To emerging market managers, funds of funds, seeding platforms, family offices, high-net-worth individuals and endowments:

Disclaimer: Cyamus does not provide any tax, legal or investment advice, personal recommendation or advising on investments and nothing in this website should be construed or interpreted as an investment advice, an offer to sell or buy, a solicitation of an offer to buy, or a recommendation related to any investment in financial instrument.

Cyamus Trading (“Cyamus”) is founded in 2019 by Terry Li (ex-VP of 796 Exchange, ex-CEO of TDEx, and a license distributor of Trading System Lab for the greater China region). Cyamus offers systematic trading and data analysis services to institutional clients who actively seek asymmetric returns. In fact, we do not offer any trading system which Annualized Risk Return Ratio (CAGR / MDD) is lower than 6. We do not use the two and twenty (or “2 and 20”) fee arrangement. Ours is “0 and 30”. Most of our investors prefer this fee structure, only paying if our trading system performs.

Our quantitative developers focus on researching and developing mid-frequency trading systems for the financial instruments that offer the highest spread-to-pip potential. We develop trading systems to trade the instruments that belong to these three categories: 1) Japanese Yen Pairs; 2) Stock Index Pairs; and 3) Crypto Pairs. The strategies that trade on the Japanese Yen Pairs and Stock Index Pairs have gone LIVE trading real money since February 2019; and the one that trade on the Crypto Pairs is still being tested in-house sooner become available for invited clients to trade LIVE:

  1. Japanese Yen Pairs (LIVE)
    • US Dollar to Japanese Yen
      • USD/JPY
    • Euro Dollar to Japanese Yen
      • EUR/JPY
    • Great British Pound to Japanese Yen
      • GBP/JPY
  2. Stock Index Pairs (LIVE)
    • US Dow Jones Industrial Average
      • USA30.IDX/USD
    • Germany DAX 30 Stock Market Index
      • DEU.IDX/EUR
  3. Crypto Pairs (Testing…)
    • Bitcoin
      • BTC/USD
    • Ether
      • ETH/USD

Cyamus Yen Trading System is historically back-tested since the year 2004 based on bid-n-ask tick data provided by Dukascopy Bank. Forex brokerage industry is trending toward offering higher and higher leverage ratio, sometimes up to 200:1 but the entry signaled by Cyamus Yen Trading System have never exceeded 7.42:1. Therefore, our clients can take comfort in knowing that most of the forex brokers that they have been using for years are most likely to be compatible with Cyamus Yen Trading System.

Cyamus Index Trading System is historically back-tested since the year 2014 based on bid-n-ask tick data provided by Dukascopy Bank. The leverage ratio used by Cyamus Index Trading System have never exceeded 14.35:1,which is well below 50:1 (weekday) and 30:1 (weekend) offered by Dukascopy Bank on CFD trading instruments.

Note that Cyamus Yen Trading System and Cyamus Index Trading System take on new position as market opportunity presents itself, i.e. decision making process of opening a new position does not take existing position(s) into consideration. Therefore, position scaling and hedging may happen but they are not inherit part of the trading system.

Cyamus’ Trading Systems

Cyamus Yen Trading System and Cyamus Index Trading System have helped clients trade LIVE market since February 2019. Our clients are happy to see that their LIVE trading performance resembles historical performance. Note that historical performance resembles LIVE trading results in terms of entry and exit price points only. The rates of return on investment vary based on clients’ individual risk tolerance.

Cyamus Clients’ LIVE Trading Performance Reports & Testimonials in PDF

We believe that spectacular LIVE trading results and satisfactory clients are only the electrifying parts our trading systems. You should also analyze our historical trading performance matrices in order to decide for yourselves if our trading system can compliment your existing investment style. In the following, we highlight some of the major performance measures:

  • Maximum Drawdown (MDD) and Annualized Risk Return Ratio will help you work out your risk capital allocation on a time horizon scale.
  • R-Expectancy = Net Profit of All Trades ÷ Total Number of Trades ÷ Average Loss per Losing Trade = Average Profitability per Trade (APPT) ÷ Average Loss per Losing Trade (R). It will help you evaluate reward-to-risk ratio on a per trade level. In other words, it gives you an idea of the return that you can expect from our trading systems on the average per dollar risked.

Performance Measures

The earliest trading system that we developed is on Japanese Yen Pairs (USDJPY, EURJPY and GBPJPY) are Cyamus Yen Trading System. The other trading system that Cyamus developed is on two (2) stock index pairs: USA30.IDX/USD and DEU.IDX/EUR. They have been traded LIVE since Feb 2019 on Dukascopy Bank.

Historical backtesting reports of the two trading systems are presented below. They share the same position entry setup and exit. They are simply constructed based on different position sizing techniques so that you can have a clearer picture of how the trading systems perform.

Dynamic Lot

Dynamic Lot as position sizing technique helps you understand how your investment may grow in time in percentage terms, effectively eliminating the factor of risk capital allocation. That is, no matter how much money you allocate to trade the systems initially, the performance measures can still be applicable because all new positions are dynamically sized based on current account balance (CAB) at time of opening a new position and maximum drawdown (MDD).

  • Cyamus Yen Trading System
    • Newly established position size equals to 0.01 x 10% x CAB/MDD, where the 0.01 is the minimum transaction size on forex currency pairs permissible by Dukascopy Bank, the 10% is the controlling factor for risk capital, and the MDD is -7.36% based on 2004 to July 2020 historical performance data.
  • Cyamus Index Trading System:
    • Newly established position size equal to 0.1 x 10% x CAB/MDD, where the 0.1 is the minimum transaction size on stock index pairs permissible by Dukascopy Bank, the 10% is the controlling factor for risk capital, and the MDD is -10.30% based on 2014 to July 2020 historical performance data.

Fixed Lot

Fixed Lot as position sizing technique allows us give you a fair and reasonable presentation of the R-Expectancy. It will help you evaluate reward-to-risk ratio on a per trade level. In other words, it gives you an idea of what to expect from our trading systems on the average (i.e. per dollar risked).

  • All new position sizes are the same.
  • Cyamus Yen Trading System
    • All positions are opened with 0.01 standard lot, which is the minimum transaction size on forex currency pairs permissible by Dukascopy Bank on forex currency pairs.
  • Cyamus Index Trading System
    • All positions are opened with 0.1 standard lot, which is the minimum transaction size on forex currency pairs permissible by Dukascopy Bank on stock index CFDs.

Throughout this page, we will continue to use to denote Dynamic Lot; and to use to denote Fixed Lot for clarity and shortness.

All the numbers presented below have factored in negative impact of the transaction costs, such as spread, commissions and broker interest charges. In other words, you would have experienced the same results if you manage to travel back in time to trade Cyamus Yen Trading System and Cyamus Index Trading System LIVE. You can also click on the link to visually examine the equity growth of the trading system; and click on the link to see the month-to-month equity growth in percentage in the model or in dollar in the model.

/ Yen System Performance

The historical trading system performance report is broken down in three (3) timeframes (C, B, A), where C is the most recent and A stretches as back as historical data allows:

C: 2016 to July 2020

Total 19676 trades are made and roughly 17.21 positions are opened on every trading day.

Dynamic Lot

Fixed Lot

B: 2010 to 2015

Total 26495 trades are made. Roughly 21.06 positions are opened on every trading day.

Dynamic Lot

  • : Equity Curve
  • : Monthly Profit-and-Loss
  • : Annualized Risk Return Ratio (CAGR / MDD) is 18.04, where CAGR is 85.31% and MDD is 4.73%. : Profit Factor: 1.57; Win Rate: 50.36%; Win # / Loss #: 1.01

>Fixed Lot

A: 2004 to 2009

Total 27583 trades are made. Roughly 18.23 positions are opened on every trading day.

動態手數
Dynamic Lot

  • : Equity Curve
  • : Monthly Profit-and-Loss
  • : Annualized Risk Return Ratio (CAGR / MDD) is 12.45, where CAGR is 68.6% and MDD is 5.51%. : Profit Factor: 1.76; Win Rate: 51.23%; Win # / Loss #: 1.05

Fixed Lot

/ Index System Performance

The historical trading system performance report is as follows:

2014 to July 2020

Total 23605 trades are made and roughly 13.84 positions are opened on every trading day.

Dynamic Lot

Fixed Lot