Back Bay FX Services LLC : Neural Stock Index Program

archived programs
Year-to-Date
N / A
Apr Performance
3.28%
Min Investment
$ 45k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.47%
Sharpe (RFR=1%)
0.57
CAROR
-
Assets
$ 143k
Worst DD
-8.96
S&P Correlation
0.95

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2013
Neural Stock Index Program 3.28 - - - - - - 13.88
S&P 500 0.85 - - - - - - 91.86
+/- S&P 500 2.43 - - - - - - -77.98

Strategy Description

Summary

The Neural Stock Index Program (NSIP) is systematic and will look to trade both the long and short side of equity index futures. The Program is primarily predictive, and secondarily trend following, and may use a hedge strategy of entering an opposite position in a different stock... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 45k
Trading Level Incremental Increase $ 45k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 300 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -16.00%
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 30.00%
1-3 Months 40.00%
1-30 Days 25.00%
Intraday 5.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Fundamental
15.00%
Momentum
25.00%
Pattern Recognition
35.00%
Spreading/hedging
10.00%
Other
15.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Neural Stock Index Program (NSIP) is systematic and will look to trade both the long and short side of equity index futures. The Program is primarily predictive, and secondarily trend following, and may use a hedge strategy of entering an opposite position in a different stock index futures contract when the market looks to be undecided in direction. Hedging may involve the use of covered options.

Investment Strategy

The program is comprised of many neural networks that use daily price points for equities, coupled with volume, interest rates, oil and gold prices, and which will calculate essential indicator values. Another set of neural networks generate mathematical equivalents of Japanese Candlestick patterns and evaluate all conceivable candlestick patterns for the purposes of forecasting market movement on a daily basis by determining relative buyer and seller strengths. The third major component is comprised of algorithms that look to estimate the 'temperature' of the stock market by using an analogy with the Maxwell-Boltzmann equation of Statistical Mechanics. All of these algorithmic layers will provide inputs to the equity models that are responsible for signal generation. The goal of the Program is to outperform the SP 500 benchmark.

Risk Management

The programs algorithmic layers will provide daily inputs to the equity models that are responsible for signal generation. In times of uncertainty the program will go into hedge mode. The program also uses a very low margin to equity ratio of under 15%

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-8.96 2 - 11/1/2014 1/1/2015
-5.33 1 1 12/1/2013 1/1/2014
-4.50 1 2 8/1/2014 9/1/2014
-1.15 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
12.75 5 2/1/2014 6/1/2014
7.10 1 2/1/2015 2/1/2015
6.67 2 10/1/2014 11/1/2014
6.52 2 11/1/2013 12/1/2013
5.30 1 8/1/2014 8/1/2014
3.28 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.96 2 12/1/2014 1/1/2015
-6.20 1 3/1/2015 3/1/2015
-5.33 1 1/1/2014 1/1/2014
-4.50 1 9/1/2014 9/1/2014
-1.15 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable66.6775.0069.23100.00
Average Period Return0.821.904.689.96
Average Gain3.413.997.709.96
Average Loss-4.37-4.36-2.10
Best Period7.107.8711.4517.37
Worst Period-8.29-7.87-2.971.50
Standard Deviation4.474.355.075.74
Gain Standard Deviation2.211.922.245.74
Loss Standard Deviation2.943.391.00
Sharpe Ratio (1%)0.170.380.821.56
Average Gain / Average Loss0.780.913.66
Profit / Loss Ratio1.562.748.24
Downside Deviation (10%)3.163.162.581.33
Downside Deviation (5%)3.002.731.52
Downside Deviation (0%)2.962.631.26
Sortino Ratio (10%)0.130.210.863.74
Sortino Ratio (5%)0.250.602.75
Sortino Ratio (0%)0.280.723.71

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.