ApexAlgo FX

Hedged Mean-Reversion FX Strategy
Reporting Period
Nov 2024 — Jun 2026
Investor Factsheet
Annualized Return
68.2%
113.6% period return
Net Profit
$83,401
on $73,425 capital
Max Drawdown
<10%
capped by options
Monthly Avg
5.68%
20 months
Win Rate
91.2%
511 trades
Sharpe 4.94
Sortino ∞
Calmar 6.50
Profit Factor 7.05
Trades/Month ~26
Pairs 25
Monthly P&L
Unhedged
Single Option
Straddle
Cumulative P&L
Unhedged
Single Option
Straddle
Strategy Comparison
Metric ◆ Straddle ▲ Single Option Unhedged
Net Profit (20 months) $71,718 $66,676 $83,401
Hedge Cost $9,520 (11.7%) $14,562 (17.9%) —
Maximum Drawdown <10% <10% 58.6%
Maximum Single Loss 3% capped 3% capped Unlimited
Calmar Ratio 4.30 3.97 0.81
Recovery Profit (41/54) +$8,219 — —
Open-Ended Risk None None $26,066 unrealized
View Full Hedge Report →
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 & straddle purchase. Price reverts ~35%, recovery option profits while protective option is sold back.
~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 doubles position size, a straddle (put + call) is purchased: the protective side caps loss at 3% of notional, the recovery side profits from mean reversion. On 76% of doubles the recovery option earns back more than its cost, reducing net hedge expense to 10% of P&L. 20 consecutive profitable months with zero negative months.

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