Investment Strategy Management Team Rob BreakironCasey Loop Matt KempLauren Gebbie

Our Company Strategy #1 Strategy #2 Risk Profile Profit Future Upgrades Q & A

Works well in a defined bull or bear market Lower max drawdowns Lower max returns Higher Sharpe ratio Works well in a defined bull or bear market Lower max drawdowns Lower max returns Higher Sharpe ratio Works well in a volatile market or sideways market Higher returns Higher max drawdowns Lower Sharpe ratio Works well in a volatile market or sideways market Higher returns Higher max drawdowns Lower Sharpe ratio Mean ReversionModified TRIX Combine to create max alpha opportunities for our clients

GetPrices In-Sample Data ( ) Gap Higher/ Lower LT P(Open Higher) ST P(Open Higher) Why Did We Care? When P LT (Higher) > P LT (Prob) BUY When P LT (Higher) < P LT (Prob) SELL Position Open: Closing Price of Day i Position Close: Opening Price of Day i+1 Strategy #1 Mean Reversion

Maximization Long > Short BUY Long < Short SELL Now What? Monte Carlo Simulation What We Found Long Term: Days Short Term: Days Five Random S&P 500 Stocks 5000 Iterations Maximum Daily Return: Minimum Daily Return: Average Daily Return: Selected Range:252/44 Days S/T MA Range: Strategy #1 Mean Reversion

TRIX: The 1-period % ROC for a triple smoothed EMA 1. Single-Smoothed EMA = X-period EMA of the opening price 2. Double-Smoothed EMA = X-period EMA of Single-Smoothed EMA 3. Triple-Smoothed EMA = X-period EMA of Double-Smoothed EMA 4. TRIX = 1-period percent change in Triple-Smoothed EMA Divergence: Bullish and bearish divergences form when the security and the indicator do not confirm one another Strategy #2 Modified TRIX

Modifications Signal threshold MA period S&P market divergence check Earnings check Trading Trade signal ran across all 500 S&P ~10% signal Works in defined market directions & stocks Leading indicator

 Systematic Risk Control  Report daily portfolio volatility ▪ Based on stock weights and rolling covariance matrix  Sharpe Ratio  Max Drawdown  Unsystematic Risk Control  Track when earnings are reported ▪ 3 day look forward, 1 day look back  Architecture supports expansion to new areas Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

 Sector distinctions  Correlated earnings identification  Additional strategies  Integrate a synthetic pairs trade  Option mispricing Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A Questions?