FXC - Simulated Trading Performance

I. TRADING APPROACH

FXC (or FXI - Continuous) is a modification of the FXI trading strategy, which trades automatically several 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 should pay for it is taking the risk of trading the FXI strategy itself. Since it is virtually impossible to back test the FXC performance, this strategy will trade for a while on the MT4 simulation trading platform before going live. More on the FXI strategy can be found on the FXI Strategy page.

 

II. PERFORMANCE SUMMARY

SIMULATED TRADING RESULTS

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.

1a. Monthly ROR and VAMI (Based on Simulated Trading Results, Before Performance Fees)

1b. Daily VAMI Curve

2. Monthly Rates of Return (ROR), Before Performance Fees (Based on Simulated Trading)

    

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2013   0.77% 0.13% 0.63% 0.54% 0.62% 1.37% Start of live trading - see Real Performance 4.12% 1,041.2

* - 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).

The charts below 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.

III. Performance Analytics (Based on Simulated Trading Results, Before Performance Fees)

Strategy Returns

Reporting period (5 months)

Feb/13 -Jul/13 (6 months)

Total return since strategy inception

4.12%
S&P 500 Index return since strategy inception 12.52%

Compound average annual rate of return (ROR)

8.41%

Growth of $1,000 since inception (VAMI)

1,041.2

# Positive months / average positive ROR

6 / 0.68%

# Negative months / average negative ROR

0 / 0%
Kurtosis & skewness of monthly RORs 2.28 / 0.78

% Positive months

100%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio)
Maximum / minimum monthly ROR 1.37% / 0.13%
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns sum negative returns

Risk Measures

Annualized standard deviation of monthly RORs 1.40%
Annualized downside deviation (below the RF rate of return of 1% per annum) 0%

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

5.28
Sortino ratio, annualized (below the RF rate of 1% per annum)

Calmar Ratio

Alpha relative to the S&P 500 Index, annualized 7.04%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index 0.05 / 0.29
Jensen's alpha relative to the S&P 500 Index, annualized 6.04%
Active premium, relative to the S&P 500 Index, annualized (18.21%)
Tracking error, rel. to the S&P 500 Index, annualized 7.39%
Information ratio, relative to the S&P 500 Index N/A

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

0%

Longest recovery period

-

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.