SCREEN BACKTEST LOG 04/24/15-06:21:10 Screen id 134669 Period 04/19/2015 - 04/24/2015 Rebalance Days 1 RULES Common Ticker("SPY") SETTINGS Method LONG No Stocks 0 Slippage% 0.2500 CarryCost% 1.5000 Long Weight% 100.0000 Short Weight% 0.0000 Rank Tolerance 0.0000 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/18/2015 RankDate 04/18/2015 Price StartDate 04/20/2015 EndDate 04/21/2015 ************************************************************************************************************************ Equity 100.0000 (LongEq 0.0000 ShortEq 0.0000 Cash 100.0000) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= Turnover% 0.0000 Equity 100.0000 (LongEq 0.0000 ShortEq 0.0000 Cash 100.0000) Rebalance Current Positions: targetLong 100.0000 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= BUY SPY 0.4771 209.0600 99.7500 0.0000 0.2500 0.0000 Equity 99.7500 (LongEq 99.7500 ShortEq 0.0000 Cash 0.0000) Carry costs 0.0000 (longMargin 0.0000 shortMargin 0.0000) * 1.5000% * 1/365 days POSITIONS Shares PrcStart PrcEnd AmtStart AmtEnd Rank AmtRebal Action %Ret 1 SPY 0.4771 209.0600 210.6700 99.7500 100.5182 0.0000 0.0000 NEW 0.7701 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/20/2015 RankDate 04/18/2015 Price StartDate 04/21/2015 EndDate 04/22/2015 ************************************************************************************************************************ Equity 100.5182 (LongEq 100.5182 ShortEq 0.0000 Cash 0.0000) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= Turnover% 0.0000 Equity 100.5182 (LongEq 100.5182 ShortEq 0.0000 Cash 0.0000) Rebalance Current Positions: targetLong 100.5182 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= Equity 100.5182 (LongEq 100.5182 ShortEq 0.0000 Cash 0.0000) Carry costs 0.0000 (longMargin 0.0000 shortMargin 0.0000) * 1.5000% * 1/365 days POSITIONS Shares PrcStart PrcEnd AmtStart AmtEnd Rank AmtRebal Action %Ret 1 SPY 0.4771 210.6700 210.0100 100.5182 100.2033 0.0000 0.0000 KEEP -0.3133 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/21/2015 RankDate 04/18/2015 Price StartDate 04/22/2015 EndDate 04/23/2015 ************************************************************************************************************************ Equity 100.2033 (LongEq 100.2033 ShortEq 0.0000 Cash 0.0000) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= Turnover% 0.0000 Equity 100.2033 (LongEq 100.2033 ShortEq 0.0000 Cash 0.0000) Rebalance Current Positions: targetLong 100.2033 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= Equity 100.2033 (LongEq 100.2033 ShortEq 0.0000 Cash 0.0000) Carry costs 0.0000 (longMargin 0.0000 shortMargin 0.0000) * 1.5000% * 1/365 days POSITIONS Shares PrcStart PrcEnd AmtStart AmtEnd Rank AmtRebal Action %Ret 1 SPY 0.4771 210.0100 211.1600 100.2033 100.7520 0.0000 0.0000 KEEP 0.5476 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/22/2015 RankDate 04/18/2015 Price StartDate 04/23/2015 EndDate 04/24/2015 ************************************************************************************************************************ Equity 100.7520 (LongEq 100.7520 ShortEq 0.0000 Cash 0.0000) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= Turnover% 0.0000 Equity 100.7520 (LongEq 100.7520 ShortEq 0.0000 Cash 0.0000) Rebalance Current Positions: targetLong 100.7520 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= Equity 100.7520 (LongEq 100.7520 ShortEq 0.0000 Cash 0.0000) Carry costs 0.0000 (longMargin 0.0000 shortMargin 0.0000) * 1.5000% * 1/365 days POSITIONS Shares PrcStart PrcEnd AmtStart AmtEnd Rank AmtRebal Action %Ret 1 SPY 0.4771 211.1600 211.1600 100.7520 100.7520 0.0000 0.0000 KEEP 0.0000 ************************************************************************************************************************ *** END OF BACKTEST ************************************************************************************************************************ REBALANCE STATISTICS AsOf PriceStart PriceEnd Screen% Bench% ScrEq BenchEq Turnover SlipBuy SlipSell CarryCost TotCosts Cash LongEq ShortEq Leverage LS-Ratio 04/18/2015 04/20/2015 04/21/2015 0.5182 0.8977 100.5182 100.8977 0.0000 0.2500 0.0000 0.0000 0.2500 0.0000 100.5182 0.0000 1.0000 0.0000 04/20/2015 04/21/2015 04/22/2015 -0.3133 -0.2164 100.2033 100.6794 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.2033 0.0000 1.0000 0.0000 04/21/2015 04/22/2015 04/23/2015 0.5476 0.6987 100.7520 101.3828 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.7520 0.0000 1.0000 0.0000 04/22/2015 04/23/2015 04/24/2015 0.0000 0.0000 100.7520 101.3828 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.7520 0.0000 1.0000 0.0000 DAILY PERFORMANCE Date Long Short Cash Equity Bench Turnover #Stocks Leverage Long% Short% 04/20/2015 0.0000 0.0000 100.0000 100.0000 100.0000 0.0000 0.0000 04/21/2015 100.5182 0.0000 0.0000 100.5182 100.8977 0.00 1.0000 1.0000 0.7701 0.0000 04/22/2015 100.2033 0.0000 0.0000 100.2033 100.6794 0.00 1.0000 1.0000 -0.3133 0.0000 04/23/2015 100.7520 0.0000 0.0000 100.7520 101.3828 0.00 1.0000 1.0000 0.5476 0.0000 04/24/2015 100.7520 0.0000 0.0000 100.7520 101.3828 0.00 1.0000 1.0000