Performance Statistics

How are the Leaderboard results calculated?

The Leaderboard lists the top 10 traders based on their Return and Pips in two different time periods - “This Week” and “This Month”.

The weekly period starts when markets open on Monday in Asian trading and ends on Friday evening after the close of the trading.
The monthly period starts on the 1st of the current month and ends on the last day of the month.

Return (as further explained below) is calculated as the Time Weighted Rate of Return in the given time period.

Besides having a good return, additional conditions must be fulfilled for an account to appear on the Leaderboard:

  • Account must have been synchronized (connected with the FX Junction bridge) and online
  • Account must have a positive total number of pips generated in the given time period
  • Account must have a positive total return
  • Current account's equity must be larger than $100 

How is the Return calculated?

We currently calculate 4 different types of returns:

  • “Return” - this is the main performance measure and is a Time Weighted Rate of Return (TWRR). TWRR is the most widely accepted performance measurement methodology and is compliant with the CFA's Global Investment Performance Standards.

The calculations are performed every 15 minutes. As is the case with most other statistics, the more frequently the account is kept online, the more accurate the measures are.

  • ROI - Return On Investment - is calculated as Sum of Realized and Unrealized Profit over Total amount of Deposits.

∑(Realized and Unrealized Profit including Commissions and Interest) / Sum (Deposits)

What is Drawdown and how is it calculated?

Drawdown is a measure of the maximum peak-to-trough loss in equity suffered by the account over its history.

Technically it is determined as a maximum difference between equity at a point in time called local maximum and a subsequent equity point called local minimum. Note that the local maximum and local minimum do not necessarily correspond to the historically highest and lowest equity points for the give account.

Let’s illustrate this on an example. Here is a chart showing an time series evolution of a sample account equity (in 15 minute intervals):

The Drawdown is determined as a maximum difference between 2 subsequent points on this chart. The first point is called Local maximum, the second Local minimum. No other 2 subsequent points on the chart have a bigger difference in value than these 2 points.

The difference in value between Local maximum and Local minimum is called an Maximum Drawdown. Another measure, a Relative Drawdown is calculated as Maximum Drawdown over the value of Local maximum.

Deposits and Withdrawals to and from the account should not influence the Drawdown calculations. However this is dependent on these external flows being correctly recorded by the broker and fed to the MT server with the correct dates. It sometimes happens that after an external flow (Deposit or Withdrawal) occurs, the broker only records it several days after the actual date. In these cases, the correction for the external flows will not be correctly applied and a new Local maximum or Local minimum can erroneously be created.

What are Volatility, Value at Risk and Sharpe Ratio and how are they calculated?

These are different risk measures reflecting the variability of the account’s returns.

The Volatility is measured as a standard deviation of the account’s daily returns.

Value at Risk (or VaR) is a measure of the risk of investments. It estimates how much a set of investments might lose, given normal market conditions, in a set time period.

Specifically we compute a parametric VaR with a 95% confidence interval over a period of 1 day. What this means is that this measure shows how much of the account’s equity is likely to be lost given the account’s historical return and volatility data on a ‘bad’ day, defined as the 5th worst day out of 100 trading days.

Sharpe Ratio is a measure of a risk adjusted return, i.e. how much return the account generated over a unit of risk. The ratio is thus calculated as Return over Volatility.

What is Online Frequency?

Online Frequency measures how often a member's linked account is connected to their FX Junction profile -- which is checked every 15 minutes by FX Junction. Accounts linked less than 24 hours ago don't have the Online Frequency displayed. The indicator is displayed as a percentage.