Exhibit – Drawdown

The table shows the max drawdown to expect over 500 trades and the trades to recover from it (MC analysis:

Percentiles         Days      DD

0%                         295         (30.7)

5%                         134         (16.1)

10%                       112         (14.3)

15%                       99           (13.2)

20%                       90           (12.4)

25%                       83           (11.8)

30%                       77           (11.3)

50%                       60           (9.7)

75%                       46           (8.1)

95%                       31           (6.4)

The table shows the probabilities of losing streaks for a system with 500 trades per year and 55% win ratio:

Loser     FC Occurence p.m.         FC Occurence p.y.

1             18.8                                       225.0

2             8.4                                         101.3

3             3.8                                         45.6

4             1.7                                         20.5

5             0.8                                         9.2

6             0.3                                         4.2

7             0.2                                         1.9

8             0.1                                         0.8

9             0.0                                         0.4

10           0.0                                         0.2

The two tables illustrate the emotional challenges to face and should serve as a reminder when being in such situation. DD rule will be to reduce position size to 50% when reaching a drawdown of (10)R.

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