FX BASKET QUANT > Back Testing Results

FX BASKET QUANT is our third portfolio trading strategy. The strategy started live trading on January 1, 2013. The actual performance is tracked on the Performance page of our web site.

FX BASKET QUANT - HYPOTHETICAL PERFORMANCE REPORT FROM STRATEGY BACK TESTING

PLEASE READ FIRST DISCLAIMERS AT THE BOTTOM OF THIS PAGE

1. Monthly Rates of Return (ROR), Before Performance Fees

    

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

1999

 0.21% (0.66%) 0.68% (5.56%) 3.17% (1.14%) 5.88% 1.14% 0.82% 0.95% 0.71% 0.82% 6.63% 1066.3

2000

 1.71% 0.98% 1.12% 0.24% 2.84% 2.05% 0.84% 1.90% 0.64% 1.52% 1.76% 2.34% 19.46% 1273.8

2001

 2.06% 2.81% 0.34% 0.93% (1.01%) 1.56% 2.47% 0.72% 1.05% 1.69% 0.72% 0.85% 15.09% 1466.0

2002

 0.17% 0.92% 0.29% 0.87% 0.54% 0.27% 1.19% 1.92% 0.75% 0.83% 0.27% 0.01% 8.32% 1588.0

2003

 1.56% 0.59% 1.26% 0.79% 2.28% 0.82% 2.60% 0.58% 1.56% 1.47% 1.27% 0.62% 16.52% 1850.4

2004

 0.81% 2.98% 2.33% 1.65% 2.51% 3.75% 2.52% 0.61% 1.28% 0.36% 1.76% 2.66% 25.80% 2327.9

2005

 2.18% 0.86% 2.43% 0.70% 0.42% (0.16%) 2.82% (0.53%) 0.87% 2.18% 0.88% 0.97% 14.41% 2663.4

2006

 0.92% 1.34% (1.83%) 2.41% 2.39% 4.00% 0.44% 0.38% 0.55% 0.04% (0.68%) 0.28% 10.59% 2945.4

2007

 0.90% 0.97% 0.66% 0.22% (0.41%) 0.10% 1.66% 0.22% 0.58% 1.92% 0.49% 1.35% 8.99% 3210.3

2008

 2.26% 0.81% 2.47% 2.47% 1.10% 1.06% 0.93% (0.41%) 1.29% 1.50% 7.34% 2.50% 25.72% 4036.1

2009

 1.76% 4.03% (1.98%) 6.90% 0.29% 3.16% (1.06%) (0.44%) (4.05%) 2.84% 2.12% 0.12% 14.04% 4602.8

2010

 (0.04%) (0.37%) 0.10% (0.18%) 0.99% 0.85% 2.02% 1.91% (0.57%) 1.33% 0.25% 0.13% 6.56% 4904.8

2011

 1.55% 0.50% 0.37% 0.25% 0.70% 1.36% (0.35%) 0.71% 0.64% 1.11% 0.78% 0.37% 8.30% 5311.8
2012 (1.66%) 0.73% 1.67% 0.51% 0.66% (0.56%) (2.26%) 2.44% 1.40% 0.14% 0.41% (0.07%) 3.37% 5491.0
2013 Start of live trading. See FXBQ real trading results    

Daily rates of return (ROR), from strategy back testing, can be downloaded from this Excel spreadsheet. Results are net of spreads and commissions and before performance fees.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

2. Performance Analytics - FX Basket Quant (Before Performance Fees)

Strategy Returns (Before Performance Fees)

Testing period

  Jan 1999 - Dec 2012

Net profit on fixed capital with / without monthly profit reinvesting

 450.3% / 199.2%

Compound average annualized ROR

 12.95%

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

 5,502.8
Monthly Profit Factor (Profit to Loss Ratio); (sum of positive RORs) to (sum of negative RORs) 7.66

# Profitable months / average positive ROR

 145 / 1.37%

# Losing months / average negative ROR

 23 / (1.13%)
Kurtosis of monthly RORs 5.67
Skewness of monthly RORs 0.27

% Profitable months

 86.3%
Ratio avg. positive / avg. negative monthly ROR (Gain to Loss Ratio) 1.22
Max. # of consecutive profitable / losing months 52 / 3
Maximum / minimum monthly ROR 7.34% / (5.66%)
Maximum / minimum daily ROR 6.84% / (6.71%)
Maximum / minimum 5-day rolling ROR 9.50% / (9.29%)

Risk Measures
Annualized standard deviation of monthly RORs 5.12%
Annualized downside deviation (MAR = RF return of 3% per annum) 2.30%

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

 2.33
Sortino Ratio, annualized (below RF ret. 1%) 5.23

Calmar Ratio (ratio compound average annual ROR to worst end-of-month drawdown)

 2.23
Omega Ratios N/A
Tracking error, relative to the S&P 500 Index, annualized 17.59%
Historic 5-day Value at Risk (VaR); (for 95% and 99% confidence levels)   (1.02%) /  (2.47%)
Alpha relative to the S&P 500 Index, annualized 12.56%
Beta / correlation coefficient, relative to the S&P 500 Index (0.06) / (0.19)
Jensen's Alpha relative to the S&P 500 Index, annualized 12.00%
Active premium, relative to the S&P 500 Index, annualized 12.24%
Information Ratio, relative to the S&P 500 Index 0.59

Worst month-to-month drawdown depth / duration

 (5.81%) / Jul-Oct 2009
Worst peak-to-valley, intra month, drawdown (10.06%)

 

Basic Strategy Characteristics
Strategy name FX Basket Quant
Type of trading Statistical arbitrage
Portfolio composition 9 currencies
Margin to equity ratio 5% max
Strategy leverage (long positions value relative to Net Asset Value - NAV) Avg. 0.6, max 2.0
How generated Hypothetical / Back Testing
Start of live trading January 2013

Turnover / Cost Parameters
Average positions value, relative to NAV* -
Average daily portfolio turnover (daily traded positions value as a percentage of NAV) -
Annual turnover ratio -
Average holding period -
Average number of R/T transactions (100k FX lots) per $1Million NAV per year -
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

3. Performance Graphs and Histograms

3.1 Monthly Graphs

3.2. Daily Graphs

Better results (smaller drawdown and better Sharpe and Sortino Ratio) can be obtained by trading multiple trading strategies. The three currency trading programs (FX Quant 11, FX Index Arb and FX Basket Quant) can be further combined with our volatility trading programs - see this 6-strategy composite back testing report.

To see actual trading results, please go to the FXBQ Real Performance page.

 

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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