Advice Engine Validation

CISCO

37 Years of Excellence in Auction Market Research

CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com

Advice Engine Validation

CMSC

August 7, 2008
Phase 1: Balances from Advice Engine

Research Parameters

Overlays: 5, 10 Days From AE Select Table
Period Covered: 2006 - 2007
Futures: AB, BP, EC, GC, JY, ND, NQ, SV, UU, YM
Model: Simultaneous Longs - Shorts

Results

Wins 48%, Per Tde $176, Max Drawdown $6,525 (13 Days), 1.0 Tds/Dy

The CISCO Advice Engine (AE) is a continuing example of the application of value based reasoning in futures trading. Each evening AE lists those markets in balance at the end of the day for trading guidance the following day. A 'Select Table' carries the balances a CISCO algorithm finds to have superior promise. Each individual market's balanced Overlays are available from the CISCO Visual Graphic Report. The advantage of the AE Report is that all balancing markets are found in one place. The trader who wants a quick survey of all markets that offer the edge of 'balance' finds them in the AE Report.

Included in the AE Report is the behavior of the previous day's balances. If a market broke out, it's maximum move (the Potential) is listed. Potential measures the maximum amount a trader could have gained by taking the break-out at the posted bracket limit. A history of the Potential for a given future leads to the Figure of Merit, the ratio of Potential to Risk. The Potentials and the Figure of Merit validates AE.

A difficulty lies in relating the AE's Figure of Merit to real trading. A market can take many paths to reach it's maximum (high or low for the day), some more risky than others. Potential takes no account of the path.

In this study we set out to develop an evaluation of AE that was, at least to some degree, path specific. We were looking for a 'broad-brush' methodology that was more specific than 'Potential', e.g. "the average return on emini SP trades is 40 percent of the Potential".

We failed this objective because of the wide variety of market conditions a trade may encounter. We were driven to a less general, more market specific approach, a proto-trading model. Results from that model are the subject of this report.

Our results in the tables and discussion below give powerful support to Advice Engine data as a starting point for the day-trader's analysis. Our courses teach that: 1) balances are the starting point for market analysis for all traders, initiative and responsive, 2) the limits of the balances give valid support and resistance points, and (3 the balance range is a guide to risk. We have applied this reasoning in setting up the model. The results, we believe, are a powerful validation of the Advice Engine data base.

The study portfolio includes ten commodities (AB, BP, EC, GC, JY, ND, NQ, SV, UU, YM), typically over half the futures market on a tick basis. Time period covered: 2006 and 2007. Results (before provision for slip and fees) were 528 trades, 48 percent wins, per trade return is $176. Maximum drawdown was $6,525 over the period Oct. 19, 2007 to Nov. 7, 2007 (13 trading days). We show a trade-by-trade list of the entire portfolio in time sequence and later, each future separately.

The futures training industry offers many tools of dubious value (indicators, relative strength, charts, etc). Few, if any, are validated and most can be rejected on the basis of known market dynamics. This study shows the value of understanding balance and using that information to build one's trading strategy. This study is not a completed, ready-to-trade trading model. Indeed, CISCO does not sell models. What we present here is convincing evidence that an organized methodology for using market generated variables can provide a solid base for trading decisions.

The Trader Mentality
Traders tend to view themselves kind of like bricklayers. The bricklayer is paid to build a wall. A certain amount of wall is expected each day. Most jobs are of this sort; there is a task that can be measured on a daily basis. To many traders, they have a job. They must produce so much 'wall' (trades, gain, etc.) every day. But the market is not like the wall of the bricklayer or other straightforward jobs. The auction market for any commodity responds to all sorts of changing conditions. So the trader says "I will learn my market, e.g. the emini SP, backwards, forward and upside down" so that every blip will be understood. Committment to one market is implicitly agreement to ignore all others. The Advice Engine daily table shows the folly of concentrating on a single market. The trades list below shows the mini Russell (AB) traded on Dec 8, 2005, Dec 15, 2005, Feb 6, 2006, Feb 23, 2006, etc. The emini SP traded on Dec 13, 2005, Jan 20, 2006, Feb 9, 2006 and so on. No market offers opportunity every day. In the same time period, no Advice Engine trades were made on Dec 9, 12, 14, 15, 16,.... Unlike the bricklayer's wall, the futures market for any commodity has times when it should not be worked. On Dec 8 we would work the AB wall, on Dec 13 it is the UU (ES) wall and so on.

Markets vary widely from day to day and even within a day. Likewise, sometimes a market is easy to trade (a run that just keeps going). Other situations are much harder to understand (e.g., a very choppy market going nowhere). Opportunity is sometimes present and more often not. The wisest move for a bricklayer is to make so much wall every day (or risk being fired). The wisest move for a trader is to trade only those markets that currently offer an edge. Knowing market condition (the balances in the AE table) offers a fundamental edge.

How does a trader gain the AE edge? Step 1 is to simply understand the AE daily report. It lists the markets in balance and their support and resistance levels. In the balanced markets value is defined and price that moves outside the balance limits is easily tracked. This is value trading: if value is not changing, the balance region remains intact. If value is changing (price outside the congestion), balance is broken and a trend may be underway.

Back in 1985 Pete Steidlmayer led the effort to read value from a market's daily behavior (market profile value area in the CBOT product 'CBOT Market Profile'). Advice Engine is a descendent of the profile. AE goes well beyond the one-day profile by considering multiple day activity. AE finds market condition (balance or trend) for a variety of active markets daily. If a market is in balance (a congesting condition) value is known as well as the upper and lower limits of the congestion region (support and resistance).

So the data are there for market selection on a wide variety of markets on a daily basis; providing trading strategy information on one's chosen markets. Our job here is to take the AE data and to logically show that data to be useful in the trading arena.

The data base for our experiment here is Part 2 of the AE Report; those markets that broke out from their previous day's balances. That is, the previous day's AE Report, Part 1, showed a group of balances (maybe 30 futures). Part 2 of the current day's report listing the yesterday balanced markets that broke out, with their Potential. (Reach the Advice Engine at www.cisco-futures.com/np_advice_engine.html.)

In our work to generally validate the Advice Engine concept we kept running into the question of 'proof'. There seemed to always be a 'yes, but'. That led us into more and more detailed analyses, until finally we ended with a proto-trading model.

In this report we are NOT presenting a complete trading model, although the output tables do list entries and exits. (Limitations are detailed in the trading tables below.) The level of detail in the Tables is required to obtain the evidence needed to prove that the AE data are a valid support tool for the trader.

Based on Advice Engine data entirely, we believe our work convincingly shows that Advice Engine data can be used in a highly quantitative way to understand the market and to act as the base for trading strategies.

From the inception of the Advice Engine product eight years ago, our thesis has been that trading decisions must be based on evidence (you must know the market condition). The AE daily report is a source of market condition. Each trader has control over how the information is used and in fact, each will behave according to their own goals. But, if they do not know market condition they are engaging in a guessing game.

Our second thesis is that all markets go through phases in which they are too dangerous or too dead to trade. Unfortunately, these high risk phases are often hard to recognize, except for the mounting losses. The only safe alternative, as we see it, is to diversify. Diversification is difficult for the average trader (which markets to diversify into, how to research trading in such markets, etc.). For the bricklayer, that wall is always there to be built. For the trader, that market will not always offer adequate Potential. The wise decision is to look at other markets--it is rare that none of our covered markets offer potential. In the study below we will illustrate the value of diversification.

The Tables
Table 1 is our proto-trading model results covering AE data for 2006 and 2007 for the commodities AB, UU (ES), BP, EC, JY, GC, SV, NQ, ND, YM. Both 5 and 10 day Overlays are included, but not specifically identified. A total of 528 trades comes out to be about one trade per trading day for the two year test period. The average trade shows a $176 gain. (No slip or costs are included.) Understand, this is a theoretical result: real world trading can be substantially different (see Limitations below Table 1). Most importantly, the table displays a certain consistency, a general move toward profitability. That shows the overall value of an 'edge'. Much of the real world is mirrored in the drawdowns, particularly in Table 2. Drawdowns occur in all trading; a fact of life for a trader. Drawdowns can be eased by trading several markets--this is shown by comparing the collective Table 1 to the individual markets of Table 2.


                                  Table 1
                          CMSC Multi-Phase System
               Advice Engine Validation: 2006-2007 Test Base
                   Futures: AB,UU,BP,EC,JY,GC,SV,NQ,ND,YM
                (Dollar sums are exclusive of fees and slip)

           Del     Date  T-In      P-In  T-Out    P-Out     Pts     $    Sum$
     1 AB 0603 20051208 09:59:00  69200 12:04:00  69160     -40   -40     -40
     2 AB 0603 20051208 12:04:00  69160 14:03:00  68790     370   370     330
     3 AB 0603 20051208 12:33:00  69210 13:14:00  68870    -340  -340     -10
     4 UU 0603 20051213 06:37:00 127025 14:29:00 127550     525   262     252
     5 UU 0603 20051213 11:30:00 127025 13:20:00 127525    -500  -250       2
     6 AB 0603 20051215 08:45:00  68790 08:46:00  69210    -420  -420    -418
     7 AB 0603 20051215 08:48:00  69170 09:29:00  68730     440   440      22
     8 SV 0603 20060113 07:29:00   9035 09:35:00   9125     -90  -450    -428
     9 SV 0603 20060113 07:29:00   9035 08:12:00   9030       5    25    -403
    10 SV 0603 20060113 08:13:00   9045 12:58:00   9155     110   550     147
    11 SV 0603 20060113 08:13:00   9045 10:50:00   9195     150   750     897
    12 SV 0603 20060113 08:49:00   9040 09:33:00   9105     -65  -325     572
    13 BP 0603 20060117 03:30:00  17645 10:09:00  17618      27   175     747
    14 SV 0603 20060119 08:17:00   9050 12:59:00   9110      60   300    1047
    15 SV 0603 20060119 08:23:00   9035 12:25:00   9110     -75  -375     672
    16 SV 0603 20060119 09:49:00   9070 12:59:00   9110      40   200     872
    17 BP 0603 20060119 09:58:00  17636 10:49:00  17599     -37  -240     632
    18 SV 0603 20060119 12:01:00   9070 12:59:00   9110     -40  -200     432
    19 UU 0603 20060120 08:04:00 128650 09:31:00 128175    -475  -237     195
    20 UU 0603 20060120 08:46:00 128650 15:15:00 126475    2175  1087    1282
    21 SV 0603 20060124 08:12:00   9040 12:59:00   9240     200  1000    2282
    22 BP 0603 20060203 03:05:00  17765 13:29:00  17629     136   884    3166
    23 BP 0603 20060203 03:46:00  17756 13:29:00  17629     127   825    3991
    24 BP 0603 20060203 04:39:00  17762 07:35:00  17716     -46  -299    3692
    25 BP 0603 20060203 04:44:00  17765 07:36:00  17703     -62  -403    3289
    26 AB 0603 20060206 15:10:00  73100 15:59:00  73110      10    10    3299
    27 GC 0604 20060207 07:23:00   5678 08:04:00   5675       3    18    3317
    28 SV 0603 20060207 07:25:00   9605 12:59:00   9400     205  1025    4342
    29 UU 0603 20060209 14:42:00 126550 15:57:00 126700    -150   -75    4267
    30 UU 0603 20060209 15:33:00 126625 15:57:00 126700      75    37    4304
    31 UU 0603 20060214 08:07:00 126625 10:12:00 127050    -425  -212    4092
    32 UU 0603 20060214 08:31:00 126700 15:56:00 127775    1075   537    4629
    33 NQ 0603 20060222 10:28:00 167750 15:14:00 167950     200   100    4729
    34 AB 0603 20060223 08:59:00  72970 09:38:00  73240    -270  -270    4459
    35 AB 0603 20060223 09:07:00  73040 13:56:00  73570     530   530    4989
    36 ND 0603 20060223 10:25:00 168600 13:14:00 168600       0     0    4989
    37 ND 0603 20060223 10:39:00 168500 12:19:00 169200    -700  -700    4289
    38 ND 0603 20060223 13:19:00 168500 15:53:00 167400    1100  1100    5389
    39 NQ 0603 20060224 14:00:00 168250 14:30:00 167800    -450  -225    5164
    40 NQ 0603 20060224 15:03:00 168300 15:14:00 168350      50    25    5189
    41 NQ 0603 20060224 15:10:00 168250 15:14:00 168350    -100   -50    5139
    42 BP 0603 20060228 04:37:00  17462 08:34:00  17464       2    13    5152
    43 BP 0603 20060228 06:33:00  17462 07:44:00  17497     -35  -227    4925
    44 EC 0603 20060228 09:11:00 119160 10:05:00 119170      10    12    4937
    45 EC 0603 20060228 09:17:00 119150 09:24:00 119330    -180  -225    4712
    46 AB 0603 20060301 09:46:00  73560 15:56:00  74390     830   830    5542
    47 UU 0603 20060303 07:08:00 129000 08:02:00 128425     575   287    5829
    48 UU 0603 20060303 07:20:00 129000 07:56:00 128600    -400  -200    5629
    49 NQ 0603 20060303 08:00:00 168100 08:50:00 169200   -1100  -550    5079
    50 NQ 0603 20060303 08:00:00 168100 08:03:00 169100   -1000  -500    4579
    51 ND 0603 20060303 08:00:00 168050 08:03:00 169350   -1300 -1300    3279
    52 NQ 0603 20060303 08:05:00 168500 09:23:00 169350    -850  -425    2854
    53 NQ 0603 20060303 08:26:00 168750 14:09:00 169650     900   450    3304
    54 UU 0603 20060303 09:27:00 129000 14:05:00 129375     375   187    3491
    55 NQ 0603 20060303 14:34:00 168750 15:15:00 168550     200   100    3591
    56 UU 0603 20060303 14:35:00 129000 15:22:00 128650     350   175    3766
    57 UU 0603 20060306 05:33:00 129000 08:40:00 128600    -400  -200    3566
    58 ND 0603 20060306 08:37:00 168800 15:50:00 167200    1600  1600    5166
    59 ND 0603 20060306 08:49:00 168900 12:38:00 167650   -1250 -1250    3916
    60 YM 0606 20060310 07:33:00  11063 11:21:00  11145      82   410    4326
    61 YM 0606 20060310 07:44:00  11056 08:04:00  11080     -24  -120    4206
    62 YM 0606 20060310 08:37:00  11058 08:48:00  11081     -23  -115    4091
    63 YM 0606 20060310 08:50:00  11089 13:49:00  11124      35   175    4266
    64 YM 0606 20060310 09:04:00  11077 09:18:00  11105     -28  -140    4126
    65 UU 0606 20060314 05:29:00 129425 15:59:00 130900    1475   737    4863
    66 UU 0606 20060314 07:25:00 129425 08:58:00 129925    -500  -250    4613
    67 ND 0606 20060314 08:37:00 167550 15:58:00 170400    2850  2850    7463
    68 ND 0606 20060314 08:37:00 167550 09:40:00 167700     150   150    7613
    69 NQ 0606 20060314 08:45:00 168050 15:14:00 170450    2400  1200    8813
    70 UU 0603 20060314 09:06:00 128950 15:54:00 129825     875   437    9250
    71 NQ 0606 20060314 09:23:00 167950 12:19:00 169050   -1100  -550    8700
    72 SV 0605 20060321 07:26:00  10280 08:37:00  10280       0     0    8700
    73 NQ 0606 20060321 08:21:00 170650 08:41:00 169850    -800  -400    8300
    74 SV 0605 20060321 08:37:00  10280 08:59:00  10225     -55  -275    8025
    75 NQ 0606 20060321 10:07:00 170650 12:46:00 171550     900   450    8475
    76 SV 0605 20060321 10:31:00  10280 11:33:00  10455     175   875    9350
    77 NQ 0606 20060321 13:15:00 170350 15:14:00 169000    1350   675   10025
    78 GC 0604 20060324 06:33:00   5505 15:29:00   5605     100   600   10625
    79 UU 0606 20060328 06:09:00 131100 11:21:00 131425    -325  -162   10463
    80 UU 0606 20060328 07:25:00 131100 13:17:00 131125      25    12   10475
    81 UU 0606 20060328 13:19:00 130925 15:58:00 130200     725   362   10837
    82 NQ 0606 20060328 13:32:00 169300 15:14:00 169000     300   150   10987
    83 ND 0606 20060329 08:03:00 169400 15:49:00 172100    2700  2700   13687
    84 NQ 0606 20060329 09:25:00 170200 15:14:00 172050    1850   925   14612
    85 ND 0606 20060329 09:25:00 170200 15:49:00 172100    1900  1900   16512
    86 YM 0606 20060330 09:06:00  11305 09:42:00  11271     -34  -170   16342
    87 YM 0606 20060330 09:17:00  11304 14:37:00  11230      74   370   16712
    88 UU 0606 20060403 07:55:00 130925 09:25:00 131300    -375  -187   16525
    89 UU 0606 20060403 08:54:00 130925 13:29:00 131300     375   187   16712
    90 UU 0606 20060403 14:36:00 130875 15:59:00 130625     250   125   16837
    91 YM 0606 20060406 11:07:00  11237 12:39:00  11265     -28  -140   16697
    92 UU 0606 20060406 11:19:00 131125 12:22:00 131500    -375  -187   16510
    93 UU 0606 20060406 11:30:00 131125 15:59:00 131725     600   300   16810
    94 YM 0606 20060406 11:35:00  11240 14:02:00  11272      32   160   16970
    95 YM 0606 20060407 09:20:00  11262 13:41:00  11219      43   215   17185
    96 UU 0606 20060407 09:31:00 131100 13:41:00 130825     275   137   17322
    97 UU 0606 20060407 10:06:00 131100 10:32:00 130750    -350  -175   17147
    98 ND 0606 20060407 10:47:00 173750 15:20:00 173975    -225  -225   16922
    99 ND 0606 20060407 14:48:00 173750 15:20:00 173975     225   225   17147
   100 YM 0606 20060417 08:28:00  11175 08:50:00  11204     -29  -145   17002
   101 ND 0606 20060417 09:09:00 172950 11:24:00 171950   -1000 -1000   16002
   102 YM 0606 20060417 10:03:00  11173 14:26:00  11107      66   330   16332
   103 YM 0606 20060417 10:29:00  11177 11:30:00  11148     -29  -145   16187
   104 NQ 0606 20060418 10:52:00 172400 13:15:00 173400    1000   500   16687
   105 ND 0606 20060421 13:04:00 173000 15:20:00 171900    1100  1100   17787
   106 UU 0606 20060425 09:01:00 131400 15:13:00 130925     475   237   18024
   107 BP 0606 20060427 01:40:00  17865 13:29:00  18034     169  1098   19122
   108 BP 0606 20060427 02:05:00  17865 08:28:00  17896     -31  -201   18921
   109 YM 0606 20060427 09:00:00  11356 09:33:00  11349      -7   -35   18886
   110 YM 0606 20060427 09:01:00  11372 09:21:00  11375       3    15   18901
   111 YM 0606 20060427 09:22:00  11366 10:09:00  11394     -28  -140   18761
   112 YM 0606 20060427 09:33:00  11349 09:54:00  11381     -32  -160   18601
   113 YM 0606 20060427 09:48:00  11360 15:28:00  11420      60   300   18901
   114 YM 0606 20060427 09:51:00  11373 13:14:00  11409      36   180   19081
   115 AB 0606 20060428 09:14:00  77060 15:36:00  76880    -180  -180   18901
   116 AB 0606 20060428 09:23:00  77000 15:36:00  76880     120   120   19021
   117 ND 0606 20060501 08:14:00 171500 11:39:00 170925    -575  -575   18446
   118 ND 0606 20060501 08:37:00 171450 15:47:00 169525    1925  1925   20371
   119 ND 0606 20060501 14:16:00 171500 14:19:00 170700    -800  -800   19571
   120 UU 0606 20060501 14:22:00 131200 15:59:00 130950     250   125   19696
   121 YM 0606 20060501 14:36:00  11370 15:29:00  11373      -3   -15   19681
   122 YM 0606 20060501 14:46:00  11384 15:29:00  11373     -11   -55   19626
   123 BP 0606 20060519 01:58:00  18885 10:40:00  18751     134   871   20497
   124 EC 0606 20060522 09:21:00 128350 15:59:00 128880     530   662   21159
   125 BP 0606 20060522 09:22:00  18822 13:29:00  18883      61   396   21555
   126 GC 0606 20060531 06:42:00   6518 07:29:00   6560     -42  -252   21303
   127 GC 0606 20060531 09:07:00   6510 09:53:00   6462      48   288   21591
   128 ND 0606 20060601 08:47:00 159100 15:43:00 161875    2775  2775   24366
   129 ND 0606 20060601 08:54:00 159000 13:00:00 160400   -1400 -1400   22966
   130 BP 0606 20060602 04:44:00  18666 13:29:00  18846     180  1170   24136
   131 BP 0606 20060602 05:03:00  18663 07:29:00  18709     -46  -299   23837
   132 BP 0609 20060622 01:33:00  18498 02:29:00  18460     -38  -247   23590
   133 BP 0609 20060622 01:39:00  18493 10:41:00  18347     146   949   24539
   134 BP 0609 20060622 02:03:00  18483 13:30:00  18323     160  1040   25579
   135 AB 0609 20060623 07:23:00  69140 08:58:00  69130      10    10   25589
   136 AB 0609 20060623 08:28:00  69180 08:38:00  68690    -490  -490   25099
   137 AB 0609 20060623 09:19:00  69270 15:21:00  69660     390   390   25489
   138 UU 0609 20060627 05:18:00 125850 10:02:00 125850       0     0   25489
   139 YM 0609 20060627 09:56:00  11090 14:18:00  11030      60   300   25789
   140 UU 0609 20060627 10:02:00 125850 15:59:00 125025     825   412   26201
   141 SV 0607 20060627 12:23:00  10200 12:41:00  10195       5    25   26226
   142 SV 0609 20060628 07:35:00  10380 10:13:00  10290      90   450   26676
   143 EC 0609 20060711 14:22:00 128360 15:59:00 128320     -40   -50   26626
   144 UU 0609 20060711 14:24:00 128025 15:58:00 128225     200   100   26726
   145 UU 0609 20060711 14:25:00 128050 15:58:00 128225     175    87   26813
   146 UU 0609 20060711 14:55:00 128050 15:58:00 128225    -175   -87   26726
   147 YM 0609 20060712 09:01:00  11172 15:28:00  11082      90   450   27176
   148 YM 0609 20060712 09:09:00  11178 09:40:00  11147     -31  -155   27021
   149 BP 0609 20060713 02:14:00  18406 02:23:00  18382     -24  -156   26865
   150 BP 0609 20060713 02:30:00  18407 05:07:00  18408       1     6   26871
   151 AB 0609 20060720 13:09:00  69170 15:56:00  68800     370   370   27241
   152 AB 0609 20060720 13:32:00  69230 15:06:00  68410    -820  -820   26421
   153 NQ 0609 20060727 13:01:00 148525 15:14:00 149325    -800  -400   26021
   154 AB 0609 20060728 08:02:00  69360 09:09:00  69480     120   120   26141
   155 AB 0609 20060728 09:11:00  69280 10:03:00  69810    -530  -530   25611
   156 AB 0609 20060728 09:32:00  69390 15:21:00  70390    1000  1000   26611
   157 AB 0609 20060803 07:35:00  69620 12:01:00  70100    -480  -480   26131
   158 AB 0609 20060803 09:18:00  69640 15:59:00  70940    1300  1300   27431
   159 ND 0609 20060803 09:19:00 150500 15:44:00 152100    1600  1600   29031
   160 ND 0609 20060803 10:18:00 150500 12:15:00 151800   -1300 -1300   27731
   161 ND 0609 20060804 12:25:00 150100 15:07:00 151350   -1250 -1250   26481
   162 UU 0609 20060804 13:25:00 127925 14:31:00 128300    -375  -187   26294
   163 ND 0609 20060804 14:02:00 150200 15:25:00 151550    1350  1350   27644
   164 UU 0609 20060804 14:09:00 128000 15:24:00 128600     600   300   27944
   165 SV 0609 20060810 07:40:00  12320 12:43:00  12105     215  1075   29019
   166 SV 0609 20060810 07:58:00  12350 09:23:00  12230    -120  -600   28419
   167 SV 0609 20060811 08:43:00  12375 09:50:00  12260    -115  -575   27844
   168 ND 0609 20060815 07:30:00 151425 15:57:00 154025    2600  2600   30444
   169 NQ 0609 20060815 07:30:00 151450 15:15:00 154075    2625  1312   31756
   170 BP 0609 20060817 03:29:00  19019 07:36:00  18958     -61  -396   31360
   171 SV 0612 20060828 08:17:00  12560 12:41:00  12197     363  1815   33175
   172 ND 0609 20060829 09:19:00 156400 14:27:00 157400   -1000 -1000   32175
   173 UU 0609 20060829 09:24:00 129950 13:15:00 130375    -425  -212   31963
   174 UU 0609 20060829 09:33:00 129900 13:14:00 130225    -325  -162   31801
   175 BP 0609 20060829 09:52:00  18920 13:05:00  18956     -36  -234   31567
   176 BP 0609 20060829 10:13:00  18925 13:29:00  18978      53   344   31911
   177 UU 0609 20060829 11:41:00 129950 15:58:00 130500     550   275   32186
   178 UU 0609 20060829 11:41:00 129950 15:58:00 130500     550   275   32461
   179 ND 0609 20060829 13:07:00 156400 15:54:00 157650    1250  1250   33711
   180 BP 0609 20060905 01:51:00  19013 04:54:00  19009       4    26   33737
   181 ND 0609 20060911 11:29:00 158100 14:09:00 158300     200   200   33937
   182 NQ 0612 20060925 07:15:00 164900 09:10:00 163800   -1100  -550   33387
   183 UU 0612 20060925 07:16:00 133025 08:59:00 132625    -400  -200   33187
   184 NQ 0612 20060925 07:34:00 164900 10:23:00 164700     200   100   33287
   185 NQ 0612 20060925 11:21:00 164925 15:15:00 166550    1625   812   34099
   186 UU 0612 20060925 11:50:00 133100 15:57:00 133550     450   225   34324
   187 AB 0612 20060929 14:59:00  73000 15:15:00  73010     -10   -10   34314
   188 ND 0612 20061002 10:32:00 167000 12:40:00 166000   -1000 -1000   33314
   189 ND 0612 20061002 10:59:00 166950 15:58:00 164425    2525  2525   35839
   190 GC 0612 20061003 06:58:00   5967 15:55:00   5790     177  1062   36901
   191 SV 0612 20061003 07:25:00  11330 12:41:00  11885     465  2325   39226
   192 YM 0612 20061003 07:28:00  11725 11:05:00  11785     -60  -300   38926
   193 SV 0612 20061003 07:34:00  11360 08:34:00  11180    -180  -900   38026
   194 YM 0612 20061003 08:05:00  11726 15:29:00  11789      63   315   38341
   195 UU 0612 20061003 11:05:00 134400 13:30:00 134400       0     0   38341
   196 UU 0612 20061003 13:30:00 134400 13:49:00 134700    -300  -150   38191
   197 UU 0612 20061003 14:39:00 134375 15:59:00 134350      25    12   38203
   198 UU 0612 20061003 14:59:00 134425 15:59:00 134350     -75   -37   38166
   199 ND 0612 20061004 06:10:00 165725 15:58:00 169375    3650  3650   41816
   200 AB 0612 20061023 09:24:00  76990 12:41:00  76700    -290  -290   41526
   201 AB 0612 20061023 09:44:00  76940 15:54:00  76630     310   310   41836
   202 AB 0612 20061026 09:43:00  76780 10:31:00  77050    -270  -270   41566
   203 AB 0612 20061026 09:53:00  76840 15:56:00  77880    1040  1040   42606
   204 UU 0612 20061101 07:17:00 138600 09:15:00 138175    -425  -212   42394
   205 YM 0612 20061101 07:19:00  12141 09:13:00  12110     -31  -155   42239
   206 UU 0612 20061101 08:30:00 138600 16:00:00 137250    1350   675   42914
   207 YM 0612 20061101 08:53:00  12134 15:29:00  12063      71   355   43269
   208 YM 0612 20061114 07:19:00  12167 08:54:00  12165      -2   -10   43259
   209 YM 0612 20061114 08:54:00  12165 11:47:00  12144      21   105   43364
   210 YM 0612 20061114 09:01:00  12167 09:13:00  12143     -24  -120   43244
   211 UU 0612 20061114 09:13:00 138625 10:28:00 138650     -25   -12   43232
   212 UU 0612 20061114 11:48:00 138675 15:59:00 139725    1050   525   43757
   213 YM 0612 20061114 12:23:00  12166 15:29:00  12254      88   440   44197
   214 YM 0612 20061114 12:56:00  12165 13:39:00  12189     -24  -120   44077
   215 AB 0612 20061122 09:15:00  79180 10:09:00  79440    -260  -260   43817
   216 YM 0612 20061124 10:16:00  12337 10:37:00  12322     -15   -75   43742
   217 ND 0612 20061127 08:54:00 180900 15:46:00 177950    2950  2950   46692
   218 NQ 0612 20061127 08:58:00 180875 15:14:00 177925    2950  1475   48167
   219 ND 0612 20061204 08:30:00 178450 15:58:00 180350    1900  1900   50067
   220 ND 0612 20061207 09:06:00 179800 15:23:00 177650    2150  2150   52217
   221 EC 0703 20061208 07:45:00 133790 09:13:00 134000     210   262   52479
   222 EC 0703 20061208 10:41:00 133570 11:23:00 132930     640   800   53279
   223 UU 0612 20061212 08:33:00 141200 09:35:00 141450    -250  -125   53154
   224 UU 0703 20061212 09:06:00 142375 09:33:00 142625    -250  -125   53029
   225 UU 0612 20061212 09:13:00 141225 11:07:00 140975    -250  -125   52904
   226 UU 0612 20061212 10:41:00 141175 12:32:00 140950     225   112   53016
   227 UU 0703 20061212 10:41:00 142400 11:39:00 142050     350   175   53191
   228 UU 0703 20061212 13:23:00 142475 13:36:00 142225    -250  -125   53066
   229 UU 0612 20061212 13:23:00 141250 13:36:00 141000    -250  -125   52941
   230 UU 0703 20061212 13:35:00 142350 13:50:00 142350       0     0   52941
   231 UU 0703 20061212 13:58:00 142425 15:15:00 142475      50    25   52966
   232 UU 0612 20061212 14:03:00 141275 15:52:00 141250     -25   -12   52954
   233 UU 0612 20061212 14:12:00 141200 15:52:00 141250     -50   -25   52929
   234 UU 0703 20061212 14:18:00 142400 15:15:00 142475     -75   -37   52892
   235 BP 0612 20061213 08:35:00  19616 09:07:00  19655     -39  -253   52639
   236 BP 0612 20061213 08:43:00  19620 13:24:00  19660      40   260   52899
   237 YM 0612 20061213 12:39:00  12306 13:21:00  12318     -12   -60   52839
   238 NQ 0703 20061214 07:28:00 180950 15:14:00 182600    1650   825   53664
   239 ND 0703 20061214 07:47:00 180975 15:50:00 182700    1725  1725   55389
   240 NQ 0703 20061214 07:50:00 181100 15:14:00 182600    1500   750   56139
   241 ND 0703 20061214 07:52:00 181150 15:50:00 182700    1550  1550   57689
   242 NQ 0703 20061214 08:28:00 180950 08:51:00 181825    -875  -437   57252
   243 ND 0703 20061214 08:30:00 180900 08:52:00 182000   -1100 -1100   56152
   244 AB 0703 20061214 08:31:00  79920 09:51:00  80310     390   390   56542
   245 BP 0703 20061215 01:27:00  19630 03:29:00  19592     -38  -247   56295
   246 BP 0703 20061215 01:59:00  19629 07:30:00  19653     -24  -156   56139
   247 BP 0612 20061215 03:00:00  19619 07:30:00  19644     -25  -162   55977
   248 SV 0703 20061215 07:30:00  13960 08:13:00  13870     -90  -450   55527
   249 BP 0612 20061215 07:30:00  19644 08:36:00  19606     -38  -247   55280
   250 BP 0703 20061215 07:30:00  19653 08:36:00  19610     -43  -279   55001
   251 BP 0703 20061215 07:31:00  19656 08:37:00  19605     -51  -331   54670
   252 BP 0703 20061215 07:48:00  19649 13:29:00  19518     131   851   55521
   253 BP 0703 20061215 08:32:00  19629 13:29:00  19518     111   721   56242
   254 BP 0612 20061215 08:34:00  19620 13:28:00  19512     108   702   56944
   255 AB 0703 20061218 10:03:00  79830 15:59:00  78990     840   840   57784
   256 AB 0703 20061218 10:14:00  79910 11:00:00  79460    -450  -450   57334
   257 NQ 0703 20061218 13:44:00 181775 15:14:00 181100     675   337   57671
   258 ND 0703 20061218 13:45:00 181600 15:40:00 181225     375   375   58046
   259 NQ 0703 20061218 13:45:00 181650 15:14:00 181100     550   275   58321
   260 ND 0703 20061218 13:45:00 181600 15:40:00 181225     375   375   58696
   261 UU 0703 20061221 06:03:00 143650 15:15:00 143025     625   312   59008
   262 UU 0703 20061221 07:48:00 143650 09:58:00 143325    -325  -162   58846
   263 BP 0703 20061228 04:57:00  19607 09:00:00  19618      11    71   58917
   264 BP 0703 20061228 06:11:00  19607 07:19:00  19638     -31  -201   58716
   265 BP 0703 20061228 09:01:00  19597 10:48:00  19629     -32  -208   58508
   266 BP 0703 20061228 09:14:00  19607 13:28:00  19646      39   253   58761
   267 AB 0703 20070104 13:53:00  79550 15:59:00  79590      40    40   58801
   268 AB 0703 20070104 15:00:00  79500 15:59:00  79590     -90   -90   58711
   269 ND 0703 20070110 06:27:00 180125 15:58:00 183850    3725  3725   62436
   270 ND 0703 20070110 08:36:00 180000 09:01:00 181100   -1100 -1100   61336
   271 UU 0703 20070110 12:46:00 142200 15:14:00 142450     250   125   61461
   272 UU 0703 20070110 12:55:00 142175 15:14:00 142450    -275  -137   61324
   273 AB 0703 20070111 07:24:00  78370 08:36:00  78920    -550  -550   60774
   274 SV 0703 20070118 11:59:00  12710 12:59:00  12685      25   125   60899
   275 YM 0703 20070122 07:26:00  12607 12:29:00  12519      88   440   61339
   276 UU 0703 20070122 08:30:00 143725 13:44:00 143125     600   300   61639
   277 YM 0703 20070125 11:06:00  12605 15:30:00  12548      57   285   61924
   278 YM 0703 20070125 11:48:00  12612 12:38:00  12584     -28  -140   61784
   279 ND 0703 20070129 12:00:00 179850 12:53:00 178650   -1200 -1200   60584
   280 SV 0703 20070131 07:32:00  13320 08:37:00  13420    -100  -500   60084
   281 SV 0703 20070131 08:00:00  13325 12:57:00  13555     230  1150   61234
   282 ND 0703 20070131 13:36:00 180000 15:56:00 180275     275   275   61509
   283 NQ 0703 20070131 13:45:00 180025 15:15:00 180300     275   137   61646
   284 NQ 0703 20070131 13:51:00 180000 15:15:00 180300    -300  -150   61496
   285 ND 0703 20070131 13:53:00 179900 15:56:00 180275    -375  -375   61121
   286 YM 0703 20070207 13:34:00  12690 14:02:00  12674      16    80   61201
   287 YM 0703 20070207 14:46:00  12693 15:28:00  12708      15    75   61276
   288 YM 0703 20070209 07:22:00  12670 08:36:00  12697     -27  -135   61141
   289 UU 0703 20070209 09:34:00 145250 14:05:00 144050    1200   600   61741
   290 YM 0703 20070209 11:33:00  12671 15:00:00  12617      54   270   62011
   291 ND 0703 20070209 11:51:00 180850 14:27:00 179800    1050  1050   63061
   292 ND 0703 20070209 11:56:00 180000 15:17:00 179250     750   750   63811
   293 ND 0703 20070209 12:27:00 180000 15:17:00 179250    -750  -750   63061
   294 AB 0703 20070216 09:01:00  81230 11:00:00  81600    -370  -370   62691
   295 AB 0703 20070216 09:08:00  81280 15:20:00  81970     690   690   63381
   296 SV 0703 20070221 10:40:00  13975 12:47:00  14280     305  1525   64906
   297 UU 0703 20070222 10:15:00 145850 10:37:00 145525     325   162   65068
   298 UU 0703 20070222 12:23:00 145850 13:32:00 145625    -225  -112   64956
   299 UU 0703 20070222 14:35:00 145850 15:14:00 145925      75    37   64993
   300 EC 0703 20070223 07:12:00 131480 07:33:00 131380    -100  -125   64868
   301 EC 0703 20070223 08:00:00 131480 08:58:00 131770     290   362   65230
   302 UU 0703 20070223 08:33:00 145725 10:51:00 145475     250   125   65355
   303 NQ 0706 20070309 12:59:00 176050 14:52:00 177025    -975  -487   64868
   304 NQ 0706 20070309 13:08:00 176150 15:15:00 177000     850   425   65293
   305 BP 0703 20070313 02:26:00  19275 04:08:00  19305     -30  -195   65098
   306 BP 0706 20070313 03:13:00  19298 03:33:00  19283     -15   -97   65001
   307 BP 0706 20070313 04:08:00  19299 04:42:00  19282     -17  -110   64891
   308 BP 0706 20070313 04:40:00  19289 05:16:00  19288       1     6   64897
   309 UU 0706 20070313 06:17:00 141300 08:41:00 141325     -25   -12   64885
   310 BP 0706 20070313 06:18:00  19296 08:23:00  19324      28   182   65067
   311 UU 0706 20070313 06:51:00 141300 08:12:00 140950    -350  -175   64892
   312 BP 0706 20070313 07:27:00  19295 07:30:00  19312     -17  -110   64782
   313 NQ 0706 20070313 07:32:00 176650 08:52:00 177400    -750  -375   64407
   314 UU 0706 20070313 08:41:00 141325 11:16:00 140900    -425  -212   64195
   315 UU 0706 20070313 09:06:00 141200 09:29:00 141550    -350  -175   64020
   316 UU 0706 20070313 10:51:00 141300 13:32:00 139725    1575   787   64807
   317 BP 0706 20070313 11:04:00  19292 11:08:00  19307     -15   -97   64710
   318 NQ 0706 20070313 11:15:00 176575 15:15:00 174500    2075  1037   65747
   319 NQ 0706 20070313 11:20:00 176325 15:15:00 174500    1825   912   66659
   320 BP 0706 20070328 07:30:00  19652 08:58:00  19654       2    13   66672
   321 BP 0706 20070328 07:57:00  19648 08:29:00  19673     -25  -162   66510
   322 BP 0706 20070328 08:59:00  19647 09:12:00  19666     -19  -123   66387
   323 BP 0706 20070328 09:55:00  19650 11:22:00  19631      19   123   66510
   324 BP 0706 20070328 10:08:00  19650 10:20:00  19631     -19  -123   66387
   325 EC 0706 20070328 10:36:00 133720 10:44:00 133880    -160  -200   66187
   326 EC 0706 20070328 13:25:00 133720 15:59:00 133550     170   212   66399
   327 SV 0705 20070329 06:32:00  13380 11:11:00  13285      95   475   66874
   328 SV 0705 20070329 07:10:00  13380 07:29:00  13300     -80  -400   66474
   329 UU 0706 20070329 07:36:00 143800 09:43:00 143300    -500  -250   66224
   330 SV 0705 20070329 11:58:00  13395 12:36:00  13335     -60  -300   65924
   331 BP 0706 20070330 01:31:00  19625 02:18:00  19595     -30  -195   65729
   332 BP 0706 20070330 10:12:00  19626 13:28:00  19679      53   344   66073
   333 SV 0705 20070403 06:26:00  13280 07:28:00  13375     -95  -475   65598
   334 SV 0705 20070403 06:26:00  13280 07:27:00  13370     -90  -450   65148
   335 ND 0706 20070411 09:18:00 182100 11:04:00 182025      75    75   65223
   336 ND 0706 20070411 12:10:00 182200 13:03:00 181400    -800  -800   64423
   337 ND 0706 20070411 12:50:00 182150 15:50:00 181275     875   875   65298
   338 NQ 0706 20070412 09:52:00 182200 15:14:00 182750     550   275   65573
   339 UU 0706 20070412 10:12:00 145150 10:23:00 144900    -250  -125   65448
   340 UU 0706 20070412 10:12:00 145150 10:24:00 144850    -300  -150   65298
   341 NQ 0706 20070412 10:14:00 182200 12:28:00 182750    -550  -275   65023
   342 UU 0706 20070412 11:03:00 145175 15:14:00 145525     350   175   65198
   343 UU 0706 20070412 11:03:00 145175 15:14:00 145525     350   175   65373
   344 UU 0706 20070412 11:20:00 145150 12:32:00 145450    -300  -150   65223
   345 UU 0706 20070412 11:20:00 145150 12:28:00 145400    -250  -125   65098
   346 NQ 0706 20070413 09:00:00 181975 13:42:00 182600    -625  -312   64786
   347 ND 0706 20070413 09:03:00 181975 13:45:00 182850    -875  -875   63911
   348 NQ 0706 20070413 09:36:00 182075 15:15:00 183225    1150   575   64486
   349 ND 0706 20070413 09:37:00 182050 15:21:00 183175    1125  1125   65611
   350 SV 0705 20070419 07:19:00  13865 07:54:00  13760    -105  -525   65086
   351 EC 0706 20070424 05:16:00 136000 15:59:00 136700     700   875   65961
   352 SV 0705 20070424 08:36:00  13980 09:27:00  13980       0     0   65961
   353 SV 0705 20070424 09:27:00  13980 09:48:00  13930     -50  -250   65711
   354 BP 0706 20070426 02:50:00  20024 05:36:00  19984      40   260   65971
   355 BP 0706 20070426 02:57:00  20028 04:25:00  20012     -16  -104   65867
   356 EC 0706 20070430 05:10:00 136400 08:20:00 136550    -150  -187   65680
   357 EC 0706 20070430 05:48:00 136400 10:40:00 136890     490   612   66292
   358 AB 0706 20070509 09:04:00  83160 13:16:00  83130     -30   -30   66262
   359 ND 0706 20070509 09:06:00 190500 13:30:00 190600     100   100   66362
   360 AB 0706 20070509 09:36:00  83150 11:28:00  83460    -310  -310   66052
   361 ND 0706 20070509 12:37:00 190500 13:20:00 191250    -750  -750   65302
   362 AB 0706 20070509 13:16:00  83130 13:20:00  83560    -430  -430   64872
   363 ND 0706 20070509 13:32:00 190400 13:42:00 191300    -900  -900   63972
   364 BP 0706 20070510 01:30:00  19946 06:04:00  19904      42   273   64245
   365 BP 0706 20070510 03:14:00  19912 05:57:00  19880      32   208   64453
   366 NQ 0706 20070510 07:02:00 190600 12:41:00 188875    1725   862   65315
   367 ND 0706 20070510 08:32:00 190400 11:26:00 189300    1100  1100   66415
   368 NQ 0706 20070510 08:52:00 190650 10:16:00 190125    -525  -262   66153
   369 ND 0706 20070511 10:04:00 190200 15:21:00 191050     850   850   67003
   370 ND 0706 20070511 10:23:00 190100 15:11:00 191100   -1000 -1000   66003
   371 UU 0706 20070514 07:10:00 151200 09:13:00 151200       0     0   66003
   372 UU 0706 20070514 08:12:00 151200 08:38:00 151500    -300  -150   65853
   373 UU 0706 20070514 09:13:00 151200 14:23:00 150800     400   200   66053
   374 UU 0706 20070514 09:40:00 151200 12:36:00 150875    -325  -162   65891
   375 NQ 0706 20070514 10:09:00 189950 15:14:00 189600     350   175   66066
   376 UU 0706 20070515 07:30:00 150800 08:50:00 150800       0     0   66066
   377 ND 0706 20070515 09:04:00 190000 12:47:00 189000   -1000 -1000   65066
   378 AB 0706 20070515 09:10:00  83000 10:00:00  82480    -520  -520   64546
   379 ND 0706 20070515 09:58:00 189750 15:54:00 188100    1650  1650   66196
   380 UU 0706 20070515 13:44:00 150750 15:14:00 150850    -100   -50   66146
   381 UU 0706 20070515 13:53:00 150775 15:14:00 150850      75    37   66183
   382 NQ 0706 20070516 14:53:00 189875 15:14:00 190075     200   100   66283
   383 NQ 0706 20070516 14:53:00 189875 15:14:00 190075     200   100   66383
   384 NQ 0706 20070530 07:07:00 189825 08:32:00 188825   -1000  -500   65883
   385 AB 0706 20070530 08:14:00  83280 09:15:00  83770    -490  -490   65393
   386 AB 0706 20070530 08:36:00  83310 15:59:00  84460    1150  1150   66543
   387 NQ 0706 20070530 08:59:00 189875 15:15:00 192250    2375  1187   67730
   388 YM 0706 20070530 09:09:00  13514 13:05:00  13510      -4   -20   67710
   389 NQ 0706 20070530 09:11:00 189800 11:29:00 190750    -950  -475   67235
   390 YM 0706 20070530 09:34:00  13508 11:24:00  13554     -46  -230   67005
   391 JY 0706 20070530 10:11:00   8251 11:29:00   8245      -6    -7   66998
   392 JY 0706 20070530 10:20:00   8251 12:00:00   8251       0     0   66998
   393 YM 0706 20070530 11:21:00  13548 13:05:00  13510     -38  -190   66808
   394 JY 0706 20070530 12:00:00   8251 13:43:00   8245      -6    -7   66801
   395 YM 0706 20070530 12:37:00  13546 13:18:00  13550      -4   -20   66781
   396 JY 0706 20070530 12:53:00   8251 16:03:00   8245       6     7   66788
   397 YM 0706 20070530 13:05:00  13510 13:28:00  13563     -53  -265   66523
   398 YM 0706 20070530 13:18:00  13550 15:29:00  13655     105   525   67048
   399 UU 0706 20070613 14:59:00 151600 15:14:00 151525     -75   -37   67011
   400 UU 0706 20070613 15:07:00 151575 15:14:00 151525      50    25   67036
   401 SV 0707 20070619 07:15:00  13140 07:34:00  13195     -55  -275   66761
   402 SV 0707 20070619 07:24:00  13145 10:29:00  13200      55   275   67036
   403 SV 0707 20070621 07:30:00  13225 08:55:00  13150     -75  -375   66661
   404 SV 0707 20070621 07:38:00  13225 12:20:00  13095     130   650   67311
   405 ND 0709 20070625 10:01:00 195700 13:10:00 194600   -1100 -1100   66211
   406 NQ 0709 20070625 10:02:00 195650 13:08:00 194800    -850  -425   65786
   407 NQ 0709 20070625 11:21:00 195650 15:01:00 193900    1750   875   66661
   408 ND 0709 20070625 11:22:00 195650 15:54:00 194200    1450  1450   68111
   409 SV 0709 20070705 09:30:00  12500 12:14:00  12585     -85  -425   67686
   410 SV 0709 20070705 09:30:00  12500 12:16:00  12595     -95  -475   67211
   411 UU 0709 20070710 06:57:00 153775 09:09:00 153350     425   212   67423
   412 UU 0709 20070710 07:33:00 153775 08:10:00 153450    -325  -162   67261
   413 AB 0709 20070710 07:34:00  85540 08:31:00  85290    -250  -250   67011
   414 YM 0709 20070710 09:33:00  13663 10:16:00  13709     -46  -230   66781
   415 YM 0709 20070710 14:52:00  13604 15:28:00  13588      16    80   66861
   416 NQ 0709 20070711 10:22:00 199800 15:15:00 200950    1150   575   67436
   417 NQ 0709 20070711 10:30:00 199675 15:00:00 200475    -800  -400   67036
   418 SV 0709 20070718 07:16:00  13065 07:46:00  13010     -55  -275   66761
   419 SV 0709 20070718 09:23:00  13075 12:57:00  13300     225  1125   67886
   420 JY 0709 20070720 06:55:00   8247 09:42:00   8308      61    76   67962
   421 YM 0709 20070720 07:12:00  14004 12:40:00  13934      70   350   68312
   422 YM 0709 20070720 07:12:00  14004 12:39:00  13928      76   380   68692
   423 UU 0709 20070720 08:58:00 155125 12:24:00 154475     650   325   69017
   424 UU 0709 20070720 09:06:00 155275 10:25:00 154675    -600  -300   68717
   425 UU 0709 20070724 05:15:00 154775 15:15:00 152300    2475  1237   69954
   426 UU 0709 20070724 05:37:00 154825 07:36:00 154150    -675  -337   69617
   427 AB 0709 20070803 08:50:00  78310 15:31:00  75990    2320  2320   71937
   428 UU 0709 20070803 08:58:00 146900 15:15:00 144325    2575  1287   73224
   429 UU 0709 20070803 10:47:00 147225 13:18:00 146250    -975  -487   72737
   430 SV 0709 20070806 10:42:00  12975 12:58:00  12990     -15   -75   72662
   431 JY 0709 20070806 14:14:00   8456 17:59:00   8461      -5    -6   72656
   432 NQ 0709 20070806 14:45:00 196000 15:15:00 196200     200   100   72756
   433 ND 0709 20070807 07:56:00 195650 14:30:00 197700   -2050 -2050   70706
   434 ND 0709 20070807 13:53:00 196000 15:54:00 198525    2525  2525   73231
   435 SV 0709 20070809 06:44:00  12940 08:36:00  12815     125   625   73856
   436 SV 0709 20070809 07:16:00  12970 07:25:00  12855    -115  -575   73281
   437 SV 0709 20070824 10:49:00  11755 12:59:00  11955     200  1000   74281
   438 SV 0709 20070827 11:59:00  11730 12:59:00  11760     -30  -150   74131
   439 BP 0709 20070831 09:12:00  20108 09:20:00  20134     -26  -169   73962
   440 BP 0709 20070905 09:06:00  20143 13:29:00  20204      61   396   74358
   441 EC 0709 20070905 09:12:00 136500 13:25:00 136610     110   137   74495
   442 EC 0709 20070905 09:27:00 136470 09:53:00 136590    -120  -150   74345
   443 BP 0709 20070913 01:27:00  20268 03:07:00  20293     -25  -162   74183
   444 BP 0709 20070913 01:58:00  20270 03:34:00  20271       1     6   74189
   445 BP 0709 20070913 03:35:00  20268 05:42:00  20269      -1    -6   74183
   446 BP 0709 20070913 05:44:00  20270 06:06:00  20248     -22  -143   74040
   447 BP 0709 20070913 06:12:00  20274 07:53:00  20252     -22  -143   73897
   448 BP 0709 20070913 07:25:00  20270 09:08:00  20277      -7   -45   73852
   449 BP 0709 20070913 09:08:00  20277 13:29:00  20315      38   247   74099
   450 BP 0709 20070913 09:54:00  20266 11:51:00  20293     -27  -175   73924
   451 SV 0712 20070914 08:22:00  12740 10:10:00  12830      90   450   74374
   452 SV 0712 20070914 08:34:00  12740 08:38:00  12835     -95  -475   73899
   453 SV 0712 20070914 12:00:00  12735 12:59:00  12725      10    50   73949
   454 ND 0712 20070918 07:11:00 202000 15:38:00 206025    4025  4025   77974
   455 ND 0712 20070918 08:49:00 201400 10:05:00 202400   -1000 -1000   76974
   456 AB 0712 20071001 08:34:00  81210 15:50:00  82920    1710  1710   78684
   457 EC 0712 20071003 05:37:00 142000 06:40:00 142150    -150  -187   78497
   458 EC 0712 20071003 05:50:00 142000 08:23:00 141990     -10   -12   78485
   459 EC 0712 20071003 08:23:00 141990 14:29:00 141240     750   937   79422
   460 EC 0712 20071003 08:32:00 142000 09:10:00 141850    -150  -187   79235
   461 BP 0712 20071010 01:21:00  20349 02:09:00  20379     -30  -195   79040
   462 BP 0712 20071010 01:33:00  20358 06:39:00  20386      28   182   79222
   463 YM 0712 20071011 13:28:00  14121 14:39:00  14062      59   295   79517
   464 YM 0712 20071011 13:37:00  14132 14:06:00  14071     -61  -305   79212
   465 YM 0712 20071015 08:36:00  14160 14:46:00  14036     124   620   79832
   466 ND 0712 20071017 11:58:00 218050 14:09:00 218000      50    50   79882
   467 ND 0712 20071017 12:10:00 217250 14:18:00 218500   -1250 -1250   78632
   468 ND 0712 20071017 14:01:00 217750 15:59:00 220075    2325  2325   80957
   469 ND 0712 20071017 14:15:00 218100 15:59:00 220075    1975  1975   82932
   470 NQ 0712 20071019 09:03:00 218600 15:15:00 214700    3900  1950   84882
   471 ND 0712 20071019 09:04:00 218500 15:23:00 214975    3525  3525   88407
   472 NQ 0712 20071019 09:04:00 218350 15:15:00 214700    3650  1825   90232
   473 ND 0712 20071019 09:07:00 217600 15:23:00 214975    2625  2625   92857
   474 ND 0712 20071019 09:25:00 218200 09:46:00 216700   -1500 -1500   91357
   475 NQ 0712 20071025 10:57:00 217825 13:57:00 217875     -50   -25   91332
   476 NQ 0712 20071025 10:57:00 217825 13:38:00 217700     125    62   91394
   477 NQ 0712 20071025 11:29:00 218200 12:21:00 216625   -1575  -787   90607
   478 NQ 0712 20071025 11:29:00 218200 12:23:00 216450   -1750  -875   89732
   479 NQ 0712 20071025 13:58:00 218225 15:14:00 219275    1050   525   90257
   480 NQ 0712 20071025 13:58:00 218225 15:14:00 219275    1050   525   90782
   481 SV 0712 20071102 07:30:00  14290 07:40:00  14380     -90  -450   90332
   482 ND 0712 20071102 07:30:00 222600 08:55:00 220000   -2600 -2600   87732
   483 SV 0712 20071102 08:34:00  14290 09:37:00  14290       0     0   87732
   484 ND 0712 20071102 08:35:00 221600 09:32:00 221300     300   300   88032
   485 SV 0712 20071102 08:42:00  14300 08:53:00  14200    -100  -500   87532
   486 SV 0712 20071102 09:37:00  14290 12:59:00  14665     375  1875   89407
   487 SV 0712 20071102 10:19:00  14290 11:15:00  14380     -90  -450   88957
   488 ND 0712 20071102 11:39:00 222200 15:24:00 222350     150   150   89107
   489 ND 0712 20071102 12:43:00 222000 15:24:00 222350    -350  -350   88757
   490 ND 0712 20071107 08:49:00 222300 11:52:00 220600   -1700 -1700   87057
   491 NQ 0712 20071107 08:50:00 222375 11:19:00 220925   -1450  -725   86332
   492 NQ 0712 20071107 09:30:00 222250 15:14:00 218100    4150  2075   88407
   493 ND 0712 20071107 09:37:00 221550 15:59:00 216150    5400  5400   93807
   494 EC 0712 20071116 07:08:00 146650 07:54:00 146440    -210  -262   93545
   495 EC 0712 20071116 07:20:00 146590 08:22:00 146790    -200  -250   93295
   496 AB 0712 20071116 07:42:00  77900 08:36:00  77230    -670  -670   92625
   497 AB 0712 20071116 07:50:00  77860 11:06:00  77190     670   670   93295
   498 EC 0712 20071116 08:00:00 146610 09:01:00 146610       0     0   93295
   499 EC 0712 20071116 09:04:00 146560 10:19:00 146530      30    37   93332
   500 EC 0712 20071116 10:53:00 146600 15:59:00 146760     160   200   93532
   501 EC 0712 20071116 14:06:00 146600 15:44:00 146770    -170  -212   93320
   502 ND 0712 20071119 08:47:00 205500 09:58:00 203400   -2100 -2100   91220
   503 NQ 0712 20071120 08:53:00 205200 11:07:00 205150     -50   -25   91195
   504 ND 0712 20071120 08:56:00 205350 12:02:00 203200   -2150 -2150   89045
   505 ND 0712 20071120 09:24:00 205150 14:34:00 202900    2250  2250   91295
   506 NQ 0712 20071120 09:24:00 205100 09:47:00 206900   -1800  -900   90395
   507 NQ 0712 20071120 11:07:00 205150 12:55:00 203350    1800   900   91295
   508 ND 0712 20071121 14:04:00 204600 14:19:00 202200   -2400 -2400   88895
   509 NQ 0712 20071126 06:13:00 204150 15:14:00 199925    4225  2112   91007
   510 NQ 0712 20071126 06:29:00 204200 14:00:00 202000   -2200 -1100   89907
   511 UU 0712 20071126 09:43:00 143675 15:15:00 140925    2750  1375   91282
   512 UU 0712 20071126 10:03:00 143750 13:46:00 142950    -800  -400   90882
   513 NQ 0712 20071126 10:12:00 203125 15:14:00 199925    3200  1600   92482
   514 AB 0712 20071126 10:13:00  74850 15:58:00  73350    1500  1500   93982
   515 ND 0712 20071126 10:17:00 202450 11:47:00 204050   -1600 -1600   92382
   516 AB 0712 20071126 10:26:00  74910 13:57:00  74340    -570  -570   91812
   517 ND 0712 20071126 10:35:00 202475 13:13:00 202500      25    25   91837
   518 NQ 0712 20071126 11:25:00 203275 14:09:00 201325   -1950  -975   90862
   519 ND 0712 20071126 13:58:00 202400 15:46:00 199800    2600  2600   93462
   520 BP 0712 20071128 01:33:00  20612 03:55:00  20613      -1    -6   93456
   521 BP 0712 20071128 01:39:00  20620 03:19:00  20577     -43  -279   93177
   522 BP 0712 20071128 05:48:00  20623 10:56:00  20667      44   286   93463
   523 BP 0712 20071128 06:09:00  20617 07:23:00  20658     -41  -266   93197
   524 EC 0712 20071128 13:31:00 148360 14:47:00 148440      80   100   93297
   525 EC 0712 20071128 14:59:00 148350 15:41:00 148480    -130  -162   93135
   526 BP 0712 20071204 01:40:00  20655 02:38:00  20626     -29  -188   92947
   527 BP 0712 20071204 02:04:00  20639 04:49:00  20609      30   195   93142
   528 BP 0712 20071204 05:13:00  20652 05:29:00  20626     -26  -169   92973
   
   Trades: 528
   Wins ($20 or more)   251  $190,525  48%  Average $759/td
   Losses ($19 or less) 277  $ 97,552  52%           352/td
   Net                                               176/td

Limitations:
1) AE data for 5 and 10 day Overlays exclusively.
2) AE data is designed for human interaction, not machine calculation.
3) 1 minute time bars are used in place of tick data for trading.
4) The AE data is 'passive', any data errors in making AE are imbedded.
5) AE trading time frames are the original pit hours, e.g. UU: 08:30 to 15:15.
6) Such modelling assumes these trades are an insignificant part of the market.
7) One entry, ND, continues to have decreasing volume.
8) Long and Short positions can be held independently (simultaneously).

Evaluation
Would this Advice Engine trading approach work for you? The statistics, 48% winners, $176 gain per trade, maximum drawdown $6,500, longest losing period 13 trading days and portfolio investment $25,000; gives you enough information to have a good idea of how this particular methodology could work in real time. Assuming that you are able to develop your own model that uses the AE data, could you trade 10 markets as done here? Could you be satisfied with an average of one trade per day, regardless of the payout (which is pretty good in this study)?

Many traders want more activity than a trade per day. Short time base day traders are advised to consider the Pause Alert at the Intra-Day CMaPS profile link for multiple trades per day.
CMaPS: Meta-Profile with Pause Alert

Value based trading's strength lies in giving a trader an edge, that extra knowledge of value and it's limits. The model above is just one person's (our) idea of how to use value data in a trading methodology. Our model (strategy) incorporates the information on value, risk and application taught in the CISCO courses. The point of this report is to provide evidence that Advice Engine data offers valid information about the state of the market; information that can be used profitably. An outside evaluation confirms the utility of the data as reflected in the application reported here.

Outside (non-CISCO) Appraisal A CISCO customer, a professional in money mangement, offered his appraisal of these Advice Engine research results.

"Sep 10, 2008
I took the first 50 trades (about 3 months) and came up with the following numbers;

Return; 6.06%
Win/loss ratio; 1.54
Win %; 54%
Loss %; 46%
Kelly % (maximum that could be allocated to each trade); 24%
Sharpe Ratio; 6.4"

"If the Sharpe Ratio holds for the entire two years, you really have something (trading firms in Chicago are shooting for 2-3 from their developers). It just goes to show you, if you have skill (AMVT, Value Analytics, etc.) and breadth (AE or daily bracket screen) you can generate high returns with limited risk of large drawdowns."

Definitions:
Kelly %: maximum percent of capital available to wager on a trade
Sharpe Ratio: excess return over T-notes (6.4 times)

Commentary
The CISCO Advice Engine lists end-of-day balances on all futures covered in the CISCO data base. Each balanced market is tracked for breakout the next trading day. Each breakout is posted with the maximum excursion that market made from the breakout price (the Potential).

Some markets tend to have larger potentials than others. Following a proprietary algorithm, Advice Engine lists those markets with the larger potentials in a Select list. The markets in this study are strongly represented in the Select Table.

As a part of the CISCO training (Short Course) the trainee is encouraged to learn the value of 1) concentrating on balancing markets and 2) to diversify. The study above illustrates the two together.

A striking feature of this study are the relatively minimal drawdowns, even as some quite volatile futures are in play. A worst case was the decline from $92,857 (20071019) to $87,057 (20071107). This drawdown of $5,800 is only about 6 percent of the gains at that point. But drawdowns can occur at any time, say at the start of a trading program. So the important point is that this $5,800 drawdown could be a subtraction from the original investment.

Considering the per trade risks, this low drawdown is a result of diversification which is widely used in stock portfolio mangement. As an aside, the huge losses in the stock market in late 2009 and early 2009 would not necessarily happen to a futures value trader who will short as easily as long. To illustrate: As this is written (Feb 21, 2009) the stock market has lost about half it's value in the last six months. The trader who was active in the SP (e-mini is UU) would have had these trading opportunities.



          Advice Engine Select Table Potential (10 Day Overlays)
            Trades from Sep 13, 2008 through Feb 20, 2009

          MKT   Del OV     Risk $   Tde Dir $Potential   Tde Date
 
           SP 12 08 10       3469     SHORT      9625.     080929

           SP 12 08 10       4125      LONG      5875.     081104

           SP 12 08 10       2438     SHORT      7250.     081106

           SP 12 08 10       3844     SHORT      5125.     081114

           SP 12 08 10       3032     SHORT      5250.     081118

           SP 12 08 10       3688     SHORT      5125.     081119

           SP 12 08 10       2250      LONG      7250.     081208

           SP  3 09 10       1750     SHORT      1000.     081222

           SP  3 09 10       1688     SHORT       250.     081229

           SP  3 09 10       1563     SHORT       850.     090123

           SP  3 09 10       1594      LONG      5500.     090128

           SP  3 09 10       1563      LONG      2500.     090206

  Note that the futures trader had both SHORT and LONG opportunities during what everyone
  understands to be a quite chaotic period. The Potential is a 'maximum possible gain'
  that would require a trader to get out at the best possible price of the trade, and so
  represents an upper limit of what one could actually get. Regardless, the futures trader
  using the Advice Engine Select Table would have been right on the flow direction in 
  every case. The table is for SP. If UU (e-mini) is used, as most traders would, the dollar
  values for Risk and Potential will be reduced by one-half.

Some futures normally appearing in the Advice Engine Select Table are omitted from this study. One class, the petroleums, were not included because it was felt that the extreme behavior of this class over the two year test period could skew the results (to the gain side). Other futures, historically the grains, do not display adequate potential over the long haul. Yet others, such as the softs, have low volumes, odd trading hours, etc.

Diversification
The table above is diversified two ways: by commodity and by time (5 day Overlays and 10 day Overlays). The diversification by Overlay, while not explicitly labelled, is apparent in both Table 1 and Table 2 when two trades in a commodity appear at the same time. For example, in Table 2, AB 0603 20060428 entered one trade at 09:23 exiting at 15:36. The next posting shows entry at 09:14, exiting also at 15:36.



                           Table 2

    Del     Date  T-In      P-In  T-Out    P-Out     Pts     $    Sum$
AB 0603 20051208 09:59:00  69200 12:04:00  69160     -40   -40    -40
AB 0603 20051208 12:04:00  69160 14:03:00  68790     370   370    330
AB 0603 20051208 12:33:00  69210 13:14:00  68870    -340  -340    -10
AB 0603 20051215 08:48:00  69170 09:29:00  68730     440   440    430
AB 0603 20051215 08:45:00  68790 08:46:00  69210    -420  -420     10
AB 0603 20060206 15:10:00  73100 15:59:00  73110      10    10     20
AB 0603 20060223 09:07:00  73040 13:56:00  73570     530   530    550
AB 0603 20060223 08:59:00  72970 09:38:00  73240    -270  -270    280
AB 0603 20060301 09:46:00  73560 15:56:00  74390     830   830   1110
AB 0606 20060428 09:23:00  77000 15:36:00  76880     120   120   1230
AB 0606 20060428 09:14:00  77060 15:36:00  76880    -180  -180   1050
AB 0609 20060623 09:19:00  69270 15:21:00  69660     390   390   1440
AB 0609 20060623 08:28:00  69180 08:38:00  68690    -490  -490    950
AB 0609 20060623 07:23:00  69140 08:58:00  69130      10    10    960
AB 0609 20060720 13:32:00  69230 15:06:00  68410    -820  -820    140
AB 0609 20060720 13:09:00  69170 15:56:00  68800     370   370    510
AB 0609 20060728 09:11:00  69280 10:03:00  69810    -530  -530    -20
AB 0609 20060728 08:02:00  69360 09:09:00  69480     120   120    100
AB 0609 20060728 09:32:00  69390 15:21:00  70390    1000  1000   1100
AB 0609 20060803 09:18:00  69640 15:59:00  70940    1300  1300   2400
AB 0609 20060803 07:35:00  69620 12:01:00  70100    -480  -480   1920
AB 0612 20060929 14:59:00  73000 15:15:00  73010     -10   -10   1910
AB 0612 20061023 09:24:00  76990 12:41:00  76700    -290  -290   1620
AB 0612 20061023 09:44:00  76940 15:54:00  76630     310   310   1930
AB 0612 20061026 09:53:00  76840 15:56:00  77880    1040  1040   2970
AB 0612 20061026 09:43:00  76780 10:31:00  77050    -270  -270   2700
AB 0612 20061122 09:15:00  79180 10:09:00  79440    -260  -260   2440
AB 0703 20061214 08:31:00  79920 09:51:00  80310     390   390   2830
AB 0703 20061218 10:03:00  79830 15:59:00  78990     840   840   3670
AB 0703 20061218 10:14:00  79910 11:00:00  79460    -450  -450   3220
AB 0703 20070104 13:53:00  79550 15:59:00  79590      40    40   3260
AB 0703 20070104 15:00:00  79500 15:59:00  79590     -90   -90   3170
AB 0703 20070111 07:24:00  78370 08:36:00  78920    -550  -550   2620
AB 0703 20070216 09:01:00  81230 11:00:00  81600    -370  -370   2250
AB 0703 20070216 09:08:00  81280 15:20:00  81970     690   690   2940
AB 0706 20070509 09:04:00  83160 13:16:00  83130     -30   -30   2910
AB 0706 20070509 13:16:00  83130 13:20:00  83560    -430  -430   2480
AB 0706 20070509 09:36:00  83150 11:28:00  83460    -310  -310   2170
AB 0706 20070515 09:10:00  83000 10:00:00  82480    -520  -520   1650
AB 0706 20070530 08:14:00  83280 09:15:00  83770    -490  -490   1160
AB 0706 20070530 08:36:00  83310 15:59:00  84460    1150  1150   2310
AB 0709 20070710 07:34:00  85540 08:31:00  85290    -250  -250   2060
AB 0709 20070803 08:50:00  78310 15:31:00  75990    2320  2320   4380
AB 0712 20071001 08:34:00  81210 15:50:00  82920    1710  1710   6090
AB 0712 20071116 07:42:00  77900 08:36:00  77230    -670  -670   5420
AB 0712 20071116 07:50:00  77860 11:06:00  77190     670   670   6090
AB 0712 20071126 10:26:00  74910 13:57:00  74340    -570  -570   5520
AB 0712 20071126 10:13:00  74850 15:58:00  73350    1500  1500   7020

BP 0603 20060117 03:30:00  17645 10:09:00  17618      27   175    175
BP 0603 20060119 09:58:00  17636 10:49:00  17599     -37  -240    -65
BP 0603 20060203 03:46:00  17756 13:29:00  17629     127   825    760
BP 0603 20060203 03:05:00  17765 13:29:00  17629     136   884   1644
BP 0603 20060203 04:44:00  17765 07:36:00  17703     -62  -403   1241
BP 0603 20060203 04:39:00  17762 07:35:00  17716     -46  -299    942
BP 0603 20060228 04:37:00  17462 08:34:00  17464       2    13    955
BP 0603 20060228 06:33:00  17462 07:44:00  17497     -35  -227    728
BP 0606 20060427 02:05:00  17865 08:28:00  17896     -31  -201    527
BP 0606 20060427 01:40:00  17865 13:29:00  18034     169  1098   1625
BP 0606 20060519 01:58:00  18885 10:40:00  18751     134   871   2496
BP 0606 20060522 09:22:00  18822 13:29:00  18883      61   396   2892
BP 0606 20060602 05:03:00  18663 07:29:00  18709     -46  -299   2593
BP 0606 20060602 04:44:00  18666 13:29:00  18846     180  1170   3763
BP 0609 20060622 01:33:00  18498 02:29:00  18460     -38  -247   3516
BP 0609 20060622 01:39:00  18493 10:41:00  18347     146   949   4465
BP 0609 20060622 02:03:00  18483 13:30:00  18323     160  1040   5505
BP 0609 20060713 02:30:00  18407 05:07:00  18408       1     6   5511
BP 0609 20060713 02:14:00  18406 02:23:00  18382     -24  -156   5355
BP 0609 20060817 03:29:00  19019 07:36:00  18958     -61  -396   4959
BP 0609 20060829 10:13:00  18925 13:29:00  18978      53   344   5303
BP 0609 20060829 09:52:00  18920 13:05:00  18956     -36  -234   5069
BP 0609 20060905 01:51:00  19013 04:54:00  19009       4    26   5095
BP 0612 20061213 08:35:00  19616 09:07:00  19655     -39  -253   4842
BP 0612 20061213 08:43:00  19620 13:24:00  19660      40   260   5102
BP 0612 20061215 07:30:00  19644 08:36:00  19606     -38  -247   4855
BP 0703 20061215 01:27:00  19630 03:29:00  19592     -38  -247   4608
BP 0703 20061215 07:48:00  19649 13:29:00  19518     131   851   5459
BP 0703 20061215 07:31:00  19656 08:37:00  19605     -51  -331   5128
BP 0703 20061215 07:30:00  19653 08:36:00  19610     -43  -279   4849
BP 0612 20061215 08:34:00  19620 13:28:00  19512     108   702   5551
BP 0612 20061215 03:00:00  19619 07:30:00  19644     -25  -162   5389
BP 0703 20061215 01:59:00  19629 07:30:00  19653     -24  -156   5233
BP 0703 20061215 08:32:00  19629 13:29:00  19518     111   721   5954
BP 0703 20061228 06:11:00  19607 07:19:00  19638     -31  -201   5753
BP 0703 20061228 09:01:00  19597 10:48:00  19629     -32  -208   5545
BP 0703 20061228 04:57:00  19607 09:00:00  19618      11    71   5616
BP 0703 20061228 09:14:00  19607 13:28:00  19646      39   253   5869
BP 0703 20070313 02:26:00  19275 04:08:00  19305     -30  -195   5674
BP 0706 20070313 04:40:00  19289 05:16:00  19288       1     6   5680
BP 0706 20070313 07:27:00  19295 07:30:00  19312     -17  -110   5570
BP 0706 20070313 03:13:00  19298 03:33:00  19283     -15   -97   5473
BP 0706 20070313 04:08:00  19299 04:42:00  19282     -17  -110   5363
BP 0706 20070313 06:18:00  19296 08:23:00  19324      28   182   5545
BP 0706 20070313 11:04:00  19292 11:08:00  19307     -15   -97   5448
BP 0706 20070328 09:55:00  19650 11:22:00  19631      19   123   5571
BP 0706 20070328 08:59:00  19647 09:12:00  19666     -19  -123   5448
BP 0706 20070328 07:30:00  19652 08:58:00  19654       2    13   5461
BP 0706 20070328 07:57:00  19648 08:29:00  19673     -25  -162   5299
BP 0706 20070328 10:08:00  19650 10:20:00  19631     -19  -123   5176
BP 0706 20070330 10:12:00  19626 13:28:00  19679      53   344   5520
BP 0706 20070330 01:31:00  19625 02:18:00  19595     -30  -195   5325
BP 0706 20070426 02:57:00  20028 04:25:00  20012     -16  -104   5221
BP 0706 20070426 02:50:00  20024 05:36:00  19984      40   260   5481
BP 0706 20070510 03:14:00  19912 05:57:00  19880      32   208   5689
BP 0706 20070510 01:30:00  19946 06:04:00  19904      42   273   5962
BP 0709 20070831 09:12:00  20108 09:20:00  20134     -26  -169   5793
BP 0709 20070905 09:06:00  20143 13:29:00  20204      61   396   6189
BP 0709 20070913 05:44:00  20270 06:06:00  20248     -22  -143   6046
BP 0709 20070913 09:54:00  20266 11:51:00  20293     -27  -175   5871
BP 0709 20070913 03:35:00  20268 05:42:00  20269      -1    -6   5865
BP 0709 20070913 09:08:00  20277 13:29:00  20315      38   247   6112
BP 0709 20070913 01:58:00  20270 03:34:00  20271       1     6   6118
BP 0709 20070913 01:27:00  20268 03:07:00  20293     -25  -162   5956
BP 0709 20070913 07:25:00  20270 09:08:00  20277      -7   -45   5911
BP 0709 20070913 06:12:00  20274 07:53:00  20252     -22  -143   5768
BP 0712 20071010 01:21:00  20349 02:09:00  20379     -30  -195   5573
BP 0712 20071010 01:33:00  20358 06:39:00  20386      28   182   5755
BP 0712 20071128 06:09:00  20617 07:23:00  20658     -41  -266   5489
BP 0712 20071128 01:39:00  20620 03:19:00  20577     -43  -279   5210
BP 0712 20071128 01:33:00  20612 03:55:00  20613      -1    -6   5204
BP 0712 20071128 05:48:00  20623 10:56:00  20667      44   286   5490
BP 0712 20071204 01:40:00  20655 02:38:00  20626     -29  -188   5302
BP 0712 20071204 02:04:00  20639 04:49:00  20609      30   195   5497
BP 0712 20071204 05:13:00  20652 05:29:00  20626     -26  -169   5328

EC 0603 20060228 09:11:00 119160 10:05:00 119170      10    12     12
EC 0603 20060228 09:17:00 119150 09:24:00 119330    -180  -225   -213
EC 0606 20060522 09:21:00 128350 15:59:00 128880     530   662    449
EC 0609 20060711 14:22:00 128360 15:59:00 128320     -40   -50    399
EC 0703 20061208 07:45:00 133790 09:13:00 134000     210   262    661
EC 0703 20061208 10:41:00 133570 11:23:00 132930     640   800   1461
EC 0703 20070223 07:12:00 131480 07:33:00 131380    -100  -125   1336
EC 0703 20070223 08:00:00 131480 08:58:00 131770     290   362   1698
EC 0706 20070328 13:25:00 133720 15:59:00 133550     170   212   1910
EC 0706 20070328 10:36:00 133720 10:44:00 133880    -160  -200   1710
EC 0706 20070424 05:16:00 136000 15:59:00 136700     700   875   2585
EC 0706 20070430 05:10:00 136400 08:20:00 136550    -150  -187   2398
EC 0706 20070430 05:48:00 136400 10:40:00 136890     490   612   3010
EC 0709 20070905 09:27:00 136470 09:53:00 136590    -120  -150   2860
EC 0709 20070905 09:12:00 136500 13:25:00 136610     110   137   2997
EC 0712 20071003 08:32:00 142000 09:10:00 141850    -150  -187   2810
EC 0712 20071003 08:23:00 141990 14:29:00 141240     750   937   3747
EC 0712 20071003 05:50:00 142000 08:23:00 141990     -10   -12   3735
EC 0712 20071003 05:37:00 142000 06:40:00 142150    -150  -187   3548
EC 0712 20071116 07:20:00 146590 08:22:00 146790    -200  -250   3298
EC 0712 20071116 07:08:00 146650 07:54:00 146440    -210  -262   3036
EC 0712 20071116 10:53:00 146600 15:59:00 146760     160   200   3236
EC 0712 20071116 09:04:00 146560 10:19:00 146530      30    37   3273
EC 0712 20071116 14:06:00 146600 15:44:00 146770    -170  -212   3061
EC 0712 20071116 08:00:00 146610 09:01:00 146610       0     0   3061
EC 0712 20071128 13:31:00 148360 14:47:00 148440      80   100   3161
EC 0712 20071128 14:59:00 148350 15:41:00 148480    -130  -162   2999

GC 0604 20060324 07:23:00   5678 08:04:00   5675       3    18     18
GC 0604 20060324 06:33:00   5505 15:29:00   5605     100   600    618
GC 0606 20060531 09:07:00   6510 09:53:00   6462      48   288    906
GC 0606 20060531 06:42:00   6518 07:29:00   6560     -42  -252    654
GC 0612 20061003 06:58:00   5967 15:55:00   5790     177  1062   1716

JY 0706 20070530 10:11:00   8251 11:29:00   8245      -6    -7     -7
JY 0706 20070530 12:00:00   8251 13:43:00   8245      -6    -7    -14
JY 0706 20070530 10:20:00   8251 12:00:00   8251       0     0    -14
JY 0706 20070530 12:53:00   8251 16:03:00   8245       6     7     -7
JY 0709 20070720 06:55:00   8247 09:42:00   8308      61    76     69
JY 0709 20070806 14:14:00   8456 17:59:00   8461      -5    -6     63

ND 0603 20060223 10:25:00 168600 13:14:00 168600       0     0      0
ND 0603 20060223 10:39:00 168500 12:19:00 169200    -700  -700   -700
ND 0603 20060223 13:19:00 168500 15:53:00 167400    1100  1100    400
ND 0603 20060303 08:00:00 168050 08:03:00 169350   -1300 -1300   -900
ND 0603 20060306 08:49:00 168900 12:38:00 167650   -1250 -1250  -2150
ND 0603 20060306 08:37:00 168800 15:50:00 167200    1600  1600   -550
ND 0606 20060314 08:37:00 167550 15:58:00 170400    2850  2850   2300
ND 0606 20060314 08:37:00 167550 09:40:00 167700     150   150   2450
ND 0606 20060329 08:03:00 169400 15:49:00 172100    2700  2700   5150
ND 0606 20060329 09:25:00 170200 15:49:00 172100    1900  1900   7050
ND 0606 20060407 10:47:00 173750 15:20:00 173975    -225  -225   6825
ND 0606 20060407 14:48:00 173750 15:20:00 173975     225   225   7050
ND 0606 20060417 09:09:00 172950 11:24:00 171950   -1000 -1000   6050
ND 0606 20060421 13:04:00 173000 15:20:00 171900    1100  1100   7150
ND 0606 20060501 14:16:00 171500 14:19:00 170700    -800  -800   6350
ND 0606 20060501 08:14:00 171500 11:39:00 170925    -575  -575   5775
ND 0606 20060501 08:37:00 171450 15:47:00 169525    1925  1925   7700
ND 0606 20060601 08:47:00 159100 15:43:00 161875    2775  2775  10475
ND 0606 20060601 08:54:00 159000 13:00:00 160400   -1400 -1400   9075
ND 0609 20060803 10:18:00 150500 12:15:00 151800   -1300 -1300   7775
ND 0609 20060803 09:19:00 150500 15:44:00 152100    1600  1600   9375
ND 0609 20060804 12:25:00 150100 15:07:00 151350   -1250 -1250   8125
ND 0609 20060804 14:02:00 150200 15:25:00 151550    1350  1350   9475
ND 0609 20060815 07:30:00 151425 15:57:00 154025    2600  2600  12075
ND 0609 20060829 09:19:00 156400 14:27:00 157400   -1000 -1000  11075
ND 0609 20060829 13:07:00 156400 15:54:00 157650    1250  1250  12325
ND 0609 20060911 11:29:00 158100 14:09:00 158300     200   200  12525
ND 0612 20061002 10:59:00 166950 15:58:00 164425    2525  2525  15050
ND 0612 20061002 10:32:00 167000 12:40:00 166000   -1000 -1000  14050
ND 0612 20061004 06:10:00 165725 15:58:00 169375    3650  3650  17700
ND 0612 20061127 08:54:00 180900 15:46:00 177950    2950  2950  20650
ND 0612 20061204 08:30:00 178450 15:58:00 180350    1900  1900  22550
ND 0612 20061207 09:06:00 179800 15:23:00 177650    2150  2150  24700
ND 0703 20061214 07:52:00 181150 15:50:00 182700    1550  1550  26250
ND 0703 20061214 08:30:00 180900 08:52:00 182000   -1100 -1100  25150
ND 0703 20061214 07:47:00 180975 15:50:00 182700    1725  1725  26875
ND 0703 20061218 13:45:00 181600 15:40:00 181225     375   375  27250
ND 0703 20061218 13:45:00 181600 15:40:00 181225     375   375  27625
ND 0703 20070110 08:36:00 180000 09:01:00 181100   -1100 -1100  26525
ND 0703 20070110 06:27:00 180125 15:58:00 183850    3725  3725  30250
ND 0703 20070129 12:00:00 179850 12:53:00 178650   -1200 -1200  29050
ND 0703 20070131 13:53:00 179900 15:56:00 180275    -375  -375  28675
ND 0703 20070131 13:36:00 180000 15:56:00 180275     275   275  28950
ND 0703 20070209 11:51:00 180850 14:27:00 179800    1050  1050  30000
ND 0703 20070209 11:56:00 180000 15:17:00 179250     750   750  30750
ND 0703 20070209 12:27:00 180000 15:17:00 179250    -750  -750  30000
ND 0706 20070411 12:50:00 182150 15:50:00 181275     875   875  30875
ND 0706 20070411 09:18:00 182100 11:04:00 182025      75    75  30950
ND 0706 20070411 12:10:00 182200 13:03:00 181400    -800  -800  30150
ND 0706 20070413 09:03:00 181975 13:45:00 182850    -875  -875  29275
ND 0706 20070413 09:37:00 182050 15:21:00 183175    1125  1125  30400
ND 0706 20070509 12:37:00 190500 13:20:00 191250    -750  -750  29650
ND 0706 20070509 13:32:00 190400 13:42:00 191300    -900  -900  28750
ND 0706 20070509 09:06:00 190500 13:30:00 190600     100   100  28850
ND 0706 20070510 08:32:00 190400 11:26:00 189300    1100  1100  29950
ND 0706 20070511 10:23:00 190100 15:11:00 191100   -1000 -1000  28950
ND 0706 20070511 10:04:00 190200 15:21:00 191050     850   850  29800
ND 0706 20070515 09:04:00 190000 12:47:00 189000   -1000 -1000  28800
ND 0706 20070515 09:58:00 189750 15:54:00 188100    1650  1650  30450
ND 0709 20070625 11:22:00 195650 15:54:00 194200    1450  1450  31900
ND 0709 20070625 10:01:00 195700 13:10:00 194600   -1100 -1100  30800
ND 0709 20070807 07:56:00 195650 14:30:00 197700   -2050 -2050  28750
ND 0709 20070807 13:53:00 196000 15:54:00 198525    2525  2525  31275
ND 0712 20070918 08:49:00 201400 10:05:00 202400   -1000 -1000  30275
ND 0712 20070918 07:11:00 202000 15:38:00 206025    4025  4025  34300
ND 0712 20071017 11:58:00 218050 14:09:00 218000      50    50  34350
ND 0712 20071017 12:10:00 217250 14:18:00 218500   -1250 -1250  33100
ND 0712 20071017 14:01:00 217750 15:59:00 220075    2325  2325  35425
ND 0712 20071017 14:15:00 218100 15:59:00 220075    1975  1975  37400
ND 0712 20071019 09:25:00 218200 09:46:00 216700   -1500 -1500  35900
ND 0712 20071019 09:07:00 217600 15:23:00 214975    2625  2625  38525
ND 0712 20071019 09:04:00 218500 15:23:00 214975    3525  3525  42050
ND 0712 20071102 08:35:00 221600 09:32:00 221300     300   300  42350
ND 0712 20071102 07:30:00 222600 08:55:00 220000   -2600 -2600  39750
ND 0712 20071102 12:43:00 222000 15:24:00 222350    -350  -350  39400
ND 0712 20071102 11:39:00 222200 15:24:00 222350     150   150  39550
ND 0712 20071107 09:37:00 221550 15:59:00 216150    5400  5400  44950
ND 0712 20071107 08:49:00 222300 11:52:00 220600   -1700 -1700  43250
ND 0712 20071119 08:47:00 205500 09:58:00 203400   -2100 -2100  41150
ND 0712 20071120 08:56:00 205350 12:02:00 203200   -2150 -2150  39000
ND 0712 20071120 09:24:00 205150 14:34:00 202900    2250  2250  41250
ND 0712 20071121 14:04:00 204600 14:19:00 202200   -2400 -2400  38850
ND 0712 20071126 10:35:00 202475 13:13:00 202500      25    25  38875
ND 0712 20071126 10:17:00 202450 11:47:00 204050   -1600 -1600  37275
ND 0712 20071126 13:58:00 202400 15:46:00 199800    2600  2600  39875

NQ 0603 20060222 10:28:00 167750 15:14:00 169550     200   100    100
NQ 0603 20060224 15:03:00 168300 15:14:00 168350      50    25    125
NQ 0603 20060224 14:00:00 168250 14:30:00 167800    -450  -225   -100
NQ 0603 20060224 15:10:00 168250 15:14:00 168350    -100   -50   -150
NQ 0603 20060303 14:34:00 168750 15:15:00 168550     200   100    -50
NQ 0603 20060303 08:00:00 168100 08:50:00 169200   -1100  -550   -600
NQ 0603 20060303 08:05:00 168500 09:23:00 169350    -850  -425  -1025
NQ 0603 20060303 08:00:00 168100 08:03:00 169100   -1000  -500  -1525
NQ 0603 20060303 08:26:00 168750 14:09:00 169650     900   450  -1075
NQ 0606 20060314 08:45:00 168050 15:14:00 170450    2400  1200    125
NQ 0606 20060314 09:23:00 167950 12:19:00 169050   -1100  -550   -425
NQ 0606 20060321 10:07:00 170650 12:46:00 171550     900   450     25
NQ 0606 20060321 13:15:00 170350 15:14:00 169000    1350   675    700
NQ 0606 20060321 08:21:00 170650 08:41:00 169850    -800  -400    300
NQ 0606 20060328 13:32:00 169300 15:14:00 169000     300   150    450
NQ 0606 20060329 09:25:00 170200 15:14:00 172050    1850   925   1375
NQ 0606 20060418 10:52:00 172400 13:15:00 173400    1000   500   1875
NQ 0609 20060727 13:01:00 148525 15:14:00 149325    -800  -400   1475
NQ 0609 20060815 07:30:00 151450 15:15:00 154075    2625  1312   2787
NQ 0612 20060925 07:34:00 164900 10:23:00 164700     200   100   2887
NQ 0612 20060925 11:21:00 164925 15:15:00 166550    1625   812   3699
NQ 0612 20060925 07:15:00 164900 09:10:00 163800   -1100  -550   3149
NQ 0612 20061127 08:58:00 180875 15:14:00 177925    2950  1475   4624
NQ 0703 20061214 07:50:00 181100 15:14:00 182600    1500   750   5374
NQ 0703 20061214 07:28:00 180950 15:14:00 182600    1650   825   6199
NQ 0703 20061214 08:28:00 180950 08:51:00 181825    -875  -437   5762
NQ 0703 20061218 13:45:00 181650 15:14:00 181100     550   275   6037
NQ 0703 20061218 13:44:00 181775 15:14:00 181100     675   337   6374
NQ 0703 20070131 13:45:00 180025 15:15:00 180300     275   137   6511
NQ 0703 20070131 13:51:00 180000 15:15:00 180300    -300  -150   6361
NQ 0706 20070309 12:59:00 176050 14:52:00 177025    -975  -487   5874
NQ 0706 20070309 13:08:00 176150 15:15:00 177000     850   425   6299
NQ 0706 20070313 11:20:00 176325 15:15:00 174500    1825   912   7211
NQ 0706 20070313 07:32:00 176650 08:52:00 177400    -750  -375   6836
NQ 0706 20070313 11:15:00 176575 15:15:00 174500    2075  1037   7873
NQ 0706 20070412 10:14:00 182200 12:28:00 182750    -550  -275   7598
NQ 0706 20070412 09:52:00 182200 15:14:00 182750     550   275   7873
NQ 0706 20070413 09:00:00 181975 13:42:00 182600    -625  -312   7561
NQ 0706 20070413 09:36:00 182075 15:15:00 183225    1150   575   8136
NQ 0706 20070510 07:02:00 190600 12:41:00 188875    1725   862   8998
NQ 0706 20070510 08:52:00 190650 10:16:00 190125    -525  -262   8736
NQ 0706 20070514 10:09:00 189950 15:14:00 189600     350   175   8911
NQ 0706 20070516 14:53:00 189875 15:14:00 190075     200   100   9011
NQ 0706 20070516 14:53:00 189875 15:14:00 190075     200   100   9111
NQ 0706 20070530 08:59:00 189875 15:15:00 192250    2375  1187  10298
NQ 0706 20070530 07:07:00 189825 08:32:00 188825   -1000  -500   9798
NQ 0706 20070530 09:11:00 189800 11:29:00 190750    -950  -475   9323
NQ 0709 20070625 11:21:00 195650 15:01:00 193900    1750   875  10198
NQ 0709 20070625 10:02:00 195650 13:08:00 194800    -850  -425   9773
NQ 0709 20070711 10:30:00 199675 15:00:00 200475    -800  -400   9373
NQ 0709 20070711 10:22:00 199800 15:15:00 200950    1150   575   9948
NQ 0709 20070806 14:45:00 196000 15:15:00 196200     200   100  10048
NQ 0712 20071019 09:04:00 218350 15:15:00 214700    3650  1825  11873
NQ 0712 20071019 09:03:00 218600 15:15:00 214700    3900  1950  13823
NQ 0712 20071025 11:29:00 218200 12:21:00 216625   -1575  -787  13036
NQ 0712 20071025 10:57:00 217825 13:38:00 217700     125    62  13098
NQ 0712 20071025 10:57:00 217825 13:57:00 217875     -50   -25  13073
NQ 0712 20071025 11:29:00 218200 12:23:00 216450   -1750  -875  12198
NQ 0712 20071025 13:58:00 218225 15:14:00 219275    1050   525  12723
NQ 0712 20071025 13:58:00 218225 15:14:00 219275    1050   525  13248
NQ 0712 20071107 08:50:00 222375 11:19:00 220925   -1450  -725  12523
NQ 0712 20071107 09:30:00 222250 15:14:00 218100    4150  2075  14598
NQ 0712 20071120 09:24:00 205100 09:47:00 206900   -1800  -900  13698
NQ 0712 20071120 08:53:00 205200 11:07:00 205150     -50   -25  13673
NQ 0712 20071120 11:07:00 205150 12:55:00 203350    1800   900  14573
NQ 0712 20071126 10:12:00 203125 15:14:00 199925    3200  1600  16173
NQ 0712 20071126 06:29:00 204200 14:00:00 202000   -2200 -1100  15073
NQ 0712 20071126 11:25:00 203275 14:09:00 201325   -1950  -975  14098
NQ 0712 20071126 06:13:00 204150 15:14:00 199925    4225  2112  16210

SV 0603 20060113 07:29:00   9035 09:35:00   9125     -50  -450   -450
SV 0603 20060113 07:29:00   9035 08:12:00   9030       5    25   -425
SV 0603 20060113 08:13:00   9045 12:58:00   9155     110   550    125
SV 0603 20060113 08:13:00   9045 10:50:00   9195     150   750    875
SV 0603 20060113 08:49:00   9040 09:33:00   9105     -65  -325    550
SV 0603 20060119 08:17:00   9050 12:59:00   9110      60   300    850
SV 0603 20060119 09:49:00   9070 12:59:00   9110      40   200   1050
SV 0603 20060119 12:01:00   9070 12:59:00   9110     -40  -200    850
SV 0603 20060119 08:23:00   9035 12:25:00   9110     -75  -375    475
SV 0603 20060124 08:12:00   9040 12:59:00   9240     200  1000   1475
SV 0603 20060207 07:25:00   9605 12:59:00   9400     205  1025   2500
SV 0605 20060321 10:31:00  10280 11:33:00  10455     175   875   3375
SV 0605 20060321 07:26:00  10280 08:37:00  10280       0     0   3375
SV 0605 20060321 08:37:00  10280 08:59:00  10225     -55  -275   3100
SV 0607 20060627 12:23:00  10200 12:41:00  10195       5    25   3125
SV 0609 20060628 07:35:00  10380 10:13:00  10290      90   450   3575
SV 0609 20060810 07:58:00  12350 09:23:00  12230    -120  -600   2975
SV 0609 20060810 07:40:00  12320 12:43:00  12105     215  1075   4050
SV 0609 20060811 08:43:00  12375 09:50:00  12260    -115  -575   3475
SV 0612 20060828 08:17:00  12560 12:41:00  12197     363  1815   5290
SV 0612 20061003 07:25:00  11330 12:41:00  11885     465  2325   7615
SV 0612 20061003 07:34:00  11360 08:34:00  11180    -180  -900   6715
SV 0703 20061215 07:30:00  13960 08:13:00  13870     -90  -450   6265
SV 0703 20070118 11:59:00  12710 12:59:00  12685      25   125   6390
SV 0703 20070131 08:00:00  13325 12:57:00  13555     230  1150   7540
SV 0703 20070131 07:32:00  13320 08:37:00  13420    -100  -500   7040
SV 0703 20070221 10:40:00  13975 12:47:00  14280     305  1525   8565
SV 0705 20070329 07:10:00  13380 07:29:00  13300     -80  -400   8165
SV 0705 20070329 06:32:00  13380 11:11:00  13285      95   475   8640
SV 0705 20070329 11:58:00  13395 12:36:00  13335     -60  -300   8340
SV 0705 20070403 06:26:00  13280 07:27:00  13370     -90  -450   7890
SV 0705 20070403 06:26:00  13280 07:28:00  13375     -95  -475   7415
SV 0705 20070419 07:19:00  13865 07:54:00  13760    -105  -525   6890
SV 0705 20070424 09:27:00  13980 09:48:00  13930     -50  -250   6640
SV 0705 20070424 08:36:00  13980 09:27:00  13980       0     0   6640
SV 0707 20070619 07:15:00  13140 07:34:00  13195     -55  -275   6365
SV 0707 20070619 07:24:00  13145 10:29:00  13200      55   275   6640
SV 0707 20070621 07:30:00  13225 08:55:00  13150     -75  -375   6265
SV 0707 20070621 07:38:00  13225 12:20:00  13095     130   650   6915
SV 0709 20070705 09:30:00  12500 12:16:00  12595     -95  -475   6440
SV 0709 20070705 09:30:00  12500 12:14:00  12585     -85  -425   6015
SV 0709 20070718 07:16:00  13065 07:46:00  13010     -55  -275   5740
SV 0709 20070718 09:23:00  13075 12:57:00  13300     225  1125   6865
SV 0709 20070806 10:42:00  12975 12:58:00  12990     -15   -75   6790
SV 0709 20070809 06:44:00  12940 08:36:00  12815     125   625   7415
SV 0709 20070809 07:16:00  12970 07:25:00  12855    -115  -575   6840
SV 0709 20070824 10:49:00  11755 12:59:00  11955     200  1000   7840
SV 0709 20070827 11:59:00  11730 12:59:00  11760     -30  -150   7690
SV 0712 20070914 08:22:00  12740 10:10:00  12830      90   450   8140
SV 0712 20070914 12:00:00  12735 12:59:00  12725      10    50   8190
SV 0712 20070914 08:34:00  12740 08:38:00  12835     -95  -475   7715
SV 0712 20071102 07:30:00  14290 07:40:00  14380     -90  -450   7265
SV 0712 20071102 08:34:00  14290 09:37:00  14290       0     0   7265
SV 0712 20071102 10:19:00  14290 11:15:00  14380     -90  -450   6815
SV 0712 20071102 08:42:00  14300 08:53:00  14200    -100  -500   6315
SV 0712 20071102 09:37:00  14290 12:59:00  14665     375  1875   8190

UU 0603 20051213 11:30:00 127025 13:20:00 127525    -500  -250   -250
UU 0603 20051213 06:37:00 127025 14:29:00 127550     525   262     12
UU 0603 20060120 08:46:00 128650 15:15:00 126475    2175  1087   1099
UU 0603 20060120 08:04:00 128650 09:31:00 128175    -475  -237    862
UU 0603 20060209 14:42:00 126550 15:57:00 126700    -150   -75    787
UU 0603 20060209 15:33:00 126625 15:57:00 126700      75    37    824
UU 0603 20060214 08:31:00 126700 15:56:00 127775    1075   537   1361
UU 0603 20060214 08:07:00 126625 10:12:00 127050    -425  -212   1149
UU 0603 20060303 09:27:00 129000 14:05:00 129375     375   187   1336
UU 0603 20060303 14:35:00 129000 15:22:00 128650     350   175   1511
UU 0603 20060303 07:20:00 129000 07:56:00 128600    -400  -200   1311
UU 0603 20060303 07:08:00 129000 08:02:00 128425     575   287   1598
UU 0603 20060306 05:33:00 129000 08:40:00 128600    -400  -200   1398
UU 0606 20060314 07:25:00 129425 08:58:00 129925    -500  -250   1148
UU 0606 20060314 05:29:00 129425 15:59:00 130900    1475   737   1885
UU 0603 20060314 09:06:00 128950 15:54:00 129825     875   437   2322
UU 0606 20060328 07:25:00 131100 13:17:00 131125      25    12   2334
UU 0606 20060328 13:19:00 130925 15:58:00 130200     725   362   2696
UU 0606 20060328 06:09:00 131100 11:21:00 131425    -325  -162   2534
UU 0606 20060403 08:54:00 130925 13:29:00 131300     375   187   2721
UU 0606 20060403 14:36:00 130875 15:59:00 130625     250   125   2846
UU 0606 20060403 07:55:00 130925 09:25:00 131300    -375  -187   2659
UU 0606 20060406 11:19:00 131125 12:22:00 131500    -375  -187   2472
UU 0606 20060406 11:30:00 131125 15:59:00 131725     600   300   2772
UU 0606 20060407 10:06:00 131100 10:32:00 130750    -350  -175   2597
UU 0606 20060407 09:31:00 131100 13:41:00 130825     275   137   2734
UU 0606 20060425 09:01:00 131400 15:13:00 130925     475   237   2971
UU 0606 20060501 14:22:00 131200 15:59:00 130950     250   125   3096
UU 0609 20060627 05:18:00 125850 10:02:00 125850       0     0   3096
UU 0609 20060627 10:02:00 125850 15:59:00 125025     825   412   3508
UU 0609 20060711 14:24:00 128025 15:58:00 128225     200   100   3608
UU 0609 20060711 14:25:00 128050 15:58:00 128225     175    87   3695
UU 0609 20060711 14:55:00 128050 15:58:00 128225    -175   -87   3608
UU 0609 20060804 14:09:00 128000 15:24:00 128600     600   300   3908
UU 0609 20060804 13:25:00 127925 14:31:00 128300    -375  -187   3721
UU 0609 20060829 09:24:00 129950 13:15:00 130375    -425  -212   3509
UU 0609 20060829 09:33:00 129900 13:14:00 130225    -325  -162   3347
UU 0609 20060829 11:41:00 129950 15:58:00 130500     550   275   3622
UU 0609 20060829 11:41:00 129950 15:58:00 130500     550   275   3897
UU 0612 20060925 07:16:00 133025 08:59:00 132625    -400  -200   3697
UU 0612 20060925 11:50:00 133100 15:57:00 133550     450   225   3922
UU 0612 20061003 14:59:00 134425 15:59:00 134350     -75   -37   3885
UU 0612 20061003 11:05:00 134400 13:30:00 134400       0     0   3885
UU 0612 20061003 13:30:00 134400 13:49:00 134700    -300  -150   3735
UU 0612 20061003 14:39:00 134375 15:59:00 134350      25    12   3747
UU 0612 20061101 07:17:00 138600 09:15:00 138175    -425  -212   3535
UU 0612 20061101 08:30:00 138600 16:00:00 137250    1350   675   4210
UU 0612 20061114 11:48:00 138675 15:59:00 139725    1050   525   4735
UU 0612 20061114 09:13:00 138625 10:28:00 138650     -25   -12   4723
UU 0612 20061212 14:12:00 141200 15:52:00 141250     -50   -25   4698
UU 0612 20061212 14:03:00 141275 15:52:00 141250     -25   -12   4686
UU 0612 20061212 09:13:00 141225 11:07:00 140975    -250  -125   4561
UU 0703 20061212 14:18:00 142400 15:15:00 142475     -75   -37   4524
UU 0612 20061212 08:33:00 141200 09:35:00 141450    -250  -125   4399
UU 0703 20061212 13:35:00 142350 13:50:00 142350       0     0   4399
UU 0612 20061212 10:41:00 141175 12:32:00 140950     225   112   4511
UU 0612 20061212 13:23:00 141250 13:36:00 141000    -250  -125   4386
UU 0703 20061212 13:23:00 142475 13:36:00 142225    -250  -125   4261
UU 0703 20061212 13:58:00 142425 15:15:00 142475      50    25   4286
UU 0703 20061212 09:06:00 142375 09:33:00 142625    -250  -125   4161
UU 0703 20061212 10:41:00 142400 11:39:00 142050     350   175   4336
UU 0703 20061221 06:03:00 143650 15:15:00 143025     625   312   4648
UU 0703 20061221 07:48:00 143650 09:58:00 143325    -325  -162   4486
UU 0703 20070110 12:46:00 142200 15:14:00 142450     250   125   4611
UU 0703 20070110 12:55:00 142175 15:14:00 142450    -275  -137   4474
UU 0703 20070122 08:30:00 143725 13:44:00 143125     600   300   4774
UU 0703 20070209 09:34:00 145250 14:05:00 144050    1200   600   5374
UU 0703 20070222 12:23:00 145850 13:32:00 145625    -225  -112   5262
UU 0703 20070222 10:15:00 145850 10:37:00 145525     325   162   5424
UU 0703 20070222 14:35:00 145850 15:14:00 145925      75    37   5461
UU 0703 20070223 08:33:00 145725 10:51:00 145475     250   125   5586
UU 0706 20070313 10:51:00 141300 13:32:00 139725    1575   787   6373
UU 0706 20070313 06:17:00 141300 08:41:00 141325     -25   -12   6361
UU 0706 20070313 08:41:00 141325 11:16:00 140900    -425  -212   6149
UU 0706 20070313 09:06:00 141200 09:29:00 141550    -350  -175   5974
UU 0706 20070313 06:51:00 141300 08:12:00 140950    -350  -175   5799
UU 0706 20070329 07:36:00 143800 09:43:00 143300    -500  -250   5549
UU 0706 20070412 11:20:00 145150 12:32:00 145450    -300  -150   5399
UU 0706 20070412 10:12:00 145150 10:23:00 144900    -250  -125   5274
UU 0706 20070412 11:20:00 145150 12:28:00 145400    -250  -125   5149
UU 0706 20070412 11:03:00 145175 15:14:00 145525     350   175   5324
UU 0706 20070412 10:12:00 145150 10:24:00 144850    -300  -150   5174
UU 0706 20070412 11:03:00 145175 15:14:00 145525     350   175   5349
UU 0706 20070514 09:40:00 151200 12:36:00 150875    -325  -162   5187
UU 0706 20070514 09:13:00 151200 14:23:00 150800     400   200   5387
UU 0706 20070514 08:12:00 151200 08:38:00 151500    -300  -150   5237
UU 0706 20070514 07:10:00 151200 09:13:00 151200       0     0   5237
UU 0706 20070515 13:53:00 150775 15:14:00 150850      75    37   5274
UU 0706 20070515 13:44:00 150750 15:14:00 150850    -100   -50   5224
UU 0706 20070515 07:30:00 150800 08:50:00 150800       0     0   5224
UU 0706 20070613 14:59:00 151600 15:14:00 151525     -75   -37   5187
UU 0706 20070613 15:07:00 151575 15:14:00 151525      50    25   5212
UU 0709 20070710 06:57:00 153775 09:09:00 153350     425   212   5424
UU 0709 20070710 07:33:00 153775 08:10:00 153450    -325  -162   5262
UU 0709 20070720 08:58:00 155125 12:24:00 154475     650   325   5587
UU 0709 20070720 09:06:00 155275 10:25:00 154675    -600  -300   5287
UU 0709 20070724 05:37:00 154825 07:36:00 154150    -675  -337   4950
UU 0709 20070724 05:15:00 154775 15:15:00 152300    2475  1237   6187
UU 0709 20070803 08:58:00 146900 15:15:00 144325    2575  1287   7474
UU 0709 20070803 10:47:00 147225 13:18:00 146250    -975  -487   6987
UU 0712 20071126 09:43:00 143675 15:15:00 140925    2750  1375   8362
UU 0712 20071126 10:03:00 143750 13:46:00 142950    -800  -400   7962

YM 0606 20060310 08:50:00  11089 13:49:00  11124      35   175    175
YM 0606 20060310 07:33:00  11063 11:21:00  11145      82   410    585
YM 0606 20060310 09:04:00  11077 09:18:00  11105     -28  -140    445
YM 0606 20060310 07:44:00  11056 08:04:00  11080     -24  -120    325
YM 0606 20060310 08:37:00  11058 08:48:00  11081     -23  -115    210
YM 0606 20060330 09:06:00  11305 09:42:00  11271     -34  -170     40
YM 0606 20060330 09:17:00  11304 14:37:00  11230      74   370    410
YM 0606 20060406 11:07:00  11237 12:39:00  11265     -28  -140    270
YM 0606 20060406 11:35:00  11240 14:02:00  11272      32   160    430
YM 0606 20060407 09:20:00  11262 13:41:00  11219      43   215    645
YM 0606 20060417 10:03:00  11173 14:26:00  11107      66   330    975
YM 0606 20060417 10:29:00  11177 11:30:00  11148     -29  -145    830
YM 0606 20060417 08:28:00  11175 08:50:00  11204     -29  -145    685
YM 0606 20060427 09:51:00  11373 13:14:00  11409      36   180    865
YM 0606 20060427 09:48:00  11360 15:28:00  11420      60   300   1165
YM 0606 20060427 09:22:00  11366 10:09:00  11394     -28  -140   1025
YM 0606 20060427 09:00:00  11356 09:33:00  11349      -7   -35    990
YM 0606 20060427 09:01:00  11372 09:21:00  11375       3    15   1005
YM 0606 20060427 09:33:00  11349 09:54:00  11381     -32  -160    845
YM 0606 20060501 14:36:00  11370 15:29:00  11373      -3   -15    830
YM 0606 20060501 14:46:00  11384 15:29:00  11373     -11   -55    775
YM 0609 20060627 09:56:00  11090 14:18:00  11030      60   300   1075
YM 0609 20060712 09:01:00  11172 15:28:00  11082      90   450   1525
YM 0609 20060712 09:09:00  11178 09:40:00  11147     -31  -155   1370
YM 0612 20061003 07:28:00  11725 11:05:00  11785     -60  -300   1070
YM 0612 20061003 08:05:00  11726 15:29:00  11789      63   315   1385
YM 0612 20061101 08:53:00  12134 15:29:00  12063      71   355   1740
YM 0612 20061101 07:19:00  12141 09:13:00  12110     -31  -155   1585
YM 0612 20061114 08:54:00  12165 11:47:00  12144      21   105   1690
YM 0612 20061114 12:23:00  12166 15:29:00  12254      88   440   2130
YM 0612 20061114 12:56:00  12165 13:39:00  12189     -24  -120   2010
YM 0612 20061114 07:19:00  12167 08:54:00  12165      -2   -10   2000
YM 0612 20061114 09:01:00  12167 09:13:00  12143     -24  -120   1880
YM 0612 20061124 10:16:00  12337 10:37:00  12322     -15   -75   1805
YM 0612 20061213 12:39:00  12306 13:21:00  12318     -12   -60   1745
YM 0703 20070122 07:26:00  12607 12:29:00  12519      88   440   2185
YM 0703 20070125 11:48:00  12612 12:38:00  12584     -28  -140   2045
YM 0703 20070125 11:06:00  12605 15:30:00  12548      57   285   2330
YM 0703 20070207 13:34:00  12690 14:02:00  12674      16    80   2410
YM 0703 20070207 14:46:00  12693 15:28:00  12708      15    75   2485
YM 0703 20070209 11:33:00  12671 15:00:00  12617      54   270   2755
YM 0703 20070209 07:22:00  12670 08:36:00  12697     -27  -135   2620
YM 0706 20070530 09:09:00  13514 13:05:00  13510      -4   -20   2600
YM 0706 20070530 12:37:00  13546 13:18:00  13550      -4   -20   2580
YM 0706 20070530 13:18:00  13550 15:29:00  13655     105   525   3105
YM 0706 20070530 13:05:00  13510 13:28:00  13563     -53  -265   2840
YM 0706 20070530 11:21:00  13548 13:05:00  13510     -38  -190   2650
YM 0706 20070530 09:34:00  13508 11:24:00  13554     -46  -230   2420
YM 0709 20070710 14:52:00  13604 15:28:00  13588      16    80   2500
YM 0709 20070710 09:33:00  13663 10:16:00  13709     -46  -230   2270
YM 0709 20070720 07:12:00  14004 12:39:00  13928      76   380   2650
YM 0709 20070720 07:12:00  14004 12:40:00  13934      70   350   3000
YM 0712 20071011 13:28:00  14121 14:39:00  14062      59   295   3295
YM 0712 20071011 13:37:00  14132 14:06:00  14071     -61  -305   2990
YM 0712 20071015 08:36:00  14160 14:46:00  14036     124   620   3610

One disadvantage of concentrating on a single commodity is the relatively larger drawdowns. A worse problem, not so readily apparent in research results, is the often long period of decline following a new portfolio high.

For instance, in UU, the most popular commodity, a new high of $6,373 is reached on March 13, 2007 (Table 2). That commodity loses money until July 24 (-$1,423). There are many cases of long term drawdowns in Table 2. If you are trading a methodology that in general shows gains and you encounter a period of several months of decline, it is hard to remain upbeat. The writer's experience is that after a month or so of declines the customers whose money we managed all began to question the methodology (is your model obsolete?).

Over the same period that UU was declining, NQ went from $6,361 to $9,948. If you are consistently losing on one (UU) (-$1,423) while at the same time winning on another (NQ) (+$3,587) you have the emotional outlook of a winner, not a loser. In trading, this is of paramount importance.