FxPro Articles FxPro SuperTrader

Revolutionising Investments

What is FxPro SuperTrader?

FxPro SuperTrader is a unique investment platform that allows you to allocate funds to the strategies of professional FX traders. FxPro SuperTrader is not a Social Trading platform, where anyone can become a leader, and unlike Mirror Trading platforms, we assess, analyse and test all strategies before they go live. Strategies that fail to perform consistently are immediately flagged and checked for irregularities.

FxPro SuperTrader vs Other Asset Classes. Jan 2012 - Dec 2013

*FxPro SuperTrader Composite is a hypothetical portfolio comprised of all the FxPro strategies available to SuperTrader Investors. The strategy's performance is drawn from back-tests and displays its equity at a particular moment in time per day. Sources - FxPro, Bloomberg.

How We Test the Strategies

Below you can see a sample of statistics we calculate to test our strategies and filter the ones to be presented on SuperTrader. Based on back-test data and using Monte Carlo Simulations we derive the following results:

Sample Strategy

  • Initial Deposit $USD: $18,000.00
  • Start Date: 03/01/2012
  • End Date: 29/11/2013
  • History Length: 99 Weeks

Statistical Information

  • Profit (%): 127.50%
  • Profit (USD): $22,950.31
  • Avg. Monthly Profit %: 5.54%
  • Max DD %: 11.00%
  • Max Actual Leverage: 26.07
  • Avg. Trade Length (h): 4.29 Hour(s)
  • Profit Factor: 1.292
  • Avg. Trades Per Month: 559.4
  • Sharpe Ratio Monthly (%): 0.377
  • Calmar Ratio: 0.715
  • Var (90%) Monthly (%): -3.00%
  • MAE Correlation Ratio: 0.57
  • MFE Correlation Ratio: 0.70
  • Best Upside Forecast (%): 50.79%
  • Worst Downside Forecast (%): -16.62%**
  • Var (90%) 6-Month Forecast (%): -7.53%
*Definitions for the above statistics can be found in the appendix. **This is can be limited to the value the investor feels comfortable with, using the mandatory max loss per strategy setting.

Monthly Performance

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2013 8.46% 15.57% 3.77% 9.51% 4.43% 13.83% 1.22% 4.70% 1.28% 8.76% 0.17%   71.71%
2012 4.71% -0.66% 9.33% 7.64% 5.47% -1.81% 23.15% 0.96% 5.08% -0.74% 0.93% 1.74% 47.93%

Chart 1: P&L Chart (%)

Displays P&L for both equity and balance, in percentage terms, over the length of the back-test period.

Chart 2: Absolute DD Chart (%)

Displays absolute drawdown, in percentage terms, from the initial balance throughout the back-test.

Instruments by Amount of Trades

Instruments by Volume of Trades

Chart 3: Trades per Instrument

Instruments by amount of trades: pie chart representing the number of positions opened per instrument during the back-test.

Instruments by volume of trades: pie chart representing the total lots opened per instrument during the back-test.

Trade amounts and volume (lots): bar chart showing the total number of positions and the total lots traded per instrument during the back-test.

Chart 4: Standard Deviation

Standard deviation (variation from the average) of weekly returns charted over the entire duration of the back-test.

Chart 5: Actual Leverage

Actual leverage fluctuation over the duration of the back-test.

Chart 6: Trade Distribution in Pips

Cloud representing the pips realised on the back-test throughout the duration of each trade.

Chart 7: Sample of Forecasts

Shows an extension of the back-test P&L growth, with a cloud of projected profit and loss based on forward simulations using historical data.

FxPro SuperTrader vs Manual Trading

Setting up your account and investing in FX has never been easier, and there is no lock-up period – you are in full control of your capital.

Allocation and Risk Management on FxPro SuperTrader

We have developed simple and effective risk management tools for our investors on FxPro SuperTrader. The three basic tools they have access to are: Ratio Multiplier, Maximum Loss and Trailing Equity Stop for each copied strategy.

The Ratio Multiplier allows investors to increase their risk exposure and thus multiply their potential returns. Using the Ratio Multiplier also increases a strategy’s Maximum Drawdown accordingly.

Maximum Loss is the amount an investor is willing to risk should a particular strategy begin to incur a loss.

The copied strategy will be automatically closed-out once losses reach the percentage of equity specified by the client.

Trailing Stop is a tool that enables the automatic lock-in of profits should a strategy’s performance begin to retrace.

Appendix

Profit (%): 127.50%
Profit achieved by the system in % over the history length of the back-test .
Profit (USD): $22,950.31
Profit achieved by the system in USD over the history length of the back-test.
Avg. Monthly Profit %: 5.54%
Average monthly profit achieved by the system in % over the history length of the back-test.
Max DD %: 11.00%
Maximum absolute drawdown in % (the largest peak to trough decrease in percentage terms).
Max Actual Leverage: 26.07
Maximum volume of opened positions in USD divided by portfolio equity in USD.
Avg. Trade Length (h): 4.29 Hour(s)
Average length of trades in hours.
Profit Factor: 1.292
The ratio between gross profit and gross loss. A value greater than 1 means that profits exceeded losses.
Avg. Trades Per Month: 559.4
Average Number of trades opened per month over the life of the back-test.
Sharpe Ratio Monthly (%): 0.377
Mean monthly profit divided by the standard deviation of monthly returns. Measures how well the return compensates for the risk taken. The higher the better.
Calmar Ratio: 0.715
Average monthly return for the duration of the back-test divided by the maximum drawdown. The higher the better.
Var(90%) Monthly (%): -3.00%
Shows with a 90% probability that the value at risk will not exceed the displayed value over a month.
MAE Correlation Ratio: 0.57
MAE is the Maximum Adverse Excursion (maximum price movement in an adverse direction). The ratio shows the correlation between realized loss in pips and the maximum experienced loss in pips during the trade's life. A value closer to 0 denotes that losing positions tend to be kept open longer leading to possible larger drawdowns and risk.
MFE Correlation Ratio: 0.70
MFE is the Maximum Favourable Excursion (maximum price movement in a favourable direction). The ratio shows the correlation between realized profits in pips and the maximum experienced profit in pips during the trade's life. The closer to 1, the better and more profitable the exit strategy for the system.
Best Upside Forecast (%): 50.79%
Best upside forecast in % based on forward 6-month Monte Carlo simulations.
Worst Downside Forecast (%): -16.62%
Worst downside forecast in % based on forward 6-month Monte Carlo simulations.
Var(90%) 6-Month Forecast (%): -7.53%
Shows with a 90% probability that the value at risk will not exceed the displayed value at the end of the next six months based on the Monte Carlo simulation forecasts.