ÿþ<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN"> <HTML xmlns:fo = "http://www.w3.org/1999/XSL/Format"><HEAD><TITLE></TITLE> <META http-equiv=Content-Type content="text/html; charset=UTF-16"> <META content="MSHTML 6.00.2900.3157" name=GENERATOR></HEAD> <BODY style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana"> <P> <TABLE id=Table1 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR> <TD colSpan=2> <TABLE id=Table12 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Summary</STRONG></TD></TR> <TR bgColor=lavender> <TD><STRONG>3Z PROGRAM (AFET)</STRONG></TD> <TD>RSS3CC.AF (RSS3CC.AF)</TD></TR> <TR> <TD>Simulation Date 13/9/2550 17:46:14</TD> <TD>802 Daily Bars 31/5/2004 Through 12/9/2007 (1199 Days)</TD></TR> <TR> <TD><STRONG></STRONG></TD> <TD></TD></TR></TBODY></TABLE></TD></TR> <TR> <TD width="50%"> <DIV id=DIV1 style="WIDTH: 10px; HEIGHT: 8px"></DIV> <TABLE id=Table2 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Performance</STRONG></TD></TR> <TR bgColor=lavender> <TD>Profit</TD> <TD>$223.22</TD></TR> <TR> <TD>Performance</TD> <TD>1116.12 %</TD></TR> <TR> <TD>Annualized Performance</TD> <TD>339.77 %</TD></TR> <TR> <TD>Buy &amp; Hold Profit</TD> <TD>$16.39</TD></TR> <TR> <TD>Buy &amp; Hold Performance</TD> <TD>81.96 %</TD></TR> <TR> <TD>Buy &amp; Hold Annualized Performance</TD> <TD>24.95 %</TD></TR></TBODY></TABLE> <P> <TABLE id=Table4 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Trade Summary</STRONG></TD></TR> <TR> <TD>Total Trades</TD> <TD>73</TD></TR> <TR> <TD>Trade Efficiency</TD> <TD>-0.03 %</TD></TR> <TR> <TD>Average Profit/Average Loss</TD> <TD>2.68</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table4 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Profitable Trades</STRONG></TD></TR> <TR> <TD>Total</TD> <TD>41</TD></TR> <TR> <TD>Long</TD> <TD>26</TD></TR> <TR> <TD>Short</TD> <TD>15</TD></TR> <TR> <TD style="HEIGHT: 9px"></TD> <TD style="HEIGHT: 9px"></TD></TR> <TR> <TD>Average Profit</TD> <TD>$7.68</TD></TR> <TR> <TD>Highest Profit</TD> <TD>$26.57</TD></TR> <TR> <TD>Lowest Profit</TD> <TD>$0.08</TD></TR> <TR> <TD>Most Consecutive</TD> <TD>8</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table9 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Unprofitable Trades</STRONG></TD></TR> <TR> <TD>Total</TD> <TD>32</TD></TR> <TR> <TD>Long</TD> <TD>14</TD></TR> <TR> <TD>Short</TD> <TD>18</TD></TR> <TR> <TD style="HEIGHT: 9px"></TD> <TD style="HEIGHT: 9px"></TD></TR> <TR> <TD>Average Loss</TD> <TD>$-2.86</TD></TR> <TR> <TD>Highest Loss</TD> <TD>$-6.62</TD></TR> <TR> <TD>Lowest Loss</TD> <TD>$-0.62</TD></TR> <TR> <TD>Most Consecutive</TD> <TD>5</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table10 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Maximum Position Excursions</STRONG></TD></TR> <TR> <TD>Long Favorable</TD> <TD>$23.98</TD></TR> <TR> <TD>Short Favorable</TD> <TD>$34.88</TD></TR> <TR> <TD>Long Adverse</TD> <TD>$-4.73</TD></TR> <TR> <TD>Short Adverse</TD> <TD>$-6.62</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table10 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Trade Efficiency</STRONG></TD></TR> <TR> <TD>Average Entry</TD> <TD>61.88 %</TD></TR> <TR> <TD>Average Exit</TD> <TD>36.72 %</TD></TR> <TR bgColor=lavender> <TD>Average Total</TD> <TD>-0.03 %</TD></TR> <TR> <TD style="HEIGHT: 9px"></TD> <TD style="HEIGHT: 9px"></TD></TR> <TR> <TD>Average Long Entry</TD> <TD>67.13 %</TD></TR> <TR> <TD>Average Long Exit</TD> <TD>42.81 %</TD></TR> <TR> <TD>Average Long Total</TD> <TD>9.94 %</TD></TR> <TR> <TD style="HEIGHT: 9px"></TD> <TD style="HEIGHT: 9px"></TD></TR> <TR> <TD>Average Short Entry</TD> <TD>55.52 %</TD></TR> <TR> <TD>Average Short Exit</TD> <TD>29.34 %</TD></TR> <TR> <TD>Average Short Total</TD> <TD>-12.11 %</TD></TR></TBODY></TABLE></P></TD> <TD> <DIV style="WIDTH: 10px; HEIGHT: 8px"></DIV> <TABLE id=Table3 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Performance Indices</STRONG></TD></TR> <TR> <TD>Buy &amp; Hold Index</TD> <TD>1261.79 %</TD></TR> <TR> <TD>Profit/Loss Index</TD> <TD>70.90 %</TD></TR> <TR> <TD>Reward/Risk Index</TD> <TD>99.71 %</TD></TR></TBODY></TABLE> <P> <TABLE id=Table3 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Accounting</STRONG></TD></TR> <TR> <TD style="HEIGHT: 8px">Initial Equity</TD> <TD style="HEIGHT: 8px">$20.00</TD></TR> <TR> <TD>Trade Profit</TD> <TD>$314.83</TD></TR> <TR> <TD>Trade Loss</TD> <TD>$-91.62</TD></TR> <TR> <TD>Commissions</TD> <TD>$1.58</TD></TR> <TR> <TD>Interest Credited</TD> <TD>$0.00</TD></TR> <TR> <TD>Interest Charged</TD> <TD>$0.00</TD></TR> <TR bgColor=lavender> <TD>Final Equity</TD> <TD>$243.22</TD></TR> <TR> <TD>Open Positions</TD> <TD>$-70.60</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table6 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Account Variation</STRONG></TD></TR> <TR> <TD>Highest Account Balance</TD> <TD>$637.42</TD></TR> <TR> <TD>Lowest Account Balance</TD> <TD>$-524.63</TD></TR> <TR> <TD>Highest Portfolio Value</TD> <TD>$704.69</TD></TR> <TR> <TD>Highest Open Drawdown</TD> <TD>$-0.65</TD></TR> <TR> <TD>Highest Closed Drawdown</TD> <TD>$-0.64</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table6 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Account Events</STRONG></TD></TR> <TR> <TD>Margin Calls</TD> <TD>0</TD></TR> <TR> <TD>Overdrafts</TD> <TD>6</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table5 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Profitable Timing</STRONG></TD></TR> <TR> <TD>Average Trade Length</TD> <TD>27</TD></TR> <TR> <TD>Longest Trade Length</TD> <TD>61</TD></TR> <TR> <TD>Shortest Trade Length</TD> <TD>8</TD></TR> <TR> <TD>Total Trade Length</TD> <TD>1130</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table7 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Unprofitable Timing</STRONG></TD></TR> <TR> <TD>Average Trade Length</TD> <TD>9</TD></TR> <TR> <TD>Longest Trade Length</TD> <TD>30</TD></TR> <TR> <TD>Shortest Trade Length</TD> <TD>2</TD></TR> <TR> <TD>Total Trade Length</TD> <TD>291</TD></TR></TBODY></TABLE></P> <P> <TABLE id=Table8 style="FONT-SIZE: 8.5pt; FONT-FAMILY: Verdana" height="100%" cellSpacing=1 cellPadding=1 width="100%" border=0> <TBODY> <TR bgColor=cornsilk> <TD colSpan=2><STRONG>Out of Market Timing</STRONG></TD></TR> <TR> <TD>Average</TD> <TD>10</TD></TR> <TR> <TD>Longest</TD> <TD>37</TD></TR> <TR> <TD>Total</TD> <TD>96</TD></TR></TBODY></TABLE></P> <P></P></TD></TR></TBODY></TABLE></P></BODY></HTML>