I4CFinancial Performance Report

Performance Report - ISHARES

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 2017/09/12 to 2019/09/12

Overview

Annualized Returns:	-21.63%	Average Win Size:	49.51
Maximum Drawdown:	53.16%	Average Loss Size:	120.19
Return over Maximum Drawdown:	-0.40	Win/Loss Size Ratio:	0.41
Sharpe Ratio (Annualized):	-1.47	Number of Closed and Open Positions:	1240
Sortino Ratio (Annualized):	-1.48	Average Trade Size:	2,112.82
Number of Wins:	610	Average Closed Trade Duration:	29.0 days
Number of Losses:	630	Last Session Move:	233.07 (0.42%)
Win/Loss Count Ratio:	0.97 (49% winners)	Includes 19 open positions with cash holdings of -1,974.31

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2017	0	0	0	0	0	0	0	0	-0.2	0.6	2.6	0.3	3.3
2018	7.7	-4.4	-1.5	0.2	-0.2	-0.8	1.4	-0.1	-0.6	-1.7	-0.4	-0.8	-1.2
2019	2.7	-0.6	-0.7	1.2	-2.2	1	-0.5	-23.5	-32	0	0	0	-54.6

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

2017

-0.2

0.6

2.6

0.3

3.3

2018

7.7

-4.4

-1.5

0.2

-0.2

-0.8

1.4

-0.1

-0.6

-1.7

-0.4

-0.8

-1.2

2019

2.7

-0.6

-0.7

1.2

-2.2

-0.5

-23.5

-32

-54.6

Open Positions:

Symbol	Name	Entry Date	Number of Shares	Entry Price	Present Price	Trailing Stop	Profit	Annualized
IUSB	iShares Core Total USD Bond Market ETF	8/21/2019	50	52.51	52.07	51.991	-22.00	-12.57%
BYLD	iShares Yield Optimized Bond ETF	8/22/2019	100	25.60	25.50	25.441	-10.00	-6.25%
CMF	ISHARES CALIFORNIA MUNI BOND ETF	8/30/2019	50	61.92	61.10	60.830	-41.00	-31.78%
TIP	iShares TIPS Bond ETF	8/30/2019	25	118.01	115.82	114.780	-54.75	-44.54%
NYF	ISHARES NEW YORK MUNI BOND ETF	8/30/2019	50	57.82	57.09	56.880	-36.50	-30.30%
IEI	iShares 3-7 Year Treasury Bond ETF	9/4/2019	25	127.78	126.18	125.424	-40.00	-50.09%
EMB	ISHARES J.P. MORGAN USD EMERGING MARKETS	9/5/2019	25	115.52	113.92	112.732	-40.00	-66.48%
KXI	iShares Global Consumer Staples ETF	9/5/2019	50	55.43	55.07	54.084	-18.00	-31.17%
USRT	iShares Core U.S. REIT ETF	9/5/2019	50	55.34	55.00	53.832	-17.00	-29.49%
IHI	ISHARES U.S. MEDICAL DEVICES ETF	9/6/2019	15	251.21	250.64	242.355	-8.55	-10.89%
IYR	ISHARES U.S. REAL ESTATE ETF	9/6/2019	50	93.64	92.62	90.558	-51.00	-52.29%
ITA	ISHARES U.S. AEROSPACE & DEFENSE ETF	9/9/2019	15	224.30	226.50	219.297	33.00	117.70%
REET	iShares Global REIT ETF	9/10/2019	100	27.86	27.77	27.277	-9.00	-38.77%
ITB	ISHARES U.S. HOME CONSTRUCTION ETF	9/10/2019	100	41.58	42.36	41.092	78.00	225.11%
IYK	ISHARES U.S. CONSUMER GOODS ETF	9/10/2019	25	125.73	126.90	124.344	29.25	111.67%
IYF	ISHARES U.S. FINANCIALS ETF	9/10/2019	25	128.78	129.70	126.538	23.00	85.73%
IVLU	ISHARES EDGE MSCI INTL VALUE FACTOR ETF	9/10/2019	100	22.67	23.07	22.613	40.00	211.73%
JKG	iShares Morningstar Mid-Cap ETF	9/11/2019	10	197.61	199.96	195.792	23.50	285.41%
IDU	ISHARES U.S. UTILITIES ETF	9/12/2019	10	160.09	159.42	156.088	-6.70	0.00%
			Total Value of Open Positions:		56,581.40		-127.75	-0.06%

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: 2019/09/12

Performance Report - ISHARES

System Type: EH Quantitative Directional Long

Forward test from inception 2017/09/12 to 2019/09/12

Overview

Monthly Absolute Returns:

Open Positions:

Sold Today:

Pending Buys:

Notes: