 0.14% 0/0
QQQQ Long 1/29/2008 10:14:00 AM 44.37 1/29/2008 1:14:00 PM 44.21 -0.36% -41.62 -0.47% 197.596 8767.33 -1269.28 13 -3.20 -0.74% 0.27% 0/0
QQQQ Long 1/29/2008 2:29:00 PM 44.35 1/29/2008 2:44:00 PM 44.25 -0.23% -29.39 -0.34% 193.859 8597.63 -1426.75 2 -14.69 -0.38% 0.09% 0/0
QQQQ Short 1/31/2008 10:14:00 AM 44.115 1/31/2008 11:59:00 AM 44.87 1.71% -154.93 -1.83% 191.959 8468.29 -1681.64 8 -19.37 -1.71% 0.31% 0/0
QQQQ Long 1/31/2008 11:59:00 AM 44.87 2/4/2008 1:14:00 PM 45.0799 0.47% 28.89 0.35% 185.277 8313.36 -1652.75 58 0.50 -0.71% 2.25% 0/0
QQQQ Short 2/4/2008 1:14:00 PM 45.0799 2/8/2008 10:29:00 AM 43.54 -3.42% 274.97 3.30% 185.055 8342.25 -1377.79 94 2.93 -0.24% 6.50% 0/0
QQQQ Long 2/8/2008 10:29:00 AM 43.54 2/8/2008 3:14:00 PM 43.23 -0.71% -71.35 -0.83% 197.915 8617.21 -1449.14 20 -3.57 -1.38% 0.53% 0/0
QQQQ Long 2/8/2008 3:29:00 PM 43.3825 2/12/2008 3:44:00 PM 43.61 0.52% 34.60 0.41% 196.063 8505.71 -1454.68 54 0.64 -0.35% 2.76% 0/0
QQQQ Short 2/8/2008 3:14:00 PM 43.23 2/8/2008 3:29:00 PM 43.3825 0.35% -40.15 -0.47% 197.684 8545.86 -1489.29 2 -20.07 -0.35% 0.28% 0/0
QQQQ Short (max loss) 2/12/2008 3:44:00 PM 43.61 2/13/2008 9:44:00 AM 44.4822 2.00% -180.81 -2.12% 195.834 8540.32 -1635.49 3 -60.27 -2.13% 0.23% 0/0
QQQQ Long 2/13/2008 9:59:00 AM 44.33 2/14/2008 12:29:00 PM 44.3599 0.07% -4.36 -0.05% 188.575 8359.51 -1639.85 37 -0.12 -0.41% 1.24% 0/0
QQQQ Short 2/14/2008 12:29:00 PM 44.3599 2/19/2008 10:29:00 AM 44.208 -0.34% 18.61 0.22% 188.349 8355.15 -1621.24 45 0.41 -0.29% 2.05% 0/0
QQQQ Short 2/19/2008 2:59:00 PM 43.42 2/20/2008 2:59:00 PM 44.04 1.43% -127.30 -1.55% 189.187 8214.50 -1907.80 27 -4.71 -1.43% 0.41% 0/0
QQQQ Long 2/19/2008 10:29:00 AM 44.208 2/19/2008 2:59:00 PM 43.42 -1.78% -159.26 -1.90% 189.417 8373.76 -1780.50 19 -8.38 -1.78% 0.19% 0/0
QQQQ Long 2/20/2008 2:59:00 PM 44.04 2/21/2008 1:44:00 PM 43.67 -0.84% -77.94 -0.96% 183.633 8087.20 -1985.74 22 -3.54 -0.93% 0.98% 0/0
QQQQ Short 2/21/2008 1:44:00 PM 43.67 2/25/2008 10:29:00 AM 43.94 0.62% -59.52 -0.74% 183.404 8009.26 -2045.26 40 -1.49 -0.62% 2.45% 0/0
QQQQ Long 2/25/2008 10:29:00 AM 43.94 2/28/2008 12:59:00 PM 44.12 0.41% 22.57 0.28% 180.923 7949.74 -2022.70 89 0.25 -1.37% 1.34% 0/0
QQQQ Long 2/28/2008 1:14:00 PM 44.21 2/28/2008 1:29:00 PM 44.102 -0.24% -29.41 -0.37% 179.734 7946.04 -2078.37 2 -14.71 -0.32% 0.09% 0/0
QQQQ Short 2/28/2008 12:59:00 PM 44.12 2/28/2008 1:14:00 PM 44.21 0.20% -26.26 -0.33% 180.696 7972.30 -2048.96 2 -13.13 -0.23% -0.00% 0/0
QQQQ Long 2/28/2008 2:14:00 PM 44.1999 2/29/2008 9:44:00 AM 43.56 -1.45% -124.21 -1.57% 178.486 7889.06 -2230.16 9 -13.80 -1.45% 0.63% 0/0
QQQQ Short 2/28/2008 1:29:00 PM 44.102 2/28/2008 2:14:00 PM 44.1999 0.22% -27.57 -0.35% 179.507 7916.63 -2105.94 4 -6.89 -0.29% 0.10% 0/0
QQQQ Short 2/29/2008 9:44:00 AM 43.56 3/5/2008 9:44:00 AM 43.08 -1.10% 75.56 0.97% 178.256 7764.84 -2154.59 79 0.96 -0.48% 3.54% 0/0
QQQQ Long 3/5/2008 9:44:00 AM 43.08 3/6/2008 12:29:00 PM 42.75 -0.77% -70.06 -0.89% 181.996 7840.41 -2224.65 38 -1.84 -0.88% 1.07% 0/0
QQQQ Short 3/6/2008 12:29:00 PM 42.75 3/11/2008 11:29:00 AM 41.96 -1.85% 133.59 1.72% 181.763 7770.35 -2091.06 75 1.78 -0.16% 3.70% 0/0
QQQQ Long 3/11/2008 11:29:00 AM 41.96 3/11/2008 12:44:00 PM 41.65 -0.74% -68.39 -0.87% 188.368 7903.94 -2159.45 6 -11.40 -0.88% 0.10% 0/0
QQQQ Long 3/11/2008 1:29:00 PM 41.99 3/13/2008 10:29:00 AM 42.13 0.33% 15.88 0.20% 184.844 7761.58 -2217.54 41 0.39 -0.59% 3.45% 0/0
QQQQ Short 3/11/2008 12:44:00 PM 41.65 3/11/2008 1:29:00 PM 41.99 0.82% -73.96 -0.94% 188.128 7835.55 -2233.42 4 -18.49 -0.82% 0.34% 0/0
QQQQ Long (max loss) 3/13/2008 1:44:00 PM 43.04 3/14/2008 10:14:00 AM 42.1792 -2.00% -162.24 -2.13% 176.857 7611.91 -2545.33 13 -12.48 -2.86% 0.79% 0/0
QQQQ Short (max loss) 3/13/2008 10:29:00 AM 42.13 3/13/2008 1:29:00 PM 42.9726 2.00% -165.55 -2.13% 184.606 7777.46 -2383.09 13 -12.73 -2.23% 0.76% 0/0
QQQQ Short 3/14/2008 10:59:00 AM 42.49 3/18/2008 10:14:00 AM 42.35 -0.33% 14.55 0.20% 175.328 7449.67 -2530.78 50 0.29 -0.28% 3.39% 0/0
QQQQ Long 3/18/2008 10:14:00 AM 42.35 3/19/2008 3:59:00 PM 42.25 -0.24% -27.63 -0.37% 176.251 7464.22 -2558.41 50 -0.55 -0.57% 2.95% 0/0
QQQQ Short 3/19/2008 3:59:00 PM 42.25 3/20/2008 3:14:00 PM 42.99 1.75% -140.25 -1.89% 176.014 7436.59 -2698.66 24 -5.84 -1.75% 0.36% 0/0
QQQQ Long 3/20/2008 3:14:00 PM 42.99 3/26/2008 12:29:00 PM 44.48 3.47% 242.89 3.33% 169.722 7296.34 -2455.77 68 3.57 -0.42% 4.84% 0/0
QQQQ Short 3/26/2008 12:29:00 PM 44.48 3/26/2008 2:59:00 PM 44.8 0.72% -64.24 -0.85% 169.497 7539.23 -2520.01 11 -5.84 -0.72% 0.29% 0/0
QQQQ Long 3/26/2008 2:59:00 PM 44.8 3/27/2008 9:59:00 AM 44.4025 -0.89% -76.32 -1.02% 166.852 7474.99 -2596.33 7 -10.90 -1.23% 0.11% 0/0
QQQQ Short 3/27/2008 9:59:00 AM 44.4025 4/1/2008 9:44:00 AM 44.52 0.26% -29.58 -0.40% 166.627 7398.67 -2625.91 78 -0.38 -0.26% 2.42% 0/0
QQQQ Long 4/1/2008 9:44:00 AM 44.52 4/3/2008 11:29:00 AM 45.34 1.84% 125.73 1.71% 165.523 7369.09 -2500.18 60 2.10 -0.25% 3.37% 0/0
QQQQ Long 4/3/2008 11:59:00 AM 45.5 4/7/2008 3:14:00 PM 45.76 0.57% 32.62 0.44% 163.92 7458.37 -2504.01 66 0.49 -0.22% 2.00% 0/0
QQQQ Short 4/3/2008 11:29:00 AM 45.34 4/3/2008 11:59:00 AM 45.5 0.35% -36.45 -0.49% 165.303 7494.82 -2536.63 3 -12.15 -0.35% 0.13% 0/0
QQQQ Short 4/7/2008 3:14:00 PM 45.76 4/10/2008 10:59:00 AM 45.64 -0.26% 9.64 0.13% 163.702 7490.99 -2494.37 62 0.16 -0.22% 2.47% 0/0
QQQQ Long 4/10/2008 10:59:00 AM 45.64 4/11/2008 10:14:00 AM 44.87 -1.69% -136.54 -1.82% 164.343 7500.63 -2630.91 24 -5.69 -1.69% 0.44% 0/0
QQQQ Short 4/11/2008 10:14:00 AM 44.87 4/16/2008 9:44:00 AM 44.69 -0.40% 19.54 0.27% 164.12 7364.09 -2611.37 77 0.25 -0.33% 2.65% 0/0
QQQQ Long 4/16/2008 9:44:00 AM 44.69 4/22/2008 11:59:00 AM 46.3285 3.67% 260.71 3.53% 165.219 7383.63 -2350.66 114 2.29 -0.09% 5.35% 0/0
QQQQ Short 4/22/2008 11:59:00 AM 46.3285 4/23/2008 10:44:00 AM 46.96 1.36% -114.20 -1.49% 165.003 7644.34 -2464.86 22 -5.19 -1.36% 0.86% 0/0
QQQQ Long 4/23/2008 10:44:00 AM 46.96 4/25/2008 11:29:00 AM 46.68 -0.60% -54.90 -0.73% 160.352 7530.14 -2519.76 56 -0.98 -1.21% 1.77% 0/0
QQQQ Short 4/25/2008 11:29:00 AM 46.68 4/25/2008 3:44:00 PM 47.2 1.11% -93.27 -1.25% 160.138 7475.24 -2613.03 18 -5.18 -1.33% 0.24% 0/0
QQQQ Long 4/25/2008 3:44:00 PM 47.2 4/29/2008 11:14:00 AM 47.24 0.08% -3.74 -0.05% 156.398 7381.97 -2616.77 35 -0.11 -0.30% 0.89% 0/0
QQQQ Short 4/29/2008 12:59:00 PM 47.27 4/29/2008 1:14:00 PM 47.41 0.30% -31.55 -0.43% 153.963 7277.81 -2748.75 2 -15.78 -0.30% 0.02% 0/0
QQQQ Short 4/29/2008 11:14:00 AM 47.24 4/29/2008 11:29:00 AM 47.3695 0.27% -30.23 -0.41% 156.186 7378.23 -2647.00 2 -15.11 -0.27% 0.17% 0/0
QQQQ Long 4/29/2008 12:29:00 PM 47.32 4/29/2008 12:59:00 PM 47.27 -0.11% -17.71 -0.24% 154.174 7295.52 -2717.19 3 -5.90 -0.30% 0.06% 0/0
QQQQ Long 4/29/2008 1:14:00 PM 47.41 4/30/2008 3:29:00 PM 47.082 -0.69% -60.13 -0.83% 152.842 7246.25 -2808.88 36 -1.67 -0.80% 1.37% 0/0
QQQQ Long 4/29/2008 11:29:00 AM 47.3695 4/29/2008 12:14:00 PM 47.24 -0.27% -30.09 -0.41% 155.121 7348.00 -2677.09 4 -7.52 -0.32% 0.02% 0/0
QQQQ Short 4/29/2008 12:14:00 PM 47.24 4/29/2008 12:29:00 PM 47.32 0.17% -22.39 -0.31% 154.909 7317.91 -2699.48 2 -11.20 -0.17% 0.08% 0/0
QQQQ Short 4/30/2008 3:29:00 PM 47.082 5/1/2008 10:44:00 AM 47.84 1.61% -125.69 -1.75% 152.63 7186.12 -2934.57 8 -15.71 -1.89% 0.07% 0/0
QQQQ Long 5/1/2008 10:44:00 AM 47.84 5/6/2008 9:44:00 AM 48.39 1.15% 71.17 1.01% 147.584 7060.43 -2863.40 75 0.95 -0.04% 2.82% 0/0
QQQQ Long 5/6/2008 12:29:00 PM 48.75 5/7/2008 1:29:00 PM 48.53 -0.45% -41.90 -0.59% 144.996 7068.54 -2968.35 31 -1.35 -0.53% 0.98% 0/0
QQQQ Short 5/6/2008 9:44:00 AM 48.39 5/6/2008 12:29:00 PM 48.75 0.74% -63.06 -0.88% 147.378 7131.60 -2926.46 12 -5.25 -0.95% 0.52% 0/0
QQQQ Short 5/7/2008 1:29:00 PM 48.53 5/12/2008 10:44:00 AM 48.5695 0.08% -15.72 -0.22% 144.79 7026.65 -2984.07 68 -0.23 -0.35% 1.36% 0/0
QQQQ Long 5/12/2008 10:44:00 AM 48.5695 5/15/2008 10:14:00 AM 49.11 1.11% 68.02 0.97% 144.348 7010.93 -2916.05 77 0.88 -0.58% 2.80% 0/0
QQQQ Short 5/15/2008 10:14:00 AM 49.11 5/15/2008 12:44:00 PM 49.7 1.20% -95.05 -1.34% 144.145 7078.95 -3011.10 11 -8.64 -1.20% 0.04% 0/0
QQQQ Long 5/15/2008 12:44:00 PM 49.7 5/19/2008 3:29:00 PM 49.76 0.12% -1.57 -0.02% 140.521 6983.90 -3012.67 64 -0.02 -0.50% 1.55% 0/0
QQQQ Short 5/19/2008 3:29:00 PM 49.76 5/27/2008 9:59:00 AM 48.56 -2.41% 158.38 2.27% 140.32 6982.33 -2854.28 109 1.45 -0.20% 3.90% 0/0
QQQQ Long 5/27/2008 9:59:00 AM 48.56 6/2/2008 10:44:00 AM 49.44 1.81% 119.40 1.67% 147.049 7140.72 -2734.88 108 1.11 -0.54% 3.46% 0/0
QQQQ Short 6/2/2008 10:44:00 AM 49.44 6/3/2008 11:14:00 AM 49.8 0.73% -62.86 -0.87% 146.847 7260.12 -2797.74 29 -2.17 -0.93% 0.97% 0/0
QQQQ Long 6/3/2008 11:14:00 AM 49.8 6/3/2008 1:59:00 PM 49.0101 -1.59% -124.16 -1.73% 144.523 7197.25 -2921.90 12 -10.35 -1.59% 0.16% 0/0
QQQQ Short 6/3/2008 1:59:00 PM 49.0101 6/4/2008 10:59:00 AM 49.87 1.75% -134.10 -1.90% 144.319 7073.10 -3056.00 15 -8.94 -1.75% 0.69% 0/0
QQQQ Long 6/4/2008 10:59:00 AM 49.87 6/6/2008 10:59:00 AM 49.81 -0.12% -18.35 -0.26% 139.142 6939.00 -3074.35 53 -0.35 -0.96% 1.48% 0/0
QQQQ Short 6/6/2008 10:59:00 AM 49.81 6/13/2008 10:44:00 AM 48.2 -3.23% 213.69 3.09% 138.941 6920.65 -2860.66 130 1.64 -0.16% 5.64% 0/0
QQQQ Long 6/13/2008 10:44:00 AM 48.2 6/18/2008 9:44:00 AM 48.32 0.25% 7.76 0.11% 148.015 7134.34 -2852.90 75 0.10 -0.85% 1.78% 0/0
QQQQ Short 6/18/2008 9:44:00 AM 48.32 6/19/2008 12:44:00 PM 48.5301 0.43% -41.05 -0.57% 147.808 7142.10 -2893.95 39 -1.05 -0.72% 1.47% 0/0
QQQQ Long 6/19/2008 12:44:00 PM 48.5301 6/20/2008 10:29:00 AM 47.86 -1.38% -108.05 -1.52% 146.323 7101.05 -3002.00 18 -6.00 -1.81% 0.99% 0/0
QQQQ Short 6/20/2008 10:29:00 AM 47.86 6/25/2008 10:44:00 AM 47.51 -0.73% 41.14 0.59% 146.114 6993.00 -2960.86 80 0.51 -0.06% 3.03% 0/0
QQQQ Long (max loss) 6/25/2008 10:44:00 AM 47.51 6/26/2008 9:44:00 AM 46.5598 -2.00% -150.68 -2.14% 148.056 7034.14 -3111.54 23 -6.55 -2.13% 1.03% 0/0
QQQQ Short 6/26/2008 9:59:00 AM 46.5 7/1/2008 3:14:00 PM 45.63 -1.87% 118.79 1.73% 148.031 6883.46 -2992.76 100 1.19 -0.26% 3.91% 0/0
QQQQ Long 7/1/2008 3:14:00 PM 45.63 7/2/2008 1:14:00 PM 45.31 -0.70% -59.11 -0.84% 153.457 7002.24 -3051.86 19 -3.11 -1.10% 1.10% 0/0
QQQQ Short 7/2/2008 2:29:00 PM 45.22 7/7/2008 11:14:00 AM 45.27 0.11% -17.55 -0.26% 151.047 6830.35 -3182.20 28 -0.63 -0.70% 2.08% 0/0
QQQQ Long 7/2/2008 1:59:00 PM 45.57 7/2/2008 2:29:00 PM 45.22 -0.77% -62.94 -0.91% 151.268 6893.30 -3164.65 3 -20.98 -0.77% 0.11% 0/0
QQQQ Short 7/2/2008 1:14:00 PM 45.31 7/2/2008 1:59:00 PM 45.57 0.57% -49.84 -0.72% 153.236 6943.14 -3101.70 4 -12.46 -0.57% 0.35% 0/0
QQQQ Long 7/7/2008 11:14:00 AM 45.27 7/7/2008 12:29:00 PM 44.6 -1.48% -110.83 -1.63% 150.493 6812.80 -3293.03 6 -18.47 -1.48% 0.22% 0/0
QQQQ Short 7/7/2008 12:29:00 PM 44.6 7/8/2008 10:14:00 AM 45.23 1.41% -104.67 -1.56% 150.268 6701.97 -3397.70 18 -5.81 -1.77% 0.81% 0/0
QQQQ Long 7/8/2008 10:14:00 AM 45.23 7/9/2008 3:29:00 PM 45.17 -0.13% -18.75 -0.28% 145.861 6597.30 -3416.45 48 -0.39 -0.88% 1.77% 0/0
QQQQ Short 7/9/2008 3:29:00 PM 45.17 7/15/2008 1:59:00 PM 44.5 -1.48% 87.58 1.33% 145.64 6578.55 -3328.87 99 0.88 -0.55% 4.14% 0/0
QQQQ Long 7/15/2008 1:59:00 PM 44.5 7/18/2008 10:44:00 AM 44.83 0.74% 39.43 0.59% 149.801 6666.13 -3289.44 66 0.60 -1.30% 2.97% 0/0
QQQQ Short 7/18/2008 10:44:00 AM 44.83 7/23/2008 9:44:00 AM 44.88 0.11% -17.48 -0.26% 149.578 6705.56 -3306.92 75 -0.23 -0.80% 2.16% 0/0
QQQQ Long 7/23/2008 9:44:00 AM 44.88 7/24/2008 3:44:00 PM 44.85 -0.07% -14.47 -0.22% 149.021 6688.08 -3321.39 51 -0.28 -0.36% 2.25% 0/0
QQQQ Short 7/24/2008 3:44:00 PM 44.85 7/25/2008 10:59:00 AM 45.33 1.07% -81.42 -1.22% 148.798 6673.61 -3402.81 8 -10.18 -1.07% 0.45% 0/0
QQQQ Long 7/25/2008 10:59:00 AM 45.33 7/28/2008 11:44:00 AM 44.86 -1.04% -78.35 -1.19% 145.427 6592.19 -3481.16 30 -2.61 -1.04% 0.42% 0/0
QQQQ Short 7/28/2008 11:44:00 AM 44.86 7/29/2008 10:59:00 AM 45.43 1.27% -92.77 -1.42% 145.204 6513.84 -3573.93 24 -3.87 -1.27% 1.45% 0/0
QQQQ Long 7/29/2008 10:59:00 AM 45.43 7/30/2008 1:59:00 PM 45.01 -0.92% -69.36 -1.08% 141.34 6421.07 -3643.29 39 -1.78 -1.03% 0.86% 0/0
QQQQ Long 7/30/2008 3:59:00 PM 45.56 8/1/2008 9:59:00 AM 44.67 -1.95% -132.37 -2.11% 137.491 6264.09 -3863.27 29 -4.56 -1.95% 1.29% 0/0
QQQQ Short 7/30/2008 1:59:00 PM 45.01 7/30/2008 3:59:00 PM 45.56 1.22% -87.61 -1.38% 141.118 6351.71 -3730.91 9 -9.73 -1.22% 0.29% 0/0
QQQQ Short 8/1/2008 9:59:00 AM 44.67 8/5/2008 10:44:00 AM 45.11 0.99% -70.40 -1.15% 137.267 6131.73 -3933.67 56 -1.26 -1.19% 0.83% 0/0
QQQQ Long 8/5/2008 10:44:00 AM 45.11 8/13/2008 10:14:00 AM 47.78 5.92% 348.76 5.75% 134.368 6061.33 -3584.91 155 2.25 -0.16% 7.03% 0/0
QQQQ Long 8/13/2008 2:59:00 PM 48.05 8/15/2008 2:44:00 PM 48.0499 -0.00% -10.01 -0.16% 132.443 6363.87 -3641.14 52 -0.19 -1.17% 1.08% 0/0
QQQQ Short 8/13/2008 10:14:00 AM 47.78 8/13/2008 2:59:00 PM 48.05 0.57% -46.22 -0.72% 134.158 6410.09 -3631.13 20 -2.31 -0.57% 1.11% 0/0
QQQQ Short 8/15/2008 2:44:00 PM 48.0499 8/22/2008 9:44:00 AM 47.33 -1.50% 85.20 1.34% 132.235 6353.86 -3555.95 111 0.77 -0.54% 3.48% 0/0
QQQQ Long 8/22/2008 9:44:00 AM 47.33 8/25/2008 10:59:00 AM 46.86 -0.99% -73.94 -1.15% 136.046 6439.05 -3629.89 32 -2.31 -0.99% 0.74% 0/0
QQQQ Short 8/25/2008 10:59:00 AM 46.86 8/27/2008 12:29:00 PM 46.765 -0.20% 2.90 0.05% 135.832 6365.11 -3626.99 59 0.05 -0.58% 1.58% 0/0
QQQQ Long 8/27/2008 12:29:00 PM 46.765 8/29/2008 10:14:00 AM 46.48 -0.61% -48.81 -0.77% 136.171 6368.01 -3675.79 44 -1.11 -0.61% 1.10% 0/0
QQQQ Short 8/29/2008 10:14:00 AM 46.48 9/2/2008 10:59:00 AM 46.61 0.28% -27.67 -0.44% 135.955 6319.21 -3703.47 30 -0.92 -1.29% 1.20% 0/0
QQQQ Long 9/2/2008 10:59:00 AM 46.61 9/2/2008 12:44:00 PM 46.17 -0.94% -69.39 -1.10% 134.982 6291.53 -3772.86 8 -8.67 -0.94% 0.15% 0/0
QQQQ Short 9/2/2008 12:44:00 PM 46.17 9/10/2008 3:29:00 PM 43 -6.87% 417.21 6.71% 134.766 6222.14 -3355.65 168 2.48 -0.30% 8.25% 0/0
QQQQ Short 9/10/2008 3:59:00 PM 42.738 9/11/2008 12:14:00 PM 43.102 0.85% -66.12 -1.00% 154.169 6588.89 -3472.22 12 -5.51 -1.03% 1.33% 0/0
QQQQ Long 9/10/2008 3:29:00 PM 43 9/10/2008 3:59:00 PM 42.738 -0.61% -50.45 -0.76% 154.403 6639.35 -3406.11 3 -16.82 -0.61% 0.37% 0/0
QQQQ Long 9/11/2008 12:14:00 PM 43.102 9/15/2008 10:14:00 AM 42.75 -0.82% -63.27 -0.97% 151.333 6522.78 -3535.49 45 -1.41 -1.72% 1.41% 0/0
QQQQ Short 9/15/2008 10:14:00 AM 42.75 9/18/2008 3:59:00 PM 41.53 -2.85% 174.34 2.70% 151.1 6459.51 -3361.15 102 1.71 -1.71% 7.60% 0/0
QQQQ Long 9/18/2008 3:59:00 PM 41.53 9/22/2008 12:59:00 PM 42.06 1.28% 74.66 1.13% 159.736 6633.85 -3286.49 41 1.82 -0.05% 5.54% 0/0
QQQQ Short 9/22/2008 12:59:00 PM 42.06 9/25/2008 10:14:00 AM 41.68 -0.90% 50.61 0.75% 159.499 6708.51 -3235.88 68 0.74 -0.19% 3.85% 0/0
QQQQ Long (max loss) 9/25/2008 10:14:00 AM 41.68 9/26/2008 9:44:00 AM 40.3 -3.31% -233.79 -3.46% 162.167 6759.12 -3469.67 25 -9.35 -3.50% 0.82% 0/0
QQQQ Short 9/26/2008 9:59:00 AM 40.64 9/30/2008 3:44:00 PM 39.09 -3.81% 238.87 3.66% 160.564 6525.33 -3230.80 76 3.14 -1.55% 8.51% 0/0
QQQQ Long (max loss) 9/30/2008 3:44:00 PM 39.09 10/1/2008 10:44:00 AM 38.3082 -2.00% -145.28 -2.15% 173.042 6764.20 -3376.08 7 -20.75 -2.07% 0.54% 0/0
QQQQ Short 10/1/2008 10:59:00 AM 38.2 10/3/2008 12:14:00 PM 37.76 -1.15% 66.24 1.00% 173.27 6618.92 -3309.84 58 1.14 -1.88% 4.08% 0/0
QQQQ Long 10/3/2008 12:14:00 PM 37.76 10/3/2008 1:44:00 PM 36.63 -2.99% -210.06 -3.14% 177.043 6685.16 -3519.90 7 -30.01 -2.99% 1.11% 0/0
QQQQ Short (max loss) 10/3/2008 1:44:00 PM 36.63 10/3/2008 1:44:00 PM 37.3626 2.00% -139.50 -2.15% 176.77 6475.10 -3659.40 1 -139.50 -2.65% 0.14% 0/0
QQQQ Long 10/13/2008 10:14:00 AM 32.59 10/15/2008 9:59:00 AM 33.14 1.69% 96.92 1.53% 194.403 6335.60 -3562.48 52 1.86 -0.58% 10.92% 0/0
QQQQ Short 10/15/2008 9:59:00 AM 33.14 10/17/2008 9:44:00 AM 31.96 -3.56% 219.04 3.41% 194.101 6432.52 -3343.44 52 4.21 -0.15% 11.74% 0/0
QQQQ Long 10/17/2008 9:44:00 AM 31.96 10/21/2008 12:29:00 PM 32.0695 0.34% 12.79 0.19% 208.121 6651.56 -3330.65 64 0.20 -1.72% 5.29% 0/0
QQQQ Short 10/21/2008 12:29:00 PM 32.0695 10/27/2008 1:44:00 PM 30.15 -5.99% 388.89 5.84% 207.809 6664.35 -2941.76 110 3.54 -1.72% 12.41% 0/0
QQQQ Long (max loss) 10/27/2008 1:44:00 PM 30.15 10/27/2008 2:14:00 PM 29.547 -2.00% -151.06 -2.14% 233.938 7053.24 -3092.83 3 -50.35 -2.99% 0.17% 0/0
QQQQ Short 10/27/2008 3:44:00 PM 29.43 10/28/2008 2:29:00 PM 29.84 1.39% -106.16 -1.54% 234.528 6902.17 -3198.99 22 -4.83 -1.90% 2.62% 0/0
QQQQ Long 10/28/2008 2:29:00 PM 29.84 11/3/2008 3:14:00 PM 32.6101 9.28% 620.89 9.14% 227.748 6796.01 -2578.10 108 5.75 -1.04% 12.03% 0/0
QQQQ Short 11/3/2008 3:14:00 PM 32.6101 11/4/2008 9:44:00 AM 33.258 1.99% -157.36 -2.12% 227.442 7416.90 -2735.46 5 -31.47 -2.70% 0.31% 0/0
QQQQ Long 11/4/2008 9:44:00 AM 33.258 11/5/2008 11:59:00 AM 33.14 -0.35% -35.76 -0.49% 218.28 7259.54 -2771.22 36 -0.99 -0.84% 2.26% 0/0
QQQQ Short 11/5/2008 11:59:00 AM 33.14 11/10/2008 9:59:00 AM 31.54 -4.83% 338.76 4.69% 217.978 7223.78 -2432.45 71 4.77 -1.09% 8.27% 0/0
QQQQ Open Short 11/10/2008 12:29:00 PM 30.85 11/10/2008 3:59:00 PM 30.77 -0.26% 9.19 0.12% 239.912 7401.30 -2584.51 16 0.57 -1.04% 1.46% 0/0
QQQQ Long (max loss) 11/10/2008 9:59:00 AM 31.54 11/10/2008 11:59:00 AM 30.9092 -2.00% -161.25 -2.13% 239.776 7562.55 -2593.70 9 -17.92 -2.06% 0.32% 0/0

原帖由 zero 于 2008-12-4 23:28 发表 Why the max trade draw down is only 790? Maybe your stop is not ok? I will test QQQQ tonight and let you know the result. BTW, I noticed this system is not good when tesing DIG/DUG, but really good on ...

biorjin · 发表于 2008-12-4 11:39 PM

how?

volatile market? how about this year?

原帖由 大泡泡 于 2008-12-4 23:31 发表如果加上BB呢？另外是不是要在动荡的市场才有用？

biorjin · 发表于 2008-12-4 11:43 PM

Okay, I know why you get different result.

your entry point setting is questionable, as basically every system is profitable in this way.

All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	23199.14	14315.91	18883.23
Net Profit	13199.14	4315.91	8883.23
Net Profit %	131.99 %	43.16 %	88.83 %
Exposure %	98.62 %	52.89 %	45.74 %
Net Risk Adjusted Return %	133.84 %	81.61 %	194.23 %
Annual Return %	52.49 %	19.71 %	37.54 %
Risk Adjusted Return %	53.22 %	37.26 %	82.07 %

All trades	312	156 (50.00 %)	156 (50.00 %)
Avg. Profit/Loss	42.30	27.67	56.94
Avg. Profit/Loss %	0.28 %	0.22 %	0.35 %
Avg. Bars Held	42.05	45.02	39.08

Winners	124 (39.74 %)	64 (20.51 %)	60 (19.23 %)
Total Profit	30089.60	13102.42	16987.18
Avg. Profit	242.66	204.73	283.12
Avg. Profit %	1.65 %	1.45 %	1.87 %
Avg. Bars Held	76.34	80.22	72.20
Max. Consecutive	6	5	4
Largest win	2152.32	2145.71	2152.32
# bars in largest win	143	108	143

Losers	188 (60.26 %)	92 (29.49 %)	96 (30.77 %)
Total Loss	-16890.46	-8786.51	-8103.95
Avg. Loss	-89.84	-95.51	-84.42
Avg. Loss %	-0.62 %	-0.64 %	-0.59 %
Avg. Bars Held	19.43	20.53	18.38
Max. Consecutive	11	7	13
Largest loss	-621.59	-478.79	-621.59
# bars in largest loss	5	9	5

Max. trade drawdown	-1705.69	-1455.27	-1705.69
Max. trade % drawdown	-8.01 %	-7.04 %	-8.01 %
Max. system drawdown	-1984.72	-1783.05	-1705.69
Max. system % drawdown	-12.70 %	-12.19 %	-12.42 %
Recovery Factor	6.65	2.42	5.21
CAR/MaxDD	4.13	1.62	3.02
RAR/MaxDD	4.19	3.06	6.61
Profit Factor	1.78	1.49	2.10
Payoff Ratio	2.70	2.14	3.35
Standard Error	931.68	444.90	1033.26
Risk-Reward Ratio	5.57	5.28	2.75
Ulcer Index	3.60	3.89	4.79
Ulcer Performance Index	13.07	3.68	6.71
Sharpe Ratio of trades	1.80	1.44	2.15
K-Ratio	0.0282	0.0267	0.0139

Brainteaser · 发表于 2008-12-4 11:44 PM

他的设置, 下面是宝马那个cross system 的backtest result

Statistics

	All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	49052.59	27834.53	31218.06
Net Profit	39052.59	17834.53	21218.06
Net Profit %	390.53 %	178.35 %	212.18 %
Exposure %	99.72 %	44.57 %	55.15 %
Net Risk Adjusted Return %	391.62 %	400.16 %	384.71 %
Annual Return %	290996241.52 %	1448169.73 %	4237619.79 %
Risk Adjusted Return %	291809079.91 %	3249330.84 %	7683361.10 %

All trades	110	55 (50.00 %)	55 (50.00 %)
Avg. Profit/Loss	355.02	324.26	385.78
Avg. Profit/Loss %	1.48 %	1.32 %	1.65 %
Avg. Bars Held	7.51	6.82	8.20

Winners	91 (82.73 %)	44 (40.00 %)	47 (42.73 %)
Total Profit	40616.28	18890.35	21725.93
Avg. Profit	446.33	429.33	462.25
Avg. Profit %	1.85 %	1.72 %	1.96 %
Avg. Bars Held	8.40	7.66	9.09
Max. Consecutive	14	11	16
Largest win	3248.40	2527.57	3248.40
# bars in largest win	41	22	41

Losers	19 (17.27 %)	11 (10.00 %)	8 (7.27 %)
Total Loss	-1563.68	-1055.82	-507.87
Avg. Loss	-82.30	-95.98	-63.48
Avg. Loss %	-0.27 %	-0.31 %	-0.20 %
Avg. Bars Held	3.26	3.45	3.00
Max. Consecutive	2	3	1
Largest loss	-375.83	-375.83	-202.23
# bars in largest loss	2	2	4

Max. trade drawdown	-1769.88	-1769.88	-1176.41
Max. trade % drawdown	-5.77 %	-5.77 %	-3.68 %
Max. system drawdown	-1769.88	-1769.88	-1176.41
Max. system % drawdown	-5.77 %	-9.29 %	-5.08 %
Recovery Factor	22.07	10.08	18.04
CAR/MaxDD	50428418.05	155868.23	834672.83
RAR/MaxDD	50569279.51	349729.34	1513371.44
Profit Factor	25.97	17.89	42.78
Payoff Ratio	5.42	4.47	7.28
Standard Error	674.91	700.43	730.16
Risk-Reward Ratio	544.79	259.59	254.55
Ulcer Index	0.97	1.54	1.17
Ulcer Performance Index	299379169.95	937522.06	3627637.58
Sharpe Ratio of trades	19.97	18.87	21.22
K-Ratio	0.6271	0.2988	0.2930

[ 本帖最后由 Brainteaser 于 2008-12-4 23:57 编辑 ]

Brainteaser · 发表于 2008-12-5 12:01 AM

宝马兄的这个system
$5 commission

最后是赚钱的, 不过如果2% stop loss 就亏钱了.

加上别的filter 是个很不错的system.

All trades	Long trades	Short trades
Initial capital	10000.00	10000.00	10000.00
Ending capital	10163.72	9023.62	11140.10
Net Profit	163.72	-976.38	1140.10
Net Profit %	1.64 %	-9.76 %	11.40 %
Exposure %	99.72 %	44.57 %	55.15 %
Net Risk Adjusted Return %	1.64 %	-21.91 %	20.67 %
Annual Return %	16.41 %	-61.77 %	174.68 %
Risk Adjusted Return %	16.46 %	-138.59 %	316.72 %

All trades	110	55 (50.00 %)	55 (50.00 %)
Avg. Profit/Loss	1.49	-17.75	20.73
Avg. Profit/Loss %	0.04 %	-0.15 %	0.22 %
Avg. Bars Held	7.51	6.82	8.20

Winners	34 (30.91 %)	14 (12.73 %)	20 (18.18 %)
Total Profit	8192.05	3376.18	4815.86
Avg. Profit	240.94	241.16	240.79
Avg. Profit %	2.27 %	2.26 %	2.27 %
Avg. Bars Held	13.68	12.43	14.55
Max. Consecutive	4	2	3
Largest win	852.50	852.50	846.71
# bars in largest win	22	22	41

Losers	76 (69.09 %)	41 (37.27 %)	35 (31.82 %)
Total Loss	-8028.33	-4352.56	-3675.77
Avg. Loss	-105.64	-106.16	-105.02
Avg. Loss %	-0.96 %	-0.97 %	-0.95 %
Avg. Bars Held	4.75	4.90	4.57
Max. Consecutive	10	8	7
Largest loss	-369.13	-369.13	-316.14
# bars in largest loss	3	3	16

Max. trade drawdown	-700.98	-700.98	-442.95
Max. trade % drawdown	-5.77 %	-5.77 %	-3.74 %
Max. system drawdown	-2468.04	-1484.85	-1676.72
Max. system % drawdown	-19.54 %	-14.13 %	-13.42 %
Recovery Factor	0.07	-0.66	0.68
CAR/MaxDD	0.84	-4.37	13.02
RAR/MaxDD	0.84	-9.81	23.61
Profit Factor	1.02	0.78	1.31
Payoff Ratio	2.28	2.27	2.29
Standard Error	600.71	315.23	463.28
Risk-Reward Ratio	8.83	-1.11	12.20
Ulcer Index	8.55	6.29	6.40
Ulcer Performance Index	1.29	-10.67	26.44
Sharpe Ratio of trades	0.46	-2.47	2.89
K-Ratio	0.0102	-0.0013	0.0140

amd2k · 发表于 2008-12-5 12:08 AM

原帖由 biorjin 于 2008-12-4 23:43 发表 Okay, I know why you get different result. your entry point setting is questionable, as basically every system is profitable in this way. All trades Long trades ...

宝马老大给说说entry point setting有什么问题，俺也经常用amibroker backtest, 搞出很多profit吓人的结果, 但是用到实际trading的时候输多赢少。现在觉得我肯定也被backtesting的什么setting给骗了

biorjin · 发表于 2008-12-5 12:08 AM

Have you got a chance to try Kwik POP's indicators before?

zero · 发表于 2008-12-5 12:17 AM

宝马, please take a look at this trade in your post

QQQQ Long 1/10/2008 11:59:00 AM 47.59 1/11/2008 11:14:00 AM 47.45 -0.29% -35.68 -0.41% 183.426 8729.23 -1301.45 24 -1.49 -0.53% 1.72% 0/0 [ 本帖最后由 zero 于 2008-12-5 00:26 编辑 ]

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