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VaR and Risk Manager

Exact, we have to be fair.
Account of CIS lost more than 30% while darwin lost 10%.
Darwin still looks very good so the trader has another chance to grow disciplined.
 
You are right, the RM is very efficient. It is doing a great job.

If the RM multiplies the performance, it also because it knows how the base is clean and sane.

That's why, in my personal opinion, the base (underlying startegy) of the Darwins is the most important thing to watch.
 
Pure Pip Producer said:
If the RM multiplies the performance, it also because it knows how the base is clean and sane.

That's why, in my personal opinion, the base (underlying startegy) of the Darwins is the most important thing to watch.
Click to expand...
I agree very much with that. When you consider to invest in a Darwin, you should at first look at what is going on in the underlying strategy. There is where we can learn the trader’s behaviour. Is he averaging down, does he take insane risk sometimes, that kind of things.

If trader’s behaviour is all right and his Risk Stability is OK, then the Darwinex risk manager will do nothing more than adjusting lotsize for trader’s Var. Always with the same multiplier. With traders who are having good risk stability, the equity curve will be identical to the equity curve of their MT4.

Only with traders who have no stable risk management, the risk manager will intervene heavily. Basically, these interventions are a very good thing, because they prevent investors from traders taking excessive risks. On the other side, these interventions can disguise risky trading behaviour of the trader, and "provide" him with a very good looking Darwin’s equity curve. But that good looking equity curve is thanks to the Darwinex risk manager, not to the trader.

Potential investors should absolutely always check the underlying stategy of the trader. If there is no shadowy trading behavior in the underlying strategy, and you see that the underlying equity curve is identical to that of it’s Darwin, then everything is fine. Else, you should be carefull.
 
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SteadyWins said:
Potential investors should absolutely always check the underlying stategy of the trader. If there is no shadowy trading behavior in the underlying strategy, and you see that the underlying equity curve is identical to that of it’s Darwin, then everything is fine. Else, you should be carefull.
Click to expand...

This is a good first step but when trader "lost it" will RM save you from big troubles.
We need to understand RM is an addon on the traders "trading".

In other case if you want to map 1 to 1 will equity of the trader can we just copy all the traders trade.

I know trader can lost it and want a "safeguard". On the net do I find to many accounts ( not only Darwin ) where we see huge drops of equity. ( PM me and I can show you but do not talk on the net about trader struggling )
 
hefoba said:
This is a good first step but when trader "lost it" will RM save you from big troubles.
We need to understand RM is an addon on the traders "trading".
Click to expand...

Yes, the Darwinex RM, is efficient but it's not enough.

That's why, from now i've a Risk Manager. A human being one.

I think that with :

1) The Darwinex Algorithm Risk Manager
2) A human being Risk Manager
3) An Experienced Trader
4) The investor own stoploss

We have here the maximum of the security conceivable...
 
Pure Pip Producer said:
Yes, the Darwinex RM, is efficient but it's not enough.

That's why, from now i've a Risk Manager. A human being one.

I think that with :

1) The Darwinex Algorithm Risk Manager
2) A human being Risk Manager
3) An Experienced Trader
4) The investor own stoploss

We have here the maximum of the security conceivable...
Click to expand...

Hi,

When the trader or trader "team" lost it then only "1) The Darwinex Algorithm Risk Manager" will help you.
3+4 ) is false as trader lost it
2) We can hope not same person as the trader if he lost it.


Go in big DD is not easy and put a lot of pressure on you as trader. So RM will help you as trader.
 
Pure Pip Producer said:
Yes, the Darwinex RM, is efficient but it's not enough.

That's why, from now i've a Risk Manager. A human being one.

I think that with :

1) The Darwinex Algorithm Risk Manager
2) A human being Risk Manager
3) An Experienced Trader
4) The investor own stoploss

We have here the maximum of the security conceivable...
Click to expand...

If you read about "Long-Term Capital Management" then you will see only "external" actor saved some money.
There is good book about LTCM

LTCM had lots of clever people. Good riskmanagers ( human ) Very good traders and "exit" plan but couldn't apply when they got a hit.

cf : https://en.wikipedia.org/wiki/Long-Term_Capital_Management
 
If the Human Risk Manager cut all and has the hand on the passwords, the trader can not open trades anymore, neither stay in position with the trades already opened. That's how it works in a serious hedge fund.

Moreover, there are strategies to not go in big DD.

To become a real trader, we must have 5 or 6 strategies.

The newbies traders only think about the trading strategy.

But we must think about a strategy, in the strategy, in the strategy.

The difference between a newbie and a chessmaster, is that the chessmaster has several steps ahead.

When a trader is trading, he should know what will happen/what he will do in the next 5/6 moves...

That's how i work, after having try all the other methods. That one is the most profitable.

And i don't really care how other do... because i don't want the same track-record that they have..
 
The same is with the VaR calculation, I traded about half the volume in less than half time than average on Friday, but the VaR made a jump up on the Friday value. I assume it is the same reason: not all trades of Thursday are used for the Thursday value, obviously the later trades were taken into account for Friday.
Click to expand...
For VaR calculations you must look 45 trading days back.If you look at RS graph and count 45 days back from Thursday or Friday, you come to 22 or 23rd December for your darwin. For VaR calculation,your modest risk in one of those December days was replaced with much more risky Thursday or Friday.That is the reason for big changes in VaR .
Later you might notice sudden big drop in your VaR when few of very risky trading days fall out of 45-day window for calculations.
Your darwin is very young and Risk Manager doesn't have much data yet.If you continue trading like that,your VaR will rise much more and your average D-leverage,which is at 6.16 ,will drop significantly.I think best scalpers here get little less than D-leverage 4 from Risk Manager. THA gets more than 5,but he doesn't trade frequently-he enters the market maybe once per week.
 
Gargamel said:
If you continue trading like that,your VaR will rise much more
Click to expand...
If I trade with an exposure like on Thursday, I'm sure that you're right. But usually it is much less.
Currently the target VaR is full 6.5 % and the VaR ratio was reduced to 0.21.
1614617676145.png

The risk manager plays with the target VaR on my Darwin when D-leverage is reduced.
Usually I have an indication how the VaR will react in the next calculation from my trading activities.
VaR should stay stable in the given range and drop a little with the calculation tonight, target VaR might drop also and VaR ratio stays the same.
I'll see tomorrow whether that is true this time.
That's my estimation as I watched it in the last 4 weeks.
 
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IlIlIlIlI said:
Usually I have an indication how the VaR will react in the next calculation from my trading activities.
VaR should stay stable in the given range and drop a little with the calculation tonight, target VaR might drop also and VaR ratio stays the same.
Click to expand...
Your Replication ratio is at 0.21 now,while Replication Ratio calculated from publicly available data of your darwin should be 0.2275 .The data you have in your private console is of course most actual and accurate.That means tomorrow your VaR will rise again and your target VaR for darwin will stay at maximum,that is 6,5%.That is why your Replication ratio is falling.Darwin will trade with less leverage.You can compensate that with using even more leverage in your trading,but Risk Manager will follow that and there is a ceiling .
 
How the current risk manager works:

Darwin SYO:
1621532193026.png

trading account:
1621532272960.png


Losses of the Darwin are cut by less than 50 %, but profit is cut by significantly more than 50% by the risk manger.
That's a bad relation between cutting losses and making profits run. It should be at least 1:1.
So SYO is currently also a victim of the new risk manager.

The reason is the usage of the target VaR of less than 6.5 and it's calculation which is visible under the Rs attribute:
1621532382934.png


If SYO does not continue to decrease it's VaR but stays stable at the current 6.8%, the penalty for the Darwin and its investors will end end of June.

edit:
From their 1.55 % profit of the last six months investors pay 0.6% management fee plus 0.3 % performance fee which makes 0.65 % (taxable) net profit.
 
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Long story short: variable Var is a bullshit.
They cherrypicked few trackrecords that looked better with variable VaR and they presented it as an improvement.
Now you need a SUPERSTABLE strategy VaR to reach a darwin VaR of 6.5%, even Rs 9 is not enough.
 
To me the key is the missing definition of "2 times" here in the description:
1621534965881.png

A stupid IT guy puts a counter in the program and - after reviewing 45 days for calculating the VaR - marks it as intolarable VaR change on the 3rd day. That's what I watched on ILR.
If they would use this counter only after returning in the tolarated range of 2:1 between maximum and minimum VaR of the last 6 month it could make sense. But then they would not penalyze martingale and grid traders.
So I can only agree with you:
CavaliereVerde said:
Long story short: variable Var is a bullshit.
Click to expand...
 
In the fund universe you pay to risk, TQQQ is much more expensive than QQQ, here the cost/risk rate is way too high.
It is like paying the spread of GBPJPY for the volatility of EURUSD .
 
I can see this problem very well.
LSC and NFO are exactly the same strategy portfolio, same tradesize and same equity.
LSC has a darwin VaR of 4.64%
NFO has a darwin VaR of 5.83%
That is private info but everyone can see DLeverage/position : 1.20 vs 1.65 .
 
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