Summary Advantage Aggressive2 - 1 RTS (RTS) Simulation Date 2008-09-05 11:28:27 1151 Daily Bars 2004-01-05 Through 2008-09-01 (1701 Days) Points Only Test

Performance Profit 1811.5884 Pts Performance N/A Annualized Performance N/A Buy & Hold Profit 1389.6099 Pts Buy & Hold Performance N/A Buy & Hold Annualized Performance N/A Trade Summary Total Trades 122 Trade Efficiency -13.31 % Average Profit/Average Loss N/A Profitable Trades Total 51 Long 32 Short 19 Average Profit 108.3252 Pts Highest Profit 455.3914 Pts Lowest Profit 0.0500 Pts Most Consecutive 7 Unprofitable Trades Total 71 Long 36 Short 35 Average Loss -52.2957 Pts Highest Loss -192.3943 Pts Lowest Loss -1.3197 Pts Most Consecutive 6 Maximum Position Excursions Long Favorable 596.1103 Pts Short Favorable 514.0417 Pts Long Adverse -194.7787 Pts Short Adverse -205.6263 Pts Trade Efficiency Average Entry 49.45 % Average Exit 37.23 % Average Total -13.31 % Average Long Entry 53.37 % Average Long Exit 41.88 % Average Long Total -4.74 % Average Short Entry 44.52 % Average Short Exit 31.38 % Average Short Total -24.10 %

Performance Indices Buy & Hold Index 30.37 % Profit/Loss Index 32.79 % Reward/Risk Index 93.60 % Accounting Initial Equity 0.0000 Pts Trade Profit 5524.5857 Pts Trade Loss -3712.9974 Pts Commissions 76.2306 Pts Interest Credited 0.0000 Pts Interest Charged 0.0000 Pts Final Equity 1811.5884 Pts Open Positions 0.0000 Pts Account Variation Highest Account Balance 1925.7366 Pts Lowest Account Balance -123.9145 Pts Highest Portfolio Value 596.1103 Pts Highest Open Drawdown -123.9145 Pts Highest Closed Drawdown -121.3591 Pts Account Events Margin Calls 0 Overdrafts 0 Profitable Timing Average Trade Length 10 Longest Trade Length 23 Shortest Trade Length 4 Total Trade Length 539 Unprofitable Timing Average Trade Length 2 Longest Trade Length 8 Shortest Trade Length 1 Total Trade Length 212 Out of Market Timing Average 4 Longest 108 Total 400