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Modelitec TM

Modelitec TM. Experiment Results 5/7/2005 – 4/3/2006. Tested Product. Comprehensive, advanced and automated weekly stock picking strategies running on commercial platform Statistically analyzed and constantly optimized with current data Over 10 years back-tested using Monte-Carlo simulation

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Modelitec TM

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  1. ModelitecTM Experiment Results 5/7/2005 – 4/3/2006

  2. Tested Product • Comprehensive, advanced and automated weekly stock picking strategies running on commercial platform • Statistically analyzed and constantly optimized with current data • Over 10 years back-tested using Monte-Carlo simulation • Strategy and stock diversification • Operating on systematically selected and constantly updated, high-volume US stocks group • Customizable market analysis strategy • Advanced money management techniques • Promotional web-based virtual portfolio manager

  3. Tested Product (cont’d) • Single stock analysis: • Portfolio Simulation:

  4. Tested Product (cont’d) • Web-based Tracking Portfolio:

  5. Experiment Results • Experiment period: 5/7/05-4/3/06 (35 weeks) • The experiment was conducted on a virtual portfolio of $500,000 • The portfolio consisted of equity (selection from 350 stocks) and hedging, up to 5% of the portfolio value. • The portfolio was hedged using QQQQ put options (“at the money”) • Buy & Sell prices were derived from real-time trading • All stocks in the portfolio had average daily volume above $5 million.

  6. Statistics • Portfolio Value: $578,860; Gain: 15.8% • Equity Gain: 21.1% • Options Gain: -4.8% • Commissions: -0.5% • Trades: 114, Winning: 67 (59%) • Average Trade: • Winning: 11.7% • Losing: -5% • All: 4.8% • Sharpe Ratio (Weekly): 1.52

  7. Comparison • Index Performance:

  8. Conclusions • The system requires 2-3 weeks “warm up” period • The portfolio beat NASDAQ100 by 18% • In the 33 weeks since 18/7/2005 the portfolio bypassed NASDAQ100 by 117% • In comparison with the computerized systems, 2-3% of the Portfolio were lost due to slippage. • The results match the expected range • The system is scalable without major changes to manage over $10 million.

  9. Portfolio Value Line

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