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CVL -- CavaliereVerde

Kind of strategy: technical, mixed
Execution: automated
Timeframe: h1 and higher
Entry rule: candlestick patterns, momentum indicators, mean reverting indicators
Exit rule: candlestick patterns, fixed stops and fixed targets
Risk management: 0.01 every 800€ ; 1 trade per market
Portfolio: 5-10 markets (forex)

8 Likes

The main difference from LSC and KVL is that CVL is more diversified.
It is multistrategy and multitimeframe not only multiasset.

So I want to give more details about the portfolio.

EURUSD : patterns
EURJPY : patterns
AUDUSD : patterns
GBPUSD : patterns
EURCAD : patterns
USDJPY : momentum
GBPJPY : momentum
USDCAD : mean reversion
EURAUD : mean reversion

For the patterns strategy also the exit is with patterns.
For momentum and mean reverting the exit is with SL and TP.

My initial intention was to wait one year of trackrecord but it will happen at Easter so I anticipated by one week. :slight_smile:

8 Likes

The fist complete year of trackrecord has been celebrated with the first Darwinia allocation:

rank #16 :sunglasses:

I am very happy to have 3 competitive uncorrelated darwins.

Unfortunatelly the allocation is not full, 50k/90k but it is my fault, I had to start upscaling before.
The upscaling process has taken the whole month to 4500 but min equity at the beginning was only 2400 .

4 Likes

Curent DD is really disappointing but IMO there is nothing to change to the portfolio:

The DD is due to internal correlation, no clear losers to remove.
The performance of the darwin is worse than the strategy, this is due to a drop of VaR.
I am doing my best to keep VaR stable but it is not so easy especially for systems with trades lasting many days.

3 Likes

Agree. Var is a difficult beast to contend with, when it goes lower.

1 Like

There is an impressive difference from RS 8 an RS 9 , with 9 the risk manager is much more efficient.

2 Likes

WOW -27% in one calendar month…
This is a record I wasn’t looking for… :neutral_face:

If I had understood well, CLV is a trend follower algo right? If so, how it did perform during this big trend down in GBP USD ? (just in this pair, this month)

1 Like

The strategy running on GBPUSD is not a trend follower but patterns.
GBPJPY is a trenfollower and performed bad.

All the algos, working with different markets, different setups and timeframes decided to go south this month…

3 Likes