Dear Darwinex Community,
firstly I would like to thank Darwinex and the whole community for such a fantastic project. Please let mo introduce you my ALN Strategy and few facts about the background and the way it works.
Who I am / About me
My name is Ewan, I am 35 years old and I have started doing in trading in 2006. I have 5 years of professional trading experience as the Futures trader in CE company connected to MF GLOBAL. Algo trading has been working more intensely since 2011.
The strategy consists of 11 algorithmic strategies trading EURUSD, USDJPY, GBPUSD, XAUUSD. Strategies trade mostly short-term momentum, to a lesser extent mean reversion.
Timeframes: 30 min / 60 min. Strategies enter with stop orders.
All positions are closed on Friday the latest and over the weekend we have a 0% exposure.
In 2018, ALN placed 4 times in the Darwinia competition.
Methodology and Workflow – ALN
We live in the world of overfitting. I use 31-year-old data and try to use as many OS tests as possible. I also give great emphasis to multi-market performance. I also do various standard types of robustness tests (eg. Monte Carlo).
Some strategies were developed in 2016, most of them in 2017 and two strategies in 2018.
I’m constantly comparing the real performance of strategies with their backtested performance, in case the deviation in performance occur the strategy may be shut down.
Also, on a monthly basis, I compare their real performance versus historical performance to uncover if the strategy is not losing the edge. In 2018 were two strategies discarded.
Risk / Money Management - ALN
Each position has a stop loss. As the exits, I use the trailing stops, profit targets or exit on Friday at 21:00.
The Trading is fully automated, but under constant control and in case of possible extremely volatile situations, trading can be turned off at any time (Brexit).
Goals and Plans for 2019 - ALN
Maintain good performance and gradually improve the composition of the strategy portfolio. The first goal is to develop two new strategies - GBPUSD and USDJPY. However, all changes will be made in order to maintain the risk of a whole trading stable. The maximum number of strategies that run at once is 15.