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Filter criteria requests

I have created this topic for suggestions of Darwin Filters from the community

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May I request that a Darwin Filter is provided to enable
filtering by the VAR of the underlying strategy. This would allow very high
risk strategies to be easily excluded.

As all Darwins are “normalized” around var 20% I think that wouldn’t have much use. Unless I missunderstood what you mean :slight_smile:

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Best filter would be access RESTful API :slight_smile:

I was referring to the VAR of the underlying strategies. For example, there are 28 pages of strategies listed here with a VAR between 98.8% and 100% (most of which have a very short life).
I understand that the Darwin will adjust the risk down, but if the Trader is highly likely to blow up their account it seems pointless even considering them.

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I agree. It is frustrating watching idle darwins

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Filters that deliver Darwins presently in drawdown:

DD > 30%
DD > 25%
DD > 20%
DD > 15%
DD > 10%
DD > 7%
DD > 5%

Here is my suggestion.

I would like to see the posibility to filter the darwins for divergence.

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Is it possible to filter Darwins by the size of losing/winning daily return distribution?

I find it very important. If I aim for 20% annual return on any single Darwin, I expect them to shoot for 2-3% a month and therefore if they have for example daily return over 2% then they are very risky for me. I will never ever again invest in a trader who can lose like 6-10% in a day and wipe out sometimes even more than entire previous month with one day losses. That doesn’t seem to me as conservative Darwin who can do that. I’m starting to lose my initial excitement about investing in Darwins. It seems that at the moment there is no place for conservative investor here until many more Darwins are available.

@Livenemaxx thanks for this idea.

This is one possible filter for the DARWIN platform that we’ll think of including going forward (medium term).

Wrt. conservative investing -I don’t know if you know that DARWINs were initially launched with 3 VaR levels (5, 10 and 20%) - and demand was overwhelmingly for the 20% VaR. High volatility events prove that only offering the 20% VaR was perhaps a mistake.

Going forward, we’ll probably lower the VaR to something closer to 10% - but this requires some reflection.

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Thank you @juancolonbo.

That filter is minimum requirement for serious investor. I consider myself more than average investor, maybe more sophisticated. I do not recall there being 3 VaR levels. In my opinion, big money investors would agree with me that around 20% annually would be the goal. More is too risky for big money. VaR at 10% would be much safer. The way it is now and learning more about how underlying strategy is transformed to Darwin with current VaR, I consider investing very risky. I always focus on worst case scenario and ignore that most people want to make as much money as possible in as shortest time as possible. But this is topic for maybe longer private conversation.
Investor should be offered different tools/ways how to be able to be in control of his investment. Now it is not possible. For example, I there was different VaR on offer I would go straight for 5%. Some other with more appetite for risk would be happy with VaR 20%. I do understand that most people here have no idea what to do and in what way to protect themselves and are danger to themselves therefore Darwinex must protect them.

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@Livenemaxx - as I said, we agree that 20% is too much.

On another note - you can always invest e.g. 25% of the amount you’d invest to get 5% VaR exposure :slight_smile: not saying it’s the ideal way, but it ends up the same. Cheaper to borrow the cash than have it lying around .-)

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Now that sounds like a VERY good idea!
Perhaps you could setup a poll on the forum to get feedback on user preferred VAR options.

There are a number of serious traders posting on this forum that are trading with a VAR of much lower than 20% who are frustrated by the fact that the Darwins associated with their accounts are greatly amplifying and distorting the volatility and drawdown of the underlying strategy.

Perhaps you have a more enlightened community here now than at the initial launch period.

True, but do you not think prospective investors may be scared away when they see large volatility and large drawdowns on individual Darwins?

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Yes @SATFX, I’ve said so elsewhere :slight_smile:

I’ll write a blog post on this and several related matters, but I agree 20% is probably too high

When I read it, agreed with this statement though I had impression that something is wrong here.
Let’s try to count as the size of accumulated earnings for the investor who wants to invest $400 in one strategy with different VaR (5%, 10%, 20%) to receive an identical maximum possible loss in 5% will change.

Apparently, for small values of monthly profit results are almost identical. If we break the analyzed period into smaller time frames, then in a limit we will receive that there is no difference really in what VaR to invest.

However the feeling of abnormality remained.

I think that the reason in the following: yes, to invest $400 in VaR of 20%, but to keep risk of losses at the level of 5% and to receive the same profitability, it is necessary to invest only $100. But at the same time there is an implicit question: what to do with remained $300?
The correct answer, of course, to leave these $300 and don’t touch, that is don’t to invest in anything else.

Whether but in reality how many investors will find in themselves enough self-discipline to follow this rule?
If the investor is ready to give $400 to work, it means that if he invested only $100, there is a big temptation to invest remained $300. But if he makes it, for example, will invest in three Darwins with VaR 5% on $100 in everyone, then it won’t be equivalent to first invest target any more. The investor will receive bigger risk than 5% as he planned at the beginning.

Therefore in my opinion, an opportunity to invest directly $400 in strategy with VaR of 5% can be useful to those who want to avoid temptation to increase risk, making smaller investments in strategies with VaR of 20%.
Especially as such opportunity already was about what it is written here

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Good job @Vipro! Nice presentation.

@Vipro good thinking. Agreed that not all investors are 100% rational and this is not only (or not even primarily) about numbers. Regards

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I want to revive this topic and add some other requests.

  • filter on trackrecord’s lenght in months
  • filter on AUM
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