Japanese Yen (JPY) Performance Jan 2007-Dec 2016

December 2016: this program is no longer open for new investment, performance in 2014 & 2015 was lackluster, 2016 barley acceptable relative to overall potential risk.

After 2014, 2015 and losing months in November and December return on risk for this program is no longer acceptable, I’ll be winding down positions for my account this week, if you’d like to continue with the program please contact me and I’ll have you set up directly in Chicago.

My thoughts: The 2016 recovery gave us an opportunity to liquidate while we were profitable. With Trump winning the election in November I am positive he will escalate tensions between the US and it’s trading partners. This could very well create market conditions that would produce returns like 2014 and 2015 for this program and style of trading. I’ll continue to trade the other momentum range programs but they’re closed to new investment and off the roster until we see how 2017 forward shapes up, please contact me for updates.

Moving forward I believe the EMAs will have a superior return on risk. Currency programs I believe best suited for current market conditions are the WFXNC and all the FXCs.

Start Balance $25,000
Cumulative Net Profit $216,291.50
Largest Drawdown ($7,474.36)
Best Year 2008   +200.62% $50,155.66
Worst Year 2007  +13.92% $3,479.25
2007-2016 Average   +87.32% $21,810.90
30 November 2016   +67.81% $16,772.81

jpy

This Yen program trades 2 trend following and 2 range trade strategies. Cumulative net gain is calculated trading 6,250,000 JPY  per strategy, no compounding of positions and withdrawing all net profits annually. Greatest net drawdown is calculated from highest high to lowest low marked to the market daily prior to recovery and a new high.

Below are links to full disclosure of all 4 trading methodologies. The spreadsheets include all supporting historical price data, every order generated 2007-2016, every trade entry, offset, gain or loss enabling you to verify past performance and monitor trades moving forward.

Trend Trade Strategies Average Annual Largest Drawdown Cumulative Net Gain Net Profit 2016
jpy01t $6,268.79 ($5,596.32) $62,165.50 $6,811.47
jpy02t $6,922.62 ($6,514.18) $68,649.38 $10,480.35
Range Trade Strategies Average Annual Largest Drawdown Cumulative Net Gain Net Profit 2016
jpy01r $4,859.48 ($8,387.16) $48,189.87 $128.90
jpy02r $3,760.01 ($9,212.70) $37,286.75 ($647.90)

This study takes the daily “out of sample” performance for the 4 systems traded in this market then ranks the 15 possible combinations by life of program reward on risk. (reward on risk = life of program total net profit divided by maximum life of program drawdown)

jpy

Quotes and charts

Margin Requirement = $1,800

Contract size = 6,250,000 JPY

Why I trade multiple systems

By using a “basket” of momentum and range trade strategies I’ve increased my return on risk and smoothed out my overall equity curve.

I am an advocate of diversifying the markets I trade and the way I trade each market. I assume that I don’t know what strategy will perform best over the next 12 months or at any point in the future.

If you have any questions or would like additional information  contact us

Disclosure

Published by

Asset Investment Management

Family Office, Advisors

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