I did a calculation of the return of a portfolio with the 10 darwins with highest D-Score in 1/1/2018, using different exit strategies. No rebalancing, no leverage. I did this taking into account the divergence so this results would be very close to the reality (I don't know how to add rebates calculation though). So, the exit strategies:
- Exit strategy 1: Buy&Hold until today, riding the darwin no matter what.
- The other exit strategies, exit as soon as D-Score == 50, 55, 60, 65, 70.
(actually D-Score never wen't as low as 50, we arrived to date 17/9/2018 before that)
I know that this is a very small dataset of darwins so statistically it is awful, but it is interesting that using the highest D-Score exit strategy gives the best result for the portfolio, 6.34%.
- 4 darwins (PUL, PUZ, NVL, VTJ) increased returns exiting with the higher D-Score, 70.
- 2 darwins (BAD, ILM) increased returns with Buy&Hold (or exiting at 50).
- 3 darwins (NTI, ERQ, QUA) never went below 70.
So, no conclusive results at all, very few darwins and not even a year long...
It would be great if someone could extract the list of the 50 darwins with highest D-Score in January 2017, so we could do a better statistical exit test. I don't want to search through 1964 darwins to do that, but I'd like to do the math if I'd have that list. As the new D-Score calculation has been released this year, probably this is something that can be done only manually, or by @darwinexlabs