| Position | Symbol | Contracts | Entry Date | Entry Price | Exit Date | Exit Price | % Change | Net Profit | Bars Held | Profit/Bar | Buy Signal | Sell Signal | Cum Profit | MAE % | MFE % |
| Short | ES02U | 1.00 | 6/5/02 14:30 | 1044.75 | 6/6/02 10:30 | 1044.75 | 0.00 | 0.00 | 6.00 | 0.00 | 0.00 | -0.74 | 0.07 | ||
| Short | ES02U | 1.00 | 6/6/02 10:30 | 1044.75 | 6/13/02 10:30 | 1018.25 | 2.54 | 1325.00 | 70.00 | 18.93 | 1325.00 | -0.93 | 3.95 | ||
| Short | ES02U | 1.00 | 6/13/02 10:30 | 1018.25 | 6/13/02 12:30 | 1022.75 | -0.44 | -225.00 | 4.00 | -56.25 | 1100.00 | -0.59 | 0.74 | ||
| Long | ES02U | 1.00 | 6/13/02 12:30 | 1022.75 | 6/19/02 10:30 | 1030.75 | 0.78 | 400.00 | 52.00 | 7.69 | 1500.00 | -4.28 | 2.22 | ||
| Short | ES02U | 1.00 | 6/19/02 10:30 | 1030.75 | 6/19/02 12:00 | 1038.25 | -0.73 | -375.00 | 3.00 | -125.00 | 1125.00 | -0.75 | 0.32 | ||
| Long | ES02U | 1.00 | 6/19/02 12:00 | 1038.25 | 6/19/02 13:30 | 1030.50 | -0.75 | -387.50 | 3.00 | -129.17 | 737.50 | -0.94 | 0.10 | ||
| Short | ES02U | 1.00 | 6/19/02 13:30 | 1030.50 | 6/21/02 16:00 | 986.70 | 4.25 | 2189.81 | 33.00 | 66.36 | Profit Target | 2927.31 | -0.15 | 4.25 | |
| Long | ES02U | 1.00 | 6/24/02 15:00 | 998.00 | 6/24/02 16:00 | 994.25 | -0.38 | -187.50 | 2.00 | -93.75 | 2739.81 | -0.38 | 0.75 | ||
| Short | ES02U | 1.00 | 6/24/02 16:00 | 994.25 | 6/25/02 13:30 | 996.25 | -0.20 | -100.00 | 9.00 | -11.11 | 2639.81 | -1.31 | 0.63 | ||
| Short | ES02U | 1.00 | 6/25/02 13:30 | 996.25 | 6/26/02 10:00 | 950.75 | 4.57 | 2275.00 | 7.00 | 325.00 | Profit Target | 4914.81 | -0.18 | 4.57 | |
| Long | ES02U | 1.00 | 6/27/02 10:30 | 981.00 | 7/1/02 10:30 | 993.25 | 1.25 | 612.50 | 28.00 | 21.88 | 5527.31 | -1.73 | 2.27 | ||
| Long | ES02U | 1.00 | 7/1/02 10:30 | 993.25 | 7/1/02 11:00 | 988.25 | -0.50 | -250.00 | 1.00 | -250.00 | 5277.31 | -0.76 | 0.23 | ||
| Short | ES02U | 1.00 | 7/1/02 11:00 | 988.25 | 7/2/02 13:30 | 946.25 | 4.25 | 2100.03 | 19.00 | 110.53 | Profit Target | 7377.34 | -0.33 | 4.25 | |
| Long | ES02U | 1.00 | 7/5/02 10:30 | 969.75 | 7/9/02 11:30 | 975.00 | 0.54 | 262.50 | 24.00 | 10.94 | 7639.84 | 0.00 | 2.50 | ||
| Long | ES02U | 1.00 | 7/9/02 11:30 | 975.00 | 7/9/02 12:30 | 970.75 | -0.44 | -212.50 | 2.00 | -106.25 | 7427.34 | -0.51 | 0.59 | ||
| Short | ES02U | 1.00 | 7/9/02 12:30 | 970.75 | 7/10/02 14:30 | 929.49 | 4.25 | 2062.84 | 18.00 | 114.60 | Profit Target | 9490.19 | -0.49 | 4.25 | |
| Long | ES02U | 1.00 | 7/12/02 11:30 | 932.75 | 7/12/02 14:00 | 928.00 | -0.51 | -237.50 | 5.00 | -47.50 | 9252.69 | -0.83 | 0.16 | ||
| Short | ES02U | 1.00 | 7/12/02 14:00 | 928.00 | 7/15/02 14:00 | 888.56 | 4.25 | 1972.00 | 14.00 | 140.86 | Profit Target | 11224.69 | -0.40 | 4.25 | |
| Short | ES02U | 1.00 | 7/16/02 10:30 | 908.00 | 7/16/02 12:30 | 915.75 | -0.85 | -387.50 | 4.00 | -96.88 | 10837.19 | -1.27 | 1.32 | ||
| Long | ES02U | 1.00 | 7/16/02 12:30 | 915.75 | 7/16/02 15:00 | 914.25 | -0.16 | -75.00 | 5.00 | -15.00 | 10762.19 | -0.82 | 0.46 | ||
| Long | ES02U | 1.00 | 7/16/02 15:00 | 914.25 | 7/16/02 16:00 | 901.25 | -1.42 | -650.00 | 2.00 | -325.00 | 10112.19 | -1.53 | 0.30 | ||
| Short | ES02U | 1.00 | 7/16/02 16:00 | 901.25 | 7/17/02 10:30 | 922.00 | -2.30 | -1037.50 | 3.00 | -345.83 | 9074.69 | -3.16 | 0.44 | ||
| Long | ES02U | 1.00 | 7/17/02 10:30 | 922.00 | 7/18/02 13:00 | 902.25 | -2.14 | -987.50 | 19.00 | -51.97 | 8087.19 | -3.04 | 0.41 | ||
| Short | ES02U | 1.00 | 7/18/02 13:00 | 902.25 | 7/19/02 10:00 | 863.90 | 4.25 | 1917.28 | 8.00 | 239.66 | Profit Target | 10004.47 | -0.22 | 4.25 | |
| Long | ES02U | 1.00 | 7/24/02 15:30 | 823.00 | 7/25/02 16:00 | 837.00 | 1.70 | 700.00 | 15.00 | 46.67 | 10704.47 | -1.28 | 3.86 | ||
| Long | ES02U | 1.00 | 7/25/02 16:00 | 837.00 | 7/29/02 10:00 | 872.57 | 4.25 | 1778.63 | 16.00 | 111.16 | Profit Target | 12483.10 | -0.30 | 4.25 | |
| Short | ES02U | 1.00 | 8/1/02 12:00 | 887.25 | 8/1/02 14:30 | 894.75 | -0.85 | -375.00 | 5.00 | -75.00 | 12108.10 | -1.04 | 0.20 | ||
| Long | ES02U | 1.00 | 8/1/02 14:30 | 894.75 | 8/1/02 15:00 | 889.75 | -0.56 | -250.00 | 1.00 | -250.00 | 11858.10 | -0.73 | 0.06 | ||
| Short | ES02U | 1.00 | 8/1/02 15:00 | 889.75 | 8/5/02 11:00 | 851.94 | 4.25 | 1890.72 | 20.00 | 94.54 | Profit Target | 13748.82 | -0.67 | 4.25 | |
| Long | ES02U | 1.00 | 8/6/02 11:00 | 865.00 | 8/6/02 16:15 | 860.00 | -0.58 | -250.00 | 11.00 | -22.73 | 13498.82 | -0.95 | 1.16 | ||
| Short | ES02U | 1.00 | 8/6/02 16:15 | 860.00 | 8/7/02 10:30 | 865.00 | -0.58 | -250.00 | 2.00 | -125.00 | 13248.82 | -2.38 | 0.15 | ||
| Long | ES02U | 1.00 | 8/7/02 10:30 | 865.00 | 8/7/02 12:00 | 859.25 | -0.66 | -287.50 | 3.00 | -95.83 | 12961.32 | -0.87 | 0.49 | ||
| Short | ES02U | 1.00 | 8/7/02 12:00 | 859.25 | 8/7/02 15:30 | 863.75 | -0.52 | -225.00 | 7.00 | -32.14 | 12736.32 | -0.81 | 0.67 | ||
| Long | ES02U | 1.00 | 8/7/02 15:30 | 863.75 | 8/8/02 15:00 | 900.46 | 4.25 | 1835.47 | 13.00 | 141.19 | Profit Target | 14571.78 | -0.20 | 4.25 | |
| Long | ES02U | 1.00 | 8/12/02 15:00 | 899.50 | 8/19/02 10:30 | 937.73 | 4.25 | 1911.44 | 61.00 | 31.34 | Profit Target | 16483.22 | -2.64 | 4.25 | |
| Long | ES02U | 1.00 | 8/20/02 14:30 | 938.75 | 8/21/02 11:00 | 935.50 | -0.35 | -162.50 | 7.00 | -23.21 | 16320.72 | -0.43 | 1.17 | ||
| Short | ES02U | 1.00 | 8/21/02 11:00 | 935.50 | 8/21/02 12:30 | 940.25 | -0.51 | -237.50 | 3.00 | -79.17 | 16083.22 | -0.51 | 0.48 | ||
| Long | ES02U | 1.00 | 8/21/02 12:30 | 940.25 | 8/21/02 16:15 | 949.50 | 0.98 | 462.50 | 8.00 | 57.81 | 16545.72 | -0.32 | 1.30 | ||
| Long | ES02U | 1.00 | 8/21/02 16:15 | 949.50 | 8/23/02 11:00 | 948.50 | -0.11 | -50.00 | 17.00 | -2.94 | 16495.72 | -0.37 | 1.74 | ||
| Short | ES02U | 1.00 | 8/23/02 11:00 | 948.50 | 8/26/02 16:00 | 950.50 | -0.21 | -100.00 | 24.00 | -4.17 | 16395.72 | -0.29 | 1.98 | ||
| Long | ES02U | 1.00 | 8/26/02 16:00 | 950.50 | 8/27/02 11:00 | 941.25 | -0.97 | -462.50 | 4.00 | -115.63 | 15933.22 | -1.32 | 0.63 | ||
| Short | ES02U | 1.00 | 8/27/02 11:00 | 941.25 | 8/27/02 12:00 | 948.25 | -0.74 | -350.00 | 2.00 | -175.00 | 15583.22 | -0.80 | 0.42 | ||
| Long | ES02U | 1.00 | 8/27/02 12:00 | 948.25 | 8/30/02 16:00 | 919.75 | -3.01 | -1425.00 | 50.00 | -28.50 | 14158.22 | -4.82 | 0.13 | ||
| Short | ES02U | 1.00 | 8/30/02 16:00 | 919.75 | 9/3/02 15:30 | 880.66 | 4.25 | 1954.47 | 13.00 | 150.34 | Profit Target | 16112.69 | -0.05 | 4.25 | |
| Long | ES02U | 1.00 | 9/6/02 10:30 | 892.50 | Open | Open | 0.22 | 100.00 | 13.00 | 7.69 | 16212.69 | 0.00 | 0.00 | ||