FXS > Back Testing Results

FXS is my latest trading strategy, which has not yet started live trading. Once it starts live trading, the actual performance will be tracked on the FXS Real Performance page of our web site.

FXS - HYPOTHETICAL PERFORMANCE REPORT FROM STRATEGY BACK TESTING

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PLEASE READ DISCLAIMERS AT THE BOTTOM OF THIS PAGE.

1. Performance Graphs

1.1. Monthly Graphs

1.2. Daily Graphs

Daily and monthly rates of return (ROR), from strategy back testing, are available upon request. Results are net of spreads and commissions and before performance fees.

 

2. Performance Analytics - FXS (Before Performance Fees)

Strategy Returns (Before Performance Fees)

Testing period (201 months)

Jan 1999 - Sep 2015

Net profit on fixed capital with / without monthly profit reinvesting

740.1% / 219.2%

Compound average annualized ROR

13.55%

VAMI - Growth of $1,000, compounded monthly (fees not deducted)

8,400.7
Monthly Profit Factor (Profit to Loss Ratio); (sum of positive RORs) to (sum of negative RORs) 3.34

# Profitable months / average positive ROR

144 / 2.17%

# Losing months / average negative ROR

57 / (1.64%)
Kurtosis of monthly RORs 0.38
Skewness of monthly RORs (0.15)

% Profitable months

71.6%
Ratio avg. positive / avg. negative monthly ROR (Gain to Loss Ratio) 1.32
Max. # of consecutive profitable / losing months 17 / 4
Maximum / minimum month-to-month ROR 7.13% / (6.58%)
Maximum / minimum daily ROR 5.54% / (6.05%)
Maximum / minimum 5-day rolling ROR N/A

Risk Measures

Annualized standard deviation of monthly RORs 7.97%
Annualized downside deviation (MAR = RF return of 3% per annum) 4.00%

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

1.57
Sortino Ratio, annualized (below RF ret. 1%) 3.11

Calmar Ratio (ratio compound average annual ROR to worst intra month drawdown)

1.97
Omega Ratios -
Tracking error, relative to the S&P 500 Index, annualized -
Historic 5-day Value at Risk (VaR); (for 95% and 99% confidence levels) -
Alpha relative to the S&P 500 Index, annualized -
Beta / correlation coefficient, relative to the S&P 500 Index -
Jensen's Alpha relative to the S&P 500 Index, annualized -
Active premium, relative to the S&P 500 Index, annualized -
Information Ratio, relative to the S&P 500 Index -

Worst month-to-month drawdown depth / duration

(6.88%) / Jul-Sep 2011
Worst peak-to-valley, intra month, drawdown (12.82%)

 

Basic Strategy Characteristics
Strategy name FXSC
Type of trading FX portfolio trading
Portfolio composition 9 currencies against USD
Margin to equity ratio 5% max
Strategy leverage (long positions value relative to Net Asset Value - NAV)    Avg. 1.1,   max 1.5
How generated Hypothetical / Back Testing
Start of live trading -

Turnover / Cost Parameters

Average positions value, long and short against USD, relative to NAV* 220%
Average daily portfolio turnover (daily traded positions value as a percentage of NAV) 37%
Annual turnover ratio 97
Average holding period 7 days
Average number of R/T transactions (100k FX lots) per $1Million NAV per year 970
Average annual transaction costs - bid/ask spreads (deduct from annual ROR) 2.5%
Average transaction bid/ask spread, as a fraction of the transaction value 0.0002

 

Hypothetical Performance Disclaimer:

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

Risk Disclaimer

THE RISK OF LOSS IN TRADING COMMODITIES 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. PLEASE SEE THE COMPLETE DISCLOSURE DOCUMENT.

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