1. Analytical Investments, LLC
Riding the Trends, Not Fighting
the Market
Proprietary Trading and Portfolio
Management System
Nick Tishchenko, PhD
Analytical Investments, LLC
(415) 867-9670
nick.tishchenko@analytical-investments.com
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2. Quant Driven Investments
 Fast Real-Time Computerized System for Trading
Stocks, ETF’s and Futures - both Long and Short
 Automatic Trade Setups with Price Targets on
Various Time Frames – from Intraday to Quarters
 Automatic Position Scaling and Rotation. Discipline
in Entry and Exit – Proprietary System Provides
Buy and Short Signals With Dynamic Stop for
Each Portfolio Position
 Successfully Implemented for Trading and
Portfolio Management at Leading Hedge Funds
and Mutual Fund Companies During Last 4 Years
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3. How The System Works
 The System Provides an Opportunity to Play Pre-
Determined Investment Theme-Portfolio or to
Follow Market’s Own Longer-Term Moves by
Identifying Trending Sectors and Stocks
 In Both Cases the System Provides Selection of
Long and Short Positions Within the Theme List or
Trending Sector
 Computerized System Executes Portfolio and Risk
Management in Real Time generating Entry/Exit
Points and Optimum Size for Each Position,
Dynamic Stops and Rotation
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4. Using Market Opportunuties
 The System Scans Entire Market Picking Trending
Sectors and Individual Stocks on a Desired Time
Frame Pre-Determined by Investment Time
Horizon.
 The System Selects the Stocks for Portfolio as
Well as Sizes of the Positions Depending on
Available Cash, Desired Number of Positions,
Strength of Uptrend/Downtrend, Trading Volume
or Other Investment Objectives
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5. Making The Best Of Your List
 Theme Portfolio/List - preset list of stocks like
Market Sector or Group of Sectors.
 Examples:
 Commodities
 Semiconductors + Semiconductor Equipment & Materials
 Biotechnology
 The System Provides Selection of Long and Short
Positions Within Pre-Set Portfolio with Real-Time
Risk Management Including Entry and Exit Points,
Dynamic Stops and Rotation of Long and Short
Positions within the List
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6. Ideas Behind the Algorithms
 Analysis of Price Dynamics – the Rate of Price
Changes Near Calculated Turning Points, Provides
Trade Buy and Sell Signals
 Similar Algorithms are Used to Calculated
Dynamic Stops for Each Position Providing
Effective Risk Management and Profit Protection
 The System Calculates Price Targets for the Next
Week, Month, Quarter and Calendar Year Allowing
Effective Hedging of Positions with Derivative
Instruments
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7. Example: SPY Apr’06–Jul’09
Arrows Show System
Generated Trades 7

8. Example: USO Apr’06–Jul’09
Arrows Show System
Generated Trades 8

9. Example: RIMM Apr’06–Jul’09
Arrows Show System
Generated Trades
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10. System Generated Targets: SPY
Target for
calendar
Year
Target for
calendar
Month
Target for
calendar
Quarter
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11. Portfolio Management
Setting the number of
portfolio positions
Setting frequency of real-
time portfolio scan
Setting size of trade
(less than 0.5% of
weekly/monthly
trading volume)
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12. System Performance
 USO Jul’07-Jul’09 Performance: Weekly Scan
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13. System Performance
RIMM Jul’07-Jul’09 Performance: Weekly Scan
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14. Back Testing on SPY’s
 System executed 78 of 108 (72%+) trades profitably from Jan’98 to Jul’09
 Annual returns for SPY exceeded 25% in 75% of years during 1998-2009
 Lowest return was 10.3% in 2006
 Back test assumes cash account and commissions of $0.03 per share
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15. Back Testing on QQQQ’s
• System executed 79 of 103 (76%+) trades profitably from Jan 1998 to Jul 2009
• Annual returns for QQQQ exceeded 30% in 92% of years during 1998-2009
• Lowest return was 21.2% YTD in 2009
• Back test assumes cash account and commissions of $0.03 per share
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16. Back Testing on QCOM
• System executed 79 of 115 (69%) trades profitably from Jan’98 to Jul’09
• Annual returns for SPY exceeded 70% in 67% of years during 1998-2009
• Lowest return was 15.8% in 2007
• Back test assumes cash account and commissions of $0.03 per share
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17. Practical Use of the System
Sample of Daily Distribution to Service Subscribers – Real-
Time Training Available over the Internet Using WebEx
System Ratings Customer’s Longer-Term Trend – You
on Stocks Stock List Don’t Want to Go Against It
Dynamic
Stop for
Each Trade
Trade Direction on Daily, Duration of the Your Profit if You
Weekly and Monthly Trade (Bars) Followed the System’s
Time Frames Last Signal on Weekly
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18. Designer of the System
Dr. Tishchenko has been recognized as a #1 Stock Picker by The Wall Street Journal’s Best
of The Street Survey for his fundamental equity research. His 12-year long Wall Street
career as Senior Equity Research Analyst started in 1997 at ABN Amro Securities after a
career as a Physicist at Lawrence Livermore National Laboratory.
Dr. Tishchenko has worked on real-time quantitative and technical trading for the past 15
years. The latest generation of his system has been successfully implemented for real-
time portfolio analysis and market scanning, resulting in effective stock picking, trading,
and portfolio risk management. The System was successfully deployed since 2006 at
several large technology funds for real-time monitoring of equities trading in Europe,
Japan, Taiwan, Korea, Thailand, India, and China. The System has been used to trade
commodities and index futures – Oil, Gold, Nasdaq, S&P500 and DJ.
Dr. Tishchenko holds a Ph.D. in Theoretical Physics from Institute of Atomic Energy
(Moscow) and a M.Sc. in Theoretical Physics from Moscow Institute of Physics and
Engineering. During his scientific career Dr. Tishchenko’s achievements were recognized
by multiple prestigious scientific awards, including the All-USSR Young Scientist of the
Year Award and three Kurchatov Awards in Theoretical and Mathematical Physics.
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