FX Portfolio Research
Our methodology is simple: test everything against real costs, keep only what survives. The one described below survived the most. We call it Tiktaalik, after the fish that learned to walk.
197+ experiments. 12 years of 5-second tick data. All results below are out-of-sample (2020+), post-spread, post-financing.
CAGR (5x leverage)
16.37%
Max Drawdown (5x)
12.0%
Calmar Ratio
1.36
Monthly Win Rate
73.3%
Sharpe 1.71 · 1 losing full years · Out-of-sample (2020+), full execution simulator (Oanda spreads + financing)
Returns by Leverage
| Leverage | CAGR | Max DD | Worst Year | Calmar | |
|---|---|---|---|---|---|
| Base | 5x | 16.37% | 12.0% | 7.3% | 1.36 |
| Moderate | 10x | 32.36% | 22.1% | 13.8% | 1.47 |
| Aggressive | 15x | 48.28% | 30.8% | 19.4% | 1.57 |
| High | 20x | 64.04% | 38.5% | 24.0% | 1.66 |
Out-of-sample (2020+). Post-financing (Oanda rates). Compound returns.
*Sharpe ratio: annualized from monthly returns (mean/std × √12). Reported for completeness but easily gameable via leverage or period selection, so not featured as a headline metric.
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