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[DARWIN] JTL by okcm2019

Hi @okcm2019,

Thank you for introducing such as wonderful and steady system. I have also invested in your system under Darwinex and have made some profits as well.

If possible, may I also ask some questions so as to understand your system better and increase my investment once I am comfortable with the risk which this system is undertaking.

1. First, I understand that you do not like to disclose much on the trading pairs and the principle behind JTL, other that this system run favourably on volatility and "momentum". Hence I would not go in depth into how you derive your system and the mechanism behind it.

2. Can I check if the system which JTL is using is in any way similar to GRID where an ever increasing size is being placed if it is under loss and once the direction reverse, due to the much larger lot size placed towards the end, the basket of trades will gradually be closed in profit. The risk with this GRID system is that its statistics looks to be absolutely great with stable return and low risk for a substantial time. But as soon as the overall direction do not turn, it will run the possibility of exploding with the account turning into negative steeply and in a short time. Since JTL also require volatility to generate return constantly and it open a basket of positions which last from hours to days which is quite similar to how GRID system is running. I would appreciate if you can provide some clarification on this

3. Next, do you script the algo for your system? I read from the previous posts that you do take into consideration on how the big players in the market trade and based your system in accordance to them. So do you constantly adjust your algo? How do you ensure that your new algo will perform the same with the adjustment?

4. Your statistics and numbers look to be very good with a winning rate of about 47-50% and a winning return of 3:2 over the whole period which you have an account with Darwinex. Can I please check before you started the account with Darwinex, which other brokers do you have an account with and how was their performance? And how do you ensure that you will maintain the same statistics in the future since you mention that you are constantly adjusting your strategy and any future performance will not take reference to your performance in the past (decline to provide backtest as a result).

5. I understand that you have also backing your account with much fund as a proof that you are serious in ensuring the accountability of the system to investors. I am very grateful for this. I would very much appreciated if you can provide a regular update of the existing fund which you have left in JTL (perhaps on a monthly basis) so that we investors will be much assured on the principle on that main trader is in the same boat as us investor and would be safe to invest a much larger fund to JTL
 
Hello @rayzzzz82
Thank you for your questions and thank you for investing in JTL.
The answers to your questions are listed below.

1 I apologize for not disclosing my strategy. There has long been a study of how momentum occurs among some participants in the Japanese commodity market. Candlesticks spread around the world because they were intuitive and easy to understand, but other studies may have been lost as the Japanese commodity market shrank.

2 I am not familiar with the GRID systems, so I apologize if my answer is not as desired. I think it is natural to ask such questions based on the stability of the recent results and the rapid increase in the number of trades. From my research, grid strategies are probably similar to the martingale approach, so if it is a grid strategy, the risk is increasing as the number of open trades increases. in the case of JTL, the number of open trades has increased significantly, but the D-Leverage has not changed much. It would also be possible to check if the strategy has changed by looking at the Loss Aversion value.
otanddl.png


3 The algorithm code is written in python. I am not familiar with MQL, I use MT4 only for placing orders. The commodity market is similar to playing poker with people I know because the number of participants is limited. I have some knowledge of how they trade so I can track their actions. I just apply this method to the currencies and stock indices. Commodity markets have large changes in market behavior with regime change, but the strategy used by JTL does not consider regime change, so the core strategy is unchanged. I make adjustments to increase the capacity value. I believe that even if I create a new algo, the core of the algorithm is the same, so even if I change the parameters slightly, the results will be about the same.

4 I have accounts with other brokers such as Interactive Brokers and Japanese brokers. However, I am not using the strategy used in JTL, but other strategies for strategy diversification. The JTL strategy is now my main strategy, but it was not a strategy I focused on that much before. (Because I had a different strategy that was more profitable at the time.) As for how I check future performance, in my case, I cannot create strategies based on data analysis from the noisy financial markets, so I create strategies deductively based on theories that are almost always profitable. I am not dismissing data analysis. I have been analyzing data for about 10 years since I started trading. It's just that in my case, future performance was more consistent with strategies that used theories that clearly showed that the strategy would be profitable before I backtested it. The reason I don't show you the backtest is also due to my experience of failure. About 9 years ago I managed other people's money in China, but at that time I was unable to make agile adjustments to the strategy because I had first shown them the backtests, and the fund management ended after only one year. This time I was not thinking of managing funds from the beginning and I already have a three year track record so I would like to manage without showing you the backtest.

5 I understand. This is my current funds. At the beginning of October my funds were around 670,000 USD.
myfund.png

Probably, if I trade only for myself, I think about 300,000 USD is appropriate for OTC brokers. (Because it is more advantageous to trade in futures with a larger amount.) However, since many investors have invested in JTL, I would like to keep the money until it reaches 1,000,000 USD.

Thank you for reading.
 
Hi @okcm2019,

Thank you so much for your quick response. Very much appreciated on the replies and clarification to the questions posed. If you do not mind, I would like to further seek clarification to the replies posted by you to get a better understanding since the "momentum" system used in the commodity market sound pretty new to me.

1. "I apologize for not disclosing my strategy" - It is perfectly alright not to share your strategy at all. I agree with it. We shall mostly touch on the risk components of your strategy and if it would work in the long run. I would also like to touch on certain points which you have highlighted in your strategy description if you do not mind to elaborate further.

2. "From my research, grid strategies are probably similar to the martingale approach, so if it is a grid strategy, the risk is increasing as the number of open trades increases. in the case of JTL, the number of open trades has increased significantly, but the D-Leverage has not changed much." - Yes, what I am referring to the the grid and martingale system. I believe that from your reply, JTL is not adopting this system and in no way having any inkling to the grid and martingale system at all. If I may ask, how long do JTL hold on to a losing positions or multiple losing positions and how do you derive the directions which the forex pairs, indices or commodity is trending towards since the system is not related to martingale and there is a certain rationale for you to long or short based on the "momentum". In addition, when do you decide to close the losing positions and probably open new positions in the opposite directions, as you mention in the description that your strategy do not use stop loss, no time stop. Surely there must be a point whereby you have decided that the positions which you have opened are wrong and would be willingly to cut loss to reduce the risk.

3. "The algorithm code is written in python. I am not familiar with MQL, I use MT4 only for placing orders." Sorry, I am not very clear on this reply. If you may allow me to interpret based on what I have understand on your reply. You mean that the algo is written in python and this will not change at all. The algo will not open or close positions automatically. You make the decision to open or close the positions based on the signals derived from the algo and you open and close the positions manually using MT4 only. Please correct me if I am wrong :)

4. "Commodity markets have large changes in market behavior with regime change, but the strategy used by JTL does not consider regime change, so the core strategy is unchanged. I make adjustments to increase the capacity value. I believe that even if I create a new algo, the core of the algorithm is the same, so even if I change the parameters slightly, the results will be about the same." - Alright, I understand that you make adjustment to split the number of open positions to increase the capacity value. This is wonderful for us investors as this reduce the divergence. I am grateful for your thoughtfulness in this action. May I please ask other than the number of split positions increase, there is no change to the algo?

5. "As for how I check future performance, in my case, I cannot create strategies based on data analysis from the noisy financial markets, so I create strategies deductively based on theories that are almost always profitable. I am not dismissing data analysis. I have been analyzing data for about 10 years since I started trading. It's just that in my case, future performance was more consistent with strategies that used theories that clearly showed that the strategy would be profitable before I backtested it." - I agree with you that backtesting with past data should not used as the basis to prove that your strategy will work in the long run. But without backtesting, it would be difficult to prove that the theories would work in the long run since what work on the commodity markets might not work on the forex and indices as they are not totally similar and it would be better to have some data to back up (other than backtesting) if it would work in the long run rather than deductively that it would work.

6. "About 9 years ago I managed other people's money in China, but at that time I was unable to make agile adjustments to the strategy because I had first shown them the backtests, and the fund management ended after only one year. This time I was not thinking of managing funds from the beginning and I already have a three year track record so I would like to manage without showing you the backtest." - Thank you for telling us of your past experience and apologise for bringing up this disappointed history . If I may ask, after that experience, what adjustment have you made in order to reduce the risk. If say, JTL have experienced the highest drawdown going forward, how would you react to it? would you leave the positions open or close them and make agile adjustment to the strategy?

7. Thanks again for revealing your current balance in Darwinex trading account. Much appreciated :)
 
Hi @rayzzzz82
Thanks for the additional questions.
The answers to your questions are listed below.

2 It may be closer to predicting volatility movements than to predicting price movements. As is well known, it is easier to predict volatility than to predict price. The strategy is a vote by multiple stop-and-reversal systems. The reason for using an ensemble system is that it is difficult to estimate the best parameters for the future, and studies have shown that running multiple systems with different parameters stabilizes future performance.

3 Signals are generated from python scripts, and the signals are output to a text file. MT4 just reads the text file every 10 seconds and places an order if the signal changes. I was not very familiar with MQL, so I could not implement it only on MT4. But this method of reading text is easier to apply to other platforms.

4 It is possible that trading assets will be added in the future, but with the current high correlation of all assets, this may be difficult to add.

5 I have to decide on the parameters and I do backtest to check the performance. But in my case, when I compared a strategy that I did not know if it would be profitable without backtesting (because of my lack of knowledge about the strategy and the market) with a strategy that I knew would be profitable before backtesting (I have enough knowledge about the strategy and the market), the latter strategy clearly had better future performance.

6 After that failed experience, I increased my risk. The reason for the failure was that I was too risk-averse for their high annual return requirements. At that time, I was still stuck in the mindset of working for an asset management company and was hesitant to take on more risk. Now I can understand them.
If JTL experiences maximum drawdown, I will reduce the risk I take. Currently the VaR is around 25% for the base strategy, but it will go down to around 15%. I also added some assets that performed a little less well than others to increase capacity, so I will stop trading those assets and reduce the number of assets I trade. But I don't really understand Darwin's VaR calculation, so I don't know if this method is right for JTL.

7 I will report regularly.

Thank you for reading.
 
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Hi @okcm2019,

Thanks so much for your response and sharing. I have gotten a better understanding of your risk management and the fundamental mechanism of how JTL work. It is pleasing to know that you have a plan of what to do if JTL endure a period of drawdown or is experiencing a maximum drawdown.

I will be adding funds to JTL. Let preserve on and make JTL the biggest managed fund in Darwinex and other similar fund alike.

Cheers and “がんばって”
 
Hello @okcm2019

I just wanted to say I really like the way you approach to us the new updates that you do regarding the strategy. Just wish you a good trading in the long-term. You really seem like a dedicated and responsible person.

Thanks
 
Hello @Beltran
Thank you very much.
I will do my best to perform well in the long run.

The financial markets are very competitive and the performance of the strategies is gradually getting worse. So it is important that a good strategy in the long run is not competitive for some reason. For example, I am good at trading in the Japanese markets because they are less competitive because of the barriers to entry of regulation and language. Since JTL trades the most liquid assets, I am trying to avoid competing in other ways.

Below is my fund report.
The current fund is about 610,000 USD and I added 13,000 USD in performance fees to the trading account. Last month the worst was about 550,000 USD.
pl20221103.png
 
Last edited:
Hi @okcm2019 ! I am investing in your JTL now. Thank you for such an amazing job! I won't ask what you are doing and how you are doing it. Just some general questions from me:

1. How certain are you that it's going to keep working this well in the future? You started on Darwinex not long before the pandemic started. Since then we have had some constant crisis. Have you happened to trade this strategy during some better times prior the pandemic and WW3?

2. What is the projected drawdown? How low can it go? In the meantime it's pretty low. Bravo!
 
Hello @AriaS
Thank you for your investment and your questions.
The answers to your questions are listed below.

1. I am confident that this strategy will still be effective in the future. The theory used in this strategy was not originally developed by me, but has been used by some traders in Japan for decades. In the past, it could only be used for trading on longer time frames, but with the development of information technology, it is now possible to trade on shorter time frames as well. Therefore, I call this strategy Japanese traditional trading technique.

2. I would like to keep JTL drawdown below 5% by diversifying assets, but that is hard to predict. This strategy requires some volatility, but suffered last month because of Japan's FX intervention, which caused very low volatility in USDJPY on the watch for intervention. I think there are strategies that perform better when volatility is low, so consider combining them with JTL.

Thank you for reading.
 
Last edited:
okcm2019 said:
3 Signals are generated from python scripts, and the signals are output to a text file. MT4 just reads the text file every 10 seconds and places an order if the signal changes. I was not very familiar with MQL, so I could not implement it only on MT4.
Click to expand...

Hi
if it can help you, there is a Metatrader 5 module for integrating with python:

https://www.mql5.com/en/docs/integration/python_metatrader5

You can send orders from python using function below:

order_sendSend a request to perform a trading operation.


Btw, nice results !
 
Hello @kariboo
Thank you for your suggestion.
But I am using MT4 and my code is stable now so I have no plans to change.

Here is this month's fund report.
I have added about $40000 of last month's success fee to my trading account.
The highest amount last month was about 750000.
fund202212.png
 
Hello.
Thank you very much. @IlIlIlIlI
I will do my best to keep a stable performance.

As for my plans for this year, I am thinking of reducing the frequency of trades a bit, as JTL's performance has not been stable recently.
Also, since the number of trades is high, I would like to improve the entry timing to make the trades even slightly more advantageous.

Here is the current fund report.
A success fee of 19,500 USD has been added.
fund202301.png
 
Hi @okcm2019

First of all, congrats on JTL performance and AUM, Its really impressive. I'm interested to invest into JTL but I wanted to ask a few questions first:

1 - Which currency pairs do you trade?
2 - What is the average volume per week?
3 - What is the maximum DD I can expect on the account? I see that the historical says 5.71% but do you have a max DD to cut losses?
4 - Do you hedge positions?
5 - Do you have a website?

Thank you
 
Last edited:
Hi, what has been happening in the last 4 months? No profit. I had to take out some $3000, because needed them to invest more in my own system. Good luck!
 
AriaS, that is called trading, there are drawdowns and that`s normal. Don`t forget all the data that shows how investors sell at lows and buy at highs and so make less money than their PMs.

You can also always average your cost buying a bit every month/week.

Please don`t change anything, JTL, trading as usual =).
 
Hi @Colder

Sorry for the late reply.
Here are my answers to your questions

1. As I mentioned before, I trade major currencies such as EURUSD and USDJPY, major commodities such as XAUUSD and XTIUSD, and major stock indices such as SPX500 and NDX.
I also trade minor pairs as a test, but it has very little impact on my funds.

2. I usually trade one instrument 2 or 3 times a day, but the apparent number of trades is very high because I split my entries in one trade signal.

3. I used to estimate the drawdown at 10%, but now that there are more investors, I try to keep the drawdown at around 5%. I do not plan to cut my losses at any maximum drawdown.

4. I don't hedge my positions. I am looking to increase the stability of my profit/loss by combining other strategies. I personally trade strategies like commodity carry with other brokers.

5. No website yet. I got the domain but have not finished creating the website.

Thank you for reading.
 
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