Hello Darwinex community,
I want to introduce my DARWIN FLI to the community as it is featuring in the top of the October 2019 DarwinIA leaderboard and I feel the time is ripe to give my strategy some exposure.
First let me tell you a little about myself and how I ended up here. I am a 29 year-old econometrics student in the final months of finishing my master’s degree in Quantitative Finance. I have been trading some CFD’s since 2011, blowing some of my poker winnings on Plus500 and other bucket shops. In 2014, I stumbled into the Bitcoin market and built up a comfortable bankroll for a student. Only to to lose the majority in the January 2015 Bitcoin crash, trading with 2-3x leverage. Fastforward some and I have managed to build a good bankroll once more, meanwhile studying Quantitative Finance, going into the 2017 Bitcoin peak. Realising that the easy money would be gone soon, I decided to cash out a significant portion and to study the ‘big-boys’ market more, as I like to refer to FX and equities trading as opposed to the crypto cesspool. I was introduced to Darwinex by the promise that consistency, durability and openness could be rewarded with investor’s money.
As I set off, I managed to do OK for a bit, until I hit a streak of bad luck and start overleveraging and blow up. After messing about with three discretionary strategies (two I actually made a DARWIN for, which I left up for transparancy purposes), I basically stumbled upon a surprisingly simple way to get a statistical edge predicting the intraday price move of the EURUSD pair. I turned this into the automated strategy FLI.
The main reason I run this strategy and decide to show it to the world is because I want to prove that I can make things work if I research my ideas well enough and am able to stick to those, even in periods of drawdown, which the strategy obviously experienced in the first 6 months of running it. Additionally, I am looking for feedback on what makes this strategy interesting to invest in or, more interestingly, get dismissed.
Some more information on the strategy itself:
- Every morning it makes a prediction on the direction of the EURUSD market for that day, and it tries to enter as advantageous as possible.
- The strategy does not hold more than 1 simultaneous trade at any time and never holds trades overnight.
- The strategy adjusts position size to assume a fixed leverage.
- It was backtested for 15 months, or 336 trades and yielded 204%, with a max drawdown of 22%. It achieved a max D-score of 84.4. Some more details seen below
- The main reason for the larger drawdown in the live strategy is seen well when comparing the daily return distributions of the backtested and live strategy. The left side of the distribution in the live environment (bottom) has several more -5% to -6% days than the distribution in the backtest environment (top)
- Some of these large down days could have been prevented by applying some discretionary intervention as they mainly occured during expected market-moving events such as NFP/FOMC/etc.
I hope this gives a nice overview of me and my strategy and I am happy to receive any comments or feedback and answer any questions you might have