Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Dejan Trajkovski
Strategy: Quantitative Analysis / FX
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FX QUANT 11 is a trading program based on quantitative analysis, statistical arbitrage and position size management. Through these methods, it trades currencies of developed countries (EUR, GBP, CHF, CAD, AUD, NZD, SEK, NOK and SGD) in the spot markets and does not trade futures or options on futures on any organized exchange. This program analyses exchange rates between the currencies comprising the basket. The strategy identifies relatively strong and weak currencies and gives specific trading signals for each currency, which are then implemented against the 8 remaining currencies. The resulting positions are then implemented in the market.
It uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to predict market direction (no one can predict market direction!), no pattern recognition techniques and no trading rules based on trader's experience. The trading system is always in the market, but portfolio weights are adjusted daily. Leverage is applied in line with client's preferred risk tolerance level. The strategy was modified in December 2012 and back testing results of the currently traded strategy can be seen at http://www.fx-quant.com/FXQ/BackTesting-FxQuant11.htm .
Rates of returns are calculated from trading in managed accounts as well as proprietary accounts. Returns from proprietary trading are based on proforma adjustments to a proprietary account to reflect fees. Client accounts are traded in like fashion. The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs.
Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification; second is controlling leverage through position sizing adjusted according to account size, volatility and risk-reward analysis; and third is catastrophic stop based on money management rules.
The trading methodology is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D. Dejan received his M.S. degree in Applied Mechanics of Deformable Body and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Mechatronics, Computerized Motion Control and Robotics. Dejan Trajkovski was employed at the Faculty of Technical Sciences in Bitola, Macedonia as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present). The foreign currency and equity market became his field of work in 2001. Dejan was confident that financial markets were the the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research and development of trading systems, and his quantitative trading systems are currently used by Lyncestis LLP.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.37% | 0.03% | -3.09% | -2.7% | -3.09% | |||||||||
| 2024 | 0.81% | 0.31% | -0.39% | 0.26% | 0.11% | 0.33% | -1.32% | 0.99% | 0.39% | 0.60% | 0.64% | 0.15% | 2.89% | -1.32% |
| 2023 | 1.21% | 0.73% | 0.43% | -0.11% | 0.27% | 0.51% | 0.05% | 0.40% | -0.72% | 0.35% | 0.15% | -0.16% | 3.14% | -0.72% |
| 2022 | 0.09% | 0.78% | -0.21% | 0.19% | 0.62% | 0.77% | 0.84% | 0.66% | -1.31% | 1.89% | 0.39% | 0.18% | 4.96% | -1.31% |
| 2021 | 0.62% | 0.02% | -0.12% | 0.79% | 0.49% | 0.54% | 0.91% | 0.53% | 0.29% | -0.33% | -0.39% | 0.85% | 4.27% | -0.71% |
| 2020 | -0.65% | 0.35% | -6.92% | 0.71% | -0.33% | 0.58% | 0.10% | 0.30% | 0.25% | 1.00% | 0.03% | 0.94% | -3.85% | -7.19% |
| 2019 | 0.57% | 0.31% | 0.91% | 0.07% | -0.40% | 0.10% | -0.21% | 0.24% | 0.60% | 0.52% | 0.43% | -0.09% | 3.09% | -0.51% |
| 2018 | 0.23% | 0.39% | -0.17% | -1.11% | 0.28% | 0.78% | 0.79% | -0.90% | 0.86% | 0.56% | -2.15% | 0.01% | -0.46% | -2.15% |
| 2017 | 1.04% | 0.23% | -0.71% | -1.40% | 1.19% | -0.07% | -1.37% | -1.23% | 0.89% | 0.23% | 0.71% | 1.38% | 0.83% | -3.56% |
| 2016 | 0.97% | 1.90% | 1.13% | -0.02% | 0.43% | 0.59% | 0.35% | -0.04% | 0.09% | -1.48% | 0.22% | 0.27% | 4.45% | -1.48% |
| 2015 | 1.19% | 1.17% | 1.06% | 0.55% | -0.85% | -1.19% | 2.26% | 0.39% | 1.37% | -1.76% | 0.79% | -0.24% | 4.76% | -2.02% |
| 2014 | 1.65% | 0.77% | 0.14% | 0.35% | 0.15% | -1.00% | -0.07% | -0.34% | -0.51% | 1.74% | 0.44% | -1.12% | 2.18% | -1.9% |
| 2013 | 0.05% | 1.25% | -0.17% | 0.73% | -0.58% | 0.62% | 0.67% | 0.96% | -0.05% | 1.03% | -0.60% | -0.77% | 3.15% | -1.36% |
| Years | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 |
|---|---|---|---|---|---|---|
| ROR | 3.15% | 2.18% | 4.76% | 4.45% | 0.83% | -0.46% |
| Max DD | -1.36% | -1.90% | -2.02% | -1.48% | -3.56% | -2.15% |
| Years | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
|---|---|---|---|---|---|---|
| ROR | 3.09% | -3.85% | 4.27% | 4.96% | 3.14% | 2.89% |
| Max DD | -0.51% | -7.19% | -0.71% | -1.31% | -0.72% | -1.32% |
| Years | 2025 YTD |
|---|---|
| ROR | -2.70% |
| Max DD | -3.09% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.