CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 64 % of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.

Failing to Recreate Darwin Quote history/Underlying Strategy Return History using Position Returns

Hi!

From my understanding, positions are an umbrella term for sum of simultaneously open trades, or something like that. (Actually I am not that clear on this, if I have a single EURUSD trade, and close it, and open it again immediately, do they count as two separate positions?)

When I get position list from duration consistency part of api (GET /products/{productName}/history/durationconsistency) and then compile the position returns (multiply them, basically) I get a different value than the one of darwin itself, or even its underlying strategy.

From my previous correspondence with support, I remember someone telling me that this position information did not account for risk adjustment intervention, so I went and got position information from GET /products/{productName}/history/riskadjustment and the compounded returns still don’t match with either darwin or underlying strategy. There is VaR adjustment info there, and if I adjust position returns with this, it still does not match either darwin quote history, or underlying strategy return history.

Example: Darwin IFS
https://drive.google.com/drive/folders/1Pg5XmQb2M0SFHgKgSuFupYvu9eicWEZF?usp=sharing

Here, I have downloaded duration consistency positions, and looked at cumulative returns (basically take their logs, then sum, then do the exp) and they are very very far off from either darwins return, or underlying strategies return.

In the risk adjustment positions file, I did the same with positions from Risk Adjustment part of the API. Now, it is almost equal to underlying strategies return, but not quite.

Please note that I left editing enabled. Please don’t delete existing work.
Please help me recreate DARWINS QUOTE HISTORY from positions returns.

If it is possible to do so with the information I already put into the files, could someone please edit the files and add the formulas and generate darwin quote history? I would appreciate it.

Thanks for anyone’s assistance in advance.

Hi @yhlasx!

Good point!

I guess this is not exactly possible, as Ra doesn’t show both DARWIN D-Leverage ceiling nor the exact moment the position was adjusted.

So just to make sure, there is no way to recreate even underlying strategy return history?

I guess underlying strategy is different, it has not been adjusted by the Risk Manager.