Performance Statistics

How are the Leaderboard results calculated?

The Leaderboard lists the top 10 traders based on their Return 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 total Realized and Unrealized Profit over Average account Equity in the given time period.

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

  • Account must have been synchronized (connected with the FX Junction bridge) within the last 24 hours so that we can verify that results are up to date
  • Account must have a positive total number of pips generated in the given time period
  • Account's equity must be larger than $100 on average during the period

How is the Return calculated?

We currently calculate 4 different types of returns:

  • “Return” - this is the main performance measure and is calculated as a Sum of Realized and Unrealized Profit over Average Equity in the given time period.

∑(Realized and Unrealized Profit) / Avg (Equity)

The calculations and account equity snapshots 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.

  • Normalized Return - is similar to “Return”, however with an assumption that all account’s trades were done using the same lot sizes. This return is then immune to the variability in trade sizes, and considers the contribution of each trade to the overall return with the same weight.

As an example, consider a series of trades on an account:

  • One 5-lot trade, with a return of 10%
  • Ten 0.01-lot trades, with a negative return of -10% each

In the case of the “Return”, the overall account return would be:

(5 * 10% + 10 * 0.01 * (-10%)) / (5+10*0.01) = 9.6%.

As you can see, the overall return would be almost wholly determined by the 1 large trade.

On the other hand, the Normalized Return assigns the same weight to each individual trade and thus the resulting overall Normalized Return would be:

(10% + 10 * (-10%))/ 11 = -8.2%

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

∑(Realized and Unrealized Profit) / Sum (Deposits)

  • IRR - Internal Rate of Return - is calculated iteratively and is defined as follows:

“The internal rate of return on an investment or project is the "annualized effective compounded return rate" or rate of return that makes the net present value of all cash flows (both positive and negative) from a particular investment equal to zero.”

Positive cash flows are the Profits generated from trading and Withdrawals from the account. Negative cash flows are Losses generated from trading and Deposits to the account.

The shortcoming of this method that sometimes the IRR function returns no value (or a value that is outside of the scope for normal return values). This happens frequently with accounts that have a very limited history (recently created or recently connected accounts).

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.