Back Bay FX Services LLC : Neural Stock Index Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since11/2013 Neural Stock Index Program 3.28 - - - - - - 13.88 S&P 500 0.85 - - - - - - 105.88 +/- S&P 500 2.43 - - - - - - -92.00 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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 StrategyThe 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 ManagementThe 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% Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel