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Bendex demo portfolio

OK here’s my filter to start:

I’m not worried about 20%+ DD in a vacuum, as long as a large DD doesn’t appear in a single excursion or in a short period of time. I’m expecting 10% VAR Darwins to regularly give me ~20%+ DD. In fact, I’m suspicious if they don’t. I want to see some DD and see how the trader reacts to it.

I will also look manually at RS, LA, drawdown etc.

OK I only get 6 Darwins to choose from! I’m also including SUG automatically because I expect myself to easily beat the filters based on other data which I trust.


GRI #1
$ 22,058.12 19 3y 7m 130.44 % -22.99 % 59.99 230.44
While I don’t mind low LA (it could just mean a wide stop and short TP), a single -14% excursion is a little much to me. If this trader could prove the excursion peak happened say 30 days+ after the position was opened (so I know it happened over time) OR can prove it was hedged by a positive position, I’d include it. Otherwise I can’t see how a reasonable 10% monthly VAR product can have a single position that reached -14% with a probable holding time of less than one day.


SHC #2
$ 853.19 3 4y 3m 86.36 % -36.87 % 45.32 186.36
Same here, a couple of large negative excursions.


TDD #3
$ 162,583.38 37 2y 78.53 % -17.63 % 73.98 178.53
I cannot find any faults and this trader happens to have even more Darwinia allocation than me. Pf kinda not that great but I think the monkeys may be cheating plus the 12p doesn’t even go back 1 full year.


BMC #4
$ 42,341.42 20 3y 6m 64.66 % -38.65 % 76.43 164.66
Regardless of the extended stagnation periods, this one still fits.


KPO #5
$ 0.00 0 5y 7m 61.63 % -38.38 % 35.15 161.63
Too large negative excursions on single positions again.

SKN #6
|$ 9,143.70|12|2y 1m|55.23 %|-16.87 %|70.26|155.23
I’m going to pass, it hasn’t been published for very long and also not much of traders money is involved.

So now I will await some suggestions, discussions and criticisms of my logic and then maybe look at correlation of SUG, BMC, TDD to make a final decision.

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I agree with everything a part from this:

Performance is really shortsighted and very volatile, so it makes you buy high.

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So you suggest I remove this filter?

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Exact, and if you notice it is redundant with Return.
You already have Return(2y) that is much more significant, Performance is essentially like Return(6m).

Performance has no magic, depends on Return and is unable to understand if that return is robust and genuine or lucky and manipulated.

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You don’t think the monkey test chart has any potential? Or you just don’t like the way the score is now calculated?

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Removing that filter gave me 3 more to look at:


VSA #4
$ 146,641.47 52 2y 3m 77.21 % -19.73 % 66.41 177.21
OK this one looks fine.


MNW #6
$ 27,101.14 15 2y 10m 67.10 % -15.86 % 62.31 167.10
This one seems just a bit young combined with some moderate negative excursions, not too bad but we will wait and see.


SPV #9
|$ 683.71|2|3y 3m|45.64 %|-34.99 %|67.27|145.64
Strange trading frequency.

So I will explore VSA, SUG, BMC, TDD as a possible portfolio.

Correlation table:
___||VSA || SUG || BMC || TDD
VSA||XXXX||-0.04||+0.17||+0.06
SUG||-0.04||XXXX||+0.15||+0.24
BMC||+0.17||+0.15||XXXX||+0.19
TDD||+0.06||+0.24||+0.19||XXXX

So based on expected performance and correlation run a ratio like this:
BMC @ 8 : TDD @ 8 : VSA @ 8 : SUG @ 9

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Hey, thanks for sharing your thogughts. Good luck!

Quesiton. How did u look at correlation? Did u you just use Darwinex’s tool or did you look at something else yourself? Later when I get some more time to write I’ll share more details on how I approached the topic.

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It’s just the standard Darwinex calculations available (1vs1) from any Darwins page (correlations tab) and the same data appears as a full table in the portfolio risk page for investors.

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