Day by Day Report: All Trades for Vanilla 485 Days [04/22/2003 - 03/23/2005] 100 Symbols [QP: Nasdaq 100: 100] 8 Seconds [Backtest Duration] (03/28/2005 16:10:38) Cumulative Per Day Total Net Profit: $(18,438.52) Avg Net Profit/Day: $(38.02) Total Net Prof Long: $12,188.62 Avg Net Prof Long/Day: $25.13 Total Net Prof Short: $(30,627.14) Avg Net Prof Shrt/Day: $(63.15) Total Trades: 47,497 T Avg Trades/Day: 97.93 T Total Long Trades: 23,304 T Avg Long Trades/Day: 48.05 T Total Short Trades: 24,193 T Avg Short Trades/Day: 49.88 T Total Market Bias: %(1.87) Avg Daily Market Bias: %41.38 Total Shares Traded: 9,499,400 S Avg Shares/Day: 19,586.39 S Total Capital Traded: $155,939,258.05 Avg Cap Traded/Day: $321,524.24 Capital Required: $389,224.50 [Max Invested At Any One Time] Avg Capital Req/Day: $321,524.24 Best Day: $7,485.00 [01/04/2005] Worst Day: $(8,579.98) [07/21/2004] Max Fav. Exc. Overall: $9,249.92 [06/05/2003] Max Adv. Exc. Overall: $(25,862.75) [12/12/2003] Max PullBack Overall: $(35,112.67) [12/12/2003, 133 days] (No Recovery) Max Fav. Exc. Daily: $7,485.00 [01/04/2005] Max Adv. Exc. Daily: $(8,579.98) [07/21/2004] Per Trade [47,497 Trades(Pos)] Per Share [9,499,400 Shares] Avg Profit/Trade: $(0.388) Avg Profit/Share: $(0.0019) Avg Shares/Trade: 200.00 S Avg Price/Share: $32.83 Avg Profit/Long: $0.523 Avg Profit/Long: $0.0026 Avg Profit/Short: $(1.266) Avg Profit/Short: $(0.0063) Avg Price/Trade: $3,283.14 Positions: 47,497 Avg Profit/Position: $(0.3882) Percent Gain/Loss [100 * Profit / Cost] Per Capital Required: -4.737% [$389,224.50 Required] Per Capital Traded: -0.012% [$155,939,258.05 Traded] Miscellaneous Stats Buy & Hold ($): $1,289.12 Buy & Hold (%): 54.72% Winning Days: 246 D Losing Days: 239 D Avg Net/Winning Day: $1,175.65 Avg Net/Losing Day: $(1,287.23) Consec Winning Days: 8 D Consec Losing Days: 7 D Winning Positions: 23410 T Losing Positions: 23606 T Trades Held Overnight: 0 T Missing Bars: 1,003 B Most Trades/Day: 100 T [11/17/2004] Fewest Trades/Day: 96 T [04/22/2003] Most Trades/Bar: 100 T [11/17/2004] Best Exit Bar: $7,485.00 [01/04/2005] Worst Exit Bar: $(8,579.98) [07/21/2004] ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/22/2003 194 194 194 0 96 96 44-52 47-47 19,200 225,628 2.50 04/23/2003 1,817 1,623 1,623 0 96 96 79-17 57-39 19,200 231,794 1.03 04/24/2003 2,510 693 693 0 96 96 64-32 44-51 19,200 231,606 0.58 04/25/2003 1,280 (1,230) 0 (1,230) 96 96 54-42 40-56 19,200 231,807 (1.99) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/28/2003 (2,655) (3,936) 0 (3,936) 96 96 12-84 18-78 19,200 228,022 2.16 04/29/2003 (1,782) 873 873 0 96 96 88-8 60-36 19,200 233,804 0.59 04/30/2003 (1,973) (191) 0 (191) 96 96 62-34 42-53 19,200 234,496 (0.04) 05/01/2003 (2,144) (171) 0 (171) 96 96 41-55 44-51 19,200 234,062 0.57 05/02/2003 (926) 1,218 1,218 0 96 96 58-38 54-42 19,200 234,744 2.70 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/05/2003 (1,001) (75) 0 (75) 96 96 88-8 49-46 19,200 241,656 0.22 05/06/2003 (1,147) (145) 0 (145) 96 96 47-49 47-49 19,200 241,325 1.72 05/07/2003 (2,054) (907) 0 (907) 97 97 76-21 38-59 19,400 243,938 (0.77) 05/08/2003 (1,494) 559 559 0 97 97 35-62 52-43 19,400 239,361 (0.43) 05/09/2003 (2,145) (650) 0 (650) 97 97 39-58 43-52 19,400 239,776 0.99 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/12/2003 1,115 3,260 3,260 0 97 97 71-26 72-25 19,400 241,982 2.44 05/13/2003 1,481 366 366 0 97 97 86-11 55-41 19,400 245,252 0.27 05/14/2003 2,268 786 786 0 97 97 52-45 54-42 19,400 245,899 (0.83) 05/15/2003 2,101 (167) 0 (167) 97 97 23-74 49-48 19,400 245,264 0.81 05/16/2003 2,080 (21) 0 (21) 97 97 63-34 51-44 19,400 246,296 (0.01) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/19/2003 2,129 49 49 0 97 97 48-49 48-48 19,400 244,094 (3.14) 05/20/2003 3,396 1,266 1,266 0 97 97 4-93 67-30 19,400 238,118 (0.74) 05/21/2003 2,322 (1,073) 0 (1,073) 97 97 30-67 36-61 19,400 236,423 0.61 05/22/2003 3,644 1,321 1,321 0 97 97 61-36 51-44 19,400 238,799 1.83 05/23/2003 4,361 717 717 0 97 97 78-19 58-39 19,400 242,872 0.51 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/27/2003 6,524 2,162 2,162 0 97 97 61-36 58-39 19,400 242,795 4.23 05/28/2003 6,432 (91) 0 (91) 97 97 94-3 41-56 19,400 252,954 0.13 05/29/2003 7,120 687 687 0 97 97 44-53 51-43 19,400 253,502 0.41 05/30/2003 6,126 (993) 0 (993) 97 97 47-50 40-56 19,400 255,334 1.29 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/02/2003 3,905 (2,221) 0 (2,221) 97 97 74-23 35-60 19,400 261,598 (1.85) 06/03/2003 1,498 (2,406) 0 (2,406) 97 97 18-79 35-62 19,400 256,947 0.99 06/04/2003 4,301 2,803 2,803 0 97 97 64-33 63-34 19,400 259,300 2.46 06/05/2003 9,249 4,948 4,948 0 97 97 88-9 79-18 19,400 262,577 2.05 06/06/2003 4,279 (4,970) 0 (4,970) 97 97 78-19 29-68 19,400 271,390 (3.20) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/09/2003 6,894 2,614 2,614 0 97 97 12-85 74-23 19,400 263,099 (1.38) 06/10/2003 4,949 (1,944) 0 (1,944) 97 97 19-78 32-65 19,400 260,752 0.95 06/11/2003 7,029 2,080 2,080 0 97 97 74-23 60-37 19,400 263,117 1.40 06/12/2003 6,382 (646) 0 (646) 97 97 73-24 43-52 19,400 267,498 (0.38) 06/13/2003 7,836 1,454 1,454 0 97 97 37-60 58-39 19,400 266,837 (2.55) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/16/2003 2,237 (5,599) 0 (5,599) 97 97 2-95 14-83 19,400 262,388 2.37 06/17/2003 559 (1,677) 0 (1,677) 97 97 85-12 24-73 19,400 270,382 (0.63) 06/18/2003 (454) (1,013) 0 (1,013) 97 97 24-73 40-57 19,400 267,004 1.13 06/19/2003 (655) (200) 0 (200) 97 97 69-28 34-62 19,400 268,790 (1.89) 06/20/2003 983 1,638 1,638 0 97 97 8-89 58-38 19,400 265,033 (0.90) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/23/2003 1,500 516 516 0 97 97 34-63 55-42 19,400 262,888 (1.91) 06/24/2003 1,660 159 159 0 97 97 18-79 54-42 19,400 258,465 (0.58) 06/25/2003 1,441 (218) 0 (218) 97 97 34-63 47-50 19,400 258,076 0.11 06/26/2003 944 (497) 0 (497) 97 97 46-51 45-52 19,400 258,441 1.80 06/27/2003 (990) (1,934) 0 (1,934) 97 97 80-17 32-63 19,400 263,610 (0.72) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/30/2003 (248) 741 741 0 97 97 32-65 53-43 19,400 262,629 (0.75) 07/01/2003 (2,068) (1,820) 0 (1,820) 97 97 31-66 34-63 19,400 259,618 1.77 07/02/2003 1,319 3,388 3,388 0 97 97 82-15 74-22 19,400 264,243 1.90 07/03/2003 953 (365) 0 (365) 97 97 82-15 40-54 19,400 267,088 (0.03) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/07/2003 (1,184) (2,138) 0 (2,138) 97 97 37-60 38-59 19,400 270,054 2.22 07/08/2003 2,521 3,706 3,706 0 97 97 84-13 76-20 19,400 275,111 1.97 07/09/2003 2,282 (238) 0 (238) 97 97 85-12 37-58 19,400 280,089 0.11 07/10/2003 2,853 570 570 0 97 97 39-58 56-40 19,400 277,939 (1.09) 07/11/2003 1,933 (919) 0 (919) 97 97 21-76 38-59 19,400 276,059 0.47 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/14/2003 1,652 (280) 0 (280) 97 97 62-35 45-51 19,400 281,312 0.19 07/15/2003 1,174 (478) 0 (478) 97 97 50-47 53-44 19,400 284,045 (1.14) 07/16/2003 2,491 1,316 1,316 0 97 97 24-73 63-34 19,400 283,381 (1.50) 07/17/2003 5,234 2,743 2,743 0 97 97 20-77 75-21 19,400 276,753 (1.71) 07/18/2003 5,822 587 587 0 97 97 9-88 51-44 19,400 274,247 (0.22) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/21/2003 6,511 689 689 0 97 97 43-54 55-42 19,400 273,402 (1.10) 07/22/2003 6,112 (398) 0 (398) 97 97 27-70 44-52 19,400 272,949 0.61 07/23/2003 5,660 (451) 0 (451) 97 97 57-40 44-50 19,400 275,840 0.14 07/24/2003 4,620 (1,040) 0 (1,040) 97 97 54-43 50-46 19,400 278,832 (1.76) 07/25/2003 1,598 (3,022) 0 (3,022) 97 97 22-75 25-72 19,400 274,133 1.61 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/28/2003 2,587 989 989 0 97 97 86-11 53-42 19,400 278,871 0.47 07/29/2003 2,041 (545) 0 (545) 97 97 52-45 44-53 19,400 280,269 (0.58) 07/30/2003 3,316 1,274 1,274 0 97 97 37-60 62-34 19,400 278,495 (1.17) 07/31/2003 2,928 (388) 0 (388) 97 97 19-78 48-47 19,400 278,724 (0.01) 08/01/2003 2,760 (168) 0 (168) 97 97 44-53 51-46 19,400 277,853 (0.45) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/04/2003 2,684 (75) 0 (75) 97 97 28-69 43-54 19,400 276,336 0.42 08/05/2003 313 (2,371) 0 (2,371) 97 97 58-39 36-60 19,400 276,378 (2.46) 08/06/2003 1,654 1,340 1,340 0 97 97 9-88 61-35 19,400 268,717 (0.79) 08/07/2003 1,152 (501) 0 (501) 97 97 30-67 47-49 19,400 266,388 (0.15) 08/08/2003 1,237 85 85 0 97 97 51-46 52-44 19,400 267,613 (1.08) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/11/2003 (394) (1,631) 0 (1,631) 97 97 30-67 31-64 19,400 265,702 1.17 08/12/2003 1,749 2,143 2,143 0 97 97 74-23 68-29 19,400 269,788 1.32 08/13/2003 1,704 (44) 0 (44) 97 97 81-16 47-48 19,400 274,103 (0.19) 08/14/2003 1,679 (25) 0 (25) 97 97 44-53 49-48 19,400 273,652 0.66 08/15/2003 1,783 104 104 0 97 97 66-31 48-45 19,400 275,816 0.25 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/18/2003 405 (1,378) 0 (1,378) 97 97 49-48 47-48 19,400 277,367 2.27 08/19/2003 1,687 1,281 1,281 0 97 97 84-13 60-37 19,400 284,849 0.63 08/20/2003 1,725 38 38 0 97 97 57-40 50-46 19,400 284,272 0.68 08/21/2003 2,706 980 980 0 97 97 62-35 49-46 19,400 287,585 1.16 08/22/2003 (315) (3,022) 0 (3,022) 97 97 63-34 37-59 19,400 294,983 (2.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/25/2003 (200) 114 114 0 97 97 9-88 53-43 19,400 287,909 (0.07) 08/26/2003 (150) 49 49 0 97 97 42-55 48-47 19,400 286,475 0.59 08/27/2003 1,566 1,717 1,717 0 97 97 69-28 57-39 19,400 287,390 1.29 08/28/2003 2,697 1,131 1,131 0 97 97 76-21 60-36 19,400 291,302 1.13 08/29/2003 3,590 893 893 0 97 97 73-24 60-36 19,400 293,916 0.95 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/02/2003 4,643 1,052 1,052 0 97 97 74-23 62-35 19,400 296,550 1.08 09/03/2003 5,210 566 566 0 97 97 71-26 55-42 19,400 301,020 (0.47) 09/04/2003 5,232 22 22 0 97 97 43-54 47-50 19,400 299,030 0.75 09/05/2003 5,169 (62) 0 (62) 97 97 65-32 55-41 19,400 300,067 (0.37) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/08/2003 4,487 (681) 0 (681) 97 97 33-64 37-59 19,400 298,745 1.54 09/09/2003 3,648 (839) 0 (839) 97 97 79-18 35-62 19,400 302,247 (0.72) 09/10/2003 7,236 3,587 3,587 0 97 97 21-76 72-25 19,400 297,978 (2.35) 09/11/2003 4,927 (2,308) 0 (2,308) 97 97 6-91 20-75 19,400 293,017 1.02 09/12/2003 6,168 1,240 1,240 0 97 97 75-22 59-37 19,400 293,992 0.88 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/15/2003 4,646 (1,521) 0 (1,521) 97 97 71-26 32-65 19,400 297,327 (0.82) 09/16/2003 268 (4,378) 0 (4,378) 97 97 20-77 24-72 19,400 295,637 2.43 09/17/2003 219 (48) 0 (48) 97 97 90-7 44-52 19,400 301,969 0.10 09/18/2003 (1,141) (1,361) 0 (1,361) 97 97 45-52 39-56 19,400 302,431 1.27 09/19/2003 (2,093) (952) 0 (952) 97 97 75-22 38-58 19,400 307,123 (0.67) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/22/2003 (1,361) 731 731 0 97 97 31-66 56-38 19,400 301,135 (0.37) 09/23/2003 (2,811) (1,449) 0 (1,449) 97 97 32-65 35-60 19,400 300,066 1.50 09/24/2003 (9,276) (6,464) 0 (6,464) 97 97 81-16 18-79 19,400 303,274 (2.92) 09/25/2003 (5,900) 3,375 3,375 0 97 97 4-93 80-16 19,400 294,986 (1.29) 09/26/2003 (3,573) 2,327 2,327 0 97 97 15-82 72-25 19,400 290,657 (1.47) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/29/2003 (5,406) (1,833) 0 (1,833) 97 97 14-83 28-67 19,400 289,143 0.87 09/30/2003 (7,260) (1,853) 0 (1,853) 97 97 67-30 31-65 19,400 289,745 (1.07) 10/01/2003 (10,595) (3,335) 0 (3,335) 97 97 18-79 22-75 19,400 288,251 1.51 10/02/2003 (9,773) 822 822 0 97 97 83-14 48-47 19,400 293,511 0.28 10/03/2003 (9,117) 655 655 0 97 97 51-46 56-41 19,400 299,398 0.87 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/06/2003 (8,199) 918 918 0 97 97 68-29 61-35 19,400 302,537 0.38 10/07/2003 (7,385) 813 813 0 97 97 60-37 51-46 19,400 301,830 1.50 10/08/2003 (9,538) (2,152) 0 (2,152) 97 97 82-15 36-61 19,400 307,049 (0.81) 10/09/2003 (9,482) 56 56 0 97 97 25-72 50-44 19,400 308,243 (0.42) 10/10/2003 (9,274) 207 207 0 97 97 36-61 48-46 19,400 307,972 0.53 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/13/2003 (8,898) 375 375 0 97 97 60-37 47-48 19,400 311,096 0.38 10/14/2003 (8,810) 87 87 0 97 97 58-39 53-42 19,400 311,445 0.87 10/15/2003 (10,685) (1,875) 0 (1,875) 97 97 75-22 28-69 19,400 317,233 (1.94) 10/16/2003 (13,221) (2,535) 0 (2,535) 97 97 12-85 29-67 19,400 310,558 1.20 10/17/2003 (16,667) (3,446) 0 (3,446) 97 97 73-24 28-69 19,400 313,443 (2.29) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/20/2003 (18,059) (1,392) 0 (1,392) 97 97 8-89 32-63 19,400 306,553 0.68 10/21/2003 (18,293) (233) 0 (233) 97 97 65-32 48-47 19,400 309,511 0.67 10/22/2003 (20,135) (1,842) 0 (1,842) 97 97 63-34 41-56 19,400 308,829 (1.27) 10/23/2003 (21,677) (1,542) 0 (1,542) 97 97 17-80 30-66 19,400 301,177 0.47 10/24/2003 (21,386) 291 291 0 97 97 65-32 57-40 19,400 300,927 0.63 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/27/2003 (21,325) 60 60 0 97 97 69-28 45-48 19,400 305,240 (0.04) 10/28/2003 (22,781) (1,455) 0 (1,455) 97 97 44-53 43-53 19,400 306,849 2.38 10/29/2003 (21,099) 1,681 1,681 0 97 97 88-9 58-39 19,400 313,413 0.95 10/30/2003 (23,065) (1,966) 0 (1,966) 97 97 65-32 38-58 19,400 319,398 (1.46) 10/31/2003 (21,733) 1,332 1,332 0 97 97 16-81 58-39 19,400 315,166 (0.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/03/2003 (23,562) (1,828) 0 (1,828) 97 97 41-56 39-58 19,400 315,566 1.44 11/04/2003 (22,894) 668 668 0 97 97 79-18 47-50 19,400 318,193 0.13 11/05/2003 (22,427) 466 466 0 97 97 47-50 49-47 19,400 317,874 0.29 11/06/2003 (21,780) 646 646 0 97 97 52-45 53-44 19,400 319,990 0.26 11/07/2003 (22,107) (326) 0 (326) 97 97 56-41 41-55 19,400 322,766 (0.77) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/10/2003 (19,267) 2,840 2,840 0 97 97 29-68 63-34 19,400 320,231 (1.56) 11/11/2003 (19,374) (106) 0 (106) 97 97 15-82 47-47 19,400 314,842 (0.20) 11/12/2003 (20,267) (893) 0 (893) 97 97 39-58 43-54 19,400 314,799 2.09 11/13/2003 (18,907) 1,360 1,360 0 97 97 89-8 53-43 19,400 320,295 0.38 11/14/2003 (19,748) (841) 0 (841) 97 97 55-42 43-54 19,400 321,488 (2.02) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/17/2003 (18,524) 1,224 1,224 0 97 97 9-88 61-35 19,400 313,343 (0.43) 11/18/2003 (17,527) 996 996 0 97 97 36-61 57-40 19,400 313,797 (2.36) 11/19/2003 (18,587) (1,059) 0 (1,059) 97 97 6-91 37-60 19,400 307,381 0.43 11/20/2003 (19,137) (550) 0 (550) 97 97 60-37 40-56 19,400 305,697 0.23 11/21/2003 (19,622) (485) 0 (485) 97 97 54-43 49-47 19,400 307,573 (0.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/24/2003 (19,111) 511 511 0 97 97 45-52 48-49 19,400 310,311 2.28 11/25/2003 (19,030) 81 81 0 97 97 90-7 50-45 19,400 318,026 0.02 11/26/2003 (19,040) (9) 0 (9) 97 97 47-50 50-45 19,400 319,462 (0.10) 11/28/2003 (20,210) (1,169) 0 (1,169) 97 97 39-58 37-58 19,400 318,570 0.92 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/01/2003 (19,991) 218 218 0 97 97 72-25 50-46 19,400 322,703 0.86 12/02/2003 (20,497) (505) 0 (505) 97 97 66-31 45-51 19,400 324,909 (0.57) 12/03/2003 (19,436) 1,061 1,061 0 97 97 28-69 64-33 19,400 324,305 (1.74) 12/04/2003 (18,620) 815 815 0 97 97 17-80 41-55 19,400 318,072 (0.27) 12/05/2003 (19,098) (478) 0 (478) 97 97 54-43 40-57 19,400 314,316 (0.68) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/08/2003 (20,274) (1,175) 0 (1,175) 97 97 29-68 33-61 19,400 311,487 0.76 12/09/2003 (24,244) (3,970) 0 (3,970) 97 97 71-26 27-70 19,400 315,274 (2.66) 12/10/2003 (23,649) 595 595 0 97 97 5-92 56-37 19,400 308,331 (0.15) 12/11/2003 (25,105) (1,456) 0 (1,456) 97 97 40-57 42-55 19,400 307,866 2.55 12/12/2003 (25,862) (756) 0 (756) 97 97 93-4 34-62 19,400 315,943 (0.33) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/15/2003 (22,375) 3,487 3,487 0 97 97 34-63 66-31 19,400 320,135 (3.41) 12/16/2003 (22,159) 215 215 0 97 97 3-94 45-51 19,400 309,507 0.09 12/17/2003 (21,464) 695 695 0 97 97 52-45 49-47 19,400 309,303 (0.15) 12/18/2003 (23,469) (2,005) 0 (2,005) 97 97 40-57 37-60 19,400 310,180 1.84 12/19/2003 (24,554) (1,084) 0 (1,084) 97 97 84-13 36-61 19,400 315,819 (0.66) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/22/2003 (25,337) (782) 0 (782) 97 97 31-66 38-58 19,400 314,142 0.45 12/23/2003 (24,449) 887 887 0 97 97 62-35 44-52 19,400 316,092 1.12 12/24/2003 (24,378) 71 71 0 97 97 72-25 47-48 19,400 318,643 0.06 12/26/2003 (24,383) (4) 0 (4) 97 97 43-54 52-41 19,400 319,301 (0.16) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/29/2003 (25,120) (737) 0 (737) 97 97 40-57 43-54 19,400 319,749 1.39 12/30/2003 (24,749) 370 370 0 97 97 88-9 52-43 19,400 323,305 0.18 12/31/2003 (24,693) 56 56 0 97 97 47-50 50-46 19,400 324,309 (0.45) 01/02/2004 (23,527) 1,166 1,166 0 97 97 30-67 57-39 19,400 324,442 (0.37) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/05/2004 (24,746) (1,219) 0 (1,219) 97 97 29-68 41-56 19,400 324,853 1.19 01/06/2004 (22,709) 2,037 2,037 0 97 97 69-28 61-34 19,400 327,998 0.84 01/07/2004 (21,017) 1,691 1,691 0 97 97 58-39 55-40 19,400 329,482 0.67 01/08/2004 (20,961) 56 56 0 97 97 64-33 48-48 19,400 333,875 0.12 01/09/2004 (20,255) 706 706 0 97 97 50-47 55-41 19,400 330,241 0.63 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/12/2004 (17,905) 2,350 2,350 0 97 97 59-38 59-36 19,400 333,032 1.06 01/13/2004 (20,334) (2,429) 0 (2,429) 97 97 71-26 37-58 19,400 336,454 (1.19) 01/14/2004 (18,704) 1,630 1,630 0 97 97 26-71 58-39 19,400 334,306 0.03 01/15/2004 (19,592) (888) 0 (888) 97 97 51-46 42-55 19,400 333,342 0.69 01/16/2004 (18,717) 875 875 0 97 97 60-37 51-46 19,400 338,269 0.83 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/20/2004 (17,406) 1,310 1,310 0 97 97 64-33 52-43 19,400 341,036 (0.18) 01/21/2004 (17,319) 87 87 0 97 97 43-54 50-46 19,400 339,124 0.02 01/22/2004 (15,873) 1,445 1,445 0 97 97 49-48 56-41 19,400 339,466 (1.22) 01/23/2004 (14,351) 1,521 1,521 0 97 97 28-69 55-41 19,400 336,785 (0.65) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/26/2004 (16,089) (1,738) 0 (1,738) 97 97 35-62 42-54 19,400 334,431 1.38 01/27/2004 (19,076) (2,986) 0 (2,986) 97 97 76-21 29-67 19,400 338,271 (1.75) 01/28/2004 (13,836) 5,240 5,240 0 97 97 10-87 80-17 19,400 334,288 (2.28) 01/29/2004 (13,687) 148 148 0 97 97 7-90 49-47 19,400 327,945 (0.27) 01/30/2004 (14,295) (608) 0 (608) 97 97 48-49 43-53 19,400 328,502 0.01 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/02/2004 (15,152) (857) 0 (857) 97 97 44-53 52-45 19,400 329,427 (0.60) 02/03/2004 (14,942) 210 210 0 97 97 35-62 49-48 19,400 327,137 0.12 02/04/2004 (16,313) (1,370) 0 (1,370) 97 97 51-46 43-54 19,400 324,917 (0.55) 02/05/2004 (15,088) 1,224 1,224 0 97 97 37-60 53-43 19,400 325,595 0.09 02/06/2004 (16,574) (1,485) 0 (1,485) 97 97 46-51 46-51 19,400 326,386 2.18 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/09/2004 (17,629) (1,055) 0 (1,055) 97 97 89-8 36-59 19,400 333,663 (0.46) 02/10/2004 (18,728) (1,099) 0 (1,099) 97 97 32-65 39-56 19,400 332,259 0.61 02/11/2004 (18,175) 553 553 0 97 97 66-31 53-44 19,400 334,805 1.01 02/12/2004 (18,463) (288) 0 (288) 97 97 74-23 40-56 19,400 336,382 (0.49) 02/13/2004 (17,089) 1,373 1,373 0 97 97 33-64 63-34 19,400 335,255 (1.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/17/2004 (18,039) (949) 0 (949) 97 97 13-84 34-61 19,400 333,838 0.47 02/18/2004 (17,629) 409 409 0 97 97 60-37 52-43 19,400 335,622 (0.08) 02/19/2004 (17,371) 258 258 0 97 97 40-57 57-40 19,400 338,391 (2.40) 02/20/2004 (16,352) 1,019 1,019 0 97 97 6-91 60-36 19,400 331,980 (0.52) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/23/2004 (13,717) 2,634 2,634 0 97 97 32-65 63-33 19,400 330,814 (1.99) 02/24/2004 (13,492) 225 225 0 97 97 12-85 53-43 19,400 324,319 0.04 02/25/2004 (13,719) (227) 0 (227) 97 97 49-48 50-44 19,400 325,600 0.56 02/26/2004 (13,067) 652 652 0 97 97 57-40 48-46 19,400 326,412 0.98 02/27/2004 (11,955) 1,111 1,111 0 97 97 70-27 56-41 19,400 329,796 (0.36) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/01/2004 (12,922) (966) 0 (966) 97 97 39-58 42-54 19,400 329,920 1.24 03/02/2004 (14,816) (1,893) 0 (1,893) 97 97 77-20 36-61 19,400 333,808 (0.59) 03/03/2004 (14,276) 540 540 0 97 97 30-67 52-44 19,400 330,305 (0.10) 03/04/2004 (15,328) (1,051) 0 (1,051) 97 97 38-59 35-59 19,400 329,609 1.04 03/05/2004 (13,815) 1,512 1,512 0 97 97 76-21 63-33 19,400 329,526 0.72 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/08/2004 (16,110) (2,295) 0 (2,295) 97 97 66-31 30-66 19,400 332,304 (2.39) 03/09/2004 (14,366) 1,743 1,743 0 97 97 4-93 61-36 19,400 325,179 (0.69) 03/10/2004 (12,704) 1,661 1,661 0 97 97 36-61 61-35 19,400 323,040 (1.53) 03/11/2004 (10,940) 1,764 1,764 0 97 97 12-85 62-35 19,400 316,354 (0.53) 03/12/2004 (12,288) (1,348) 0 (1,348) 97 97 33-64 36-59 19,400 316,353 1.13 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/15/2004 (16,816) (4,527) 0 (4,527) 97 97 80-17 21-75 19,400 318,691 (1.94) 03/16/2004 (15,108) 1,708 1,708 0 97 97 8-89 69-27 19,400 316,282 (0.57) 03/17/2004 (15,133) (25) 0 (25) 97 97 33-64 41-54 19,400 317,230 0.90 03/18/2004 (15,683) (550) 0 (550) 97 97 67-30 46-51 19,400 319,802 (0.40) 03/19/2004 (14,348) 1,335 1,335 0 97 97 36-61 60-36 19,400 319,108 (1.19) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/22/2004 (13,633) 715 715 0 97 97 16-81 57-39 19,400 313,451 (0.67) 03/23/2004 (12,161) 1,471 1,471 0 97 97 31-66 62-34 19,400 313,614 (1.37) 03/24/2004 (13,606) (1,444) 0 (1,444) 97 97 12-85 38-59 19,400 310,048 0.57 03/25/2004 (11,269) 2,337 2,337 0 97 97 61-36 60-37 19,400 314,137 2.35 03/26/2004 (11,410) (141) 0 (141) 97 97 88-9 44-52 19,400 319,819 (0.01) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/29/2004 (11,580) (170) 0 (170) 97 97 41-56 43-54 19,400 321,782 0.83 03/30/2004 (10,179) 1,400 1,400 0 97 97 69-28 58-37 19,400 323,760 0.88 03/31/2004 (11,475) (1,295) 0 (1,295) 97 97 71-26 37-59 19,400 326,417 (0.60) 04/01/2004 (13,782) (2,306) 0 (2,306) 97 97 29-68 29-66 19,400 325,526 0.96 04/02/2004 (12,064) 1,717 1,717 0 97 97 73-24 56-40 19,400 334,221 0.71 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/05/2004 (10,172) 1,892 1,892 0 97 97 60-37 61-36 19,400 335,912 1.34 04/06/2004 (10,304) (131) 0 (131) 97 97 84-13 47-50 19,400 337,450 (0.07) 04/07/2004 (10,417) (112) 0 (112) 97 97 48-49 46-51 19,400 336,954 (0.17) 04/08/2004 (9,300) 1,116 1,116 0 97 97 41-56 57-40 19,400 339,348 (1.08) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/12/2004 (10,595) (1,294) 0 (1,294) 97 97 21-76 41-56 19,400 336,707 0.48 04/13/2004 (12,794) (2,199) 0 (2,199) 97 97 65-32 33-64 19,400 339,856 (2.25) 04/14/2004 (14,725) (1,930) 0 (1,930) 97 97 1-96 29-67 19,400 330,992 0.75 04/15/2004 (15,842) (1,117) 0 (1,117) 97 97 68-29 40-56 19,400 334,264 (1.29) 04/16/2004 (14,422) 1,420 1,420 0 97 97 23-74 67-30 19,400 330,088 (0.26) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/19/2004 (14,840) (417) 0 (417) 97 97 41-56 44-53 19,400 330,171 1.55 04/20/2004 (20,732) (5,892) 0 (5,892) 97 97 86-11 16-81 19,400 335,352 (2.25) 04/21/2004 (22,394) (1,662) 0 (1,662) 97 97 7-90 32-61 19,400 330,163 0.55 04/22/2004 (17,939) 4,455 4,455 0 97 97 67-30 63-33 19,400 330,910 2.43 04/23/2004 (17,319) 619 619 0 97 97 89-8 61-35 19,400 338,953 0.28 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/26/2004 (18,084) (765) 0 (765) 97 97 59-38 37-60 19,400 339,832 (1.28) 04/27/2004 (16,387) 1,697 1,697 0 97 97 19-78 69-27 19,400 337,941 (0.90) 04/28/2004 (15,100) 1,286 1,286 0 97 97 30-67 60-37 19,400 334,381 (1.55) 04/29/2004 (11,586) 3,514 3,514 0 97 97 13-84 74-23 19,400 329,128 (1.65) 04/30/2004 (7,761) 3,825 3,825 0 97 97 16-81 76-21 19,400 326,545 (2.45) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/03/2004 (9,629) (1,868) 0 (1,868) 97 97 7-90 39-58 19,400 321,317 0.19 05/04/2004 (9,361) 268 268 0 97 97 53-44 48-48 19,400 322,968 0.26 05/05/2004 (9,321) 39 39 0 97 97 56-41 48-48 19,400 324,143 0.50 05/06/2004 (9,459) (137) 0 (137) 97 97 61-36 40-55 19,400 322,710 (0.25) 05/07/2004 (8,287) 1,171 1,171 0 97 97 40-57 64-31 19,400 320,824 (0.55) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/10/2004 (5,908) 2,378 2,378 0 97 97 34-63 57-39 19,400 316,134 (0.29) 05/11/2004 (6,151) (242) 0 (242) 97 97 48-49 47-50 19,400 316,541 1.12 05/12/2004 (5,669) 482 482 0 97 97 78-19 52-43 19,400 317,811 0.31 05/13/2004 (5,700) (31) 0 (31) 97 97 57-40 52-43 19,400 317,583 0.69 05/14/2004 (6,779) (1,079) 0 (1,079) 97 97 62-35 38-59 19,400 319,417 (1.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/17/2004 (6,235) 544 544 0 97 97 17-80 57-37 19,400 312,598 (0.20) 05/18/2004 (6,452) (217) 0 (217) 97 97 32-65 47-50 19,400 315,017 0.26 05/19/2004 (5,514) 938 938 0 97 97 52-45 53-44 19,400 319,392 (1.00) 05/20/2004 (4,773) 740 740 0 97 97 20-77 56-40 19,400 316,587 (0.45) 05/21/2004 (4,690) 83 83 0 97 97 38-59 52-43 19,400 318,518 0.09 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/24/2004 (4,208) 481 481 0 97 97 47-50 56-41 19,400 321,556 (0.31) 05/25/2004 (5,426) (1,217) 0 (1,217) 97 97 40-57 41-56 19,400 321,277 2.63 05/26/2004 (3,230) 2,196 2,196 0 97 97 94-3 70-26 19,400 328,780 0.76 05/27/2004 (2,813) 416 416 0 97 97 71-26 44-51 19,400 332,487 0.22 05/28/2004 (2,727) 86 86 0 97 97 50-47 45-51 19,400 333,780 0.34 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/01/2004 (1,945) 781 781 0 97 97 59-38 52-43 19,400 332,929 0.79 06/02/2004 (2,244) (299) 0 (299) 97 97 69-28 47-50 19,400 336,928 (0.68) 06/03/2004 (468) 1,776 1,776 0 97 97 31-66 67-29 19,400 334,113 (1.18) 06/04/2004 (41) 427 427 0 97 97 15-82 62-35 19,400 334,731 (0.50) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/07/2004 (2,781) (2,740) 0 (2,740) 97 97 28-69 28-69 19,400 335,542 1.75 06/08/2004 (1,619) 1,162 1,162 0 98 98 87-11 60-37 19,600 343,530 0.61 06/09/2004 (2,627) (1,008) 0 (1,008) 98 98 63-35 38-59 19,600 344,074 (1.37) 06/10/2004 (2,362) 265 265 0 98 98 15-83 53-43 19,600 340,730 0.10 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/14/2004 (1,496) 865 865 0 98 98 52-46 55-43 19,600 339,117 (1.25) 06/15/2004 (2,693) (1,196) 0 (1,196) 98 98 19-79 35-62 19,600 337,972 0.53 06/16/2004 (1,206) 1,486 1,486 0 98 98 67-31 62-34 19,600 339,760 0.01 06/17/2004 (1,030) 175 175 0 98 98 49-49 51-46 19,600 339,031 (0.82) 06/18/2004 (1,119) (88) 0 (88) 98 98 23-75 43-54 19,600 334,341 0.57 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/21/2004 (3,446) (2,327) 0 (2,327) 98 98 71-27 35-61 19,600 337,282 (0.95) 06/22/2004 (6,208) (2,761) 0 (2,761) 98 98 23-75 35-63 19,600 335,106 1.28 06/23/2004 (4,359) 1,848 1,848 0 98 98 72-26 64-32 19,600 337,455 1.58 06/24/2004 (5,054) (695) 0 (695) 98 98 84-14 45-49 19,600 340,980 0.01 06/25/2004 (4,061) 993 993 0 98 98 43-55 51-45 19,600 341,282 1.09 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/28/2004 (5,268) (1,207) 0 (1,207) 98 98 69-29 32-66 19,600 346,059 (0.97) 06/29/2004 (7,176) (1,907) 0 (1,907) 98 98 19-79 30-67 19,600 343,343 0.74 06/30/2004 (6,657) 518 518 0 98 98 68-30 53-43 19,600 345,816 0.83 07/01/2004 (9,838) (3,180) 0 (3,180) 98 98 70-28 30-67 19,600 348,531 (2.03) 07/02/2004 (7,550) 2,287 2,287 0 98 98 6-92 70-28 19,600 342,543 (0.73) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/06/2004 (5,103) 2,447 2,447 0 98 98 28-70 66-32 19,600 339,197 (2.13) 07/07/2004 (5,553) (449) 0 (449) 98 98 8-90 47-51 19,600 334,270 0.22 07/08/2004 (5,916) (362) 0 (362) 98 98 55-43 41-57 19,600 332,761 (0.77) 07/09/2004 (5,992) (75) 0 (75) 98 98 30-68 52-44 19,600 333,011 0.03 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/12/2004 (6,568) (576) 0 (576) 98 98 50-48 47-51 19,600 330,504 (0.21) 07/13/2004 (6,830) (262) 0 (262) 98 98 51-47 50-48 19,600 331,539 (0.54) 07/14/2004 (5,847) 983 983 0 99 99 35-64 53-44 19,800 329,938 0.01 07/15/2004 (5,113) 734 734 0 99 99 44-55 52-45 19,800 332,140 (0.39) 07/16/2004 (3,099) 2,013 2,013 0 99 99 38-61 60-39 19,800 332,965 (2.42) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/19/2004 (1,450) 1,649 1,649 0 99 99 9-90 63-35 19,800 327,150 (0.45) 07/20/2004 (4,237) (2,787) 0 (2,787) 99 99 32-67 35-64 19,800 325,975 1.93 07/21/2004 (12,817) (8,579) 0 (8,579) 99 99 86-13 13-86 19,800 331,052 (3.33) 07/22/2004 (15,604) (2,787) 0 (2,787) 99 99 6-93 29-67 19,800 320,939 1.32 07/23/2004 (17,356) (1,752) 0 (1,752) 99 99 68-31 35-62 19,800 320,905 (1.25) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/26/2004 (15,062) 2,294 2,294 0 99 99 18-81 70-28 19,800 317,453 (0.92) 07/27/2004 (19,203) (4,140) 0 (4,140) 99 99 25-74 30-69 19,800 315,661 1.72 07/28/2004 (20,183) (980) 0 (980) 99 99 76-23 41-56 19,800 319,708 (0.60) 07/29/2004 (20,807) (624) 0 (624) 99 99 35-64 38-61 19,800 319,213 0.73 07/30/2004 (19,713) 1,093 1,093 0 99 99 66-33 58-41 19,800 320,978 0.56 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/02/2004 (20,320) (606) 0 (606) 99 99 65-34 53-46 19,800 318,305 0.87 08/03/2004 (21,632) (1,312) 0 (1,312) 99 99 67-32 34-65 19,800 320,744 (1.98) 08/04/2004 (21,283) 348 348 0 99 99 14-85 38-60 19,800 314,482 0.24 08/05/2004 (22,317) (1,033) 0 (1,033) 99 99 60-39 41-58 19,800 314,437 (1.93) 08/06/2004 (17,529) 4,787 4,787 0 99 99 10-89 85-13 19,800 306,154 (1.92) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/09/2004 (17,739) (209) 0 (209) 99 99 8-91 46-53 19,800 301,539 (0.03) 08/10/2004 (17,336) 403 403 0 99 99 53-46 55-44 19,800 303,029 1.64 08/11/2004 (16,093) 1,242 1,242 0 99 99 89-10 55-43 19,800 303,396 0.15 08/12/2004 (15,564) 528 528 0 99 99 54-45 55-42 19,800 302,733 (0.83) 08/13/2004 (15,293) 270 270 0 99 99 24-75 52-45 19,800 301,475 (0.17) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/16/2004 (16,873) (1,579) 0 (1,579) 99 99 39-60 39-56 19,800 301,868 1.63 08/17/2004 (16,795) 77 77 0 99 99 84-15 48-49 19,800 308,922 0.36 08/18/2004 (17,355) (560) 0 (560) 99 99 55-44 51-47 19,800 308,513 2.72 08/19/2004 (18,463) (1,107) 0 (1,107) 99 99 89-10 37-61 19,800 314,063 (0.10) 08/20/2004 (20,211) (1,747) 0 (1,747) 99 99 38-61 33-66 19,800 313,446 1.27 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/23/2004 (21,424) (1,213) 0 (1,213) 99 99 82-17 43-54 19,800 318,021 (0.30) 08/24/2004 (21,339) 85 85 0 99 99 44-55 54-44 19,800 318,407 (0.88) 08/25/2004 (23,078) (1,738) 0 (1,738) 99 99 35-64 34-64 19,800 316,429 1.43 08/26/2004 (22,505) 573 573 0 99 99 86-13 44-53 19,800 319,531 0.02 08/27/2004 (22,916) (411) 0 (411) 99 99 40-59 46-51 19,800 319,874 0.41 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/30/2004 (24,452) (1,535) 0 (1,535) 99 99 62-37 33-64 19,800 320,254 (1.25) 08/31/2004 (24,519) (67) 0 (67) 99 99 10-89 51-48 19,800 317,026 (0.00) 09/01/2004 (23,629) 890 890 0 99 99 54-45 48-51 19,800 316,414 0.92 09/02/2004 (20,004) 3,624 3,624 0 99 99 79-20 78-20 19,800 319,066 1.73 09/03/2004 (21,875) (1,870) 0 (1,870) 99 99 92-7 26-73 19,800 322,457 (0.90) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/07/2004 (21,883) (8) 0 (8) 99 99 25-74 48-51 19,800 322,523 0.09 09/08/2004 (22,414) (530) 0 (530) 99 99 46-53 49-48 19,800 322,561 (0.36) 09/09/2004 (22,214) 199 199 0 99 99 31-68 46-51 19,800 322,639 0.66 09/10/2004 (20,040) 2,174 2,174 0 99 99 59-40 64-33 19,800 323,589 1.85 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/13/2004 (17,152) 2,887 2,887 0 99 99 86-13 70-27 19,800 329,563 1.01 09/14/2004 (16,481) 671 671 0 99 99 74-25 44-53 19,800 332,374 0.43 09/15/2004 (16,967) (486) 0 (486) 99 99 53-46 42-52 19,800 332,330 (0.93) 09/16/2004 (16,922) 44 44 0 99 99 22-77 47-49 19,800 330,560 0.25 09/17/2004 (16,167) 755 755 0 99 99 53-46 52-45 19,800 332,966 0.17 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/20/2004 (14,756) 1,410 1,410 0 99 99 51-48 58-40 19,800 332,158 0.41 09/21/2004 (15,348) (592) 0 (592) 99 99 48-51 42-55 19,800 334,468 0.46 09/22/2004 (16,607) (1,259) 0 (1,259) 99 99 68-31 39-60 19,800 334,225 (1.53) 09/23/2004 (17,139) (532) 0 (532) 99 99 8-91 45-50 19,800 329,084 0.05 09/24/2004 (17,805) (665) 0 (665) 99 99 50-49 45-52 19,800 329,617 (0.38) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/27/2004 (17,957) (152) 0 (152) 99 99 43-56 50-49 19,800 327,545 (0.43) 09/28/2004 (18,178) (220) 0 (220) 99 99 32-67 48-51 19,800 326,833 (0.16) 09/29/2004 (18,540) (361) 0 (361) 99 99 43-56 45-54 19,800 327,107 1.49 09/30/2004 (17,835) 705 705 0 99 99 83-16 54-43 19,800 331,499 0.49 10/01/2004 (16,808) 1,026 1,026 0 99 99 59-40 57-42 19,800 335,129 1.76 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/04/2004 (17,259) (451) 0 (451) 99 99 83-16 49-49 19,800 341,785 (0.14) 10/05/2004 (16,601) 657 657 0 99 99 51-48 47-50 19,800 339,905 0.54 10/06/2004 (15,622) 979 979 0 99 99 57-42 58-40 19,800 340,739 0.87 10/07/2004 (16,715) (1,093) 0 (1,093) 99 99 69-30 35-62 19,800 342,526 (0.91) 10/08/2004 (14,819) 1,896 1,896 0 99 99 24-75 63-36 19,800 338,071 (1.42) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/11/2004 (15,756) (936) 0 (936) 99 99 16-83 37-62 19,800 334,713 0.44 10/12/2004 (14,961) 794 794 0 99 99 68-31 56-41 19,800 332,916 0.79 10/13/2004 (15,148) (187) 0 (187) 99 99 65-34 48-51 19,800 338,239 (1.12) 10/14/2004 (14,034) 1,114 1,114 0 99 99 22-77 58-41 19,800 333,940 (0.96) 10/15/2004 (13,178) 855 855 0 99 99 31-68 58-39 19,800 332,355 (0.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/18/2004 (13,516) (337) 0 (337) 99 99 44-55 44-55 19,800 332,147 2.00 10/19/2004 (17,169) (3,652) 0 (3,652) 99 99 89-10 26-72 19,800 339,930 (1.26) 10/20/2004 (18,369) (1,200) 0 (1,200) 99 99 18-81 43-54 19,800 335,069 0.66 10/21/2004 (17,883) 486 486 0 99 99 62-37 61-37 19,800 338,173 1.58 10/22/2004 (21,405) (3,521) 0 (3,521) 99 99 77-22 28-71 19,800 341,636 (2.00) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/25/2004 (21,307) 97 97 0 99 99 14-85 50-47 19,800 334,834 0.14 10/26/2004 (21,293) 14 14 0 99 99 49-50 48-50 19,800 335,429 0.57 10/27/2004 (19,409) 1,883 1,883 0 99 99 62-37 61-38 19,800 337,839 2.58 10/28/2004 (17,416) 1,993 1,993 0 99 99 92-7 71-27 19,800 345,194 0.72 10/29/2004 (16,427) 988 988 0 99 99 70-29 56-41 19,800 347,354 0.29 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/01/2004 (15,901) 525 525 0 99 99 55-44 48-48 19,800 347,980 0.30 11/02/2004 (14,388) 1,513 1,513 0 99 99 54-45 60-38 19,800 348,558 0.36 11/03/2004 (17,522) (3,134) 0 (3,134) 99 99 58-41 37-60 19,800 354,742 (1.19) 11/04/2004 (18,063) (540) 0 (540) 99 99 29-70 33-65 19,800 350,805 1.46 11/05/2004 (20,457) (2,394) 0 (2,394) 99 99 88-11 41-56 19,800 358,536 (0.19) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/08/2004 (19,960) 496 496 0 99 99 42-57 54-42 19,800 357,827 0.02 11/09/2004 (20,097) (136) 0 (136) 99 99 47-52 51-48 19,800 356,987 (0.14) 11/10/2004 (18,330) 1,766 1,766 0 99 99 43-56 68-30 19,800 356,824 (0.41) 11/11/2004 (19,578) (1,247) 0 (1,247) 99 99 34-65 41-57 19,800 358,275 1.16 11/12/2004 (15,973) 3,604 3,604 0 99 99 79-20 65-33 19,800 362,923 1.26 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/15/2004 (14,146) 1,826 1,826 0 99 99 74-25 59-38 19,800 366,512 0.58 11/16/2004 (14,195) (49) 0 (49) 99 99 57-42 51-47 19,800 366,373 (0.25) 11/17/2004 (15,576) (1,380) 0 (1,380) 100 100 31-69 40-60 20,000 371,500 0.61 11/18/2004 (14,502) 1,074 1,074 0 100 100 65-35 59-38 20,000 371,979 0.80 11/19/2004 (16,999) (2,496) 0 (2,496) 100 100 67-33 34-66 20,000 374,499 (1.91) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/22/2004 (19,597) (2,598) 0 (2,598) 100 100 3-97 23-75 20,000 367,898 1.01 11/23/2004 (20,080) (483) 0 (483) 100 100 74-26 38-60 20,000 370,851 (0.06) 11/24/2004 (19,765) 314 314 0 100 100 41-59 39-61 20,000 373,957 0.52 11/26/2004 (19,930) (164) 0 (164) 100 100 68-32 47-52 20,000 375,845 (0.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/29/2004 (19,896) 33 33 0 100 100 44-56 54-45 20,000 377,121 (0.57) 11/30/2004 (19,110) 786 786 0 100 100 31-69 59-40 20,000 374,465 (0.36) 12/01/2004 (21,436) (2,325) 0 (2,325) 100 100 37-63 29-71 20,000 374,619 1.92 12/02/2004 (19,656) 1,779 1,779 0 100 100 90-10 58-41 20,000 381,115 0.41 12/03/2004 (19,828) (171) 0 (171) 100 100 58-42 50-49 20,000 383,540 (0.37) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/06/2004 (19,811) 16 16 0 100 100 37-63 49-49 20,000 382,270 0.41 12/07/2004 (20,953) (1,142) 0 (1,142) 100 100 58-42 47-53 20,000 384,245 (2.06) 12/08/2004 (22,703) (1,750) 0 (1,750) 100 100 9-91 39-61 20,000 376,828 0.29 12/09/2004 (21,065) 1,638 1,638 0 100 100 62-38 54-45 20,000 376,131 1.41 12/10/2004 (19,224) 1,840 1,840 0 100 100 82-18 56-42 20,000 379,384 0.45 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/13/2004 (19,803) (579) 0 (579) 100 100 56-44 42-58 20,000 382,777 0.16 12/14/2004 (20,575) (772) 0 (772) 100 100 48-52 44-53 20,000 383,628 0.77 12/15/2004 (20,949) (373) 0 (373) 100 100 76-24 51-46 20,000 386,225 0.01 12/16/2004 (20,861) 87 87 0 100 100 53-47 49-51 20,000 384,988 (1.16) 12/17/2004 (20,749) 112 112 0 100 100 20-80 52-48 20,000 382,242 (0.33) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/20/2004 (19,676) 1,072 1,072 0 100 100 36-64 59-40 20,000 382,245 (0.79) 12/21/2004 (21,358) (1,681) 0 (1,681) 100 100 24-76 35-64 20,000 380,635 0.75 12/22/2004 (20,456) 901 901 0 100 100 70-30 49-51 20,000 382,309 0.44 12/23/2004 (20,659) (203) 0 (203) 100 100 65-35 51-47 20,000 383,701 0.24 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/27/2004 (21,720) (1,061) 0 (1,061) 100 100 53-47 43-55 20,000 386,219 (0.73) 12/28/2004 (24,637) (2,916) 0 (2,916) 100 100 18-82 26-73 20,000 383,975 0.97 12/29/2004 (23,351) 1,285 1,285 0 100 100 83-17 70-30 20,000 387,574 0.48 12/30/2004 (23,624) (272) 0 (272) 100 100 73-27 51-47 20,000 389,194 (0.04) 12/31/2004 (23,286) 338 338 0 100 100 44-56 53-45 20,000 388,170 0.00 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/03/2005 (23,302) (16) 0 (16) 100 100 50-50 48-52 20,000 389,224 (1.73) 01/04/2005 (15,817) 7,485 7,485 0 100 100 12-88 87-13 20,000 384,506 (2.71) 01/05/2005 (14,515) 1,302 1,302 0 100 100 3-97 61-39 20,000 374,042 (0.47) 01/06/2005 (13,413) 1,102 1,102 0 100 100 38-62 64-35 20,000 373,591 (0.84) 01/07/2005 (13,112) 300 300 0 100 100 27-73 58-42 20,000 372,789 (0.32) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/10/2005 (14,073) (961) 0 (961) 100 100 33-67 40-59 20,000 371,259 0.16 01/11/2005 (13,685) 388 388 0 100 100 58-42 53-45 20,000 370,189 (0.27) 01/12/2005 (13,363) 321 321 0 100 100 53-47 55-45 20,000 371,855 0.10 01/13/2005 (14,734) (1,371) 0 (1,371) 100 100 54-46 43-56 20,000 372,325 (1.22) 01/14/2005 (16,498) (1,763) 0 (1,763) 100 100 19-81 35-64 20,000 368,887 0.83 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/18/2005 (13,092) 3,406 3,406 0 100 100 79-21 72-28 20,000 371,147 1.39 01/19/2005 (17,683) (4,591) 0 (4,591) 100 100 85-15 26-73 20,000 376,562 (1.91) 01/20/2005 (15,660) 2,023 2,023 0 100 100 11-89 59-39 20,000 368,813 (0.58) 01/21/2005 (13,474) 2,185 2,185 0 100 100 36-64 62-38 20,000 366,586 (1.14) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/24/2005 (9,573) 3,901 3,901 0 100 100 20-80 72-26 20,000 363,319 (1.59) 01/25/2005 (9,404) 168 168 0 100 100 15-85 50-48 20,000 359,775 (0.02) 01/26/2005 (9,055) 349 349 0 100 100 51-49 44-55 20,000 361,753 0.61 01/27/2005 (8,584) 470 470 0 100 100 59-41 56-44 20,000 363,411 0.34 01/28/2005 (9,562) (978) 0 (978) 100 100 55-45 45-55 20,000 365,425 (1.12) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/31/2005 (9,862) (300) 0 (300) 100 100 20-80 55-45 20,000 365,113 0.18 02/01/2005 (9,692) 170 170 0 100 100 55-45 49-51 20,000 367,005 0.35 02/02/2005 (9,949) (256) 0 (256) 100 100 60-40 48-51 20,000 369,816 (0.19) 02/03/2005 (8,878) 1,071 1,071 0 100 100 40-60 58-40 20,000 368,545 (0.35) 02/04/2005 (12,884) (4,005) 0 (4,005) 100 100 26-74 27-73 20,000 367,310 2.00 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/07/2005 (13,554) (670) 0 (670) 100 100 91-9 36-61 20,000 374,596 (0.30) 02/08/2005 (13,312) 241 241 0 100 100 35-65 53-47 20,000 374,299 (0.00) 02/09/2005 (14,025) (713) 0 (713) 100 100 52-48 46-54 20,000 374,321 (2.04) 02/10/2005 (12,873) 1,152 1,152 0 100 100 4-96 61-35 20,000 369,115 (0.59) 02/11/2005 (15,765) (2,892) 0 (2,892) 100 100 32-68 31-67 20,000 367,870 1.94 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/14/2005 (15,497) 267 267 0 100 100 90-10 42-58 20,000 374,355 0.12 02/15/2005 (15,825) (327) 0 (327) 100 100 42-58 46-54 20,000 374,679 0.57 02/16/2005 (15,540) 284 284 0 100 100 68-32 50-48 20,000 375,672 0.03 02/17/2005 (15,456) 83 83 0 100 100 51-49 52-48 20,000 376,269 (1.56) 02/18/2005 (13,780) 1,676 1,676 0 100 100 7-93 62-36 20,000 371,393 (0.23) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/22/2005 (12,958) 821 821 0 100 100 39-61 55-45 20,000 368,028 (0.75) 02/23/2005 (13,400) (441) 0 (441) 100 100 24-76 45-52 20,000 365,741 (0.37) 02/24/2005 (14,639) (1,238) 0 (1,238) 100 100 40-60 43-56 20,000 363,605 1.66 02/25/2005 (12,294) 2,344 2,344 0 100 100 88-12 67-32 20,000 369,540 0.51 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/28/2005 (14,655) (2,360) 0 (2,360) 100 100 65-35 31-69 20,000 369,407 (0.41) 03/01/2005 (15,323) (668) 0 (668) 100 100 30-70 38-62 20,000 368,916 0.68 03/02/2005 (14,848) 475 475 0 100 100 76-24 57-41 20,000 369,622 0.55 03/03/2005 (15,095) (247) 0 (247) 100 100 67-33 43-57 20,000 373,708 (0.94) 03/04/2005 (15,048) 46 46 0 100 100 18-82 60-39 20,000 372,877 (0.25) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/07/2005 (15,363) (314) 0 (314) 100 100 42-58 44-54 20,000 373,245 1.38 03/08/2005 (17,270) (1,906) 0 (1,906) 100 100 83-17 29-71 20,000 377,532 (0.66) 03/09/2005 (15,558) 1,711 1,711 0 100 100 22-78 71-27 20,000 375,134 (0.43) 03/10/2005 (15,164) 394 394 0 100 100 26-74 56-42 20,000 373,729 (0.07) 03/11/2005 (14,926) 237 237 0 100 100 48-52 52-46 20,000 374,407 (1.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/14/2005 (17,034) (2,108) 0 (2,108) 100 100 12-88 33-67 20,000 371,474 0.54 03/15/2005 (19,278) (2,244) 0 (2,244) 100 100 67-33 35-64 20,000 375,022 (1.38) 03/16/2005 (17,776) 1,502 1,502 0 100 100 14-86 71-25 20,000 369,831 (0.74) 03/17/2005 (18,311) (534) 0 (534) 100 100 17-83 48-52 20,000 366,878 0.13 03/18/2005 (17,748) 562 562 0 100 100 53-47 46-50 20,000 368,024 (0.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/21/2005 (18,643) (895) 0 (895) 100 100 42-58 40-56 20,000 367,449 0.04 03/22/2005 (18,047) 595 595 0 100 100 47-53 48-52 20,000 367,373 (1.06) 03/23/2005 (18,438) (390) 0 (390) 100 100 19-81 37-63 20,000 363,136 0.55 ******************************************************************************** Investor/RT Professional 7.7 Beta 1D Trading System Development, (c) 1996-2005 Linn Software, Inc. www.linnsoft.com