[DARWIN] TVS by LongVision - lpphbti

[CavaliereVerde]

1.Increase the risk after losing a trade.

Gambling is a very efficient way to reduce "time drawdown "

2.Pyramid the position after winning and reduce to risk after a loss.

Makes more sense but some crazy movement can destroy it.

4.Trading equity curve- i.e. stop trading if equity curve cross below moving average of equity curve and use another demo account to observe equity curve, if equity curve cross above moving average of equity curve then resume trading in original account.

There are a couple of article against it by Kevin Davey and I agree with him.

3.Stop trading for some fixed time period if equity curve enter in DD phase.

The point is that you never know when the strategy will start to recover.

The safest way to trade is to keep trading every day with the same strategy risk and frequency, without forcing any kind of recovery.
The market doesn't know if we come from a profit or a loss and doesn't care about "targets".

 

[LongVision]

5.Use hedge to reduce the overall risk after entering in DD phase and resume normal trade after DD recovery. Example -Portfolio of selected stocks and hedge the risk using Index S&P500.

This method use by many hedge funds over many years but this method fail during corona virus induced market crash. Hedge fund was under hedged during market crash and over hedged during sharp market recovery.

Renaissance tripped up by coronavirus-induced market upheaval

Secretive quant hedge fund endures one of its worst months in more than a decade

www.ft.com

Bridgewater fund caught off-guard by market bounce

Pure Alpha suffers 4.9% fall in year to June as equities and bonds rise

www.ft.com

 

[IlIlIlIlI]

This method use by many hedge funds over many years but this method fail during corona virus induced market crash. Hedge fund was under hedged during market crash and over hedged during sharp market recovery.

Renaissance tripped up by coronavirus-induced market upheaval

Secretive quant hedge fund endures one of its worst months in more than a decade

www.ft.com

Bridgewater fund caught off-guard by market bounce

Pure Alpha suffers 4.9% fall in year to June as equities and bonds rise

www.ft.com

To recover a trading account is much easier than to recover a significant DD on a Darwin by a usable method depending on the markets reliability.

Every change in the exposure for the success of the trading account will be punished by the risk manager against the success on the Darwin, besides stopping trading. The risk manager expects a smooth and even exposure, otherwise it will react by changing the VaR and the derived replication factor.

There is a big difference between the performance of a trading account and a Darwin, where the performance is made by the Darwinex risk manager.

If there is a significant DD, stagnation will last longer on the Darwin than on the trading account because the risk manager needs months to return to usual behaviour.

 

[FXforfun]

So now here is a question, Is it possible for a trader to reduce stagnation period?

That's the million dollar question!! Searching the answer for years, didn't find it yet

Key is the strategy itself and on top of that Risk Management will module the equity curve. That is: Return, DD and stagnation. So, let's say we have whatever winning strategy. Understanding winning strat that one that will win more than loses. If I focus on Returns I can find a kamikaze Risk Management method that will give me huge returns but will wippe out the account sooner or later (=martingale) or if I focus on longevity I could get an almost flat equity curve.

Ok, that was basic stuff. The point is applying the Risk Management method that best suit that strategy and your expectations. That's the balance between returns and DD.
So, I suppose you can not just reduce stagnation and forget the rest. I think it doesn't work like that... Just I think

 

[CavaliereVerde]

The only real way to redice stagnation is diversification but the point is that stuff that work is extremely rare and difficult to find.
As @LongVision stated a sigle strategy can stagnate for 2 years.
Suppose the average stagnation of a darwin is 9 months, to halven it you need at least 10 darwins.

 

[LongVision]

The only real way to redice stagnation is diversification but the point is that stuff that work is extremely rare and difficult to find.
As @LongVision stated a sigle strategy can stagnate for 2 years.
Suppose the average stagnation of a darwin is 9 months, to halven it you need at least 10 darwins.

Diversification also has limitation. Correlation between Strategies/Asset/Timeframe increases after certain limit and diversification stop working and risk increase.

 

[CavaliereVerde]

...and from my experience even diversification helps more reducing the depth of DD than the lenght.

 

[LongVision]

April'21 Result for Darwin TVS

Darwin TVS win darwinia allocation for month April'21

Return - +2.85%
Position - 48
Allocation - 48, 000 Euro

April'21 was very volatile month for darwin TVS, return hovered between +2% to +6% and finally ended at +2.85%.

Regards
LongVision

 

[LongVision]

Darwin NHR Completed 01 year at Darwinex.

This is high capacity End of American session trading. To achieve a high Cp score, I incorporated the following rules in algo

1. Avoid trading after the rollover period when the spread is>10pips.
2. Use the mean spread to avoid the illiquid period.
3. Avoid a low volatility period and trade only a few days for a month(Most Night scalper trade daily irrespective of market condition)
4. Target average pips expectancy>5pips to reduce the impact of the transaction/brokerage/swap cost.

 

[CavaliereVerde]

1. Risk per trade varies from 0.5 to 2 percentage of Equity and depend on the type of strategy used.
2. Each position protected by Stop-Loss.

Hi @LongVision .
Do you mean SL is not the exit strategy but only for safety ?
Are you using a signal to exit or a stop and reverse logic ?

 

[LongVision]

Do you mean SL is not the exit strategy but only for safety ?

Yes.

Are you using a signal to exit or a stop and reverse logic ?

Using Exit signal to close position. I don't do stop and reverse because an all-time open position means higher swap charges, Impact of swap charges is very high for forex & CFDs. Stop & Reverse can be used as a strategy for the future market, There are no swap changes for the future market.

 

[CavaliereVerde]

@LongVision
Congrats for the darwinia 5th prize!

 

[LongVision]

@LongVision
Congrats for the darwinia 5th prize!

Thanks.

 

[LongVision]

June'21 Result for Darwin TVS

Darwin TVS win darwinia allocation for month June'21

Return - +4.91%
Position - 5
Allocation - 180,000 €

Darwin TVS performance is above average this year. All changes that I made over the year are working very well.

I am going to add new instrument crudeoil (XTIUSD) for trading for darwin TVS.

Regards
LongVision

 

[morehastelessspeed]

@CavaliereVerde @FXforfun @IlIlIlIlI
So now here is a question, Is it possible for a trader to reduce stagnation period?

I might be wrong, but it seems to me intuitively obvious a simple way to reduce stagnation (periods with zero net return) is to use a smaller trade size. I mean, as small as it may be practicable, given the instrument costs and your return expectations.

 

[CavaliereVerde]

The point is that you make decisions for the future not for the past.
You are coming from a negative streak but you never know if your NEXT trade will be a winner or a loser.
You never know when DD is coming but neither when it will end and the recovery will begin.

 

[morehastelessspeed]

The point is that you make decisions for the future not for the past.
You are coming from a negative streak but you never know if your NEXT trade will be a winner or a loser.
You never know when DD is coming but neither when it will end and the recovery will begin.

all-purpose, wild-card statement?

 

[CavaliereVerde]

If you prefer I can reformulate in another way.
The result of you next trading month is uncorrelated to the result of your previous trading month.

 

[LongVision]

Aug'21 Result for Darwin TVS

Darwin TVS win darwinia allocation for month Aug'21

Return - +5.0%
Position - 5
Allocation - 180,000 €

Regards
LongVision

 

[CavaliereVerde]

Congrats impressive!
🚀