Trading Performance

This page shows a continuous trading record since March 2015 for Greg Gibbs, Director of Amplifying Global FX Capital and author of its reports published on this website.

In generating performance data some assumptions have to be made about the notional capital invested.  I have assumed that at the beginning of each calendar year, $1 million is invested.

How large is the potential return and the variability of performance will be highly influenced by how much leverage is employed when trading.  The leverage most often applied during my trading has been two times the assumed capital.  In other words, the position size of each trade was most often $2 million.  However, multiple positions have frequently been held, such that risk has been at times much larger.

The records that I have kept of my trading performance is opening and closing prices and dates.  I have not kept data on or tried to recreate daily profit and loss results that would provide a richer understanding of the mark-to-market swings in returns.  The return shown in the line charts below is an accumulation of returns from each trade ordered by closing date. For simplicity I have not included interest costs or carry returns.

Since 2015, I have also included a column chart of marked-to-market monthly returns.

The tables below the charts provide results for each currency pair traded (returns, number of trades, %winning trades, %max win, %max loss, %average return).  The dollar amounts reflect the size of the positions, the percentage returns in the tables assume each positon is the same size.

Further Details

Some of this record comes from actual trading and some from notional or ‘paper’ trading.

In 2013, the Head of FX Trading, RBS Singapore (at my previous place of employment) agreed that it would be unique and useful to have a strategist writing reports and talking to customers with ‘skin in the game’.  As such, I was given a mandate to trade G10 currency pairs from early-March 2013.  (I had traded at various times earlier in my career).

In May 2014, just over a year later, my trading mandate was closed because it was considered to be no longer consistent with the tougher regulatory environment, to avoid any appearance that the strategist may have a conflict of interest. However, having begun to develop a track record, I continued to trade notionally,

Since beginning operations at Amplifying Global FX Capital on 15 October, I have started trading my own capital.

In March 2013, when I was given a trading mandate, the trading parameters were that daily loss was to be no more than $100,000 and no more than $300,000 per month.  From the outset, with these parameters in mind, I began to trade in $2 million size positions.  I generally stuck to this position size during 2013, although sometimes built up the position to multiples of two or three times this amount.

In 2013, USD/JPY was an initial focus of my trading.  I had been very bullish USD/JPY from 2012, increasingly so as Abe came to control the government.  As such, if I had been trading from the beginning of 2013 my returns would have been very strong in Q1.  But my trading limits were not approved until March 2013.  Nevertheless, I was able to begin on a firm footing by setting myself long USD/JPY ahead of the historic April BoJ QQE policy shock and capture the later stages of the first major leg up in USD/JPY in 2013 that peaked in May.

Apart from strong profits in USD/JPY, during Q2 and Q4, solid gains were also made trading primarily down trends in AUD, NZD and AUD/NZD.  There was a large and ill-fated foray into EUR/SEK that undermined returns.  In hind-sight the position size was too large and out-of-line with a lack of experience in this currency pair.

From March to end-2013, over almost 10 months, my trading return was $513,500.  The sum of percentage returns assuming each trade was equal in size was 30.8%.  There were 94 trades, 52% of these were profitable.  The table above breaks this down by currency pair and also shows maximum win, maximum loss, and average return per trade in each pair.

In May 2014, just over a year later, my trading mandate was closed because it was considered to be no longer consistent with the tougher regulatory environment. However, having begun to develop a track record, I continued to trade notionally.  The results were at least positive early in the year of 2014, which was a particularly directionless period in which volatility fell to historic lows.  Returns picked up from around mid-2014 as I was trading long USD positions against JPY, EUR, GBP and AUD.  There is a large return shown at the end of 2014; this is because I had ‘in-the-money’ open short EUR and AUD positions that I marked-to-market at end-2014.

In 2014, my trading return was $1,188,600. The sum of percentage returns assuming each trade was equal in size was 43.2%. There were 76 trades, 62% of these were profitable.

In 2015 there were very large returns in Q1.  The line chart illustrates that most of these were realised in March.  I carried a significant short EUR and AUD position into the beginning of the year and built up the EUR position further in January and February, before and after the ECB announced QE in January.  These positions were closed ahead of the FOMC meeting in March at which it first revised down its growth and rates outlook in part due to a stronger USD.

Trading Style

My approach to markets is first and foremost based on macro-economic analysis.  My ‘Amplifying Global FX’ report provides an insight to the way I operate and think about markets.

This essentially sets up my preferred trades.  My broad view tends to be in place for periods of several months to years.  I have been mostly bullish USD since late-2012, and I have been mostly either long USD against a variety of currencies or square.  I do not tend to trade counter to my fundamental view.

More recently I have traded other pairs (AUD/NZD, AUD/CAD and EUR/JPY) perhaps because the bullish USD view is starting to feel mature.

I use technical and behavioural analysis to derive the timing and level of entry, always setting a stop loss at the time of entry.  I typically find I am most comfortable entering trades that have around a 1 to 1.5% stop-loss.

I prefer trades where I see potential for considerable upside, although there have been times when I have taken more short term trades where I might be only looking for a 1% gain.  I view trades in terms of probabilities.  Obviously to enter a trade there should be less probability of it hitting my stop loss than making at least a 1% gain.

I frequently do not set a take profit at the outset of a trade.  Sometimes I place a take profit order a considerable distance from the current spot level on the basis that if it stretches that far in one session, the market is likely to snap-back.  I move my stop closer to market in a winning trade after I see a new technical level to work with.  If I think a trade is mature, I will move my stop loss closer to market.

I may at some point in a trade think the risks become evenly balanced, and set a take profit closer to market.  But I tend towards existing on stop losses.  My impression is that I tend to under-estimate how far a market will run in a certain direction, and it is best not to rush to take profit.

I start with roughly a 1 to 1.5% stop loss, but frequently allow this to widen out as a trade moves into the money.  I tend not to move my stop to keep in a losing trade.

I like to see where a market retraces to before moving my stop loss to lock in gains (or limit losses).  I try not to be overly influenced by my entry level, and more so what I think are key levels.

My style tends to work better in trending and not ranging markets.  I have on occasion traded for short term gains in ranging markets.

I have found losing periods have occurred when I am positioning for larger moves and end up getting caught out by false breaks. I am pretty cautious trading in ranging markets.  I prefer to wait them out.

I find that I like to enter a trade after it has moved in a direction that is in line with my fundamental view.  I am in this respect a ‘momentum’ trader rather than a ‘value’ trader.  The degree of momentum or confirming direction does not tend to be very much. I rely on my confidence in the macro view to allow me to enter trends early.  Obviously there is a risk that I jump the gun with this approach, and that has happened, but by-and-large I think this works for me.

I built up a very large position in the EUR in the last eight months to February 2015.  In assessing how this happened, it reflected a strong fundamental view.  As trades moved into profit, I left them on, but added new trades.  I was particularly aggressive in late December and early January due to a stronger than usual fundamental view. With a considerable profit essentially booked in my mind up to my stop loss levels I felt more comfortable essentially risking this profit by trading with larger amounts.  As such the position size reflected a combination of my confidence in the view and the accumulated return.

At that time my position size was the largest held so far and thus my return was subject to greater potential variation.  But I was comfortable with this on the basis that I was seeking a higher return risking profits rather than perceived capital and a decent return was essentially booked by adjusted stop losses.

I have exclusively traded spot G10 FX to date.  I have on occasion thought it would be useful to use options in certain market conditions, looking to exploit what I might see as high or low implied volatility relative to the underlying market.  However, for simplicity of maintaining a trading record and since my underlying style is to look for sizeable macro-driven shifts, I have found trading spot has sufficient scope.

I know that some traders like to use short dated options to trade around key events.  I have found that I do not adjust my trading much around key events.  I assess the worthiness of a trade into an event on the basis of event probabilities, not dissimilar to how I might view every trade, it is just that around events these moves may be more discrete.  My stops have tended not to be so close to market to warrant fear of a gapping move through them. I am mostly trading a broader view and events often present a moment of higher volatility within the broader trend.

If I thought a market might become so illiquid, I would not have the trade.  The SNB-shock in January 2015 highlights that a degree of vigilance is required.  I won’t say I predicted it, but my macro-driven view did not see any upside in being long EUR/CHF near the floor rate, and I mentioned in ‘Amplifying Global FX’ that it was understandable that the pair should trade down to the floor.

I have traded after an event if I thought it significant enough and/or the price action tended to confirm my view of the market.