ApexAlgo FX

Hedged Mean-Reversion FX Strategy
Reporting Period
Feb 2025 — Apr 2026
Investor Factsheet
Annualized Return
63.7%
77.7% period return
Net Profit
$57,086
on $73,425 capital
Max Drawdown
<10%
capped by options
Monthly Avg
5.55%
14 months
Win Rate
92.7%
381 trades
Sharpe 10.81
Sortino 12.21
Calmar 6.37
Profit Factor 5.72
Trades/Month ~27
Pairs 25
Monthly P&L
Cumulative P&L
Hedged vs Unhedged Comparison
Metric ▲ Hedged Unhedged
Net Profit (14 months) $57,086 $48,099
Maximum Drawdown <10% 58.6%
Maximum Single Loss 3% capped Unlimited
Max Position Duration 30 days 387+ days
Calmar Ratio 6.37 1.09
Open-Ended Risk None $21,093 unrealized
Trade Outcome Model
A
92.7%
Normal Trades
Standard mean-reversion trade. Opens, reverts, closes in profit. No doubling required.
+0.2% per trade
B
7.1%
Double Recovered
Adverse move triggers double & option purchase. Price reverts, option sold back recovering ~85% of premium.
~0% (breakeven)
C
0.3%
Capped Loss
Adverse move continues past option strike. Position closed at strike. Loss capped at 3% of notional.
-3% max loss
Strategy Overview

Mean-reversion algorithm trading 25 FX pairs with options-based tail risk hedging. When the algorithm detects adverse price movement and doubles position size, an FX option is simultaneously purchased to cap maximum loss at 3% of notional. The option is sold back when the position recovers, recouping ~85% of premium cost. Every position has a defined maximum loss and maximum duration.

Risk Management
  • No position without a defined exit
  • Every loss bounded by option strike
  • Diversified across 25 FX pairs
  • Real-time P&L — halt at any time
  • Failure mode visible month-by-month