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Calculation of ratio between strategy return and darwin return

In January 2020 my strategy return was 23.73% and my darwin return was 7.06%. A 3.36 ratio.
In February 2020 my strategy return is 15.58% and my darwin return is 3.26%. A 4.78 ratio.

How is this ratio calculated?
Is this ratio the “Average D-Leverage / Position”?

Thanks.

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It is more complex than i am going to say, but the main reason is that your underlying strayegy is working with higher risk than the darwin

You can check the VAR of your strategy, that these months has been working between 35-38%.

If we know that the darwin works with a 10% VAR (with the last change it is not so exactly), a simple way, not exactly but enough, to estimate the ratio is dividing the var of the strategy between the var of the darwin.

For more and better information, I recommend to watch last videos made of the risk manager

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“a simple way, not exactly but enough, to estimate the ratio is dividing the var of the strategy between the var of the darwin.”
This explanation does not work. My risk between January and Frebruary is almost the same and the ratio is 50% higher in February.

There must be a formula to calculate this ratio. I have searched but nothing found.

There is not a ratio that you are looking for. It is more complex.

In my opinion it is enough to estimate the ratio between 3-4 dividing the var.

There are several videos explaining it.

To go depthly you need :

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There is a formula, but for each trade and not for any selected period. The Darwin‘s trade volume is cut by the risk manager on high volume losing trades.

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Good to see you back at the forum @QENKForever!

The relation between the strategy VaR and the DARWIN VaR is described with examples in the article about the Risk Manager.

Further, @integracore has posted detailed tutorials abolut how the strategy VaR gets calculated using D-leverage.

Finally, the Risk Adjustment Graph might also offer you information regarding why the ratio you mention has changed recently.

Should you still have questions about your specific case, don’t hesitate to write to info@darwinex.com.

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