Date Day of Week Mean Obser Z wins 60% not including slippage or other costs
20020621 5 1000.2 1005.7 983.2 990.2 FRIDAY 0.7 50 0.3 BE/loss 40%
20020624 1 982.7 1003.7 969.2 995.3 5.1
20020625 2 999.7 1005.5 972.2 972.7 Sold on average between Tues and Wednesday
20020626 3 950.2 978.2 948.7 972.9
20020627 4 982.2 991.2 962.2 990.2 Average holding period was 2.5 trading days
20020628 5 988.4 1001.4 985.2 988.3 FRIDAY
20020701 1 988.2 994.0 965.3 967.8
20020702 2 964.7 967.8 943.8 945.8
20020703 3 943.2 953.7 933.2 951.4 -36.9
20020705 5 962.2 991.2 962.2 989.2 FRIDAY
20020708 1 985.7 992.0 971.2 976.5
20020709 2 972.7 978.7 949.7 952.2
20020710 3 955.7 956.2 915.9 917.2
20020711 4 912.2 928.7 898.7 925.1 -64.1
20020712 5 928.2 934.2 911.3 915.5 FRIDAY
20020715 1 911.7 919.4 873.7 918.8 3.3
20020716 2 906.7 918.2 894.2 901.5
20020717 3 918.2 927.7 892.7 903.2
20020718 4 902.2 905.7 872.2 873.7
20020719 5 861.7 870.7 838.2 842.2 FRIDAY
20020722 1 835.7 854.2 809.2 818.0
20020723 2 819.7 827.0 793.2 795.0
20020724 3 776.2 846.2 771.2 842.2 0.0
20020725 4 838.2 852.7 810.2 835.0
20020726 5 840.2 854.2 833.2 851.9 FRIDAY
20020729 1 868.7 898.7 867.8 891.9 40.0
20020730 2 887.9 908.7 881.7 903.7
20020731 3 900.2 909.7 886.9 909.7
20020801 4 903.2 907.2 878.2 882.2
20020802 5 879.5 883.2 850.7 863.2 FRIDAY
20020805 1 858.7 862.7 829.4 832.2
20020806 2 845.2 873.2 845.2 859.2 -4.0
20020807 3 873.2 878.2 852.0 874.2
20020808 4 877.7 905.2 872.2 903.9
20020809 5 894.2 912.7 888.2 906.0 FRIDAY
20020812 1 894.2 906.7 889.7 900.7
20020813 2 896.2 910.2 880.2 883.5
20020814 3 883.2 919.7 873.7 916.2 10.2
20020815 4 921.2 933.2 915.7 928.7
20020816 5 922.2 934.2 913.7 926.2 FRIDAY
20020819 1 927.2 950.5 925.4 947.2 21.0
20020820 2 941.2 943.7 929.7 938.0
20020821 3 944.7 951.2 929.2 950.5
20020822 4 948.2 964.2 944.3 959.3
20020823 5 954.2 954.7 934.7 939.2 FRIDAY
20020826 1 942.2 949.5 928.2 945.7 6.5
20020827 2 950.2 954.5 928.2 934.7
20020828 3 925.2 927.7 911.2 914.7
20020829 4 906.2 923.4 901.0 914.2
20020830 5 909.7 926.9 907.4 914.3 FRIDAY
20020903 1 900.2 900.7 874.2 875.9
20020904 3 879.2 895.2 873.7 887.9 -26.4
20020905 4 878.0 886.7 867.7 881.4
20020906 5 890.7 898.1 886.2 892.7 FRIDAY
20020909 1 887.2 905.9 880.7 898.8 6.1
20020910 2 904.2 910.2 898.3 909.2
20020911 3 923.2 925.1 903.8 904.3
20020912 4 901.2 901.2 882.2 887.4
20020913 5 878.7 891.2 874.7 889.3 FRIDAY
20020916 1 885.1 891.6 876.7 891.1 1.8
20020917 2 901.1 903.6 869.8 870.6
20020918 3 861.6 877.1 854.9 861.9
20020919 4 852.1 860.1 839.4 839.8
20020920 5 844.6 847.4 836.3 840.3 FRIDAY
20020923 1 833.1 836.1 822.6 832.5
20020924 2 819.6 831.6 813.6 818.9
20020925 3 829.1 842.6 815.6 839.3 -1.0
20020926 4 846.1 855.1 840.1 852.6
20020927 5 844.1 850.9 822.6 823.4 FRIDAY
20020930 1 814.1 823.0 796.6 813.1
20021001 2 818.6 852.6 809.6 852.2 28.8
20021002 3 842.1 850.3 821.1 828.6
20021003 4 825.6 838.6 814.3 818.6
20021004 5 822.6 823.9 790.6 803.9 FRIDAY
20021007 1 795.1 806.6 780.1 786.6
20021008 2 792.6 807.6 776.8 799.2 -4.7
20021009 3 785.6 791.6 772.8 775.9
20021010 4 774.1 805.4 765.6 800.6
20021011 5 815.6 842.1 813.1 836.6 FRIDAY
20021014 1 826.6 843.1 826.0 839.7 3.1
20021015 2 864.1 882.1 864.1 880.8
20021016 3 869.1 872.6 853.8 860.4
20021017 4 881.6 886.6 873.1 877.1
20021018 5 869.6 885.6 863.6 881.3 FRIDAY
20021021 1 876.1 899.9 870.6 896.8 15.5
20021022 2 885.1 894.6 879.6 889.6
20021023 3 882.6 896.8 871.1 896.4
20021024 4 902.3 903.1 875.6 878.6
20021025 5 877.1 898.1 874.3 896.8 FRIDAY
20021028 1 906.1 906.8 883.1 889.9
20021029 2 885.1 889.0 864.1 879.6
20021030 3 880.6 893.6 876.1 887.8 -9.0
20021031 4 890.6 897.1 876.1 883.5
20021101 5 878.1 902.1 874.6 896.6 FRIDAY
20021104 1 911.1 923.1 902.9 905.5 8.9
20021105 2 903.1 914.0 902.6 912.1
20021106 3 918.6 924.6 901.1 923.8
20021107 4 913.6 915.1 895.1 900.5
20021108 5 898.3 908.6 888.6 889.5 FRIDAY
20021111 1 888.1 888.1 871.1 875.9
20021112 2 879.1 892.6 876.8 882.9 -6.6
20021113 3 876.6 890.6 868.6 883.8
20021114 4 893.6 903.1 890.9 900.6
20021115 5 893.1 908.6 892.6 907.0 FRIDAY
20021118 1 913.7 914.8 897.1 898.1
20021119 2 893.7 904.1 890.6 896.2
20021120 3 892.6 917.1 892.1 916.8 9.8
20021121 4 919.1 934.6 917.1 933.6
20021122 5 927.6 935.6 925.6 926.9 FRIDAY
20021125 1 927.2 935.4 920.7 927.8 0.9
20021126 2 923.6 926.6 908.8 909.6
20021127 3 918.1 938.9 918.1 936.1
20021129 5 939.1 940.1 929.8 934.1 FRIDAY
20021202 1 947.1 952.9 924.8 933.4
20021203 2 925.1 926.6 915.9 921.9
20021204 3 910.1 924.1 906.9 917.1
20021205 4 920.1 920.1 903.4 906.6
20021206 5 893.1 914.1 891.9 911.9 -22.2 FRIDAY
20021209 1 902.3 906.6 887.3 887.7
20021210 2 893.1 903.3 890.1 900.1
20021211 3 895.6 908.3 893.8 900.3 -11.6
20021212 4 904.6 906.6 894.6 900.0
20021213 5 892.0 896.8 885.0 885.5 FRIDAY
20021216 1 890.5 910.0 889.5 908.4 22.9
20021217 2 905.8 909.2 899.3 901.0
20021218 3 895.5 895.7 885.1 890.5
20021219 4 885.5 898.5 877.8 883.8
20021220 5 889.0 896.2 888.0 895.7 FRIDAY
20021223 1 891.4 901.0 889.5 896.1 0.4
20021224 2 892.0 895.0 889.1 890.5
20021226 4 893.0 902.3 884.7 889.8
20021227 5 885.0 888.8 870.5 870.8 FRIDAY
20021230 1 874.0 880.5 868.1 876.5 5.7
20021231 2 876.0 880.0 867.2 877.9
20030102 4 884.5 909.0 881.7 906.4
20030103 5 905.5 909.7 900.7 908.9 FRIDAY
20030106 1 907.5 930.5 907.5 925.5 16.6
20030107 2 924.5 929.5 917.8 922.8
20030108 3 917.0 919.5 906.1 909.0
20030109 4 914.0 927.5 914.0 923.7
20030110 5 915.5 932.0 914.0 925.5 FRIDAY
20030113 1 930.5 934.0 919.8 925.4
20030114 2 922.5 930.0 919.5 928.3 2.8
20030115 3 931.0 931.3 914.5 920.0
20030116 4 920.0 924.8 910.0 915.5
20030117 5 905.2 908.5 896.7 902.1 FRIDAY
20030121 1 903.7 904.5 885.0 887.5
20030122 3 882.3 888.0 875.1 876.5
20030123 4 882.5 888.7 874.5 882.0 -20.1
20030124 5 881.0 881.5 856.6 859.3 FRIDAY
20030127 1 852.5 863.0 841.5 846.3
20030128 2 851.5 858.8 846.0 853.5 -5.8
20030129 3 848.9 866.8 842.5 859.7
20030130 4 862.5 863.5 838.5 839.0
20030131 5 836.0 856.8 836.0 853.7 FRIDAY
20030203 1 856.0 862.9 854.2 857.5 3.8
20030204 2 848.0 853.0 837.5 848.3
20030205 3 852.0 860.0 839.2 843.5
20030206 4 838.5 843.5 831.0 839.5
20030207 5 844.0 844.2 824.3 829.5 FRIDAY
20030210 1 829.0 835.7 821.0 835.0 5.5
20030211 2 838.5 841.6 822.7 828.8
20030212 3 825.8 830.5 815.3 815.8
20030213 4 815.5 820.5 804.3 818.0
20030214 5 818.5 836.2 812.7 836.0 FRIDAY
20030218 1 839.5 852.4 839.0 850.6 14.6
20030219 3 847.0 848.8 837.0 845.8
20030220 4 846.5 848.3 834.7 837.8
20030221 5 837.8 851.3 829.0 846.2 FRIDAY
20030224 1 843.0 844.0 830.0 831.6
20030225 2 823.5 838.9 816.0 838.7 -7.5
20030226 3 835.0 839.0 824.5 826.8
20030227 4 831.5 841.7 825.7 837.2
20030228 5 839.0 846.0 835.7 839.9 FRIDAY
20030303 1 846.5 851.5 831.1 834.4
20030304 2 833.5 833.9 820.2 821.3
20030305 3 820.5 829.0 817.5 828.5 -11.4
20030306 4 823.0 828.9 818.5 820.8
20030307 5 810.0 829.0 808.0 827.6 FRIDAY
20030310 1 819.5 822.3 804.7 806.8
20030311 2 808.0 813.5 798.5 799.2
20030312 3 798.0 805.0 787.5 804.7 -22.9
20030313 4 816.0 833.0 809.0 832.3
20030314 5 836.0 840.8 827.5 833.2 FRIDAY
20030317 1 828.0 863.0 825.7 861.0 27.8
20030318 2 865.0 866.8 856.0 866.2
20030319 3 866.5 874.5 860.3 872.7
20030320 4 869.5 879.2 857.5 874.8
20030321 5 885.5 895.7 876.5 893.2 FRIDAY
20030324 1 877.5 878.3 860.5 863.5
20030325 2 864.0 879.3 861.5 872.2 -21.0
20030326 3 872.5 875.5 865.0 868.0
20030327 4 860.5 873.3 856.6 867.4
20030328 5 861.5 869.4 859.2 862.9 FRIDAY
20030331 1 850.0 857.0 841.5 847.0
20030401 2 849.0 860.5 845.5 856.7 -6.2
20030402 3 871.5 884.3 871.5 877.2
20030403 4 885.0 885.2 873.0 873.3
20030404 5 881.5 882.5 872.8 878.5 FRIDAY
20030407 1 900.5 905.0 876.5 876.9
20030408 2 880.0 882.8 873.5 878.3 -0.2
20030409 3 879.5 887.3 864.5 866.8
20030410 4 866.5 872.5 861.6 871.7
20030411 5 877.5 883.5 864.7 868.2 FRIDAY
20030414 1 871.0 886.3 868.5 886.0 17.8
20030415 2 885.0 894.0 880.2 893.7
20030416 3 894.5 896.8 876.8 878.8
20030417 5 878.8 893.5 878.1 891.2 FRIDAY
20030421 1 894.5 897.7 887.0 893.0 1.8
20030422 2 887.5 911.7 885.0 909.5
20030423 3 912.3 919.4 908.5 917.5
20030424 4 911.0 916.7 905.6 909.8
20030425 5 909.0 910.7 896.2 898.6 FRIDAY
20030428 1 901.0 917.9 899.0 913.6 15.0
20030429 2 917.5 923.7 909.8 916.1
20030430 3 915.5 921.5 910.0 916.1
20030501 4 915.5 919.5 900.5 915.0
20030502 5 910.5 930.0 910.5 927.4 FRIDAY
20030505 1 930.5 933.5 923.5 926.3
20030506 2 926.5 939.5 926.0 934.7 7.3
20030507 3 929.2 937.0 925.2 929.5
20030508 4 921.0 929.2 918.0 920.4
20030509 5 923.5 933.5 921.5 932.2 FRIDAY
20030512 1 930.5 946.7 928.0 944.2 12.0
20030513 2 941.3 947.0 938.2 942.8
20030514 3 946.5 948.0 934.5 940.3
20030515 4 944.0 948.5 938.2 946.3
20030516 5 944.5 949.5 938.0 944.3 FRIDAY
20030519 1 937.3 939.3 919.5 922.5
20030520 2 923.8 925.8 911.2 919.3
20030521 3 916.5 924.0 914.5 922.1 -22.2
20030522 4 924.5 935.4 922.1 930.7
20030523 5 930.0 935.0 926.7 932.2 FRIDAY
20030527 1 928.0 953.3 927.0 949.5 17.3
20030528 3 954.0 959.5 949.6 952.0
20030529 4 953.5 962.2 945.7 949.2
20030530 5 954.0 965.9 953.0 963.3 FRIDAY
20030602 1 970.0 979.4 965.0 968.2 4.9
20030603 2 966.2 973.3 963.5 972.2
20030604 3 971.5 988.0 970.5 986.2
20030605 4 980.5 991.0 977.7 990.7
20030606 5 999.0 1008.5 986.1 987.8 FRIDAY
20030609 1 982.0 985.2 972.5 977.1