Factsheet of our Intraday Directional Trading Program for October 2018

1. Intraday Directional Trading Program – Standard Model
Monthly Report NAV 31.10.2018 275.6
Data as of 31.10.2018 Oct. 2018 return +3.1%
2018YTD return +6.5%
Investment Strategy Description
The Intraday Directional Trading Program is a short-term fully systematic trading system investing in liquid futures markets. Based on its innovative statistical
model supported by machine-learning modules to adapt to different market regimes, the system seeks to profit from intraday market trends by taking Long
and/or Short positions. The system does not hold any position overnight. It is a low-frequency system executing a maximum of 2 trades per day.
Comments for October 2018
The program posted a solid +3.1% return for the month of October, bringing YTD2018 returns at +6.5% and achieving new highs. The system benefited from the
strong intraday directional volatility experienced by equity markets over the period, trading 23 out of the 22 trading days of the month and executing 31 trades
with a 45% success rate. Short positions accounted for 65% of the profits.
Monthly Returns Since Inception
Month Year
Jan. Feb. Mar. Apr. Mai June July Aug. Sept. Oct. Nov. Dec. YTD Vol DD Max
2007 - - - -0,2% -0,4% 1,5% 1,6% 1,2% 1,6% -0,4% 1,6% -0,9% 5,7% 3,7% -0,9%
2008 4,0% 2,3% 1,2% -2,0% -0,8% 1,3% 0,6% 0,4% 1,1% 3,8% -1,2% 1,0% 12,2% 6,4% -2,8%
2009 1,6% -0,5% -1,9% 1,0% 2,0% 0,2% 0,4% 1,2% -1,5% 2,1% 1,0% -0,1% 5,5% 4,5% -2,5%
2010 0,1% -0,3% -0,5% 0,9% 2,6% 0,8% -0,9% 1,3% 0,3% -0,3% 1,4% 0,5% 5,8% 3,4% -0,9%
2011 -1,7% -0,4% 0,1% 0,0% 0,0% 0,1% -0,3% 7,2% 1,6% 1,7% 3,9% -0,9% 11,4% 8,5% -2,3%
2012 1,1% -0,5% 1,3% 0,7% -0,3% 1,3% -0,7% 0,9% 0,4% -1,6% 0,2% 0,0% 3,0% 3,1% -1,6%
2013 0,5% -0,1% -0,6% 1,9% -1,9% 1,2% -1,5% 0,7% -2,8% 0,0% 0,0% -0,9% -3,7% 4,6% -5,2%
2014 3,0% 0,4% -0,4% 0,5% 1,5% -2,2% 3,5% 2,1% 1,9% 9,7% 3,0% 1,1% 26,6% 10,1% -2,2%
2015 0,5% -0,5% 4,5% 2,8% 0,8% 3,1% 1,9% 1,1% 0,6% 1,4% 1,4% 5,6% 25,7% 6,1% -0,5%
2016 -0,6% 1,8% 1,5% 0,5% -2,8% 1,1% 2,0% -1,0% 3,5% -1,0% -0,4% 0,3% 4,9% 5,9% -2,8%
2017 -0,5% -1,3% -0,1% 0,8% 0,5% -1,3% -1,1% 1,0% 1,9% -0,7% 2,6% 4,2% 6,0% 6,0% -3,0%
2018 -4,3% 3,5% 0,9% 0,2% 1,1% -0,2% 1,1% 0,5% 0,6% 3.1% - - 6,5% 7,3% -4,3%
Equity Curve since Inception Drawdown
3-Year Rolling Returns 12-Month Rolling Volatility
Key Statistics
Rolling Data Since Inception
Return over last 12 months +14.0% Annualized return +9.2%
Trailing 12-months volatility 7.4% Annualized volatility 6.3%
Largest Drawdown last 12 months -4.3% Return / Volatility 1.46
Current drawdown 0% Largest Drawdown -5.2%
100
120
140
160
180
200
220
240
260
280
26/04/2007
26/11/2007
26/06/2008
26/01/2009
26/08/2009
26/03/2010
26/10/2010
26/05/2011
26/12/2011
26/07/2012
26/02/2013
26/09/2013
26/04/2014
26/11/2014
26/06/2015
26/01/2016
26/08/2016
26/03/2017
26/10/2017
26/05/2018
NAVrebased100
-7,0%
-6,0%
-5,0%
-4,0%
-3,0%
-2,0%
-1,0%
0,0%
26/04/2007
26/11/2007
26/06/2008
26/01/2009
26/08/2009
26/03/2010
26/10/2010
26/05/2011
26/12/2011
26/07/2012
26/02/2013
26/09/2013
26/04/2014
26/11/2014
26/06/2015
26/01/2016
26/08/2016
26/03/2017
26/10/2017
26/05/2018
0%
10%
20%
30%
40%
50%
60%
70%
80%
26/04/2010
26/09/2010
26/02/2011
26/07/2011
26/12/2011
26/05/2012
26/10/2012
26/03/2013
26/08/2013
26/01/2014
26/06/2014
26/11/2014
26/04/2015
26/09/2015
26/02/2016
26/07/2016
26/12/2016
26/05/2017
26/10/2017
26/03/2018
26/08/2018
0%
2%
4%
6%
8%
10%
12%
25/04/2008
25/11/2008
25/06/2009
25/01/2010
25/08/2010
25/03/2011
25/10/2011
25/05/2012
25/12/2012
25/07/2013
25/02/2014
25/09/2014
25/04/2015
25/11/2015
25/06/2016
25/01/2017
25/08/2017
25/03/2018
25/10/2018