Actual performance reports and performance analytics can be found at www.fx-quant.com/performance.htm.
Current risk to start trading: below average
1. Equity and Leverage Curves (10 currencies)
2. Position Size Graphs for the past 5 years
2.1. NZDUSD, USDCAD, GBPUSD and EURUSD Position Size Graphs
2.2. USDCHF, USDJPY and USDNOK Position Size Graphs
2.3. EURSEK and AUDUSD Position Size Graphs
Red line - Percentage gain, cumulative, from 01/1999 to 10/2002
Yellow line - 10 x Leverage (position size relative to account balance)
Cyan line - Average leverage
The leverage curve is very important to our trading system. As long as the yellow line is above the cyan line, we can start trading the system with low risk. The higher the yellow curve above the cyan curve - the lower the risk of drawdown and the higher chances of near term equity run up.
Our trading system is unique in that we know what is the best time to begin (or not begin!) trading the system. If the equity curve move sideways for a couple of months, one can start trading 1/2 normal account size. After one year, or when a drawdown occurs, we can proceed with full size position trading.
Please not that after a drawdown the system quickly recovers, making a new equity peak. The oposite holds true: after a new equity peak, there is a risk of drawdown (or profit curve moving sideways for some time).
Large drawdowns occur when all currency pairs trend for a prolonged period of time. By comparing diagrams 1.1. and 1.2., we conclude that Forex market becomes more efficient, with less pronounced trends in the last years (prices become more noisy). Although most trend following trading systems broke apart these years, our system performs better than ever before!
1.2. Equity Curve 2003-Present
Red line - Percentage gain, cumulative, from 10/2003 to present
Yellow line - 10 x Leverage (position size relative to account balance)
1.3. Equity Curve 2006-Present
Red line - Percentage gain, cumulative, from 01/2005 to present
Yellow line - 10 x Leverage (position size relative to account balance)
Profit generation is a very slow process. Please note that profit accumulates very slowly on a 1-year chart, compared to the chart above (2002-2006). Note that during most of 2005 the equity curve (the red line) moves sideways, while the leverage (yellow line) gradually increases (the system quietly accumulates positions). Sooner or later, positions will unwind and the profit will take off.
These charts explain why patience is so important in trading FX Quant's trading system. Always look at the bigger picture!
2.1. NZDUSD, USDCAD, GBPUSD and EURUSD Position Size Graphs
In the graphs below you can see how the system adjusts position sizes in different currency pairs. All positions are in base currency units (NZD for the NZDUSD pair, USD for the USDCAD pair etc.), normalized for a $10,000 opening account balance and a standard risk of 20%. You can scale position sizes proportionaly to your starting account balance, but please don't trade larger position sizes in order to avoid huge drawdowns and potential disaster.
Position size graphs: NZDUSD - USDCAD - GBPUSD - EURUSD
2.2. USDCHF, USDJPY and USDNOK Position Size Graphs
USDCHF - USDJPY - USDNOK - USDDKK
2.3. EURSEK and AUDUSD Position Size Graphs
EURSEK - AUDUSD
For more info on our trading system and our services, please visit our Web page at www.fx-quant.com or e-mail us.
| HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT
LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY
ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT,
THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE
ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE
LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH
THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL
RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF
FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO
ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS
WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS
RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM
WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS
AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.
FUTURES AND COMMODITIES TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. INFORMATION CONTAINED HEREIN IS STRICTLY THE OPINION OF ITS AUTHOR AND IS INTENDED FOR INFORMATIONAL PURPOSES. INFORMATION IS OBTAINED FROM SOURCES BELIEVED RELIABLE, BUT IS IN NO WAY GUARANTEED. OPINIONS, MARKET DATA AND RECOMMENDATIONS ARE SUBJECT TO CHANGE AT ANY TIME. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. This is not a solicitation to invest and you should carefully consider your financial situation as to the suitability to your situation prior to making any investment or entering into any transaction. Please see the complete Risk Disclosure. |
