Sonex
- hypothetical · Annual Return (Compounded)
- 237.8%
- Max Drawdown
- 100.0%
- Trades
- 31
- Win Trades
- 90.3%
- Profit Factor
- 6.30
- Win Months
- 46.6%
About this strategy
Strategy:
Sonex FXsystem place trades on EUR/GBP, EUR/CHF and USD/JPY only. By trading these three currencies, we are able to specialise and extend our knowledge to a small basket of pairs.
The details of this strategy are confidential.
Money Management:
No stops or limits are deployed on the EUR/GBP or EUR/CHF at time of trade opening. USD/JPY will have stops deployed on occasion.
Due to the low ADR of the EUR/GBP and EUR/CHF we find it unnecessary to activate stops as they can be targeted by interbank players, trades are closed manually if the trade moved against our favour. Under normal circumstances however, it would be highly unusual for a position to go against us by more than 100pips.
Leverage:
Leverage varies on the strength of the trade and winning and losing positions can be added to. We suggest a leverage of approx 5:1 for each pair. Please bear in mind EUR/GBP has a higher pip value than most other currency crosses.
Sonex FXsystem place trades on EUR/GBP, EUR/CHF and USD/JPY only. By trading these three currencies, we are able to specialise and extend our knowledge to a small basket of pairs.
The details of this strategy are confidential.
Money Management:
No stops or limits are deployed on the EUR/GBP or EUR/CHF at time of trade opening. USD/JPY will have stops deployed on occasion.
Due to the low ADR of the EUR/GBP and EUR/CHF we find it unnecessary to activate stops as they can be targeted by interbank players, trades are closed manually if the trade moved against our favour. Under normal circumstances however, it would be highly unusual for a position to go against us by more than 100pips.
Leverage:
Leverage varies on the strength of the trade and winning and losing positions can be added to. We suggest a leverage of approx 5:1 for each pair. Please bear in mind EUR/GBP has a higher pip value than most other currency crosses.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 6.2 | 49.9 | 22.4 | 95.0 | |||||||||
| 2006 | -1.8 | -1.6 | -3.0 | 23.7 | 4.2 | -7.3 | -12.7 | -24.4 | -7.2 | -13.6 | 22.7 | -37.6 | -54.6 |
| 2007 | -66.7 | 194.1 | 2.6 | -40.6 | -45.4 | -99.4 | 20260.0 | 97.4 | 44.1 | -26.6 | 134.2 | 21.7 | 133.5 |
| 2008 | 64.5 | 27.5 | 28.2 | -21.1 | -8.4 | 4.9 | -15.1 | 15.8 | 12.8 | 38.7 | 1.3 | 46.0 | 363.1 |
| 2009 | -11.8 | -9.3 | 0.9 | -3.9 | 4.9 | -8.4 | 4.5 | 9.5 | 11.7 | -1.9 | 9.3 | -11.3 | -9.3 |
| 2010 | 2.6 | 4.7 | 0.2 | -5.5 | -1.4 | 17.3 | 2.5 | 12.8 | 2.2 | 0.1 | -1.6 | 16.0 | 58.8 |
| 2011 | -4.8 | -1.9 | 2.4 | 6.4 | 8.4 | 5.2 | 10.4 | -0.2 | -12.4 | -1.9 | -2.7 | -2.0 | 4.9 |
| 2012 | 4.2 | -6.2 | -0.3 | 1.0 | -3.1 | 0.8 | -1.5 | 1.2 | 1.5 | -1.8 | -1.2 | -3.3 | -8.7 |
| 2013 | -6.4 | 0.2 | -4.0 | -6.0 | -6.4 | 8.1 | 3.3 | -0.8 | 0.6 | 0.7 | -5.3 | -2.5 | -17.9 |
| 2014 | 0.8 | 4.9 | -3.0 | 1.2 | -2.0 | -0.4 | -2.8 | -2.6 | -8.1 | -3.7 | -4.2 | -5.4 | -23.1 |
| 2015 | 33.6 | -11.8 | 4.6 | -2.7 | -0.2 | -0.5 | -7.5 | 3.3 | -0.6 | -4.5 | -6.1 | 12.1 | 13.7 |
| 2016 | -4.8 | 15.3 | 5.3 | 3.6 | -8.9 | 19.0 | 2.4 | -3.2 | 6.3 | -2.9 | -12.3 | -0.8 | 15.6 |
| 2017 | 6.3 | -1.7 | 1.2 | -1.1 | 3.0 | 0.9 | -3.3 | 4.0 | -8.1 | -3.3 | 2.3 | -0.8 | -1.6 |
| 2018 | 6.7 | 3.0 | -4.1 | -7.8 | 5.9 | -1.3 | -1.2 | 7.4 | -5.2 | -1.0 | 0.2 | 7.1 | 8.7 |
| 2019 | -3.6 | -2.6 | -0.1 | -3.5 | -0.8 | 0.0 | 5.2 | -3.6 | -5.1 | 0.8 | 0.7 | -0.5 | |
| 2020 | 2.2 | 3.7 | 2.9 | -0.8 | 0.6 | 2.8 | 3.0 | -1.8 | 1.4 | 2.3 | -1.4 | 2.4 | 18.6 |
| 2021 | -3.2 | -6.5 | -5.9 | 5.6 | -0.3 | -3.5 | 3.6 | -0.1 | -2.1 | 0.6 | 1.8 | -0.6 | -10.7 |
| 2022 | -0.9 | -1.0 | -2.9 | -8.5 | 3.9 | -1.4 | 4.2 | -3.8 | 2.4 | -11.0 | 14.3 | 0.3 | -6.4 |
| 2023 | 4.2 | -3.8 | 4.0 | 2.7 | -3.8 | -3.1 | 5.9 | -2.0 | -6.2 | 6.4 | 0.4 | 7.7 | 11.6 |
| 2024 | -3.1 | -4.9 | -7.1 | -3.5 | 1.1 | 0.7 | 1.5 | 15.3 | 0.7 | -6.7 | -0.5 | -6.7 | -14.2 |
| 2025 | 1.2 | 0.6 | 3.0 | 12.5 | -0.5 | 4.9 | 0.2 | -2.3 | -0.0 | -0.0 | -0.0 | -0.0 | 20.5 |
| 2026 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | 0.0 | -0.1 |
Statistics
Overview
| Strategy began | 10/5/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 255 months |
| What it trades | Forex |
| # Trades | 31 |
| # Profitable | 28 |
| % Profitable | 90.3% |
| Avg trade duration | 696.4 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | June 25, 2007 - June 19, 2014 |
| Annual return (compounded) | 13.3% |
| Avg win | $54,388 |
| Avg loss | $80,635 |
Ratios
| W:L ratio | 6.30 |
|---|---|
| Sharpe Ratio | 0.04 |
| Sortino Ratio | 0.06 |
| Calmar Ratio | 0.32 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.12 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 539.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 1019.3% |
Return Statistics
| Ann Return (w trading costs) | 237.8% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 13.3% |
Slump
| Current Slump as Pcnt Equity | 56.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 4.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $80,635 |
|---|---|
| Avg Win | $54,388 |
| # Winners | 28 |
| Sum Trade PL (losers) | $241,904 |
| Sum Trade PL (winners) | $1,522,859 |
| Num Months Winners | 117 |
| # Losers | 3 |
| % Winners | 90.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 252 |
|---|
Frequency
| Avg Position Time (mins) | 1002829.38 |
|---|---|
| Avg Position Time (hrs) | 16713.82 |
| Avg Trade Length | 696.40 |
| Last Trade Ago | 386 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -2.09 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.24 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 2.19 |
| MAE:Equity, average, losing trades | 0.76 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.15 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 0.36 |
| MAE:PL (avg, all trades) | 2.89 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 20.28 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 79.18 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.24 |
| Avg(MAE) / Avg(PL) - Losing trades | -0.34 |
| Hold-and-Hope Ratio | 2.78 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 248.91 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.38 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 2551 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.8% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/CHF | short | 1500 | Jan 26, 2006 | Aug 21, 2025 | $1,117,568 |
| EUR/GBP | long | 1000 | Jan 24, 2006 | Aug 21, 2025 | $237,472 |
| USD/JPY | short | 1000 | Jan 23, 2006 | Aug 21, 2025 | ($2,150) |
| EUR/CHF | long | 1500 | Jan 25, 2006 | Jan 26, 2006 | $5,658 |
| EUR/CHF | short | 1500 | Jan 12, 2006 | Jan 24, 2006 | $3,163 |
| EUR/GBP | long | 1000 | Jan 18, 2006 | Jan 19, 2006 | $1,607 |
| USD/JPY | short | 1500 | Jan 13, 2006 | Jan 17, 2006 | ($98) |
| EUR/GBP | long | 1000 | Jan 12, 2006 | Jan 17, 2006 | $2,946 |
| EUR/GBP | short | 1000 | Dec 27, 2005 | Jan 12, 2006 | $134 |
| EUR/CHF | long | 2000 | Jan 3, 2006 | Jan 12, 2006 | $4,563 |
| USD/JPY | short | 1500 | Jan 9, 2006 | Jan 12, 2006 | $45 |
| USD/JPY | short | 1000 | Jan 5, 2006 | Jan 6, 2006 | $80 |
| EUR/CHF | short | 1500 | Dec 19, 2005 | Jan 3, 2006 | $5,597 |
| USD/JPY | short | 500 | Dec 29, 2005 | Jan 3, 2006 | $19 |
| EUR/GBP | long | 1000 | Nov 30, 2005 | Dec 27, 2005 | $3,281 |
| USD/JPY | long | 1000 | Dec 16, 2005 | Dec 20, 2005 | $28 |
| EUR/CHF | long | 2000 | Nov 23, 2005 | Dec 19, 2005 | $18,007 |
| USD/JPY | short | 2000 | Nov 22, 2005 | Dec 15, 2005 | $146 |
| EUR/GBP | long | 1000 | Nov 21, 2005 | Nov 28, 2005 | $2,812 |
| EUR/CHF | short | 1000 | Nov 21, 2005 | Nov 23, 2005 | ($1,338) |
| EUR/GBP | short | 1000 | Nov 21, 2005 | Nov 21, 2005 | $2,143 |
| EUR/GBP | long | 2800 | Oct 14, 2005 | Nov 21, 2005 | $19,258 |
| EUR/CHF | short | 1000 | Nov 2, 2005 | Nov 10, 2005 | $7,665 |
| EUR/JPY | long | 1000 | Nov 1, 2005 | Nov 2, 2005 | $45 |
| EUR/CHF | long | 1000 | Oct 21, 2005 | Nov 1, 2005 | $1,703 |
| EUR/CHF | short | 1000 | Oct 13, 2005 | Oct 21, 2005 | $7,422 |
| EUR/GBP | long | 1000 | Oct 13, 2005 | Oct 14, 2005 | $2,411 |
| EUR/GBP | short | 1000 | Oct 6, 2005 | Oct 13, 2005 | $2,009 |
| EUR/CHF | long | 1000 | Oct 11, 2005 | Oct 13, 2005 | $4,867 |
| EUR/GBP | long | 1000 | Oct 5, 2005 | Oct 6, 2005 | $6,294 |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs 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 these being shown.