Composite Trade Simulation Profit Matrix

                                       Date: 04/20/2004 Time: 08:04

           Trading Signals: SPX_Discrete (v23)
     Trading Dates: 04/25/02 to 04/19/04 = 500 days

                            LONG    SHORT      NET
Number Winning Trades:       109      101      210
Number Losing Trades:         42       50       92
Number Total Trades:         152      151      303
Trading Efficiency:         0.72     0.67     0.69

Total Points Won:         111.54    99.31   210.86
Total Points Lost:        ¯69.03   ¯64.30  ¯133.32
Total Points Net:          42.52    35.01    77.53
Total Net Points/Trade:     0.28     0.23     0.26

Sharpe Ratio:               1.70     2.03     1.83
Mean Daily Return:          0.15     0.16     0.16
Std Dev Daily Return:       1.41     1.26     1.35

Mean Winning Trade:         1.02     0.98     1.00
Mean Losing Trade:         ¯1.64    ¯1.29    ¯1.45
Std Dev Winning Trade:      1.33     1.26     1.30
Std Dev Losing Trade:       0.21     0.58     0.45

Largest DrawDown:          21.44     8.77    22.57
Largest Winning Trade:      4.73     3.52     4.73
Largest Losing Trade:      ¯5.12    ¯5.83    ¯5.83
Total Trading Days:          281      217      498
Max Consec Losing Trades:      3        4        4
Maximum Contracts/Trade:       1        1        1
Minimum Contracts/Trade:       1        1        1
Mean Contracts/Trade:       1.00     1.00     1.00

% Gain/Loss Last 10 Trades: 

SHORT LONG SHORT LONG SHORT LONG SHORT LONG SHORT LONG
 0.10 1.30 ¯0.33 0.53 ¯1.62 0.46  1.38 0.05 ¯0.62 0.00