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D-Score portfolio

It deserves more investors, and almost always it is already so.
Long trackrecords are already prized by return and invstors are clearly more attracted by return than DScore.

12 Dperiods are a compromise, to promote new traders and to prevent old traders to sleep on past profits.

I agree that Pf is a bit too volatile but a lookback of 24 or 36 Dperiods isn’t the right solution.

DScore will never be perfect but this had to be a discussion on how to use it not just another discussion on how to change it. :slight_smile:

I am sorry to disagree @CavaliereVerde . I was worried because always I agree with you and I feel that I don’t have more to add, only push like :wink:

Let me answer

  1. It is true that longtrackrecord are more attracted by return. But I think that you agree that as long as the trackrecord is longer the probabilities of a bigger DD are higher then they are being penalized also. In terms of visibility you can check that in the platform the Darwin can be ordered until return of 2 years no more…

  2. I am talking about using dscore to take decisions also, because I mean that for my style of investing in darwins is not useful today, because It has redefined too in the short term, making It too volatile, and perhaps the dscore It is sending a sell Signal when I am thinking that It is an opportunity to buy. I don’t want to create a discussion with any darwin, but let me explain what I mean, with an example: PGH.

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You are right it is not easy to invest with DScore .
It would be good to have DScore “fundamental only” not so influenced by recent return but let’s suppose to remove Performance.
How would you separate winners from losers?
Timing? https://www.darwinex.com/darwin/XXW.4.3 :smiley:
Consistency? https://www.darwinex.com/darwin/TTB.4.6 :smiley: :smiley:

I am also sorry for PGH but facts are that it is negative on 1y and 6m

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You are right but a ruleset does not improve alone, at least not my classical strategies (no machine learning).
Even when I backtest I try to give more importance to the recent part of the backtest.
When I run a backtest I know that it is the same strategy, with traders often the trackrecord isnt’ the same ruleset or the same portfolio.
As an algorithmic optimizer I think to improve with time,and my recent trackrecord is more representative than the initial part.

I think DScore is designed to find good darwins , not to find good entries.

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@NemesisCraze
You are doing a very good job testng an exit with DScore on portfolios running since the beginning of 2018.

IMO to increase the signigficance you could put every darwin together.
Many darwins have been already calculated.

You can sum :

  • Cavaliere Live
  • Sakura
  • Pulse
  • Cesco
  • Chita

Many darwins are the same but you should reach a portfolio of at least 40 that were attractive at the beginning of this year.

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I prefer to answer in this general topic about how to use DScore.

Yes DScore 70 preserves more profit like a pending order at -5%
The point is that doing so a portfolio of 20 darwins will be at 10 darwins in six months.

It is like trading, if I traded only my best strategies there would be more return but the price to pay is less robustness.

Return is just on side, we have to preserve also the degree of diversification that brings more safety and robustness on the long run.

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I don’t think that is a problem; let’s say that we’ve invested 1000€ in each darwin. If the 20 darwins were equal weighted, now you’d have something like 10.000€+profits in cash, and 10.000€ invested in 10 darwins. Cash is a position, and it would increase robustness despite of not being 100% invested.

It would be always possible to enter in a new darwin after you sell another (as long as you think that the new darwin deserves it). but it is true that we’re entering into trading mode, and not Buy&hold mode. Although sometimes I’m not sure where’s the slim line that divides both strategies.

What about starting on 2017? May be that is a better calculation than 2018, to increase trackrecord? If you can give me a list of 40 darwins that seemed good on 1/1/2017 I’ll do the calculations.

I cannot do that :smiley: my portofolio has sense from 2018, also Sakura and Cesco
If you want I can give you a graveyard of disaster-darwins that crashed before to do some kind of stress test.

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Great, let’s do that.

Crash list:
SRK
HBU
RCA
TAK
XYT
YVG
JZH
XXW
XIN
VQG
RWL
RIH
FTA

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An interesting stress test for crashed darwins would be to enter at 65 and than test 60 55 and 50 as exits, in this way you can compare darwins from different historical periods.

About that list… (I’m doing some tests) is this true??

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That is return :slight_smile:
I don’t know , maybe @ignacio or @miguelrDarwinex can confirm it.

Probably it’s not true. … but need to know for sure

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Using the “crash list” or the “one time best darwin” I have done a simple test:

BUY >= 60 Dscore SELL <=50 Dscore
In the last column before the %gain I have wrote if the Dscore was ever been above 70 or 75 or 80… While doing the tests, It has occurred to me that a more better exit should have been to rise the Dscore needed to exit from the position if the Dscore was gone over 70 or 75 or 80… (like I wrote before a sort of trailing stop using Dscore.) I have only a problem… if I use this method and so if the DScore goes above 70 then my exit is 60 and if above 75 my exit is 65 and so we go on… what about a new entry after a stop? If I exit below 65 I will re-enter above 70? I want to have some “space” between an exit and a new entry just to not overtrading…

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What seems interesting is that even after the darwin has crashed, the D-Score is not below 50. There are 6 darwins like that in this list. I found that even Dscore=55 is sometimes not achieved, despite the darwin crash. So probably a good exit could be at a minimum of 55-60 (at least).

I realize that probably we should also wait until Ex=10 before buy to get a good test.

Using a trailing stop could be good, although it will lead to more darwin trading. What I’d like to get is just a way to manage darwins to avoid big losers. I don’t mind if their D-Score goes up and down, as long as the darwin keeps being profitable.

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Yes, in six occasion Dscore never went below 50. You can see that in the date close column in yellow (24/09/2018) but if you look this happened always with the Dscore that went above at least 70 (1) 75 (2) and 80 (3). So… to adjust the exit with the rise of Dscore can be a good thing to do… I will do more tests.

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Correct… I will NOT do any more tests… I will wait for the update of this: https://github.com/darwinex/DarwinexLabs/tree/master/datasets/trader-darwins … just using a simple trailing profit using dscore it takes a long time to do. (browsing all the darwins and looking for dscore and then for returns…)

Every time that I do manual calculations I die a bit more inside, my heart blackens more and more… Darwinex is killing me slowly and only the API could heal my soul. :skull:

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