Date Price

4-Jan-10 1550.75 Ln returns Lag 1 Returns Lag 2 Returns 2% Filter

5-Jan-10 1515.6 -0.0229272847
6-Jan-10 1462.6 -0.0355957263 -0.0229272847 -0.0355957263
7-Jan-10 1453.85 -0.0060004638 -0.0355957263 -0.0229272847 -0.0060004638
8-Jan-10 1432.85 -0.0145497422 -0.0060004638 -0.0355957263 -0.0145497422
11-Jan-10 1454.25 0.0148248359 -0.0145497422 -0.0060004638 0.0148248359
12-Jan-10 1441.65 -0.0087020129 0.01482483595 -0.0145497422 0.0061228231
13-Jan-10 1428.4 -0.0092333542 -0.0087020129 0.01482483595 -0.0031105311
14-Jan-10 1416.85 -0.0081188391 -0.0092333542 -0.0087020129 -0.0081188391
15-Jan-10 1416.5 -0.0002470574 -0.0081188391 -0.0092333542 -0.0002470574
18-Jan-10 1433.95 0.0122438338 -0.0002470574 -0.0081188391 0.0122438338
19-Jan-10 1419.8 -0.0099168574 0.01224383378 -0.0002470574 0.0023269763
20-Jan-10 1456.95 0.0258291929 -0.0099168574 0.01224383378 0.0281561692
21-Jan-10 1448 -0.0061619156 0.02582919291 -0.0099168574 -0.0061619156
22-Jan-10 1439.7 -0.0057485354 -0.0061619156 0.02582919291 -0.011910451
25-Jan-10 1445.25 0.0038475584 -0.0057485354 -0.0061619156 -0.0080628926
27-Jan-10 1368.95 -0.0542382944 0.00384755843 -0.0057485354 -0.0623011869
28-Jan-10 1386 0.0123778781 -0.0542382944 0.00384755843 0.0123778781
29-Jan-10 1390.1 0.0029537862 0.01237787814 -0.0542382944 0.0153316644
1-Feb-10 1399.1 0.0064534858 0.00295378623 0.01237787814 0.0217851501
2-Feb-10 1372.9 -0.0189038818 0.00645348576 0.00295378623 -0.0189038818
3-Feb-10 1382.1 0.0066787907 -0.0189038818 0.00645348576 -0.0122250911
4-Feb-10 1364.95 -0.0124862837 0.00667879071 -0.0189038818 -0.0247113748
5-Feb-10 1359.05 -0.0043318717 -0.0124862837 0.00667879071 -0.0043318717
6-Feb-10 1369.95 0.0079883166 -0.0043318717 -0.0124862837 0.0079883166
8-Feb-10 1367.1 -0.0020825349 0.00798831657 -0.0043318717 0.0059057817
9-Feb-10 1354.3 -0.0094069923 -0.0020825349 0.00798831657 -0.0035012106
10-Feb-10 1334.65 -0.0146156305 -0.0094069923 -0.0020825349 -0.0146156305
11-Feb-10 1355.2 0.0152799597 -0.0146156305 -0.0094069923 0.0152799597
15-Feb-10 1335.25 -0.0148305047 0.01527995972 -0.0146156305 0.000449455
16-Feb-10 1356.55 0.0158261718 -0.0148305047 0.01527995972 0.0162756268
17-Feb-10 1381 0.0178631624 0.01582617176 -0.0148305047 0.0341387892
18-Feb-10 1361.7 -0.0140739553 0.01786316242 0.01582617176 -0.0140739553
19-Feb-10 1370.3 0.0062957748 -0.0140739553 0.01786316242 -0.0077781805
22-Feb-10 1381.65 0.0082487432 0.00629577482 -0.0140739553 0.0004705627
23-Feb-10 1336.85 -0.0329623368 0.00824874315 0.00629577482 -0.0329623368
24-Feb-10 1368.65 0.0235087522 -0.0329623368 0.00824874315 0.0235087522
25-Feb-10 1401.05 0.023397103 0.0235087522 -0.0329623368 0.023397103
26-Feb-10 1463.55 0.0436430357 0.02339710296 0.0235087522 0.0436430357
2-Mar-10 1489.65 0.0176762018 0.04364303573 0.02339710296 0.0176762018
3-Mar-10 1477.3 -0.0083250957 0.0176762018 0.04364303573 -0.0083250957
4-Mar-10 1459.5 -0.012122186 -0.0083250957 0.0176762018 -0.0204472817
5-Mar-10 1457.15 -0.0016114381 -0.012122186 -0.0083250957 -0.0016114381
8-Mar-10 1477.45 0.0138351556 -0.0016114381 -0.012122186 0.0138351556
9-Mar-10 1499.9 0.0150808104 0.01383515559 -0.0016114381 0.028915966
10-Mar-10 1479.75 -0.0135252846 0.01508081044 0.01383515559 -0.0135252846
11-Mar-10 1466.25 -0.0091650336 -0.0135252846 0.01508081044 -0.0226903182
12-Mar-10 1463.6 -0.0018089668 -0.0091650336 -0.0135252846 -0.0018089668
15-Mar-10 1446.15 -0.0119943014 -0.0018089668 -0.0091650336 -0.0119943014
16-Mar-10 1460 0.0095315829 -0.0119943014 -0.0018089668 0.0095315829
17-Mar-10 1434.75 -0.0174458177 0.00953158292 -0.0119943014 -0.0174458177
18-Mar-10 1421.95 -0.008961449 -0.0174458177 0.00953158292 -0.008961449
19-Mar-10 1429 0.0049457299 -0.008961449 -0.0174458177 0.0049457299
22-Mar-10 1397.25 -0.0224688798 0.00494572993 -0.008961449 -0.0175231499
23-Mar-10 1392.55 -0.0033694204 -0.0224688798 0.00494572993 -0.0258383001
25-Mar-10 1372.05 -0.014830627 -0.0033694204 -0.0224688798 -0.014830627
26-Mar-10 1396.2 0.0174482888 -0.014830627 -0.0033694204 0.0174482888
29-Mar-10 1423.15 0.0191184641 0.01744828877 -0.014830627 0.0365667529
30-Mar-10 1408.9 -0.0100634666 0.0191184641 0.01744828877 -0.0100634666
31-Mar-10 1416.15 0.0051326638 -0.0100634666 0.0191184641 -0.0049308028
1-Apr-10 1390.7 -0.0181347044 0.00513266379 -0.0100634666 -0.0230655072
5-Apr-10 1395.5 0.0034455565 -0.0181347044 0.00513266379 0.0034455565
6-Apr-10 1376.35 -0.0138177064 0.00344555649 -0.0181347044 -0.0138177064
7-Apr-10 1400.4 0.0173228425 -0.0138177064 0.00344555649 0.0173228425
8-Apr-10 1383.15 -0.0123944034 0.01732284247 -0.0138177064 0.004928439
9-Apr-10 1381.15 -0.0014470212 -0.0123944034 0.01732284247 0.0034814178
12-Apr-10 1372.05 -0.0066105137 -0.0014470212 -0.0123944034 -0.0031290958
13-Apr-10 1367 -0.003687414 -0.0066105137 -0.0014470212 -0.003687414
15-Apr-10 1354.05 -0.0095184563 -0.003687414 -0.0066105137 -0.0095184563
16-Apr-10 1350.95 -0.0022920528 -0.0095184563 -0.003687414 -0.0022920528
19-Apr-10 1331.25 -0.0146896982 -0.0022920528 -0.0095184563 -0.0146896982
20-Apr-10 1352.95 0.0161690431 -0.0146896982 -0.0022920528 0.0161690431
21-Apr-10 1375.05 0.0162027005 0.01616904312 -0.0146896982 0.0323717436
22-Apr-10 1378.65 0.0026146654 0.0162027005 0.01616904312 0.0026146654
23-Apr-10 1361.8 -0.0122974054 0.0026146654 0.0162027005 -0.0122974054
26-Apr-10 1335 -0.0198760622 -0.0122974054 0.0026146654 -0.0321734676
27-Apr-10 1283.15 -0.0396132996 -0.0198760622 -0.0122974054 -0.0396132996
28-Apr-10 1271.05 -0.0094746617 -0.0396132996 -0.0198760622 -0.0094746617
29-Apr-10 1288.35 0.0135189994 -0.0094746617 -0.0396132996 0.0135189994
30-Apr-10 1279.75 -0.0066975835 0.01351899936 -0.0094746617 0.0068214158
3-May-10 1282.35 0.0020295858 -0.0066975835 0.01351899936 0.0088510016
4-May-10 1263.15 -0.015085731 0.0020295858 -0.0066975835 -0.0062347294
5-May-10 1280.75 0.0138372427 -0.015085731 0.0020295858 0.0138372427
6-May-10 1277.8 -0.0023059947 0.01383724268 -0.015085731 0.011531248
7-May-10 1275.35 -0.0019191984 -0.0023059947 0.01383724268 0.0096120496
10-May-10 1294.7 0.0150583573 -0.0019191984 -0.0023059947 0.0246704069
11-May-10 1270.5 -0.0188684843 0.01505835734 -0.0019191984 -0.0188684843
12-May-10 1267.8 -0.0021274089 -0.0188684843 0.01505835734 -0.0209958932
13-May-10 1274.4 0.0051923647 -0.0021274089 -0.0188684843 0.0051923647
14-May-10 1257.95 -0.0129920678 0.00519236475 -0.0021274089 -0.007799703
17-May-10 1241.8 -0.0129214719 -0.0129920678 0.00519236475 -0.0129214719
18-May-10 1242.3 0.0004025603 -0.0129214719 -0.0129920678 0.0004025603
19-May-10 1230.15 -0.0098283871 0.00040256029 -0.0129214719 -0.0094258268
20-May-10 1210.45 -0.0161439219 -0.0098283871 0.00040256029 -0.0161439219
21-May-10 1242.15 0.0258515579 -0.0161439219 -0.0098283871 0.0258515579
24-May-10 1220.8 -0.0173373676 0.02585155787 -0.0161439219 -0.0173373676
25-May-10 1202 -0.0155195454 -0.0173373676 0.02585155787 -0.0328569131
26-May-10 1199.25 -0.0022904747 -0.0155195454 -0.0173373676 -0.0022904747
27-May-10 1232.7 0.0275105242 -0.0022904747 -0.0155195454 0.0275105242
28-May-10 1223.1 -0.0078182661 0.02751052418 -0.0022904747 -0.0078182661
31-May-10 1236.95 0.0112600527 -0.0078182661 0.02751052418 0.0034417866
1-Jun-10 1259.2 0.0178279265 0.01126005271 -0.0078182661 0.0178279265
2-Jun-10 1277.65 0.0145458544 0.01782792646 0.01126005271 0.0145458544
3-Jun-10 1296.85 0.0149157941 0.01454585435 0.01782792646 0.0149157941
4-Jun-10 1331.05 0.0260298573 0.01491579411 0.01454585435 0.0260298573
7-Jun-10 1314.2 -0.012739989 0.0260298573 0.01491579411 -0.012739989
 8-Jun-10 1293.85 -0.0156058458 -0.012739989 0.0260298573 -0.0283458347
9-Jun-10 1302.3 0.0065096623 -0.0156058458 -0.012739989 0.0065096623
10-Jun-10 1345.7 0.0327823918 0.00650966226 -0.0156058458 0.039292054
11-Jun-10 1356.45 0.0079566691 0.03278239177 0.00650966226 0.0079566691
14-Jun-10 1356.05 -0.0002949309 0.00795666911 0.03278239177 -0.0002949309
15-Jun-10 1343.95 -0.008963023 -0.0002949309 0.00795666911 -0.0092579538
16-Jun-10 1364.35 0.0150650857 -0.008963023 -0.0002949309 0.0058071319
17-Jun-10 1378.95 0.0106442152 0.01506508572 -0.008963023 0.0106442152
18-Jun-10 1351.2 -0.0203292535 0.01064421525 0.01506508572 -0.0203292535
21-Jun-10 1375.35 0.0177151577 -0.0203292535 0.01064421525 0.0177151577
22-Jun-10 1369.35 -0.0043720695 0.01771515767 -0.0203292535 0.0133430882
23-Jun-10 1407.35 0.0273723287 -0.0043720695 0.01771515767 0.0407154169
24-Jun-10 1384.25 -0.0165500267 0.02737232872 -0.0043720695 -0.0165500267
25-Jun-10 1397.05 0.0092043939 -0.0165500267 0.02737232872 -0.0073456328
28-Jun-10 1396 -0.0007518663 0.00920439389 -0.0165500267 -0.0080974991
29-Jun-10 1388.95 -0.0050629383 -0.0007518663 0.00920439389 -0.0131604374
30-Jun-10 1423.6 0.0246408086 -0.0050629383 -0.0007518663 0.0114803712
1-Jul-10 1399.4 -0.0171453013 0.02464080865 -0.0050629383 -0.0171453013
2-Jul-10 1408.35 0.0063752331 -0.0171453013 0.02464080865 -0.0107700683
5-Jul-10 1395.05 -0.0094885495 0.00637523306 -0.0171453013 -0.0202586177
6-Jul-10 1392 -0.002188695 -0.0094885495 0.00637523306 -0.002188695
7-Jul-10 1382.8 -0.0066311328 -0.002188695 -0.0094885495 -0.0066311328
8-Jul-10 1403.65 0.0149655577 -0.0066311328 -0.002188695 0.0149655577
9-Jul-10 1423.1 0.0137616039 0.01496555771 -0.0066311328 0.0287271616
12-Jul-10 1408.75 -0.0101348043 0.01376160393 0.01496555771 -0.0101348043
13-Jul-10 1409.7 0.0006741294 -0.0101348043 0.01376160393 -0.0094606749
14-Jul-10 1394.15 -0.0110920052 0.00067412942 -0.0101348043 -0.0205526801
15-Jul-10 1379.65 -0.0104550668 -0.0110920052 0.00067412942 -0.0104550668
16-Jul-10 1379.55 -7.248478E-05 -0.0104550668 -0.0110920052 -7.248478E-05
19-Jul-10 1364.15 -0.011225835 -7.248478E-05 -0.0104550668 -0.011225835
20-Jul-10 1362.15 -0.0014671902 -0.011225835 -7.248478E-05 -0.0014671902
21-Jul-10 1363.9 0.0012839091 -0.0014671902 -0.011225835 0.0012839091
22-Jul-10 1353.75 -0.0074697236 0.00128390913 -0.0014671902 -0.0061858145
23-Jul-10 1358.25 0.0033185871 -0.0074697236 0.00128390913 0.0033185871
26-Jul-10 1191.05 -0.1313618354 0.00331858712 -0.0074697236 -0.1280432483
27-Jul-10 1207.9 0.0140480436 -0.1313618354 0.00331858712 0.0140480436
28-Jul-10 1202.5 -0.0044805916 0.01404804361 -0.1313618354 -0.0044805916
29-Jul-10 1197.55 -0.0041249199 -0.0044805916 0.01404804361 -0.0086055115
30-Jul-10 1198.15 0.0005008975 -0.0041249199 -0.0044805916 -0.0081046141
2-Aug-10 1208.4 0.00851847 0.00050089745 -0.0041249199 0.0004138559
3-Aug-10 1212.75 0.0035933376 0.00851846999 0.00050089745 0.0035933376
4-Aug-10 1213.6 0.0007006409 0.00359333761 0.00851846999 0.0007006409
5-Aug-10 1225.75 0.0099617525 0.00070064091 0.00359333761 0.0099617525
6-Aug-10 1221.2 -0.0037189197 0.0099617525 0.00070064091 -0.0037189197
9-Aug-10 1232.45 0.0091700763 -0.0037189197 0.0099617525 0.0054511566
10-Aug-10 1226.05 -0.0052064384 0.00917007628 -0.0037189197 -0.0052064384
11-Aug-10 1214.75 -0.0092593254 -0.0052064384 0.00917007628 -0.0144657639
12-Aug-10 1226.25 0.0094224376 -0.0092593254 -0.0052064384 -0.0050433263
13-Aug-10 1249.05 0.0184225305 0.00942243759 -0.0092593254 0.0133792042
16-Aug-10 1253.75 0.0037557979 0.01842253047 0.00942243759 0.0037557979
17-Aug-10 1253.15 -0.0004786789 0.00375579793 0.01842253047 -0.0004786789
18-Aug-10 1253.5 0.0002792572 -0.0004786789 0.00375579793 -0.0001994217
19-Aug-10 1251.55 -0.0015568555 0.00027925718 -0.0004786789 -0.0017562771
20-Aug-10 1239.35 -0.0097957345 -0.0015568555 0.00027925718 -0.0115520117
23-Aug-10 1243.6 0.0034233506 -0.0097957345 -0.0015568555 -0.0081286611
24-Aug-10 1234.1 -0.0076684397 0.00342335057 -0.0097957345 -0.0157971008
25-Aug-10 1220 -0.0114911007 -0.0076684397 0.00342335057 -0.0272882015
26-Aug-10 1226.85 0.0055990501 -0.0114911007 -0.0076684397 0.0055990501
27-Aug-10 1217.95 -0.0072807913 0.00559905012 -0.0114911007 -0.0016817412
30-Aug-10 1235.15 0.0140233027 -0.0072807913 0.00559905012 0.0140233027
31-Aug-10 1255.9 0.0166600268 0.01402330265 -0.0072807913 0.0306833295
1-Sep-10 1273.25 0.0137202397 0.01666002685 0.01402330265 0.0137202397
2-Sep-10 1276.05 0.0021966823 0.01372023974 0.01666002685 0.0021966823
3-Sep-10 1272.05 -0.0031395968 0.00219668233 0.01372023974 -0.0031395968
6-Sep-10 1303.2 0.024193006 -0.0031395968 0.00219668233 0.0210534092
7-Sep-10 1317.15 0.0106475332 0.02419300598 -0.0031395968 0.0106475332
8-Sep-10 1308.35 -0.0067035102 0.01064753319 0.02419300598 -0.0067035102
9-Sep-10 1314.8 0.0049177615 -0.0067035102 0.01064753319 -0.0017857487
13-Sep-10 1326.2 0.0086331471 0.00491776147 -0.0067035102 0.0068473985
14-Sep-10 1346.1 0.0148938127 0.00863314714 0.00491776147 0.0148938127
15-Sep-10 1369.6 0.0173072037 0.01489381272 0.00863314714 0.0173072037
16-Sep-10 1386.75 0.0124441535 0.01730720374 0.01489381272 0.0124441535
17-Sep-10 1387.05 0.0002163098 0.01244415355 0.01730720374 0.0002163098
20-Sep-10 1398.45 0.0081852907 0.00021630976 0.01244415355 0.0081852907
21-Sep-10 1412.75 0.0101736791 0.00818529072 0.00021630976 0.0101736791
22-Sep-10 1463.45 0.0352585024 0.0101736791 0.00818529072 0.0352585024
23-Sep-10 1459.45 -0.0027370095 0.03525850236 0.0101736791 -0.0027370095
24-Sep-10 1481.05 0.0146916433 -0.0027370095 0.03525850236 0.0119546338
27-Sep-10 1478.15 -0.0019599898 0.01469164327 -0.0027370095 -0.0019599898
28-Sep-10 1467.05 -0.0075377241 -0.0019599898 0.01469164327 -0.0094977139
29-Sep-10 1430.35 -0.0253344122 -0.0075377241 -0.0019599898 -0.0348321261
30-Sep-10 1440.95 0.0073834487 -0.0253344122 -0.0075377241 0.0073834487
1-Oct-10 1482.6 0.028494685 0.00738344872 -0.0253344122 0.0358781337
4-Oct-10 1480.45 -0.0014512076 0.02849468495 0.00738344872 -0.0014512076
5-Oct-10 1502.85 0.0150172098 -0.0014512076 0.02849468495 0.0135660022
6-Oct-10 1516.1 0.0087779427 0.01501720978 -0.0014512076 0.0087779427
7-Oct-10 1490.15 -0.0172644621 0.00877794271 0.01501720978 -0.0172644621
8-Oct-10 1497.3 0.0047867001 -0.0172644621 0.00877794271 -0.0124777619
11-Oct-10 1521.7 0.0161646448 0.00478670013 -0.0172644621 0.0036868828
12-Oct-10 1519.85 -0.0012164852 0.01616464478 0.00478670013 -0.0012164852
13-Oct-10 1554.45 0.0225101395 -0.0012164852 0.01616464478 0.0212936544
14-Oct-10 1553.55 -0.0005791506 0.02251013954 -0.0012164852 -0.0005791506
15-Oct-10 1508.5 -0.0294268551 -0.0005791506 0.02251013954 -0.0300060057
18-Oct-10 1490.45 -0.0120376918 -0.0294268551 -0.0005791506 -0.0120376918
19-Oct-10 1493.8 0.0022451212 -0.0120376918 -0.0294268551 0.0022451212
20-Oct-10 1489 -0.0032184552 0.00224512116 -0.0120376918 -0.0009733341
21-Oct-10 1513.5 0.0163200958 -0.0032184552 0.00224512116 0.0163200958
22-Oct-10 1502.95 -0.0069950061 0.01632009578 -0.0032184552 0.0093250897
25-Oct-10 1508.65 0.0037853678 -0.0069950061 0.01632009578 0.0131104575
26-Oct-10 1562.85 0.0352958663 0.00378536778 -0.0069950061 0.0484063238
27-Oct-10 1524.7 -0.0247134081 0.03529586634 0.00378536778 -0.0247134081
28-Oct-10 1522.85 -0.0012140902 -0.0247134081 0.03529586634 -0.0012140902
29-Oct-10 1551.2 0.0184452457 -0.0012140902 -0.0247134081 0.0184452457
1-Nov-10 1508.7 -0.0277804721 0.01844524571 -0.0012140902 -0.0093352264
2-Nov-10 1496.65 -0.0080190757 -0.0277804721 0.01844524571 -0.0080190757
3-Nov-10 1495.55 -0.000735245 -0.0080190757 -0.0277804721 -0.000735245
4-Nov-10 1506.55 0.0073282364 -0.000735245 -0.0080190757 0.0073282364
5-Nov-10 1513.6 0.0046686508 0.00732823639 -0.000735245 0.0119968872
 8-Nov-10 1488.45 -0.0167556093 0.00466865077 0.00732823639 -0.0047587221
9-Nov-10 1470.65 -0.0120308301 -0.0167556093 0.00466865077 -0.0120308301
10-Nov-10 1475.2 0.0030890939 -0.0120308301 -0.0167556093 0.0030890939
11-Nov-10 1470.7 -0.0030550959 0.00308909389 -0.0120308301 3.399799E-05
12-Nov-10 1455.15 -0.0106294898 -0.0030550959 0.00308909389 -0.0105954918
15-Nov-10 1437.85 -0.0119600458 -0.0106294898 -0.0030550959 -0.0119600458
16-Nov-10 1399.8 -0.026819573 -0.0119600458 -0.0106294898 -0.026819573
18-Nov-10 1429.1 0.0207155062 -0.026819573 -0.0119600458 0.0207155062
19-Nov-10 1406.2 -0.0161538447 0.02071550623 -0.026819573 -0.0161538447
22-Nov-10 1419.75 0.009589769 -0.0161538447 0.02071550623 -0.0065640757
23-Nov-10 1438.85 0.0133633836 0.00958976899 -0.0161538447 0.0067993079
24-Nov-10 1419.15 -0.0137860826 0.01336338364 0.00958976899 -0.0137860826
25-Nov-10 1380.85 -0.0273588493 -0.0137860826 0.01336338364 -0.0411449318
26-Nov-10 1364.85 -0.0116547191 -0.0273588493 -0.0137860826 -0.0390135683
29-Nov-10 1405.05 0.0290283569 -0.0116547191 -0.0273588493 0.0290283569
30-Nov-10 1423.75 0.0132213464 0.02902835685 -0.0116547191 0.0132213464
1-Dec-10 1412.8 -0.0077206849 0.01322134644 0.02902835685 -0.0077206849
2-Dec-10 1407.85 -0.0035098329 -0.0077206849 0.01322134644 -0.0112305178
3-Dec-10 1399.7 -0.00580579 -0.0035098329 -0.0077206849 -0.0170363078
6-Dec-10 1409.75 0.0071544558 -0.00580579 -0.0035098329 -0.0098818521
7-Dec-10 1432.4 0.0159389754 0.00715445576 -0.00580579 0.0060571234
8-Dec-10 1417.5 -0.0104566025 0.01593897544 0.00715445576 -0.0104566025
9-Dec-10 1392.15 -0.0180454419 -0.0104566025 0.01593897544 -0.0285020444
10-Dec-10 1411.65 0.0139099183 -0.0180454419 -0.0104566025 0.0139099183
13-Dec-10 1420.9 0.0065312407 0.01390991826 -0.0180454419 0.0204411589
14-Dec-10 1413.55 -0.0051862029 0.00653124067 0.01390991826 -0.0051862029
15-Dec-10 1394.05 -0.013891091 -0.0051862029 0.00653124067 -0.019077294
16-Dec-10 1381.7 -0.0088985546 -0.013891091 -0.0051862029 -0.0227896456
20-Dec-10 1414.45 0.0234261379 -0.0088985546 -0.013891091 0.0234261379
21-Dec-10 1428.95 0.0101991459 0.02342613787 -0.0088985546 0.0101991459
22-Dec-10 1398.75 -0.0213609282 0.01019914588 0.02342613787 -0.0213609282
23-Dec-10 1392.1 -0.0047655822 -0.0213609282 0.01019914588 -0.0047655822
24-Dec-10 1392.25 0.0001077451 -0.0047655822 -0.0213609282 0.0001077451
27-Dec-10 1394.6 0.0016864923 0.00010774508 -0.0047655822 0.0017942374
28-Dec-10 1397.9 0.0023634747 0.00168649232 0.00010774508 0.0041577121
29-Dec-10 1416.1 0.0129355038 0.00236347469 0.00168649232 0.0170932158
30-Dec-10 1416.95 0.00060006 0.01293550375 0.00236347469 0.0176932759
31-Dec-10 1420.6 0.0025726433 0.00060006002 0.01293550375 0.0202659192
3-Jan-11 1427.65 0.0049504183 0.00257264331 0.00060006002 0.0049504183
4-Jan-11 1429.25 0.0011200953 0.00495041826 0.00257264331 0.0011200953
5-Jan-11 1415.1 -0.0099496312 0.00112009533 0.00495041826 -0.0099496312
6-Jan-11 1372.85 -0.030311329 -0.0099496312 0.00112009533 -0.0402609602
7-Jan-11 1343.6 -0.0215362922 -0.030311329 -0.0099496312 -0.0215362922
10-Jan-11 1327.6 -0.0119797779 -0.0215362922 -0.030311329 -0.0119797779
Gain@2%
Gain@5%
Lag-1 Correlation 0.096563 RSQUARE 0.00932434308 G/L@2% -56.46
Lag-2 Correlation 0.1024 0.01048579585 G/L@5% 3.74
 5% Filter Call@2% Call@5% Gain/Loss Tn cost
Buy Buy 15.156 1530.756
-0.0355957263 Sell -53 14.626
-0.0415961901
-0.0561459323 Sell -82.75 14.3285
0.01482483595
0.00612282309
-0.0031105311
-0.0081188391
-0.0002470574
0.01224383378
0.00232697633
0.02815616925 Buy 14.5695
0.02199425368
0.01624571826
0.02009327669
-0.0341450177 Sell -88 13.6895
0.01237787814
0.01533166437
0.02178515013 Buy 13.991
0.00288126829
0.009560059
-0.0029262247 Sell -34.15 13.6495
-0.0043318717
0.00798831657
0.0059057817
-0.0035012106
-0.0146156305
0.01527995972
0.00044945504
0.01627562681
0.03413878923 Buy 13.81
0.02006483395
0.02636060878
0.03460935193
0.00164701516 Sell -44.15 13.3685
0.02515576736 Buy 13.6865
0.04855287032
0.09219590605 Buy 14.6355
0.0176762018
-0.0083250957
-0.0204472817 Sell 90.85 14.595
-0.0220587199
-0.0082235643
0.00685724618 Buy 14.999
-0.0135252846
-0.0226903182 Sell -33.65 14.6625
-0.0244992851
-0.0364935864
-0.0269620035
-0.0444078212
-0.0533692702 Sell -41.6 14.2195
0.00494572993
-0.0175231499
-0.0033694204
-0.014830627
0.01744828877
0.03656675287 Buy 14.2315
0.02650328629
0.03163595008
0.01350124571 Sell -32.45 13.907
0.01694680221
0.00312909584
0.02045193831
0.00805753488
0.00661051368
0
-0.003687414
-0.0095184563
-0.0022920528
-0.0146896982
0.01616904312
0.03237174362 Buy 13.7505
0.03498640901
0.02268900359
0.00281294138 Sell -40.05 13.35
-0.0368003582
-0.0094746617
0.01351899936
0.00682141582
0.00885100162
-0.0062347294
0.01383724268
0.01153124802
0.00961204958
0.02467040692 Buy 12.947
0.00580192262
0.00367451371 Sell -26.9 12.678
0.00886687845
-0.0041251893
-0.0129214719
0.00040256029
-0.0094258268
-0.0161439219
0.02585155787 Buy 12.4215
0.00851419025
-0.0070053552 Sell -40.15 12.02
-0.0022904747
0.02751052418 Buy 12.327
0.01969225811
0.03095231082
0.04878023728
0.06332609163 Buy 12.7765
0.01491579411
0.0260298573
-0.012739989
-0.0283458347 Sell 61.15 12.9385
-0.0218361725
0.01094621932 Buy 13.457
0.00795666911
-0.0002949309
-0.0092579538
0.00580713187
0.01064421525
-0.0203292535 Sell 5.5 13.512
-0.0026140958
-0.0069861653
0.02038616342 Buy 14.0735
-0.0165500267
-0.0073456328
-0.0080974991
-0.0131604374
0.01148037124
-0.0171453013
-0.0107700683
-0.0202586177 Sell -12.3 13.9505
-0.0224473127
-0.0290784456
-0.0141128879
-0.0003512839 Buy 14.231
-0.0104860883
-0.0098119589
-0.0209039641 Sell -28.95 13.9415
-0.0313590308
-0.0314315156
-0.0426573506
-0.0441245408
-0.0428406317
-0.0503103553 Sell 76.1 13.5375
0.00331858712
-0.1280432483 Buy 11.9105
0.01404804361
0.00956745198
0.00544253206
0.00594342952
0.01446189951
0.01805523712
0.01875587803
0.02871763053
0.02499871086
0.03416878714
0.0289623487
0.01970302328
0.02912546088
0.04754799135
0.05130378927 Buy 12.5375
-0.0004786789
-0.0001994217
-0.0017562771
-0.0115520117
-0.0081286611
-0.0157971008
-0.0272882015 Sell 28.95 12.2
-0.0216891514
-0.0289699428
-0.0149466401
0.00171338675 Buy 12.559
0.01372023974
0.00219668233
-0.0031395968
0.0210534092
0.01064753319
-0.0067035102
-0.0017857487
0.00684739846
0.01489381272
0.01730720374
0.01244415355
0.00021630976
0.00818529072
0.0101736791
0.03525850236
-0.0027370095
0.0119546338
-0.0019599898
-0.0094977139
-0.0348321261 Sell 174.45 14.3035
-0.0274486774
0.00104600755 Buy 14.826
-0.0014512076
0.01356600215
0.00877794271
-0.0172644621
-0.0124777619
0.00368688284
-0.0012164852
0.02129365437
-0.0005791506
-0.0300060057 Sell 25.9 15.085
-0.0420436975
-0.0397985764
-0.0430170316
-0.0266969358
-0.0336919419
-0.0299065741
0.00538929223 Buy 15.6285
-0.0247134081 Sell -38.15 15.247
-0.0259274983
-0.0074822526
-0.0352627247
-0.0432818004
-0.0440170454
-0.036688809
-0.0320201582
-0.0487757675
-0.0608065976 Sell 216.9 14.7065
0.00308909389
3.3997994E-05
-0.0105954918
-0.0119600458
-0.026819573 Buy 13.998
0.02071550623
0.00456166151
0.0141514305
0.02751481414
0.01372873156
-0.0136301177 Sell -18.95 13.8085
-0.0116547191
0.02902835685 Buy 14.0505
0.04224970329
0.03452901838
0.03101918548
0.02521339546
0.03236785122
0.04830682665
0.03785022413
0.01980478224 Sell -12.9 13.9215
0.0337147005
0.04024594117 Buy 14.209
0.03505973822
0.02116864721
0.01227009259 Sell -39.2 13.817
0.03569623047 Buy 14.1445
0.04589537634
0.02453444816 Sell -15.7 13.9875
0.01976886592
0.019876611
0.02156310332
0.02392657801
0.03686208176
0.03746214178
0.04003478509 Buy 14.206
0.04498520335
0.04610529867
0.03615566749
0.00584433851 Sell -47.75 13.7285
-0.0156919537
-0.0119797779 13.276 1340.876
-219.6 Tn Cost@2% 636.17 Net Gain@2% -855.77
168.65 Tn Cost @5% 111.8975 Net Gain@5% 56.7525
G/L % of Buy and Hold Strategy
-12.4043