SCREEN BACKTEST LOG 04/24/15-06:18:29 Screen id 134670 Period 04/19/2015 - 04/24/2015 Rebalance Days 1 RULES Common Ticker("QQQ") Common MonthDay=20 or MonthDay=22 or MonthDay=24 or MonthDay=26 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 0.0000 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= Equity 100.0000 (LongEq 0.0000 ShortEq 0.0000 Cash 100.0000) 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 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/20/2015 RankDate 04/18/2015 Price StartDate 04/21/2015 EndDate 04/22/2015 ************************************************************************************************************************ 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 QQQ 0.9217 108.2200 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 QQQ 0.9217 108.2200 108.3400 99.7500 99.8606 0.0000 0.0000 NEW 0.1109 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/21/2015 RankDate 04/18/2015 Price StartDate 04/22/2015 EndDate 04/23/2015 ************************************************************************************************************************ Equity 99.8606 (LongEq 99.8606 ShortEq 0.0000 Cash 0.0000) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= SELL QQQ 0.9217 108.3400 99.8606 0.0000 0.2497 99.6110 Turnover% 100.0000 Equity 99.6110 (LongEq 0.0000 ShortEq 0.0000 Cash 99.6110) Rebalance Current Positions: targetLong 0.0000 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= Equity 99.6110 (LongEq 0.0000 ShortEq 0.0000 Cash 99.6110) 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 ************************************************************************************************************************ *** REBALANCE: AsOfDate 04/22/2015 RankDate 04/18/2015 Price StartDate 04/23/2015 EndDate 04/24/2015 ************************************************************************************************************************ Equity 99.6110 (LongEq 0.0000 ShortEq 0.0000 Cash 99.6110) SELL-COVER Shares Price Amount Rank Slippage Cash ======================================================================================= Turnover% 0.0000 Equity 99.6110 (LongEq 0.0000 ShortEq 0.0000 Cash 99.6110) Rebalance Current Positions: targetLong 99.6110 targetShort 0.0000 BUY-SHORT Shares Price Amount Rank Slippage Cash ======================================================================================= BUY QQQ 0.9111 109.0600 99.3619 0.0000 0.2490 0.0000 Equity 99.3619 (LongEq 99.3619 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 QQQ 0.9111 109.0600 109.0600 99.3619 99.3619 0.0000 0.0000 NEW 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 0.0000 0.8977 100.0000 100.8977 0.0000 0.0000 0.0000 0.0000 0.0000 100.0000 0.0000 0.0000 0.0000 0.0000 04/20/2015 04/21/2015 04/22/2015 -0.1394 -0.2164 99.8606 100.6794 0.0000 0.2500 0.0000 0.0000 0.2500 0.0000 99.8606 0.0000 1.0000 0.0000 04/21/2015 04/22/2015 04/23/2015 -0.2500 0.6987 99.6110 101.3828 100.0000 0.0000 0.2497 0.0000 0.2497 99.6110 0.0000 0.0000 0.0000 0.0000 04/22/2015 04/23/2015 04/24/2015 -0.2500 0.0000 99.3619 101.3828 0.0000 0.2490 0.0000 0.0000 0.2490 0.0000 99.3619 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 0.0000 0.0000 100.0000 100.0000 100.8977 0.00 0.0000 0.0000 04/22/2015 99.8606 0.0000 0.0000 99.8606 100.6794 0.00 1.0000 1.0000 0.1109 0.0000 04/23/2015 0.0000 0.0000 99.6110 99.6110 101.3828 100.00 0.0000 0.0000 04/24/2015 99.3619 0.0000 0.0000 99.3619 101.3828 0.00 1.0000 1.0000