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Program Details

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Back Bay FX Services LLC 

Neural Stock Index Program

Manager: Peter Pierce

Address: , Boston, MA, 02110, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Nov 1, 2013
AUM:$142,836
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$45,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:13.88%37.52%
Annual ROR:9.05%23.67%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:-0.82
Beta:1.66
Statistics Program S&P 500
Average Monthly Gain:3.41%2.47%
Average Monthly Loss:-4.37%-1.98%
Winning Months:1212
Losing Months:66
Current DD:5.540.90
Max DD:8.963.56
Sharpe Ratio (RF 1%):0.52
Annualized Std Dev:15.47

Methodology

Discretionary:5%
Systematic:95%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Pattern Recognition:80%
Trend Following:20%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2015-8.297.10-6.203.28-4.85
2014-5.336.910.770.133.151.33-1.155.30-4.503.852.72-0.7312.36
20132.424.006.52

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Neural Stock Index Program (NSIP) is systematic and will look to trade both the long and short side of equity index futures. The Program is primarily predictive, and secondarily trend following, and may use a hedge strategy of entering an opposite position in a different stock index futures contract when the market looks to be undecided in direction. Hedging may involve the use of covered options.
The program is comprised of many neural networks that use daily price points for equities, coupled with volume, interest rates, oil and gold prices, and which will calculate essential indicator values. Another set of neural networks generate mathematical equivalents of Japanese Candlestick patterns and evaluate all conceivable candlestick patterns for the purposes of forecasting market movement on a daily basis by determining relative buyer and seller strengths. The third major component is comprised of algorithms that look to estimate the 'temperature' of the stock market by using an analogy with the Maxwell-Boltzmann equation of Statistical Mechanics. All of these algorithmic layers will provide inputs to the equity models that are responsible for signal generation. The goal of the Program is to outperform the SP 500 benchmark.

Company Info

Back Bay FX Services, LLC (BBFX) is a National Futures Association (NFA) member, and registered Commodity Trading Advisor (CTA)/ Independent Introducing Broker (IB) with the Commodities Futures Trading Commission (CFTC).

Manager Info

Peter C. Pierce: The Neural Stock Index Program (NSIP) will be traded by Peter C. Pierce.
Peter Pierce has acquired a broad based knowledge with hands on experience in the of trading equity index futures, including but not limited to speculation, option strategies, risk-management, working with hedging and institutional clientele, margins and risk control, as well as operations and compliance. Mr. Pierce received a B.A. from Boston University and a Masters in Management from the Kellogg School, Northwestern University. Mr. Pierce holds a Series 3 designation; he has previously held the Series 7 (US) financial designations.