First of all, I want to say that I respect your opinions, with which I almost always completely agree, I am a close follower of your posts. And of course, I respect all the great work that Darwinex does in this aspect, which I consider excellent.
In any case, I attached analysis of the notes of the XXW investible attributes as mentioned.
At the top of the table you can see the weights of my estimated formula, which over 100, are the maximum score that each group of attributes could have.
You will see that the attributes "edge" is 41.4%, which I consider defensive 51.5%, and the rest consistency and capacity 7.2%
I picked up the scores before the black swan in June. The actual d-score is 72,81, and my estimation is 72,85.
You will see that of these 72,85, 47 is from the Mc and Pf ... and the timing only 12.9 ... if you reduce by half, would you give a good score of 66 or 67? No, the criticism would be the same ...
You can also see the current score, where it has dropped 15,8 points, most of which are produced by the fall in performance, as you could see in the evolution chart.
We could be to substitute the weight of Mc for risk management. In the attached table, you can see that in June it would fall from 72 to 60, and now from 57 to 42
Other solution could be what you say about manage Risk Management like Experience, but I don’t understand the problem with the timing and compare it with the consistency. Timing is timing, and something with better timing will be better than something with worse timing….
With this info I am going to answer you:
Yes it prizes the strategies that has better timing...
I don't know who was before the egg or the chicken. Is It not posible than some strategies have worse timing from the origin? If I wait for a confirmation, I will have always worse timing, and nothing more... To value the performance there is other IA.
And yes the IA penalizes some types of strategies, as the other IA'S penalizes more than timing, some type of strategies:
EXPERIENCE Ex: It is not the first time that somebody says that to not trade is an option valuable too. It penalizes strategies with less frecuency, and large trackrecord but low experience.
MARKET CORRELATION Mc: the trend is your friend. Imagine an strategy in HIGH TF that trade only in favour of the bottom trend, and multiple pairs. During a lot of months all the trades wil be in the same direction, then the Mc tends to zero....
LOSS AVERSION LA: It penalizes the strategies where the Sl is higher than the TP. An strategy with a 0,75R rate and 70% of win trades, has the same profit factor than other with 1,75R rate and 50% of win trades, but the La of the second is quite higher.
It is very difficult to adjust everything, and imposible to make happy to everybody, and to avoid some problems, there is always somebody who is prejudiced in favour of the community. I believe that darwinex has much more objective information than us to value if some IA is predictible or not, or avoid risks...