FXC - Real Trading Performance

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. More on the FXI strategy can be found on the FXI Strategy page.

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.

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.

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%*

(1.87%) (1.87%)*

0.45% 0.45%*

0.30% 0.30%*

(2.45%) (2.45%)*

(0.50%) (0.50%)*

(3.29%) (3.29%)*

1,189.4 1,137.6*

2019

2.09% 2.09%*

0.50% 0.50%*

2.60% 2.60%*

0.53% 0.43%*

(1.05%) (1.05%)*

0.25% 0.25%*

0.02% 0.02%*

1.52% 1.37%*

0.85% 0.68%*

0.47% 0.37%*

0.79% 0.64%*

(0.10%) (0.10%)*

8.76% 8.03%*

1,293.6 1,228.9*

2020

(1.17%) (1.17%)*

0.15% 0.15%*

(1.03%) (1.03%)*

1,280.3 1,216.3*

* - 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 with asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.35(a)(6)(F), by dividing the monthly net performance (gain or loss) by the nominal (notional) account size.

Strategy Statistics
Reporting period	Aug/13 - Feb/20 (79 months)
Total return since strategy inception	21.63%
Return last 12 months	4.21%
Compound average annual rate of return (ROR)	3.02%
VAMI Index - hyp. growth of $1,000 since inception	1,216.3
# Profitable months / average positive ROR	50 / 0.87%
# Unprofitable months / average negative ROR	28 / (0.81%)
Kurtosis & Skewness of monthly RORs	2.38 / (0.13)
% Profitable months	63.3%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio)	1.08
Maximum / minimum monthly ROR	3.67% / (3.74%)
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns ÷ sum negative returns	1.85

Risk Measures
Annualized standard deviation of monthly RORs	3.95%
Annualized downside deviation (below the RF rate of return of 1% per annum)	2.52%
Sharpe ratio, annualized (RF rate of return 1.0%)	0.51
Sortino ratio, annualized (below the RF rate of 1% per annum)	0.80
Calmar ratio	0.57
Efficiency index	0.76
Strategy Alpha relative to the S&P 500 Index, annualized	2.95%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index	0.01 / 0.05
R squared (coefficient of determination), rel. to the S&P 500 Index	0.002
Jensen's alpha relative to the S&P 500 Index, annualized	1.90%
Information ratio, relative to the S&P 500 Index	(0.51)
Worst drawdown depth / duration (on end-of-month basis)	(5.29%) / 24 months

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.