I4CFinancial Performance Report

Performance Report - HONG KONG

System Type: EH Quantitative Directional Long

The strategy actively trades a universe of profitable, well-managed companies, taking positions in stocks based on a proprietary technical ranking derived from a multi-factor analysis of market action across multiple trading horizons. Strict risk management enforces a rapid 'go-to-cash' ruleset in bearish markets.

Forward test from inception 2017/09/13 to 2019/09/13

Overview

Annualized Returns:	16.36%	Average Win Size:	1,466.20
Maximum Drawdown:	17.55%	Average Loss Size:	698.97
Return over Maximum Drawdown:	0.93	Win/Loss Size Ratio:	2.10
Sharpe Ratio (Annualized):	2.28	Number of Closed and Open Positions:	1442
Sortino Ratio (Annualized):	1.56	Average Trade Size:	20,176.74
Number of Wins:	579	Average Closed Trade Duration:	19.0 days
Number of Losses:	863	Last Session Move:	4,429.00 (0.47%), Baseline move: (0.97%)
Win/Loss Count Ratio:	0.67 (40% winners)	Includes 7 open positions with cash holdings of 660,386.42

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2017	0	0	0	0	0	0	0	0	1.1	4.7	-0.5	1	6.3
2018	13.7	-7.8	-1.6	0.3	3.3	-2.7	-1.5	-0.5	-1.9	-1.5	0.3	-1.7	-1.6
2019	1.2	2	5.5	-0.7	0.4	2.5	1.9	4.9	0.6	0	0	0	18.3

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

2017

1.1

4.7

-0.5

6.3

2018

13.7

-7.8

-1.6

0.3

3.3

-2.7

-1.5

-0.5

-1.9

-1.5

0.3

-1.7

-1.6

2019

1.2

5.5

-0.7

0.4

2.5

1.9

4.9

0.6

18.3

Open Positions:

Symbol	Name	Entry Date	Number of Shares	Entry Price	Present Price	Trailing Stop	Profit	Annualized
0968	Xinyi Solar Holdings Ltd	9/6/2019	6200	4.95	4.96	4.57	62.00	9.70%
0270	Guangdong Investment Ltd	9/10/2019	2500	16.56	16.24	15.60	-800.00	-231.88%
0903	TPV Technology Ltd	9/11/2019	11300	3.69	3.71	3.64	226.00	65.04%
0604	Shenzhen Investment Ltd	9/11/2019	13900	3.01	3.06	2.88	695.00	199.34%
1238	Powerlong Real Estate Holdings Ltd	9/13/2019	8100	5.15	5.31	4.92	1,296.00	0.00%
0743	Asia Cement (China) Holdings Corp	9/13/2019	4100	10.02	9.96	9.05	-246.00	0.00%
0868	Xinyi Glass Holdings Ltd	9/13/2019	4900	8.55	8.81	8.38	1,274.00	0.00%
			Total Value of Open Positions:		282,825.00		2,507.00	0.17%

Notes:

Annualized returns reflect compounded daily excess returns above risk-free rate, assuming 240 trading days per year.

No leverage, equally weighted allocations.

Exits on target achieved or dynamic proprietary trailing stop posted. These trailing stops, combined with minimum rank entry rules lead to the imposition of 'go-to-cash' and 'stay-in-cash' rules if there is a broad market bearish turn.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's position, when redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Investors should consider the investment objectives, risks, and charges and expenses of the above system carefully before investing.

Last Session Date: 2019/09/13

Performance Report - HONG KONG

System Type: EH Quantitative Directional Long

Forward test from inception 2017/09/13 to 2019/09/13

Overview

Monthly Absolute Returns:

Open Positions:

Sold Today:

Pending Buys:

Notes: