Day by Day Report: All Trades for Vanilla 485 Days [04/22/2003 - 03/23/2005] 100 Symbols [QP: Nasdaq 100: 100] 9 Seconds [Backtest Duration] (03/29/2005 10:35:51) Cumulative Per Day Total Net Profit: $17,913.42 Avg Net Profit/Day: $36.93 Total Net Prof Long: $30,679.54 Avg Net Prof Long/Day: $63.26 Total Net Prof Short: $(12,766.12) Avg Net Prof Shrt/Day: $(26.32) Total Trades: 47,892 T Avg Trades/Day: 98.75 T Total Long Trades: 24,383 T Avg Long Trades/Day: 50.27 T Total Short Trades: 23,509 T Avg Short Trades/Day: 48.47 T Total Market Bias: %1.82 Avg Daily Market Bias: %41.47 Total Shares Traded: 9,578,400 S Avg Shares/Day: 19,749.28 S Total Capital Traded: $157,117,683.15 Avg Cap Traded/Day: $323,953.99 Capital Required: $389,224.50 [Max Invested At Any One Time] Avg Capital Req/Day: $323,953.99 Best Day: $8,678.98 [07/21/2004] Worst Day: $(7,485.00) [01/04/2005] Max Fav. Exc. Overall: $26,924.65 [12/12/2003] Max Adv. Exc. Overall: $(9,325.42) [06/05/2003] Max PullBack Overall: $(26,919.28) [06/04/2004, 119 days] (No Recovery) Max Fav. Exc. Daily: $8,678.98 [07/21/2004] Max Adv. Exc. Daily: $(7,485.00) [01/04/2005] Per Trade [47,892 Trades(Pos)] Per Share [9,578,400 Shares] Avg Profit/Trade: $0.374 Avg Profit/Share: $0.0019 Avg Shares/Trade: 200.00 S Avg Price/Share: $32.81 Avg Profit/Long: $1.258 Avg Profit/Long: $0.0063 Avg Profit/Short: $(0.543) Avg Profit/Short: $(0.0027) Avg Price/Trade: $3,280.67 Positions: 47,892 Avg Profit/Position: $0.3740 Percent Gain/Loss [100 * Profit / Cost] Per Capital Required: 4.602% [$389,224.50 Required] Per Capital Traded: 0.011% [$157,117,683.15 Traded] Miscellaneous Stats Buy & Hold ($): $1,296.22 Buy & Hold (%): 55.19% Winning Days: 240 D Losing Days: 245 D Avg Net/Winning Day: $1,294.77 Avg Net/Losing Day: $(1,195.23) Consec Winning Days: 7 D Consec Losing Days: 6 D Winning Positions: 23790 T Losing Positions: 23618 T Trades Held Overnight: 0 T Missing Bars: 608 B Most Trades/Day: 100 T [07/14/2004] Fewest Trades/Day: 97 T [04/22/2003] Most Trades/Bar: 100 T [07/14/2004] Best Exit Bar: $8,678.98 [07/21/2004] Worst Exit Bar: $(7,485.00) [01/04/2005] ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/22/2003 (114) (114) 0 (114) 97 97 53-44 48-47 19,400 227,898 2.51 04/23/2003 (1,742) (1,628) 0 (1,628) 97 97 17-80 39-58 19,400 234,144 1.02 04/24/2003 (2,457) (715) 0 (715) 97 97 32-65 51-45 19,400 233,892 0.59 04/25/2003 (1,179) 1,278 1,278 0 97 97 42-55 57-40 19,400 234,068 (1.99) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/28/2003 2,848 4,028 4,028 0 97 97 85-12 79-18 19,400 230,235 2.18 04/29/2003 1,946 (902) 0 (902) 97 97 8-89 36-61 19,400 236,112 0.60 04/30/2003 2,123 177 177 0 97 97 34-63 53-43 19,400 236,809 (0.03) 05/01/2003 2,265 142 142 0 97 97 55-42 51-45 19,400 236,367 0.58 05/02/2003 968 (1,297) 0 (1,297) 97 97 38-59 42-55 19,400 237,051 2.71 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/05/2003 1,007 39 39 0 97 97 8-89 46-50 19,400 244,049 0.24 05/06/2003 1,080 72 72 0 97 97 49-48 49-48 19,400 243,727 1.73 05/07/2003 2,008 928 928 0 98 98 21-77 60-38 19,600 246,398 (0.77) 05/08/2003 1,457 (550) 0 (550) 98 98 63-35 44-52 19,600 241,764 (0.42) 05/09/2003 2,043 585 585 0 98 98 58-40 52-44 19,600 242,207 1.01 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/12/2003 (1,252) (3,295) 0 (3,295) 98 98 26-72 25-73 19,600 244,467 2.43 05/13/2003 (1,624) (372) 0 (372) 98 98 11-87 41-56 19,600 247,759 0.27 05/14/2003 (2,354) (729) 0 (729) 98 98 45-53 43-54 19,600 248,426 (0.84) 05/15/2003 (2,144) 210 210 0 98 98 75-23 49-49 19,600 247,760 0.82 05/16/2003 (2,151) (7) 0 (7) 98 98 34-64 44-52 19,600 248,817 (0.00) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/19/2003 (2,104) 47 47 0 98 98 49-49 49-48 19,600 246,627 (3.14) 05/20/2003 (3,396) (1,292) 0 (1,292) 98 98 94-4 30-68 19,600 240,554 (0.75) 05/21/2003 (2,308) 1,088 1,088 0 98 98 68-30 62-36 19,600 238,816 0.61 05/22/2003 (3,655) (1,347) 0 (1,347) 98 98 36-62 44-52 19,600 241,189 1.82 05/23/2003 (4,375) (719) 0 (719) 98 98 19-79 39-59 19,600 245,270 0.51 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/27/2003 (6,611) (2,236) 0 (2,236) 98 98 36-62 39-59 19,600 245,197 4.21 05/28/2003 (6,513) 98 98 0 98 98 3-95 57-41 19,600 255,436 0.13 05/29/2003 (7,190) (677) 0 (677) 98 98 54-44 44-51 19,600 255,972 0.41 05/30/2003 (6,312) 878 878 0 98 98 50-48 56-41 19,600 257,956 1.32 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/02/2003 (3,997) 2,314 2,314 0 98 98 23-75 61-35 19,600 264,395 (1.86) 06/03/2003 (1,531) 2,465 2,465 0 98 98 80-18 63-35 19,600 259,656 1.01 06/04/2003 (4,383) (2,852) 0 (2,852) 98 98 33-65 34-64 19,600 262,064 2.46 06/05/2003 (9,325) (4,941) 0 (4,941) 98 98 9-89 19-79 19,600 265,390 2.03 06/06/2003 (4,379) 4,945 4,945 0 98 98 20-78 68-30 19,600 274,235 (3.18) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/09/2003 (6,918) (2,538) 0 (2,538) 98 98 86-12 24-74 19,600 265,777 (1.34) 06/10/2003 (4,981) 1,936 1,936 0 98 98 78-20 65-33 19,600 263,514 0.95 06/11/2003 (7,050) (2,069) 0 (2,069) 98 98 23-75 38-60 19,600 265,901 1.38 06/12/2003 (6,369) 681 681 0 98 98 25-73 53-43 19,600 270,263 (0.36) 06/13/2003 (7,731) (1,362) 0 (1,362) 98 98 60-38 40-58 19,600 269,646 (2.56) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/16/2003 (2,035) 5,695 5,695 0 98 98 96-2 84-14 19,600 265,125 2.38 06/17/2003 (314) 1,721 1,721 0 98 98 12-86 74-24 19,600 273,235 (0.64) 06/18/2003 750 1,064 1,064 0 98 98 74-24 58-40 19,600 269,779 1.13 06/19/2003 909 158 158 0 98 98 28-70 62-35 19,600 271,600 (1.86) 06/20/2003 (752) (1,661) 0 (1,661) 98 98 89-9 38-59 19,600 267,878 (0.88) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/23/2003 (1,228) (475) 0 (475) 98 98 63-35 43-55 19,600 265,733 (1.90) 06/24/2003 (1,487) (259) 0 (259) 98 98 80-18 42-55 19,600 261,313 (0.61) 06/25/2003 (1,303) 184 184 0 98 98 64-34 50-48 19,600 260,816 0.10 06/26/2003 (797) 505 505 0 98 98 52-46 53-45 19,600 261,171 1.78 06/27/2003 1,134 1,932 1,932 0 98 98 17-81 63-33 19,600 266,348 (0.71) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/30/2003 416 (718) 0 (718) 98 98 65-33 44-53 19,600 265,350 (0.76) 07/01/2003 2,256 1,840 1,840 0 98 98 67-31 64-34 19,600 262,337 1.76 07/02/2003 (1,109) (3,366) 0 (3,366) 98 98 15-83 23-74 19,600 267,028 1.88 07/03/2003 (770) 339 339 0 98 98 16-82 54-41 19,600 269,820 (0.04) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/07/2003 1,485 2,256 2,256 0 98 98 61-37 60-38 19,600 272,790 2.24 07/08/2003 (2,309) (3,795) 0 (3,795) 98 98 13-85 20-77 19,600 277,903 1.98 07/09/2003 (2,035) 273 273 0 98 98 12-86 59-37 19,600 282,956 0.10 07/10/2003 (2,666) (631) 0 (631) 98 98 59-39 40-57 19,600 280,779 (1.10) 07/11/2003 (1,718) 948 948 0 98 98 77-21 60-38 19,600 278,840 0.47 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/14/2003 (1,443) 274 274 0 98 98 35-63 51-46 19,600 284,156 0.19 07/15/2003 (909) 534 534 0 98 98 47-51 45-53 19,600 286,928 (1.15) 07/16/2003 (2,294) (1,385) 0 (1,385) 98 98 74-24 34-64 19,600 286,230 (1.51) 07/17/2003 (5,114) (2,819) 0 (2,819) 98 98 78-20 21-76 19,600 279,500 (1.72) 07/18/2003 (5,694) (580) 0 (580) 98 98 89-9 45-51 19,600 276,934 (0.22) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/21/2003 (6,265) (571) 0 (571) 98 98 54-44 43-55 19,600 276,253 (1.13) 07/22/2003 (5,888) 377 377 0 98 98 71-27 52-45 19,600 275,739 0.59 07/23/2003 (5,475) 412 412 0 98 98 41-57 50-45 19,600 278,690 0.13 07/24/2003 (4,357) 1,117 1,117 0 98 98 44-54 47-50 19,600 281,685 (1.71) 07/25/2003 (1,230) 3,127 3,127 0 98 98 75-23 73-25 19,600 277,032 1.56 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/28/2003 (2,202) (971) 0 (971) 98 98 12-86 43-53 19,600 281,692 0.47 07/29/2003 (1,621) 580 580 0 98 98 45-53 54-44 19,600 283,089 (0.59) 07/30/2003 (2,918) (1,296) 0 (1,296) 98 98 61-37 34-63 19,600 281,290 (1.17) 07/31/2003 (2,546) 371 371 0 98 98 79-19 47-49 19,600 281,536 (0.01) 08/01/2003 (2,447) 99 99 0 98 98 54-44 46-52 19,600 280,668 (0.47) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/04/2003 (2,322) 125 125 0 98 98 70-28 55-43 19,600 279,052 0.44 08/05/2003 172 2,495 2,495 0 98 98 39-59 61-36 19,600 279,142 (2.48) 08/06/2003 (1,180) (1,353) 0 (1,353) 98 98 89-9 35-62 19,600 271,339 (0.79) 08/07/2003 (715) 465 465 0 98 98 68-30 49-48 19,600 269,037 (0.16) 08/08/2003 (792) (77) 0 (77) 98 98 47-51 45-52 19,600 270,255 (1.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/11/2003 810 1,602 1,602 0 98 98 67-31 64-32 19,600 268,373 1.16 08/12/2003 (1,345) (2,156) 0 (2,156) 98 98 23-75 29-69 19,600 272,488 1.31 08/13/2003 (1,318) 27 27 0 98 98 16-82 48-48 19,600 276,832 (0.18) 08/14/2003 (1,312) 5 5 0 98 98 53-45 48-50 19,600 276,391 0.66 08/15/2003 (1,395) (82) 0 (82) 98 98 31-67 46-48 19,600 278,588 0.24 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/18/2003 88 1,484 1,484 0 98 98 49-49 49-47 19,600 280,134 2.29 08/19/2003 (1,221) (1,310) 0 (1,310) 98 98 13-85 37-61 19,600 287,719 0.64 08/20/2003 (1,242) (20) 0 (20) 98 98 40-58 47-50 19,600 287,150 0.67 08/21/2003 (2,240) (997) 0 (997) 98 98 36-62 46-50 19,600 290,473 1.14 08/22/2003 709 2,950 2,950 0 98 98 35-63 59-38 19,600 297,901 (2.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/25/2003 560 (148) 0 (148) 98 98 89-9 43-54 19,600 290,749 (0.08) 08/26/2003 574 13 13 0 98 98 56-42 48-48 19,600 289,265 0.61 08/27/2003 (1,181) (1,756) 0 (1,756) 98 98 28-70 39-58 19,600 290,251 1.29 08/28/2003 (2,411) (1,229) 0 (1,229) 98 98 21-77 36-61 19,600 294,130 1.16 08/29/2003 (3,348) (937) 0 (937) 98 98 24-74 36-61 19,600 296,829 0.96 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/02/2003 (4,432) (1,083) 0 (1,083) 98 98 23-75 35-63 19,600 299,537 1.08 09/03/2003 (5,001) (569) 0 (569) 98 98 26-72 42-56 19,600 304,040 (0.46) 09/04/2003 (5,058) (56) 0 (56) 98 98 54-44 50-48 19,600 302,039 0.76 09/05/2003 (4,977) 80 80 0 98 98 32-66 42-55 19,600 303,102 (0.37) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/08/2003 (4,269) 708 708 0 98 98 65-33 60-37 19,600 301,764 1.53 09/09/2003 (3,391) 877 877 0 98 98 18-80 63-35 19,600 305,271 (0.72) 09/10/2003 (7,036) (3,644) 0 (3,644) 98 98 77-21 25-73 19,600 300,928 (2.34) 09/11/2003 (4,655) 2,381 2,381 0 98 98 92-6 76-20 19,600 295,915 1.04 09/12/2003 (5,864) (1,209) 0 (1,209) 98 98 22-76 38-59 19,600 296,956 0.86 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/15/2003 (4,357) 1,506 1,506 0 98 98 27-71 65-33 19,600 300,245 (0.82) 09/16/2003 155 4,513 4,513 0 98 98 78-20 73-24 19,600 298,552 2.46 09/17/2003 207 52 52 0 98 98 7-91 53-44 19,600 305,020 0.10 09/18/2003 1,617 1,410 1,410 0 98 98 53-45 57-39 19,600 305,456 1.27 09/19/2003 2,547 929 929 0 98 98 22-76 58-39 19,600 310,185 (0.66) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/22/2003 1,837 (709) 0 (709) 98 98 66-32 39-56 19,600 304,185 (0.38) 09/23/2003 3,325 1,487 1,487 0 98 98 66-32 61-35 19,600 303,121 1.50 09/24/2003 9,898 6,572 6,572 0 98 98 16-82 80-18 19,600 306,358 (2.93) 09/25/2003 6,532 (3,365) 0 (3,365) 98 98 94-4 17-80 19,600 297,890 (1.27) 09/26/2003 4,220 (2,311) 0 (2,311) 98 98 82-16 26-72 19,600 293,565 (1.46) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/29/2003 6,114 1,893 1,893 0 98 98 84-14 68-28 19,600 292,043 0.88 09/30/2003 8,033 1,919 1,919 0 98 98 30-68 66-31 19,600 292,669 (1.09) 10/01/2003 11,414 3,380 3,380 0 98 98 80-18 76-22 19,600 291,150 1.51 10/02/2003 10,566 (847) 0 (847) 98 98 14-84 47-49 19,600 296,444 0.29 10/03/2003 9,935 (631) 0 (631) 98 98 46-52 42-56 19,600 302,478 0.85 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/06/2003 9,029 (906) 0 (906) 98 98 30-68 36-61 19,600 305,593 0.38 10/07/2003 8,133 (895) 0 (895) 98 98 37-61 46-52 19,600 304,861 1.51 10/08/2003 10,323 2,189 2,189 0 98 98 15-83 62-36 19,600 310,163 (0.81) 10/09/2003 10,218 (105) 0 (105) 98 98 73-25 44-51 19,600 311,375 (0.43) 10/10/2003 9,998 (219) 0 (219) 98 98 62-36 46-49 19,600 311,063 0.52 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/13/2003 9,667 (330) 0 (330) 98 98 38-60 49-47 19,600 314,181 0.39 10/14/2003 9,570 (96) 0 (96) 98 98 39-59 42-54 19,600 314,569 0.86 10/15/2003 11,410 1,840 1,840 0 98 98 22-76 69-29 19,600 320,403 (1.91) 10/16/2003 13,902 2,491 2,491 0 98 98 85-13 67-30 19,600 313,723 1.20 10/17/2003 17,425 3,523 3,523 0 98 98 24-74 70-28 19,600 316,633 (2.29) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/20/2003 18,850 1,425 1,425 0 98 98 90-8 64-32 19,600 309,678 0.69 10/21/2003 19,080 229 229 0 98 98 32-66 47-49 19,600 312,643 0.67 10/22/2003 20,970 1,890 1,890 0 98 98 34-64 57-41 19,600 311,940 (1.27) 10/23/2003 22,509 1,539 1,539 0 98 98 81-17 66-31 19,600 304,221 0.46 10/24/2003 22,272 (236) 0 (236) 98 98 33-65 41-57 19,600 303,945 0.64 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/27/2003 22,220 (52) 0 (52) 98 98 28-70 49-45 19,600 308,329 (0.05) 10/28/2003 23,662 1,441 1,441 0 98 98 54-44 53-44 19,600 309,927 2.35 10/29/2003 21,961 (1,700) 0 (1,700) 98 98 10-88 39-59 19,600 316,472 0.94 10/30/2003 23,849 1,888 1,888 0 98 98 33-65 58-39 19,600 322,492 (1.47) 10/31/2003 22,642 (1,207) 0 (1,207) 98 98 82-16 40-58 19,600 318,179 (0.25) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/03/2003 24,411 1,768 1,768 0 98 98 56-42 58-40 19,600 318,707 1.44 11/04/2003 23,709 (701) 0 (701) 98 98 18-80 50-48 19,600 321,342 0.14 11/05/2003 23,238 (471) 0 (471) 98 98 50-48 47-50 19,600 321,071 0.29 11/06/2003 22,578 (659) 0 (659) 98 98 45-53 44-54 19,600 323,202 0.26 11/07/2003 22,918 339 339 0 98 98 41-57 56-41 19,600 326,016 (0.77) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/10/2003 20,004 (2,914) 0 (2,914) 98 98 69-29 34-64 19,600 323,471 (1.57) 11/11/2003 20,106 102 102 0 98 98 83-15 47-48 19,600 318,003 (0.20) 11/12/2003 21,097 990 990 0 98 98 59-39 55-43 19,600 317,953 2.10 11/13/2003 19,693 (1,404) 0 (1,404) 98 98 8-90 43-54 19,600 323,528 0.39 11/14/2003 20,598 905 905 0 98 98 42-56 55-43 19,600 324,743 (2.02) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/17/2003 19,364 (1,234) 0 (1,234) 98 98 89-9 35-62 19,600 316,500 (0.43) 11/18/2003 18,283 (1,080) 0 (1,080) 98 98 62-36 40-58 19,600 316,958 (2.36) 11/19/2003 19,391 1,107 1,107 0 98 98 92-6 61-37 19,600 310,483 0.44 11/20/2003 19,988 597 597 0 98 98 37-61 57-40 19,600 308,818 0.21 11/21/2003 20,502 514 514 0 98 98 44-54 48-49 19,600 310,643 (0.05) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/24/2003 19,953 (549) 0 (549) 98 98 52-46 49-49 19,600 313,441 2.27 11/25/2003 19,836 (117) 0 (117) 98 98 7-91 45-51 19,600 321,196 0.03 11/26/2003 19,829 (7) 0 (7) 98 98 50-48 45-51 19,600 322,667 (0.09) 11/28/2003 21,016 1,187 1,187 0 98 98 58-40 59-37 19,600 321,797 0.90 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/01/2003 20,856 (160) 0 (160) 98 98 26-72 47-50 19,600 325,929 0.87 12/02/2003 21,399 542 542 0 98 98 31-67 52-45 19,600 328,193 (0.57) 12/03/2003 20,304 (1,094) 0 (1,094) 98 98 70-28 33-65 19,600 327,556 (1.73) 12/04/2003 19,539 (765) 0 (765) 98 98 81-17 56-41 19,600 321,272 (0.25) 12/05/2003 20,062 523 523 0 98 98 43-55 58-40 19,600 317,545 (0.69) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/08/2003 21,293 1,231 1,231 0 98 98 69-29 62-33 19,600 314,647 0.77 12/09/2003 25,304 4,010 4,010 0 98 98 26-72 71-27 19,600 318,494 (2.64) 12/10/2003 24,747 (556) 0 (556) 98 98 93-5 38-56 19,600 311,517 (0.13) 12/11/2003 26,113 1,365 1,365 0 98 98 57-41 55-43 19,600 311,095 2.55 12/12/2003 26,924 810 810 0 98 98 4-94 63-34 19,600 319,277 (0.34) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/15/2003 23,343 (3,581) 0 (3,581) 98 98 64-34 31-67 19,600 323,466 (3.41) 12/16/2003 23,168 (174) 0 (174) 98 98 95-3 52-45 19,600 312,707 0.10 12/17/2003 22,464 (704) 0 (704) 98 98 45-53 47-50 19,600 312,519 (0.15) 12/18/2003 24,390 1,926 1,926 0 98 98 57-41 60-38 19,600 313,421 1.85 12/19/2003 25,490 1,099 1,099 0 98 98 13-85 62-36 19,600 319,147 (0.66) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/22/2003 26,335 845 845 0 98 98 67-31 59-38 19,600 317,462 0.47 12/23/2003 25,398 (937) 0 (937) 98 98 35-63 52-45 19,600 319,479 1.12 12/24/2003 25,344 (54) 0 (54) 98 98 25-73 49-47 19,600 322,050 0.05 12/26/2003 25,388 43 43 0 98 98 55-43 42-52 19,600 322,651 (0.14) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 12/29/2003 26,035 647 647 0 98 98 57-41 54-44 19,600 323,149 1.40 12/30/2003 25,635 (399) 0 (399) 98 98 9-89 43-53 19,600 326,775 0.19 12/31/2003 25,595 (40) 0 (40) 98 98 50-48 47-50 19,600 327,814 (0.45) 01/02/2004 24,417 (1,178) 0 (1,178) 98 98 68-30 39-58 19,600 327,967 (0.37) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/05/2004 25,677 1,260 1,260 0 98 98 69-29 57-41 19,600 328,386 1.19 01/06/2004 23,621 (2,056) 0 (2,056) 98 98 28-70 34-62 19,600 331,559 0.83 01/07/2004 21,911 (1,709) 0 (1,709) 98 98 39-59 40-56 19,600 333,034 0.67 01/08/2004 21,869 (42) 0 (42) 98 98 33-65 49-48 19,600 337,450 0.12 01/09/2004 21,094 (775) 0 (775) 98 98 48-50 41-56 19,600 333,795 0.60 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/12/2004 18,763 (2,331) 0 (2,331) 98 98 39-59 37-59 19,600 336,516 1.06 01/13/2004 21,277 2,514 2,514 0 98 98 26-72 59-37 19,600 339,994 (1.20) 01/14/2004 19,657 (1,620) 0 (1,620) 98 98 72-26 40-58 19,600 337,649 0.04 01/15/2004 20,487 830 830 0 98 98 46-52 55-43 19,600 336,695 0.70 01/16/2004 19,612 (875) 0 (875) 98 98 37-61 46-51 19,600 341,830 0.82 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/20/2004 18,321 (1,290) 0 (1,290) 98 98 34-64 44-52 19,600 344,589 (0.18) 01/21/2004 18,232 (89) 0 (89) 98 98 54-44 46-51 19,600 342,697 0.02 01/22/2004 16,845 (1,386) 0 (1,386) 98 98 48-50 42-56 19,600 343,018 (1.23) 01/23/2004 15,291 (1,553) 0 (1,553) 98 98 70-28 41-56 19,600 340,293 (0.65) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 01/26/2004 17,090 1,799 1,799 0 98 98 63-35 55-42 19,600 337,931 1.38 01/27/2004 20,145 3,054 3,054 0 98 98 21-77 68-29 19,600 341,838 (1.76) 01/28/2004 14,880 (5,264) 0 (5,264) 98 98 88-10 17-81 19,600 337,776 (2.27) 01/29/2004 14,727 (153) 0 (153) 98 98 91-7 47-50 19,600 331,394 (0.27) 01/30/2004 15,396 669 669 0 98 98 50-48 54-43 19,600 331,915 0.03 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/02/2004 16,193 797 797 0 98 98 53-45 45-53 19,600 332,848 (0.58) 02/03/2004 15,981 (212) 0 (212) 98 98 62-36 48-50 19,600 330,604 0.12 02/04/2004 17,438 1,456 1,456 0 98 98 46-52 55-43 19,600 328,380 (0.57) 02/05/2004 16,217 (1,220) 0 (1,220) 98 98 61-37 44-53 19,600 328,984 0.09 02/06/2004 17,582 1,364 1,364 0 98 98 51-47 51-47 19,600 329,777 2.19 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/09/2004 18,676 1,094 1,094 0 98 98 8-90 60-36 19,600 337,170 (0.47) 02/10/2004 19,836 1,160 1,160 0 98 98 66-32 57-39 19,600 335,737 0.62 02/11/2004 19,262 (573) 0 (573) 98 98 31-67 44-54 19,600 338,331 1.00 02/12/2004 19,605 342 342 0 98 98 23-75 57-40 19,600 339,924 (0.50) 02/13/2004 18,180 (1,424) 0 (1,424) 98 98 65-33 34-64 19,600 338,732 (1.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/17/2004 19,172 991 991 0 98 98 85-13 62-34 19,600 337,264 0.47 02/18/2004 18,765 (406) 0 (406) 98 98 37-61 44-52 19,600 339,069 (0.08) 02/19/2004 18,386 (379) 0 (379) 98 98 58-40 40-58 19,600 341,860 (2.42) 02/20/2004 17,272 (1,114) 0 (1,114) 98 98 92-6 36-61 19,600 335,362 (0.54) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 02/23/2004 14,539 (2,732) 0 (2,732) 98 98 66-32 33-64 19,600 334,090 (2.00) 02/24/2004 14,324 (215) 0 (215) 98 98 86-12 44-53 19,600 327,488 0.05 02/25/2004 14,510 186 186 0 98 98 48-50 44-51 19,600 328,780 0.57 02/26/2004 13,826 (684) 0 (684) 98 98 40-58 46-49 19,600 329,624 0.98 02/27/2004 12,785 (1,040) 0 (1,040) 98 98 27-71 42-56 19,600 333,035 (0.38) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/01/2004 13,745 959 959 0 98 98 59-39 54-43 19,600 333,081 1.23 03/02/2004 15,607 1,861 1,861 0 98 98 21-77 61-37 19,600 336,978 (0.59) 03/03/2004 15,048 (559) 0 (559) 98 98 68-30 44-53 19,600 333,447 (0.11) 03/04/2004 16,122 1,074 1,074 0 98 98 60-38 60-35 19,600 332,742 1.04 03/05/2004 14,566 (1,555) 0 (1,555) 98 98 21-77 33-64 19,600 332,637 0.73 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/08/2004 16,963 2,396 2,396 0 98 98 31-67 67-30 19,600 335,453 (2.39) 03/09/2004 15,213 (1,749) 0 (1,749) 98 98 94-4 36-62 19,600 328,211 (0.68) 03/10/2004 13,499 (1,713) 0 (1,713) 98 98 62-36 35-62 19,600 326,060 (1.54) 03/11/2004 11,689 (1,810) 0 (1,810) 98 98 86-12 35-63 19,600 319,311 (0.54) 03/12/2004 13,103 1,414 1,414 0 98 98 65-33 60-36 19,600 319,300 1.14 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/15/2004 17,679 4,575 4,575 0 98 98 17-81 76-21 19,600 321,755 (1.94) 03/16/2004 15,982 (1,697) 0 (1,697) 98 98 90-8 28-69 19,600 319,303 (0.56) 03/17/2004 15,986 4 4 0 98 98 64-34 54-42 19,600 320,282 0.90 03/18/2004 16,556 570 570 0 98 98 30-68 52-46 19,600 322,862 (0.40) 03/19/2004 15,151 (1,405) 0 (1,405) 98 98 62-36 36-61 19,600 322,174 (1.20) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/22/2004 14,375 (775) 0 (775) 98 98 82-16 39-58 19,600 316,431 (0.68) 03/23/2004 12,846 (1,529) 0 (1,529) 98 98 67-31 34-63 19,600 316,543 (1.38) 03/24/2004 14,347 1,500 1,500 0 98 98 86-12 60-38 19,600 312,913 0.59 03/25/2004 11,901 (2,445) 0 (2,445) 98 98 36-62 37-61 19,600 317,057 2.36 03/26/2004 12,066 164 164 0 98 98 9-89 53-44 19,600 322,829 (0.02) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 03/29/2004 12,245 179 179 0 98 98 57-41 55-43 19,600 324,805 0.82 03/30/2004 10,816 (1,428) 0 (1,428) 98 98 28-70 37-59 19,600 326,784 0.88 03/31/2004 12,124 1,307 1,307 0 98 98 26-72 60-37 19,600 329,468 (0.60) 04/01/2004 14,530 2,405 2,405 0 98 98 69-29 67-29 19,600 328,551 0.99 04/02/2004 12,781 (1,748) 0 (1,748) 98 98 24-74 40-57 19,600 337,403 0.71 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/05/2004 10,836 (1,945) 0 (1,945) 98 98 37-61 36-62 19,600 339,137 1.34 04/06/2004 10,979 142 142 0 98 98 13-85 51-47 19,600 340,697 (0.07) 04/07/2004 11,132 152 152 0 98 98 50-48 52-46 19,600 340,130 (0.16) 04/08/2004 10,009 (1,122) 0 (1,122) 98 98 56-42 40-58 19,600 342,587 (1.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/12/2004 11,305 1,295 1,295 0 98 98 76-22 57-41 19,600 339,957 0.48 04/13/2004 13,395 2,090 2,090 0 98 98 33-65 64-34 19,600 343,103 (2.26) 04/14/2004 15,288 1,892 1,892 0 98 98 97-1 67-30 19,600 334,123 0.73 04/15/2004 16,337 1,049 1,049 0 98 98 30-68 56-41 19,600 337,354 (1.30) 04/16/2004 14,802 (1,535) 0 (1,535) 98 98 75-23 30-68 19,600 333,287 (0.29) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/19/2004 15,298 496 496 0 98 98 57-41 54-44 19,600 333,242 1.56 04/20/2004 21,233 5,935 5,935 0 98 98 11-87 82-16 19,600 338,561 (2.24) 04/21/2004 22,963 1,729 1,729 0 98 98 91-7 62-32 19,600 333,316 0.56 04/22/2004 18,477 (4,485) 0 (4,485) 98 98 30-68 33-64 19,600 334,124 2.42 04/23/2004 17,796 (680) 0 (680) 98 98 8-90 35-62 19,600 342,183 0.29 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 04/26/2004 18,598 801 801 0 98 98 38-60 61-37 19,600 343,131 (1.28) 04/27/2004 16,827 (1,771) 0 (1,771) 98 98 79-19 27-70 19,600 341,220 (0.91) 04/28/2004 15,438 (1,388) 0 (1,388) 98 98 68-30 37-61 19,600 337,591 (1.57) 04/29/2004 11,855 (3,583) 0 (3,583) 98 98 85-13 23-75 19,600 332,246 (1.66) 04/30/2004 7,946 (3,909) 0 (3,909) 98 98 82-16 21-77 19,600 329,618 (2.45) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/03/2004 9,819 1,873 1,873 0 98 98 91-7 59-39 19,600 324,307 0.19 05/04/2004 9,532 (287) 0 (287) 98 98 44-54 48-49 19,600 325,944 0.27 05/05/2004 9,463 (68) 0 (68) 98 98 41-57 48-49 19,600 327,130 0.51 05/06/2004 9,638 174 174 0 98 98 36-62 56-40 19,600 325,715 (0.26) 05/07/2004 8,442 (1,195) 0 (1,195) 98 98 58-40 31-65 19,600 323,779 (0.56) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/10/2004 6,047 (2,394) 0 (2,394) 98 98 64-34 39-58 19,600 319,044 (0.29) 05/11/2004 6,287 239 239 0 98 98 50-48 50-48 19,600 319,455 1.11 05/12/2004 5,831 (456) 0 (456) 98 98 20-78 44-52 19,600 320,709 0.31 05/13/2004 5,873 42 42 0 98 98 40-58 44-52 19,600 320,490 0.68 05/14/2004 6,911 1,038 1,038 0 98 98 36-62 59-39 19,600 322,318 (1.30) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/17/2004 6,331 (580) 0 (580) 98 98 81-17 37-58 19,600 315,459 (0.21) 05/18/2004 6,538 207 207 0 98 98 66-32 50-48 19,600 317,858 0.26 05/19/2004 5,563 (975) 0 (975) 98 98 46-52 44-54 19,600 322,263 (1.01) 05/20/2004 4,789 (773) 0 (773) 98 98 78-20 40-57 19,600 319,415 (0.46) 05/21/2004 4,711 (78) 0 (78) 98 98 60-38 44-52 19,600 321,342 0.09 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 05/24/2004 4,241 (469) 0 (469) 98 98 50-48 42-56 19,600 324,411 (0.32) 05/25/2004 5,477 1,235 1,235 0 98 98 58-40 57-41 19,600 324,115 2.61 05/26/2004 3,251 (2,226) 0 (2,226) 98 98 3-95 26-71 19,600 331,636 0.76 05/27/2004 2,816 (434) 0 (434) 98 98 26-72 51-45 19,600 335,384 0.23 05/28/2004 2,710 (106) 0 (106) 98 98 47-51 51-46 19,600 336,696 0.34 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/01/2004 1,899 (810) 0 (810) 98 98 38-60 43-53 19,600 335,833 0.79 06/02/2004 2,212 313 313 0 98 98 28-70 51-47 19,600 339,888 (0.68) 06/03/2004 409 (1,803) 0 (1,803) 98 98 67-31 29-68 19,600 337,036 (1.18) 06/04/2004 5 (404) 0 (404) 98 98 83-15 36-62 19,600 337,653 (0.49) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/07/2004 2,678 2,673 2,673 0 98 98 69-29 69-29 19,600 338,505 1.76 06/08/2004 1,500 (1,178) 0 (1,178) 99 99 11-88 37-61 19,800 346,556 0.61 06/09/2004 2,537 1,037 1,037 0 99 99 35-64 60-38 19,800 347,116 (1.36) 06/10/2004 2,307 (230) 0 (230) 99 99 84-15 44-53 19,800 343,738 0.11 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/14/2004 1,461 (845) 0 (845) 99 99 46-53 44-55 19,800 342,132 (1.24) 06/15/2004 2,665 1,203 1,203 0 99 99 80-19 63-35 19,800 340,996 0.53 06/16/2004 1,178 (1,486) 0 (1,486) 99 99 31-68 34-62 19,800 342,791 0.01 06/17/2004 955 (222) 0 (222) 99 99 50-49 46-52 19,800 342,049 (0.83) 06/18/2004 1,038 82 82 0 99 99 76-23 54-44 19,800 337,285 0.56 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/21/2004 3,379 2,341 2,341 0 99 99 28-71 62-35 19,800 340,204 (0.94) 06/22/2004 6,101 2,721 2,721 0 99 99 75-24 63-36 19,800 338,058 1.29 06/23/2004 4,232 (1,868) 0 (1,868) 99 99 26-73 32-65 19,800 340,460 1.57 06/24/2004 4,930 698 698 0 99 99 14-85 50-45 19,800 344,004 0.01 06/25/2004 3,970 (960) 0 (960) 99 99 56-43 46-51 19,800 344,319 1.09 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 06/28/2004 5,104 1,134 1,134 0 99 99 29-70 66-33 19,800 349,079 (0.93) 06/29/2004 6,963 1,859 1,859 0 99 99 79-20 67-31 19,800 346,446 0.75 06/30/2004 6,384 (579) 0 (579) 99 99 30-69 43-54 19,800 348,963 0.84 07/01/2004 9,615 3,230 3,230 0 99 99 28-71 68-30 19,800 351,720 (2.03) 07/02/2004 7,301 (2,313) 0 (2,313) 99 99 93-6 28-71 19,800 345,676 (0.73) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/06/2004 4,756 (2,545) 0 (2,545) 99 99 71-28 32-67 19,800 342,295 (2.14) 07/07/2004 5,194 437 437 0 99 99 91-8 51-48 19,800 337,279 0.21 07/08/2004 5,533 338 338 0 99 99 44-55 57-42 19,800 335,739 (0.77) 07/09/2004 5,632 99 99 0 99 99 69-30 45-52 19,800 335,981 0.03 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/12/2004 6,246 614 614 0 99 99 48-51 52-47 19,800 333,485 (0.22) 07/13/2004 6,491 244 244 0 99 99 48-51 48-51 19,800 334,479 (0.54) 07/14/2004 5,497 (994) 0 (994) 100 100 65-35 44-54 20,000 332,818 0.00 07/15/2004 4,755 (741) 0 (741) 100 100 56-44 45-53 20,000 335,019 (0.39) 07/16/2004 2,653 (2,102) 0 (2,102) 100 100 62-38 39-61 20,000 335,873 (2.43) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/19/2004 1,028 (1,625) 0 (1,625) 100 100 91-9 36-63 20,000 330,010 (0.43) 07/20/2004 3,767 2,739 2,739 0 100 100 67-33 64-36 20,000 328,849 1.93 07/21/2004 12,446 8,678 8,678 0 100 100 13-87 87-13 20,000 333,969 (3.33) 07/22/2004 15,246 2,800 2,800 0 100 100 94-6 68-29 20,000 323,757 1.32 07/23/2004 17,059 1,813 1,813 0 100 100 31-69 63-35 20,000 323,723 (1.26) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 07/26/2004 14,742 (2,317) 0 (2,317) 100 100 82-18 28-71 20,000 320,231 (0.92) 07/27/2004 18,958 4,215 4,215 0 100 100 75-25 70-30 20,000 318,437 1.73 07/28/2004 19,888 930 930 0 100 100 23-77 56-42 20,000 322,565 (0.58) 07/29/2004 20,547 659 659 0 100 100 64-36 62-38 20,000 322,127 0.71 07/30/2004 19,452 (1,094) 0 (1,094) 100 100 34-66 41-59 20,000 323,875 0.55 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/02/2004 20,082 629 629 0 100 100 35-65 47-53 20,000 321,211 0.87 08/03/2004 21,469 1,387 1,387 0 100 100 32-68 66-34 20,000 323,686 (1.98) 08/04/2004 21,146 (322) 0 (322) 100 100 86-14 61-38 20,000 317,355 0.25 08/05/2004 22,176 1,029 1,029 0 100 100 39-61 58-42 20,000 317,322 (1.91) 08/06/2004 17,479 (4,696) 0 (4,696) 100 100 89-11 14-85 20,000 309,038 (1.93) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/09/2004 17,713 233 233 0 100 100 92-8 54-46 20,000 304,327 (0.02) 08/10/2004 17,249 (463) 0 (463) 100 100 46-54 44-56 20,000 305,844 1.65 08/11/2004 15,917 (1,332) 0 (1,332) 100 100 10-90 43-56 20,000 306,108 0.18 08/12/2004 15,387 (529) 0 (529) 100 100 45-55 42-56 20,000 305,503 (0.82) 08/13/2004 15,112 (274) 0 (274) 100 100 75-25 45-53 20,000 304,245 (0.16) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/16/2004 16,676 1,563 1,563 0 100 100 60-40 56-40 20,000 304,668 1.62 08/17/2004 16,554 (121) 0 (121) 100 100 15-85 49-49 20,000 311,703 0.38 08/18/2004 16,995 441 441 0 100 100 44-56 47-52 20,000 311,300 2.73 08/19/2004 18,085 1,089 1,089 0 99 99 10-89 60-38 19,800 313,718 (0.10) 08/20/2004 19,793 1,707 1,707 0 100 100 60-40 66-34 20,000 316,344 1.25 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/23/2004 21,008 1,215 1,215 0 100 100 18-82 55-43 20,000 320,919 (0.29) 08/24/2004 20,933 (75) 0 (75) 100 100 55-45 45-54 20,000 321,313 (0.88) 08/25/2004 22,724 1,790 1,790 0 100 100 65-35 65-34 20,000 319,330 1.43 08/26/2004 22,169 (555) 0 (555) 100 100 13-87 54-44 20,000 322,484 0.01 08/27/2004 22,587 418 418 0 100 100 60-40 52-46 20,000 322,801 0.40 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 08/30/2004 24,150 1,563 1,563 0 100 100 37-63 65-33 20,000 323,184 (1.25) 08/31/2004 24,199 48 48 0 100 100 90-10 48-52 20,000 319,932 (0.01) 09/01/2004 23,348 (851) 0 (851) 100 100 46-54 52-48 20,000 319,304 0.92 09/02/2004 19,657 (3,690) 0 (3,690) 100 100 20-80 20-79 20,000 321,991 1.73 09/03/2004 21,606 1,948 1,948 0 100 100 7-93 74-26 20,000 325,436 (0.91) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/07/2004 21,676 70 70 0 100 100 75-25 52-48 20,000 325,445 0.11 09/08/2004 22,288 612 612 0 100 100 53-47 49-49 20,000 325,548 (0.38) 09/09/2004 22,133 (155) 0 (155) 100 100 69-31 52-46 20,000 325,558 0.67 09/10/2004 19,882 (2,251) 0 (2,251) 100 100 40-60 33-65 20,000 326,538 1.86 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/13/2004 16,957 (2,924) 0 (2,924) 100 100 13-87 27-71 20,000 332,580 1.01 09/14/2004 16,297 (660) 0 (660) 100 100 25-75 54-44 20,000 335,437 0.43 09/15/2004 16,724 427 427 0 100 100 47-53 52-43 20,000 335,377 (0.94) 09/16/2004 16,679 (44) 0 (44) 100 100 78-22 49-47 20,000 333,558 0.24 09/17/2004 15,901 (778) 0 (778) 100 100 47-53 45-53 20,000 336,000 0.16 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/20/2004 14,489 (1,411) 0 (1,411) 100 100 49-51 40-59 20,000 335,176 0.40 09/21/2004 15,112 623 623 0 100 100 52-48 56-42 20,000 337,487 0.46 09/22/2004 16,427 1,315 1,315 0 100 100 31-69 61-39 20,000 337,246 (1.53) 09/23/2004 16,923 496 496 0 100 100 92-8 50-46 20,000 332,058 0.04 09/24/2004 17,546 622 622 0 100 100 50-50 52-46 20,000 332,566 (0.39) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 09/27/2004 17,680 134 134 0 100 100 57-43 49-51 20,000 330,441 (0.43) 09/28/2004 17,909 228 228 0 100 100 68-32 52-48 20,000 329,703 (0.16) 09/29/2004 18,180 270 270 0 100 100 56-44 54-46 20,000 329,957 1.51 09/30/2004 17,433 (746) 0 (746) 100 100 16-84 43-55 20,000 334,440 0.50 10/01/2004 16,312 (1,121) 0 (1,121) 100 100 40-60 42-58 20,000 338,129 1.78 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/04/2004 16,772 460 460 0 100 100 16-84 50-49 20,000 344,888 (0.14) 10/05/2004 16,117 (654) 0 (654) 100 100 49-51 51-47 20,000 342,995 0.53 10/06/2004 15,105 (1,012) 0 (1,012) 100 100 42-58 40-59 20,000 343,837 0.87 10/07/2004 16,265 1,160 1,160 0 100 100 30-70 63-35 20,000 345,666 (0.93) 10/08/2004 14,282 (1,983) 0 (1,983) 100 100 76-24 36-64 20,000 341,150 (1.44) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/11/2004 15,204 921 921 0 100 100 84-16 62-38 20,000 337,743 0.43 10/12/2004 14,400 (803) 0 (803) 100 100 32-68 41-57 20,000 335,903 0.78 10/13/2004 14,546 146 146 0 100 100 35-65 51-49 20,000 341,243 (1.12) 10/14/2004 13,380 (1,166) 0 (1,166) 100 100 78-22 41-59 20,000 336,910 (0.97) 10/15/2004 12,526 (853) 0 (853) 100 100 69-31 40-58 20,000 335,304 (0.06) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/18/2004 12,800 273 273 0 100 100 55-45 55-45 20,000 335,087 2.00 10/19/2004 16,493 3,692 3,692 0 100 100 10-90 73-26 20,000 342,921 (1.26) 10/20/2004 17,736 1,243 1,243 0 100 100 82-18 55-43 20,000 338,017 0.67 10/21/2004 17,163 (573) 0 (573) 100 100 37-63 37-62 20,000 341,088 1.59 10/22/2004 20,794 3,630 3,630 0 100 100 22-78 72-28 20,000 344,637 (2.02) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 10/25/2004 20,670 (123) 0 (123) 100 100 86-14 47-51 20,000 337,712 0.13 10/26/2004 20,705 34 34 0 100 100 51-49 51-48 20,000 338,280 0.58 10/27/2004 18,727 (1,977) 0 (1,977) 100 100 37-63 38-62 20,000 340,712 2.59 10/28/2004 16,725 (2,002) 0 (2,002) 100 100 7-93 27-72 20,000 348,160 0.72 10/29/2004 15,766 (958) 0 (958) 100 100 29-71 42-56 20,000 350,341 0.28 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/01/2004 15,261 (504) 0 (504) 100 100 45-55 49-48 20,000 350,933 0.30 11/02/2004 13,755 (1,506) 0 (1,506) 100 100 45-55 39-60 20,000 351,547 0.35 11/03/2004 16,888 3,133 3,133 0 100 100 42-58 60-38 20,000 357,754 (1.18) 11/04/2004 17,424 535 535 0 100 100 71-29 65-34 20,000 353,831 1.45 11/05/2004 19,840 2,416 2,416 0 100 100 12-88 57-41 20,000 361,579 (0.18) ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/08/2004 19,326 (513) 0 (513) 100 100 57-43 42-55 20,000 360,861 0.02 11/09/2004 19,505 178 178 0 100 100 52-48 49-51 20,000 360,072 (0.15) 11/10/2004 17,696 (1,808) 0 (1,808) 100 100 57-43 30-69 20,000 359,882 (0.42) 11/11/2004 19,088 1,391 1,391 0 100 100 66-34 58-41 20,000 361,129 1.20 11/12/2004 15,413 (3,674) 0 (3,674) 100 100 20-80 33-66 20,000 365,906 1.27 ******************************************************************************** Date Balance P&L MFE MAE Pstns Trds Lo-Sh W-L Shares Cap Req B&H(%) 11/15/2004 13,572 (1,840) 0 (1,840) 100 100 25-75 38-60 20,000 369,516 0.58 11/16/2004 13,627 55 55 0 100 100 42-58 48-51 20,000 369,355 (0.25) 11/17/2004 15,008 1,380 1,380 0 100 100 69-31 60-40 20,000 371,500 0.61 11/18/2004 13,934 (1,074) 0 (1,074) 100 100 35-65 38-59 20,000 371,979 0.80 11/19/2004 16,431 2,496 2,496 0 100 100 33-67 66-34 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 19,029 2,598 2,598 0 100 100 97-3 75-23 20,000 367,898 1.01 11/23/2004 19,512 483 483 0 100 100 26-74 60-38 20,000 370,851 (0.06) 11/24/2004 19,197 (314) 0 (314) 100 100 59-41 61-39 20,000 373,957 0.52 11/26/2004 19,362 164 164 0 100 100 32-68 52-47 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 19,328 (33) 0 (33) 100 100 56-44 45-54 20,000 377,121 (0.57) 11/30/2004 18,542 (786) 0 (786) 100 100 69-31 40-59 20,000 374,465 (0.36) 12/01/2004 20,867 2,325 2,325 0 100 100 63-37 71-29 20,000 374,619 1.92 12/02/2004 19,088 (1,779) 0 (1,779) 100 100 10-90 41-58 20,000 381,115 0.41 12/03/2004 19,259 171 171 0 100 100 42-58 49-50 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 19,243 (16) 0 (16) 100 100 63-37 49-49 20,000 382,270 0.41 12/07/2004 20,385 1,142 1,142 0 100 100 42-58 53-47 20,000 384,245 (2.06) 12/08/2004 22,135 1,750 1,750 0 100 100 91-9 61-39 20,000 376,828 0.29 12/09/2004 20,497 (1,638) 0 (1,638) 100 100 38-62 45-54 20,000 376,131 1.41 12/10/2004 18,656 (1,840) 0 (1,840) 100 100 18-82 42-56 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 19,206 550 550 0 99 99 43-56 57-42 19,800 376,831 0.16 12/14/2004 20,196 990 990 0 100 100 53-47 54-43 20,000 383,628 0.77 12/15/2004 20,570 373 373 0 100 100 24-76 46-51 20,000 386,225 0.01 12/16/2004 20,482 (87) 0 (87) 100 100 47-53 51-49 20,000 384,988 (1.16) 12/17/2004 20,370 (112) 0 (112) 100 100 80-20 48-52 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 19,297 (1,072) 0 (1,072) 100 100 64-36 40-59 20,000 382,245 (0.79) 12/21/2004 20,979 1,681 1,681 0 100 100 76-24 64-35 20,000 380,635 0.75 12/22/2004 20,077 (901) 0 (901) 100 100 30-70 51-49 20,000 382,309 0.44 12/23/2004 20,280 203 203 0 100 100 35-65 47-51 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 21,341 1,061 1,061 0 100 100 47-53 55-43 20,000 386,219 (0.73) 12/28/2004 24,257 2,916 2,916 0 100 100 82-18 73-26 20,000 383,975 0.97 12/29/2004 22,972 (1,285) 0 (1,285) 100 100 17-83 30-70 20,000 387,574 0.48 12/30/2004 23,245 272 272 0 100 100 27-73 47-51 20,000 389,194 (0.04) 12/31/2004 22,907 (338) 0 (338) 100 100 56-44 45-53 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 22,923 16 16 0 100 100 50-50 52-48 20,000 389,224 (1.73) 01/04/2005 15,438 (7,485) 0 (7,485) 100 100 88-12 13-87 20,000 384,506 (2.71) 01/05/2005 14,136 (1,302) 0 (1,302) 100 100 97-3 39-61 20,000 374,042 (0.47) 01/06/2005 13,033 (1,102) 0 (1,102) 100 100 62-38 35-64 20,000 373,591 (0.84) 01/07/2005 12,732 (300) 0 (300) 100 100 73-27 42-58 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 13,694 961 961 0 100 100 67-33 59-40 20,000 371,259 0.16 01/11/2005 13,306 (388) 0 (388) 100 100 42-58 45-53 20,000 370,189 (0.27) 01/12/2005 12,984 (321) 0 (321) 100 100 47-53 45-55 20,000 371,855 0.10 01/13/2005 14,355 1,371 1,371 0 100 100 46-54 56-43 20,000 372,325 (1.22) 01/14/2005 16,118 1,763 1,763 0 100 100 81-19 64-35 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 12,712 (3,406) 0 (3,406) 100 100 21-79 28-72 20,000 371,147 1.39 01/19/2005 17,304 4,591 4,591 0 100 100 15-85 73-26 20,000 376,562 (1.91) 01/20/2005 15,281 (2,023) 0 (2,023) 100 100 89-11 39-59 20,000 368,813 (0.58) 01/21/2005 13,095 (2,185) 0 (2,185) 100 100 64-36 38-62 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 9,194 (3,901) 0 (3,901) 100 100 80-20 26-72 20,000 363,319 (1.59) 01/25/2005 8,975 (218) 0 (218) 99 99 84-15 47-50 19,800 357,274 (0.04) 01/26/2005 8,530 (445) 0 (445) 100 100 50-50 54-45 20,000 361,753 0.61 01/27/2005 8,059 (470) 0 (470) 100 100 41-59 44-56 20,000 363,411 0.34 01/28/2005 9,037 978 978 0 100 100 45-55 55-45 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 9,337 300 300 0 100 100 80-20 45-55 20,000 365,113 0.18 02/01/2005 9,167 (170) 0 (170) 100 100 45-55 51-49 20,000 367,005 0.35 02/02/2005 9,424 256 256 0 100 100 40-60 51-48 20,000 369,816 (0.19) 02/03/2005 8,353 (1,071) 0 (1,071) 100 100 60-40 40-58 20,000 368,545 (0.35) 02/04/2005 12,359 4,005 4,005 0 100 100 74-26 73-27 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 13,029 670 670 0 100 100 9-91 61-36 20,000 374,596 (0.30) 02/08/2005 12,787 (241) 0 (241) 100 100 65-35 47-53 20,000 374,299 (0.00) 02/09/2005 13,500 713 713 0 100 100 48-52 54-46 20,000 374,321 (2.04) 02/10/2005 12,348 (1,152) 0 (1,152) 100 100 96-4 35-61 20,000 369,115 (0.59) 02/11/2005 15,240 2,892 2,892 0 100 100 68-32 67-31 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 14,972 (267) 0 (267) 100 100 10-90 58-42 20,000 374,355 0.12 02/15/2005 15,299 327 327 0 100 100 58-42 54-46 20,000 374,679 0.57 02/16/2005 15,014 (284) 0 (284) 100 100 32-68 48-50 20,000 375,672 0.03 02/17/2005 14,931 (83) 0 (83) 100 100 49-51 48-52 20,000 376,269 (1.56) 02/18/2005 13,255 (1,676) 0 (1,676) 100 100 93-7 36-62 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 12,433 (821) 0 (821) 100 100 61-39 45-55 20,000 368,028 (0.75) 02/23/2005 12,875 441 441 0 100 100 76-24 52-45 20,000 365,741 (0.37) 02/24/2005 14,114 1,238 1,238 0 100 100 60-40 56-43 20,000 363,605 1.66 02/25/2005 11,769 (2,344) 0 (2,344) 100 100 12-88 32-67 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 14,130 2,360 2,360 0 100 100 35-65 69-31 20,000 369,407 (0.41) 03/01/2005 14,798 668 668 0 100 100 70-30 62-38 20,000 368,916 0.68 03/02/2005 14,323 (475) 0 (475) 100 100 24-76 41-57 20,000 369,622 0.55 03/03/2005 14,570 247 247 0 100 100 33-67 57-43 20,000 373,708 (0.94) 03/04/2005 14,523 (46) 0 (46) 100 100 82-18 39-60 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 14,838 314 314 0 100 100 58-42 54-44 20,000 373,245 1.38 03/08/2005 16,745 1,906 1,906 0 100 100 17-83 71-29 20,000 377,532 (0.66) 03/09/2005 15,033 (1,711) 0 (1,711) 100 100 78-22 27-71 20,000 375,134 (0.43) 03/10/2005 14,639 (394) 0 (394) 100 100 74-26 42-56 20,000 373,729 (0.07) 03/11/2005 14,401 (237) 0 (237) 100 100 52-48 46-52 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 16,509 2,108 2,108 0 100 100 88-12 67-33 20,000 371,474 0.54 03/15/2005 18,753 2,244 2,244 0 100 100 33-67 64-35 20,000 375,022 (1.38) 03/16/2005 17,251 (1,502) 0 (1,502) 100 100 86-14 25-71 20,000 369,831 (0.74) 03/17/2005 17,785 534 534 0 100 100 83-17 52-48 20,000 366,878 0.13 03/18/2005 17,222 (562) 0 (562) 100 100 47-53 50-46 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 18,117 895 895 0 100 100 58-42 56-40 20,000 367,449 0.04 03/22/2005 17,522 (595) 0 (595) 100 100 53-47 52-48 20,000 367,373 (1.06) 03/23/2005 17,913 390 390 0 100 100 81-19 63-37 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