I4CFinancial Performance Report

Performance Report - LONDON

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 2021/01/04 to 2023/04/21

Overview

Annualized Returns:	-10.19%	Average Win Size:	221.46
Maximum Drawdown:	33.13%	Average Loss Size:	612.04
Return over Maximum Drawdown:	-0.30	Win/Loss Size Ratio:	0.36
Sharpe Ratio (Annualized):	-13.67	Number of Closed and Open Positions:	130
Sortino Ratio (Annualized):	0.00	Average Trade Size:	2,859.23
Number of Wins:	73	Average Closed Trade Duration:	54.2 days
Number of Losses:	57	Last Session Move:	92.25 (0.16%), Baseline move: (0.14%)
Win/Loss Count Ratio:	1.28 (56% winners)	Includes 0 open positions with cash holdings of 56,280.70

Monthly Strategy Returns (%):

	Jan	Feb	Mar	Apr	Jun	Jul	Sep	Total
2021	1.1	2.2	2.1	0	2.7	-31.8	-1.5	-25.2
2022	0	0	0	0	0	0	0	0
2023	0	0	0	0.2	0	0	0	0.2

Open Positions:

Symbol	Name	Entry Date	Number of Shares	Entry Price	Present Price	Trailing Stop	Profit	Annualized
			Total Value of Open Positions:		0.00		0.00	0.00%

Sold Today:

BP, MNDI, EDV, GKP, FRES

Pending Buys:

GDWN, WWH, SAIN, BNZL, QQ, TSCO

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: 2023/04/21