http://www.ingber.com/MISC.DIR/markets96_momenta_tbl.txt ftp://ftp.ingber.com/MISC.DIR/markets96_momenta_tbl.txt Tables for http://www.ingber.com/markets96_momenta.txt Canonical Momenta Indicators of Financial Markets and Neocortical EEG Lester Ingber Lester Ingber Research P.O. Box 857, McLean, Virginia 22101, U.S.A. ingber@ingber.com, ingber@alumni.caltech.edu Abstract--A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on out-of- sample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient. This methodology can be extended to other systems, e.g., electroencephalography. This approach to complex systems emphasizes the utility of blending an intuitive and powerful mathematical-physics formalism to generate indicators which are used by AI-type rule-based models of management. TABLE CAPTIONS Table 1. Results of SMFM Trading on 1990 SP500, after fitting to 1989 data. The first column gives the date of the trade. The second column gives the action taken: A 0 represents being without any position. A 1 represents being in a long position. A -1 represents being in a short position. The third column gives the current futures price, Mfutures. The fourth column gives the current cash price, Mcash. The fifth column gives the derived canonical momenta of the futures price, futures. The sixth column gives the derived canonical momenta of the cash price, cash. The seventh column gives the day-to-day change in profit or loss. The eighth column gives the accumulated profit or loss. Table 2. Results of SMFM Trading on 1989 SP500, after fitting to 1990 data. Description of data is the same as for Table 1. markets96_momenta_tbl.txt Table 1-1 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L -------------------------------------------------------------------------------------------- 900102 0 362.5 359.69 0 0 0 0 900103 0 361.7 358.76 0 0 0 0 900104 0 359.85 355.67 0 0 0 0 900105 0 354.6 352.2 0 0 0 0 900108 0 357.55 353.79 0 0 0 0 900109 0 352.2 349.62 0 0 0 0 900110 0 351.3 347.31 0 0 0 0 900111 0 351.85 348.53 0 0 0 0 900112 0 340.95 339.93 0 0 0 0 900115 0 339.2 337 0 0 0 0 900116 0 342.1 340.75 0 0 0 0 900117 0 338.75 337.4 73345 975.15 0 0 900118 0 340.85 338.19 57016 762.22 0 0 900119 0 342.2 339.15 47645 662.23 0 0 900122 -1 331.4 330.38 -38071 -623.33 -0 0 900123 -1 330.25 331.61 -85473 -866.87 0 0 900124 0 333.1 330.26 -31622 -1029 -920 -920 900125 -1 326.75 326.08 -76782 -1357 -0 -920 900126 0 326.8 325.8 -44984 -1014 -95 -1015 900129 0 326.7 325.2 -42062 -955.44 0 -1015 900130 0 325.2 322.98 23350 -283.21 0 -1015 900131 0 330.5 329.08 1.4054e+05 1145.8 0 -1015 900201 0 330.1 328.79 1.0219e+05 655.57 0 -1015 900202 0 332.5 330.92 1.0452e+05 710.7 0 -1015 900205 0 333.4 331.85 91188 603.44 0 -1015 900206 1 330.25 329.66 49626 807.25 -0 -1015 900207 1 335.8 333.75 1.7267e+05 1816.8 0 -1015 900208 1 335.3 332.96 1.5052e+05 1586.8 0 -1015 900209 1 334.4 333.62 1.3641e+05 1510.5 0 -1015 900212 1 330.75 330.08 1.1662e+05 1270.8 0 -1015 900213 1 332.65 331.02 58628 437.98 0 -1015 900214 1 333.3 332.01 60135 582.76 0 -1015 900215 1 336.15 334.9 74909 728.99 0 -1015 900216 1 333.2 332.72 46947 456.7 0 -1015 900220 1 328.75 327.99 37973 341.42 0 -1015 900221 0 329.3 327.67 -61635 -530.38 -545 -1560 900222 0 326.75 325.7 -84654 -660.77 0 -1560 900223 0 325.5 324.15 -72360 -569.77 0 -1560 900226 0 329.85 328.67 -46518 -286.05 0 -1560 900227 -1 331.35 330.26 -42534 -303.65 -0 -1560 900228 0 332.95 331.89 -20564 -58.926 -870 -2430 900301 -1 337.65 332.74 -12996 -137.53 -0 -2430 900302 -1 339.75 335.54 -22238 -146.58 0 -2430 900305 -1 338.45 333.74 -32058 -294.69 0 -2430 900306 -1 343.2 337.93 -23279 -210.98 0 -2430 900307 -1 340.9 336.95 -91611 -933.19 0 -2430 900308 -1 344.5 340.27 -62665 -656.32 0 -2430 900309 -1 342.05 337.93 -79561 -842.32 0 -2430 900312 -1 342.65 338.67 -62852 -654.24 0 -2430 900313 -1 339.55 336 -80913 -838.79 0 -2430 900314 0 341.35 336.87 -7459 -63.911 -1920 -4350 900315 -1 342.2 338.07 -19340 -153.3 -0 -4350 900316 0 345.25 341.91 -9474 -18.012 -1595 -5945 900319 0 347.6 343.53 -11267 -80.345 0 -5945 900320 0 345.6 341.57 65989 583.72 0 -5945 markets96_momenta_tbl.txt Table 1-2 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L -------------------------------------------------------------------------------------------- 900321 0 342.2 339.74 35580 487.04 0 -5945 900322 0 339.1 335.69 41877 477.58 0 -5945 900323 0 340.8 337.22 56501 649.04 0 -5945 900326 0 341.75 337.63 49560 553.57 0 -5945 900327 1 345.55 341.5 1228 162.89 -0 -5945 900328 0 345.9 342 -42262 -330.47 105 -5840 900329 0 343.9 340.79 -45691 -328.99 0 -5840 900330 0 341.45 339.94 -43369 -263.95 0 -5840 900402 0 341.9 338.7 -29591 -217.59 0 -5840 900403 -1 347.35 343.64 -11179 -234.91 -0 -5840 900404 -1 343.2 341.09 -1.4332e+05 -1405.3 0 -5840 900405 -1 344.25 340.73 -1.2533e+05 -1298.1 0 -5840 900406 -1 343.7 340.08 -1.2073e+05 -1237.6 0 -5840 900409 -1 344.4 341.37 -1.0714e+05 -1068.2 0 -5840 900410 -1 344.3 342.07 -86761 -806.83 0 -5840 900411 -1 345.2 341.92 -75245 -846.45 0 -5840 900412 -1 348.1 344.34 -73813 -805.1 0 -5840 900416 -1 346.85 344.74 -82804 -831.63 0 -5840 900417 -1 347.2 344.68 -75295 -729.86 0 -5840 900418 -1 342.9 340.72 -69411 -735.71 0 -5840 900419 -1 339.6 338.09 -65583 -676.51 0 -5840 900420 -1 336.4 335.12 -59798 -615.64 0 -5840 900423 -1 332.65 331.05 -57229 -605.12 0 -5840 900424 -1 332.45 330.36 -75164 -632.19 0 -5840 900425 -1 334.25 332.03 -43754 -368.26 0 -5840 900426 -1 335.3 332.92 -42838 -372.32 0 -5840 900427 -1 328.85 329.11 -65692 -530.49 0 -5840 900430 -1 332.1 330.8 -28106 -226.19 0 -5840 900501 0 333.65 332.25 37333 402.46 6780 940 900502 0 336.95 334.48 57351 477.6 0 940 900503 0 337.15 335.57 39551 350.39 0 940 900504 0 339.9 338.39 45917 420.7 0 940 900507 0 342.5 340.53 41790 365.28 0 940 900508 1 345.1 342.01 24729 115.88 -0 940 900509 0 344.95 342.86 -17883 -140.76 -145 795 900510 0 345.05 343.82 -13311 -55.553 0 795 900511 1 354.25 352 21545 271.94 -0 795 900514 0 356.9 354.75 -1842.9 22.102 1255 2050 900515 0 356.5 354.28 -28054 -121.83 0 2050 900516 0 355.35 354 -34092 -94.683 0 2050 900517 0 355.95 354.47 -26849 -14.126 0 2050 900518 0 355.6 354.64 -27995 -26.115 0 2050 900521 0 359 358 -13280 108.17 0 2050 900522 0 360.8 358.43 16098 263.09 0 2050 900523 0 360.75 359.29 -18577 93.558 0 2050 900524 0 359.85 358.41 -17793 87.551 0 2050 900525 0 355.35 354.58 -29059 -34.292 0 2050 900529 0 362.6 360.65 12675 352.33 0 2050 900530 1 363 360.86 17156 296.91 -0 2050 900531 0 361.75 361.23 -24149 152.52 -695 1355 900601 1 368.5 363.16 6413 244.2 -0 1355 900604 0 373.75 367.4 -126.49 197.92 2555 3910 900605 1 372.85 366.64 14363 191.64 -0 3910 900606 0 371 364.96 -25999 -189.54 -995 2915 900607 0 368.95 363.15 -19955 -95.596 0 2915 markets96_momenta_tbl.txt Table 1-3 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L -------------------------------------------------------------------------------------------- 900608 0 364.45 358.71 -26766 -183.74 0 2915 900611 1 367.8 361.63 934.53 100.82 -0 2915 900612 1 371.6 366.25 1232.3 106 0 2915 900613 -1 370.4 364.9 -52155 -642.85 1300 4215 900614 -1 368.5 362.9 -47068 -579.19 0 4215 900615 -1 367.95 362.91 -38472 -453.53 0 4215 900618 -1 361.9 356.88 -52450 -621.98 0 4215 900619 -1 363.6 358.47 -41623 -525.05 0 4215 900620 -1 364.4 359.1 -72690 -865.34 0 4215 900621 -1 366.9 360.47 -66704 -851.29 0 4215 900622 -1 360.15 355.43 -93179 -1058.3 0 4215 900625 -1 357.6 352.31 -71962 -868.58 0 4215 900626 -1 355.95 352.06 -29192 -319.07 0 4215 900627 0 359.45 355.14 50840 430.9 5405 9620 900628 0 362.15 357.63 37524 285.34 0 9620 900629 0 362.35 358.02 25655 175.38 0 9620 900702 0 364.4 359.54 29741 209.79 0 9620 900703 0 364 360.16 42241 348.47 0 9620 900705 0 359.8 355.68 11467 -72.24 0 9620 900706 0 362.25 358.42 23357 50.921 0 9620 900709 0 363.1 359.52 9601.6 -58.869 0 9620 900710 -1 360.5 356.49 -54788 -683.3 -0 9620 900711 1 365.4 361.23 37994 372.38 -2450 7170 900712 1 369.45 365.44 37764 371.27 0 7170 900713 1 370.9 367.31 25770 255.41 0 7170 900716 1 372.3 368.95 23744 239.3 0 7170 900717 0 370.4 367.52 66710 815.21 2430 9600 900718 0 367.15 364.22 50726 591.66 0 9600 900719 1 368.45 365.32 72066 828.44 -0 9600 900720 0 364.8 361.61 49057 569.97 -1895 7705 900723 0 357.8 355.31 34235 430.24 0 7705 900724 0 357.65 355.79 -37577 -356.62 0 7705 900725 0 359.65 357.09 1025.7 -75.224 0 7705 900726 0 358.25 355.91 -8010.8 -166.08 0 7705 900727 0 355.5 353.44 -12141 -196.39 0 7705 900730 0 358.25 355.55 7161.7 -3.1838 0 7705 900731 0 358.6 356.15 20529 152.68 0 7705 900801 0 357.45 355.52 17762 153.45 0 7705 900802 0 353.9 351.48 -596.96 -96.573 0 7705 900803 -1 346.65 344.86 -14189 -206.29 -0 7705 900806 -1 334.4 334.43 -31033 -325.36 0 7705 900807 -1 337.2 334.83 -41139 -332.72 0 7705 900808 0 339.55 338.35 -51942 -145.6 3480 11185 900809 0 341.4 339.94 -50406 -160.32 0 11185 900810 -1 337.3 335.52 -68230 -402.44 -0 11185 900813 0 339.8 338.84 -39732 -75.759 -1320 9865 900814 0 340.75 339.39 -31888 27.16 0 9865 900815 0 341.65 340.06 12478 435.43 0 9865 900816 -1 331.75 332.39 -53599 -167.45 -0 9865 900817 0 328.65 327.83 -22797 35.105 1480 11345 900820 0 329.7 328.51 -6190.6 205.65 0 11345 900821 0 323.5 321.86 -9298.8 -105.78 0 11345 900822 0 317.2 316.55 -14020 14.778 0 11345 900823 0 306.25 307.06 -32662 -148.08 0 11345 900824 1 313 311.51 46215 549.92 -0 11345 markets96_momenta_tbl.txt Table 1-4 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L -------------------------------------------------------------------------------------------- 900827 1 322.8 321.44 52884 672.52 0 11345 900828 1 322.65 321.34 49129 650.94 0 11345 900829 1 323.85 324.19 64059 1062.9 0 11345 900830 1 318.55 318.71 47172 842.97 0 11345 900831 1 322.55 322.56 81100 1185.1 0 11345 900904 1 327.95 323.09 79641 955.96 0 11345 900905 1 328.55 324.39 90929 851.23 0 11345 900906 0 324.4 320.46 -44681 -658.94 5630 16975 900907 0 327.4 323.4 -15694 -292.87 0 16975 900910 0 325.1 321.63 -33304 -460.09 0 16975 900911 0 325.4 321.04 -53061 -945.48 0 16975 900912 -1 325.7 322.54 -73405 -661.28 -0 16975 900913 -1 321.9 318.65 -84054 -740.97 0 16975 900914 -1 319.45 316.83 -71788 -589.96 0 16975 900917 -1 321.1 317.77 -50886 -412.36 0 16975 900918 -1 321.6 318.6 -48683 -399.72 0 16975 900919 0 318.7 316.6 -35224 -96.732 3430 20405 900920 -1 314.4 311.48 -45570 -257.46 -0 20405 900921 0 314.6 311.32 -23439 -34.371 -170 20235 900924 -1 307.3 304.59 -49604 -316.21 -0 20235 900925 -1 311.3 308.26 -40579 -406.62 0 20235 900926 -1 308.3 305.06 -1.3991e+05 -1499.3 0 20235 900927 -1 302.7 300.97 -1.4993e+05 -1530.1 0 20235 900928 -1 306.75 306.05 -95856 -923.5 0 20235 901001 -1 318.25 314.94 -60625 -662.93 0 20235 901002 -1 318.35 315.21 -44247 -633.68 0 20235 901003 -1 313.7 311.4 -87182 -971.52 0 20235 901004 -1 315.3 312.69 -76118 -884.99 0 20235 901005 -1 314.85 311.5 -78022 -930.47 0 20235 901008 -1 317.4 313.48 -60881 -743.56 0 20235 901009 0 305.75 305.1 -417.82 -6.1759 705 20940 901010 0 302.2 300.4 46800 143.18 0 20940 901011 0 297.35 295.46 57105 315.25 0 20940 901012 1 301.7 300.03 92380 744.53 -0 20940 901015 0 306 303.23 85465 633.85 2080 23020 901016 1 301.25 298.92 1.4845e+05 1166.1 -0 23020 901017 1 300.6 298.76 1.7368e+05 1566.1 0 23020 901018 1 308.15 305.74 2.3248e+05 2140.5 0 23020 901019 1 313.05 312.47 2.0177e+05 1929.5 0 23020 901022 1 315.5 314.76 1.7745e+05 1643.8 0 23020 901023 1 313.8 312.36 89836 1019.4 0 23020 901024 1 315.45 312.6 97354 969.05 0 23020 901025 1 311.4 310.17 85822 955.34 0 23020 901026 1 306.25 304.71 74359 784.32 0 23020 901029 1 304 301.88 79666 826.89 0 23020 901030 1 306.2 304.06 43760 358.75 0 23020 901031 0 306.8 304 6663.1 -169.35 2705 25725 901101 0 308.45 307.02 16862 47.976 0 25725 901102 1 313.2 311.85 28541 169.62 -0 25725 901105 0 315.4 314.59 16798 71.048 1030 26755 901106 0 311.8 311.62 -32734 -321.26 0 26755 901107 -1 307.25 306.01 -28376 -501.74 -0 26755 901108 0 309.8 307.61 -2836.5 -239.07 -1345 25410 901109 0 315.55 313.74 10068 -36.808 0 25410 901112 0 320.5 319.48 6155.6 -41.69 0 25410 markets96_momenta_tbl.txt Table 1-5 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L -------------------------------------------------------------------------------------------- 901113 0 319.15 317.66 19907 193.09 0 25410 901114 1 321.7 320.4 63231 649.42 -0 25410 901115 1 318.05 317.02 44585 436.13 0 25410 901116 1 319.3 317.12 60703 564.43 0 25410 901119 1 321.15 319.34 58154 580.09 0 25410 901120 1 316.8 315.31 72733 932.35 0 25410 901121 1 317.85 316.03 1.0254e+05 1143.5 0 25410 901123 1 315.5 315.1 96737 1149.3 0 25410 901126 1 318.2 316.51 98866 1149.3 0 25410 901127 1 319.65 318.1 53453 552.58 0 25410 901128 1 319.25 317.95 31898 356.56 0 25410 901129 1 316.75 316.42 31806 386.04 0 25410 901130 1 324.05 322.22 69238 713.26 0 25410 901203 1 327.15 324.1 48295 458.6 0 25410 901204 0 330.95 326.35 -14036 -219.31 4555 29965 901205 0 334.5 329.92 -14237 -167.13 0 29965 901206 0 333.25 329.07 -31415 -315.06 0 29965 901207 0 330.9 327.75 -31734 -296.4 0 29965 901210 0 332.25 328.89 -16398 -147.44 0 29965 901211 0 331.15 326.44 913.17 -0.51589 0 29965 901212 1 334.1 330.19 34284 666.76 -0 29965 901213 1 332.5 329.34 15704 507.26 0 29965 901214 1 329.65 326.82 9725.8 415.27 0 29965 901217 1 329.15 326.02 17472 461.62 0 29965 901218 1 333.1 330.05 31679 562.54 0 29965 901219 0 331.9 330.2 -23683 93.393 -1170 28795 901220 0 332.85 330.12 -11271 185.47 0 28795 901221 0 334.75 331.75 -6933.4 217.32 0 28795 901224 0 331.2 329.9 -25423 58.616 0 28795 901226 0 333.75 330.85 -71847 -600.28 0 28795 901227 -1 330.8 328.29 -92822 -833.55 -0 28795 901228 0 331.65 328.72 -61397 -545.31 -495 28300 markets96_momenta_tbl.txt Table 2-1 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L ------------------------------------------------------------------------------------------ 890103 0 277.65 275.31 0 0 0 0 890104 0 282.9 279.43 0 0 0 0 890105 0 283 280 0 0 0 0 890106 0 283.4 280.67 0 0 0 0 890109 0 283.7 280.98 0 0 0 0 890110 0 283.2 280.38 0 0 0 0 890111 0 284.4 282.01 0 0 0 0 890112 0 285.25 283.17 0 0 0 0 890113 0 286.3 283.87 0 0 0 0 890116 0 286.7 284.14 0 0 0 0 890117 0 286.1 283.55 0 0 0 0 890118 0 288.7 286.52 -93803 -995.47 0 0 890119 0 289.25 286.91 -70222 -898.86 0 0 890120 0 288.75 286.62 -13682 -397.48 0 0 890123 1 286.85 284.53 32648 424.47 -0 0 890124 1 290.3 288.49 46720 586.45 0 0 890125 0 291.6 289.15 -58296 -794.53 2305 2305 890126 0 294 291.68 -38341 -529.72 0 2305 890127 0 296.3 293.81 -32104 -496.97 0 2305 890130 0 296.7 294.98 -35117 -451.87 0 2305 890131 0 298.75 297.48 -43281 -523.67 0 2305 890201 -1 299 297.09 -35586 -432.66 -0 2305 890202 -1 298.3 296.84 -48641 -552.95 0 2305 890203 -1 298.6 296.97 -41439 -485.3 0 2305 890206 -1 297.65 296.04 -37236 -491.94 0 2305 890207 -1 301.4 299.64 -31010 -451.49 0 2305 890208 -1 300.65 298.65 -81315 -860.53 0 2305 890209 -1 298.9 296.06 -81587 -962.08 0 2305 890210 -1 294 292.02 -1.0862e+05 -1147.7 0 2305 890213 -1 294.7 292.55 -63620 -709.78 0 2305 890214 -1 293.4 291.81 -77792 -850.78 0 2305 890215 0 296.15 294.23 85584 816.62 1355 3660 890216 0 296.25 294.81 75330 796.97 0 3660 890217 0 297.8 296.76 1.0545e+05 1051.8 0 3660 890221 0 297.6 295.98 57420 526.62 0 3660 890222 0 292.1 290.91 53111 463.84 0 3660 890223 1 293.2 292.05 1.6597e+05 1705.9 -0 3660 890224 1 287.65 287.13 1.1383e+05 1176.2 0 3660 890227 1 289 287.82 1.7151e+05 1774.1 0 3660 890228 1 289.65 288.86 1.7853e+05 1851.9 0 3660 890301 1 291.85 287.11 1.466e+05 931.49 0 3660 890302 0 294.55 289.95 34751 -367.78 605 4265 890303 0 295.65 291.18 67233 -56.76 0 4265 890306 0 298.9 294.81 34162 -316.25 0 4265 890307 0 298.65 293.87 29285 -379.09 0 4265 890308 1 298.9 294.08 6689.1 297.2 -0 4265 890309 0 298.4 293.94 1020.7 124.53 -320 3945 890310 1 297.65 292.88 9703.9 180.67 -0 3945 890313 1 299.6 295.32 13119 238.12 0 3945 890314 1 299 295.12 14744 285.46 0 3945 890315 0 301.4 296.66 64057 549.48 1805 5750 890316 1 303.85 299.44 68491 622.14 -0 5750 890317 0 295.45 292.7 3390.5 52.57 -4270 1480 890320 0 293.35 289.92 28136 169.07 0 1480 890321 1 294.85 291.33 40757 273.19 -0 1480 markets96_momenta_tbl.txt Table 2-2 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L ------------------------------------------------------------------------------------------ 890322 0 294.4 290.49 -54582 -612.45 -295 1185 890323 0 292.55 288.98 -63516 -724.32 0 1185 890327 0 294.2 290.57 26052 126.16 0 1185 890328 0 295.3 291.59 -16724 -231.11 0 1185 890329 0 296.65 292.35 19366 92.755 0 1185 890330 0 296.05 292.52 15950 91.415 0 1185 890331 0 297.85 294.87 8681.5 42.783 0 1185 890403 0 299.5 296.39 8828.9 22.184 0 1185 890404 0 299.65 295.31 4967.9 -33.74 0 1185 890405 0 299.6 296.24 -5572.3 295.56 0 1185 890406 0 298.55 295.29 818.88 276.78 0 1185 890407 0 300.9 297.16 6810.6 290.53 0 1185 890410 0 300.25 297.11 -11339 173.2 0 1185 890411 0 301.95 298.49 -3136 295.3 0 1185 890412 0 302 298.99 -28921 -175.26 0 1185 890413 0 299.35 296.4 -39835 -279.23 0 1185 890414 0 304.1 301.36 -14029 47.035 0 1185 890417 0 304.5 301.72 -21757 -96.641 0 1185 890418 0 308.4 306.02 -19716 -68.733 0 1185 890419 -1 309.9 307.15 -31880 -419.29 -0 1185 890420 -1 309.9 306.19 -24451 -382.44 0 1185 890421 0 311.75 309.61 -60917 -656.7 -995 190 890424 -1 311.4 308.69 -47156 -577.12 -0 190 890425 -1 309.05 306.75 -58587 -710.07 0 190 890426 0 308.85 306.93 25223 330.82 1205 1395 890427 0 311.55 309.58 52605 661.59 0 1395 890428 0 311.55 309.64 25405 242.09 0 1395 890501 0 311.55 309.12 38043 420.5 0 1395 890502 0 309.4 308.12 37774 434.72 0 1395 890503 0 310 308.16 49858 311.94 0 1395 890504 0 310 307.77 27988 81.506 0 1395 890505 0 308.25 307.61 33420 249.44 0 1395 890508 0 308.45 306 46131 256.03 0 1395 890509 1 307.1 305.19 47772 228.82 -0 1395 890510 1 307.65 305.81 30421 232.64 0 1395 890511 1 309.05 306.95 39975 321.69 0 1395 890512 1 316 313.84 84415 688.43 0 1395 890515 1 318.5 316.16 45231 425.19 0 1395 890516 1 317.3 315.28 41867 410.53 0 1395 890517 1 319.15 317.48 60750 691.68 0 1395 890518 1 320.25 317.97 51544 560.62 0 1395 890519 1 322.95 321.24 27134 346.91 0 1395 890522 1 323.6 321.98 41775 504.27 0 1395 890523 1 320.1 318.32 41109 490.55 0 1395 890524 1 320.4 319.14 53447 700.13 0 1395 890525 1 320.85 319.17 58861 765.12 0 1395 890526 1 322.6 321.59 57210 747.93 0 1395 890530 1 319.85 319.05 42912 601.24 0 1395 890531 1 321.45 320.52 57545 761.85 0 1395 890601 0 326.8 321.97 75371 -80.617 9780 11175 890602 0 331.05 325.52 59957 -240.88 0 11175 890605 0 327.5 322.03 41867 -415.3 0 11175 890606 0 329.25 324.24 45640 -366.62 0 11175 890607 0 332.1 326.95 45543 -146.83 0 11175 890608 0 332.45 326.75 -36242 -373.92 0 11175 markets96_momenta_tbl.txt Table 2-3 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L ------------------------------------------------------------------------------------------ 890609 0 332.2 326.69 -31647 -361.13 0 11175 890612 0 331.25 326.25 8466.7 78.472 0 11175 890613 0 328.6 323.91 -5282.3 -62.455 0 11175 890614 0 328.45 323.83 19407 248.94 0 11175 890615 0 324.25 320.08 10571 204.57 0 11175 890616 0 325.95 321.35 49187 555.72 0 11175 890619 0 326.4 321.89 45767 509.49 0 11175 890620 0 325.75 321.25 46646 508.38 0 11175 890621 0 324.9 320.48 -1038.4 24.272 0 11175 890622 1 327.45 322.32 42217 419.27 -0 11175 890623 1 332 328 18145 291.71 0 11175 890626 0 331.35 326.6 -3372.4 -26.949 1880 13055 890627 0 333.05 328.44 3198 30.913 0 13055 890628 0 329.4 325.81 -83620 -743.87 0 13055 890629 -1 323 319.68 -1.1958e+05 -1095.3 -0 13055 890630 0 321.2 317.98 -1.032e+05 -1013.9 830 13885 890703 0 321.95 319.23 -59263 -440.31 0 13885 890705 -1 324.35 320.64 -60131 -453.55 -0 13885 890706 0 324.35 321.55 8267.2 180.99 -70 13815 890707 0 328.65 324.91 47872 451.84 0 13815 890710 0 330.5 327.07 18250 148.17 0 13815 890711 0 331.55 328.78 13424 127.94 0 13815 890712 0 333.45 329.81 50688 246.2 0 13815 890713 0 333.15 329.95 33040 140.98 0 13815 890714 0 335.45 331.84 1694.3 -97.097 0 13815 890717 0 335.6 332.44 3990.3 -79.518 0 13815 890718 0 334.55 331.35 3178 -99.684 0 13815 890719 1 338.25 335.73 69220 949.34 -0 13815 890720 1 336.35 333.51 51477 673.78 0 13815 890721 1 337.95 335.9 56241 818.79 0 13815 890724 1 336.4 333.67 51152 667.81 0 13815 890725 1 336.2 333.88 55587 707.03 0 13815 890726 1 340.6 338.05 52701 471.55 0 13815 890727 1 344.65 341.99 81185 811.06 0 13815 890728 1 344.3 342.15 37519 317.37 0 13815 890731 1 348.3 346.08 78928 803.95 0 13815 890801 1 344.45 343.75 62642 659.46 0 13815 890802 1 347.15 344.34 95597 583.48 0 13815 890803 1 347.3 344.74 83512 517.05 0 13815 890804 1 346.25 343.92 1.0098e+05 679.27 0 13815 890807 1 351.8 349.41 1.1321e+05 818.61 0 13815 890808 1 351.25 349.35 1.1644e+05 834.11 0 13815 890809 0 348.25 346.94 -34338 -210.92 4930 18745 890810 0 349.8 348.25 5427.2 120.31 0 18745 890811 0 346.2 344.74 -15852 -104.67 0 18745 890814 0 345.5 343.06 -36233 -375.69 0 18745 890815 0 347.6 344.71 -20645 -240.83 0 18745 890816 0 347 345.66 -25630 -59.17 0 18745 890817 0 346.55 344.45 -49581 -367.82 0 18745 890818 0 347.7 346.03 -13324 55.135 0 18745 890821 0 341.1 340.67 -71166 -441.47 0 18745 890822 -1 343.15 341.19 -59056 -304.69 -0 18745 890823 0 346.4 344.7 2978.8 223.73 -1695 17050 890824 0 352.9 351.52 18905 490.37 0 17050 890825 0 352.4 350.52 -26339 -73.263 0 17050 markets96_momenta_tbl.txt Table 2-4 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L ------------------------------------------------------------------------------------------ 890828 0 353.2 352.09 22381 443.38 0 17050 890829 0 350.4 349.84 -841.31 233.86 0 17050 890830 1 351.8 350.65 50861 474.11 -0 17050 890831 1 351.8 351.45 25301 252.99 0 17050 890901 1 358.45 353.73 98065 794.91 0 17050 890905 0 358 352.56 53566 309.46 3030 20080 890906 1 354.35 349.24 55325 295.71 -0 20080 890907 1 352.85 348.35 40120 329.98 0 20080 890908 1 353.05 348.76 13820 313.53 0 20080 890911 1 353.35 347.66 52750 589.07 0 20080 890912 1 353.8 348.7 56624 636.37 0 20080 890913 0 349.4 345.46 -14217 -20.574 -2545 17535 890914 0 348.3 343.16 -48527 -550.28 0 17535 890915 0 349.65 345.06 -44985 -444.22 0 17535 890918 0 351.95 346.73 -40305 -357.3 0 17535 890919 0 351.35 346.55 -43906 -404.83 0 17535 890920 0 352.1 346.47 53998 333.66 0 17535 890921 0 350.4 345.7 22524 166.57 0 17535 890922 0 351.6 347.05 25624 121.31 0 17535 890925 0 348.95 344.23 -268.17 -121.47 0 17535 890926 0 350.25 344.33 12268 -13.318 0 17535 890927 0 349.8 345.1 -40012 -93.015 0 17535 890928 0 352.5 348.6 -9004.6 182.93 0 17535 890929 0 352.6 349.15 -38702 -114.66 0 17535 891002 0 355 350.87 -5611.8 205.04 0 17535 891003 0 359.4 354.71 -9516.1 171.06 0 17535 891004 0 361.3 356.94 -19793 -145.19 0 17535 891005 0 361.5 356.97 -46202 -461.17 0 17535 891006 0 362.45 358.78 -28772 -227.38 0 17535 891009 0 363.85 359.8 -38651 -324.9 0 17535 891010 0 363.45 359.13 -45133 -385.62 0 17535 891011 -1 359.8 356.99 -56407 -332.99 -0 17535 891012 -1 358.85 355.39 -32806 -137.85 0 17535 891013 -1 328.85 333.65 -1.9114e+05 -1414.3 0 17535 891016 1 344.5 342.86 1.0464e+05 967.81 7650 25185 891017 1 344 341.16 78319 558.33 0 25185 891018 1 344.65 341.76 1.4725e+05 1111.5 0 25185 891019 1 349.6 347.13 1.5592e+05 1307.2 0 25185 891020 1 350.45 347.16 2.8859e+05 2199.4 0 25185 891023 0 347.95 344.83 -29211 -337.61 1655 26840 891024 1 346.5 343.7 3342.1 145.69 -0 26840 891025 0 344.65 342.5 -20702 -106.15 -995 25845 891026 0 339.55 337.93 -62104 -562.39 0 25845 891027 0 337.2 335.06 -24728 -152.56 0 25845 891030 1 337.2 335.07 6703.9 170.14 -0 25845 891031 1 343.15 340.36 15897 247.75 0 25845 891101 -1 343.3 341.2 -69767 -628.23 3050 28895 891102 -1 339.5 338.48 -76550 -635.63 0 28895 891103 -1 339.4 337.62 -70848 -603.29 0 28895 891106 -1 333.4 332.61 -1.1718e+05 -1037.5 0 28895 891107 -1 336.3 334.81 -1.1112e+05 -956.94 0 28895 891108 0 339.95 338.15 -4732.5 18.263 1605 30500 891109 0 338.1 336.57 -13495 -99.608 0 30500 891110 0 341.65 339.1 -4150.8 6.872 0 30500 891113 0 342.15 339.55 12132 124.73 0 30500 markets96_momenta_tbl.txt Table 2-5 Lester Ingber Date Action Mfutures Mcash futures cash Profit/Loss Acc P/L ------------------------------------------------------------------------------------------ 891114 0 339.8 337.99 -10685 -104.06 0 30500 891115 0 342.5 340.54 64298 608.15 0 30500 891116 0 341.8 340.58 75931 756.76 0 30500 891117 0 342.85 341.61 55210 584.56 0 30500 891120 0 341.1 339.35 56982 551.66 0 30500 891121 1 341.55 339.59 66314 623.43 -0 30500 891122 0 342.55 341.91 -10967 137.55 430 30930 891124 1 345.25 343.97 17555 324.72 -0 30930 891127 1 346.7 345.61 3869.3 201.37 0 30930 891128 1 346.55 345.77 9713.4 322.82 0 30930 891129 0 345.15 343.6 -19343 -398.45 -120 30810 891130 0 347.5 345.99 -8749.2 -190.68 0 30810 891201 0 355.9 350.63 27402 -23.538 0 30810 891204 0 356.55 351.41 -12133 -330.14 0 30810 891205 0 354.8 349.58 -12494 -382.11 0 30810 891206 0 353.8 348.55 19642 118.68 0 30810 891207 0 353.3 347.59 1790.9 -120.8 0 30810 891208 0 353.55 348.69 -26813 -148.59 0 30810 891211 0 353.75 348.56 14727 168.75 0 30810 891212 0 356.9 351.73 24221 265.21 0 30810 891213 -1 357.95 352.75 -20863 -223.88 -0 30810 891214 -1 354.75 350.93 -45830 -388.83 0 30810 891215 -1 354.15 350.14 -35462 -382.59 0 30810 891218 -1 347.65 343.69 -67265 -679.21 0 30810 891219 -1 347.2 342.46 -61198 -627.85 0 30810 891220 0 347.85 342.84 -11006 -68.765 4980 35790 891221 0 349.45 344.78 16433 175.9 0 35790 891222 0 351.05 347.42 2045.1 120.33 0 35790 891226 0 350.45 346.81 22389 308.14 0 35790 891227 0 353.25 348.81 15820 242.68 0 35790 891228 0 354.85 350.67 -33339 -185.36 0 35790