FXC - Real Trading Performance

I. TRADING APPROACH

FXC (or FXI - Continuous) is a modification of the FXI trading strategy, which trades automatically several (3-4) times a day. There is a special order placement procedure, which places the trades on negative slippage (i.e. with additional profit), or signals are recalculated and the basket trade is placed again. This increases the risk adjusted profitability (the Profit to Loss Ratio and Sharpe Ratio). Although the order placement generates some risk free profit, the price that we pay for it is taking the risk of trading the FXI strategy itself. Since it is virtually impossible to back test the FXC performance, the strategy has been traded for a while on the MT4 simulation trading platform before going live.

 

II. PERFORMANCE SUMMARY

ACTUAL TRADING RESULTS (Based on Proprietary Trading)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FOREX CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

2a. Monthly ROR and VAMI (Based on Real Proprietary Trading Results)

2b. Daily VAMI Curve

 

Charts above show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

2. Monthly Rates of Return (ROR), (Based on Real Proprietary Trading Results)

    

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2013 See simulated trading results of the current strategy 0.05% 0.04%* (0.74%) (0.74%)* 0.72% 0.72%* (0.42%) (0.42%)* (0.10%) (0.10%)* (0.39%) (0.40%)* 995.0 994.9*
2014 1.05% 0.95%* 1.10% 0.88%* 0.09% 0.07%* 0.82% 0.66%* 0.22% 0.18%* (0.47%) (0.47%)* (0.04%) (0.04%)* (0.30%) (0.30%)* (0.71%) (0.71%)* 0.99% 0.99%* 0.62% 0.60%* (1.03%) (1.03%)* 2.33% 1.76%* 1,018.2 1,012.4*
2015 4.32% 3.67%* 2.39% 1.92%* 1.00% 0.80%* 0.43% 0.34%* (0.39%) (0.39%)* 2.61% 2.17%* 1.41% 1.13%* (0.49%) (0.49%)* 3.97% 3.27%* (0.23%) (0.23%)* 0.17% 0.17%* (0.76%) (0.76%)* 15.22% 12.08%* 1,173.2 1,134.8*
2016 1.18% 1.11%* 1.73% 1.39%* 1.21% 0.97%* (1.02%) (1.02%)* 0.66% 0.66%* 0.18% 0.18%* (0.15%) (0.15%)* (0.09%) (0.09%)* 0.61% 0.57%* (1.00%) (1.00%)* 0.56% 0.56%* (0.47%) (0.47%)* 3.41% 2.71%* 1,213.2 1,165.5*
2017 1.56% 1.43%* 0.82% 0.65%* 0.79% 0.63%* (3.74%) (3.74%)* 1.11% 1.11%* (0.66%) (0.66%)* (2.04%) (2.04%)* 0.80% 0.80%* 0.15% 0.15%* 0.58% 0.58%* 0.57% 0.57%* 1.58% 1.58%* 1.37% 0.93%* 1,229.9 1,176.3*
2018 (0.21%) (0.21%)* 0.42% 0.42%* (0.40%) (0.40%)* (0.90%) (0.90%)* 0.09% 0.09%* 0.40% 0.40%* 1.42% 1.42%*           0.78% 0.78%* 1,239.6 1,185.5*

* - Net of 20% monthly performance fee

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance (gain or loss) by the previous month net asset value (or notional trading size).

III. Performance Analytics (Based on Real Proprietary Trading Results, Net of Performance Fees)

Strategy Statistics

Reporting period

Aug/13 - Jul/18 (60 months)

Total return since strategy inception

18.55%
Return last 12 months 4.55%

Compound average annual rate of return (ROR)

3.46%

VAMI Index - hyp. growth of $1,000 since inception

1,185.5

# Profitable months / average positive ROR

37 / 0.91%

# Unprofitable months / average negative ROR

23 / (0.71%)
Kurtosis & skewness of monthly RORs 3.30 / (0.10)

% Profitable months

61.7%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio) 1.28
Maximum / minimum monthly ROR 3.67% / (3.74%)
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns sum negative returns 2.06

Risk Measures

Annualized standard deviation of monthly RORs 3.89%
Annualized downside deviation (below the RF rate of return of 1% per annum) 2.39%

Sharpe ratio, annualized (RF rate of return 1.0%)

0.63
Sortino ratio, annualized (below the RF rate of 1% per annum) 1.03

Calmar ratio

0.65
Efficiency index 0.89
Strategy Alpha relative to the S&P 500 Index, annualized 3.83%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index (0.03) / (0.07)
R squared (coefficient of determination), rel. to the S&P 500 Index 0.004
Jensen's alpha relative to the S&P 500 Index, annualized 2.72%
Information ratio, relative to the S&P 500 Index (0.68)

Worst drawdown depth / duration (on end-of-month basis)

    (5.29%) /      15 months

Risk Disclaimer

THE RISK OF LOSS IN TRADING FOREIGN EXCHANGE (FOREX) CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. TRADING IN FOREIGN EXCHANGE IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION.