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From fixed VaR to variable VaR

fully agree. That’s typical for IT projects that you publish what’s done just before it is implemented.

The new formula looks like an insurance against DD which costs money on the profit side. The idea of @Tomcat could also be taken in account that DARWINs with a max. DD of less than 10 % would not be affected by the change. That would make traders more sensible to watch their losing positions. Now it’s too late to discuss new ideas, until the next change is announced. :smirk:

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It was announced 3 months ago …
And that was the place to discuss.
They also changed the initial idea, it seemed something to be decided by the trader instead we have a manager that is the same for everyone and in my opinion it is much better, same rules for everyone as it has always been here at Darwinex.

About the ideal risk profile it is something that depends on the population and on what investors are looking for, if they wanted they could set it to 6-12 or 7-14 , they prefered to slightly reduce and set 5-10.

For me it is good what really matters is a better quality (Return/DD) on the asset class with lower degradation of the underlying strategy.

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And that is a point which should be discussed much earlier. Besides I prefer a rule to a trader decision.
What I am really still missing is a minimum VaR of 1 or 2 % so that Darwins like ERQ could be traded again.

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the changes were announced over a month ago

where can we see the new value of the VAR? because i see all darwins fixed 10% as well as before

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Don’t find any change until now. Maybe they did not recalculate anything and the new risk manager starts today.
A statement from Darwinex to this point of the discussion would be nice.

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If they were going to “recalculate” and change all equity curves. wouldn’t you think they would have mentioned it.

you guys have worked yourselves into a fury about nothing

mmmm
… and without recalculating they are showing a trackrecord done at 10% while the future risk profile will be different.

It wasn’t science fiction, last time they changed they recalculated everything.
Without recalculating what’s the point?
Waiting 1-3 years to see a cosmetic change?
Probably in 3 years there will be another improvement…:smiley_cat:

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It will be very strange if they don`t recalculate the curves.

Most of my track record is imported and it is heavily distorted in a bad way from the old RM.
I don`t know how it will be under the new RM, but anyway at least there will be some indication for the future and I can adjust my settings accordingly.

If the old curve remains in my case it will be just some random curve without any meaning and statistical value.

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If they don’t recalculate I like to know which calculation will be used for the past of new Darwins (imported stuff and native ones).

If the new risk manager reduces profit and DD also for past periods, they might be disadvantaged against existing ones.

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Hello community, sorry for not being clear enough in the blog post. We are not going to recalculate the darwins.
The main reason is that we can’t simulate real market conditions in the price executed in the darwin in those trades that are not traded in the underlying strategy.
To explain it i will give you an example.
As you know the darwin takes the fill price from the underlying strategy but whenever the risk manager acts we don’t have any fill price from the trader, and therefore we need to take the price from the market at that moment.
For example:
One trader opens an eurusd trade at 1.12012, but he had an gbpusd open at that moment.
The darwin will make also a trade in the gbpusd and we don’t have any execution price for that asset.

Even though we are collecting tick data since 2 years ago it is really complicated to ensure the same price we have in real time.

Thats the reason why in the blog post both charts (blue-red) are based on simulations, to see the real difference (spread) between both risk managment logics.

I hope now is clear why and sorry again.

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And new Darwins - native and migrations - are calculated only with the new risk manager, also for the past … years?

Disappointing.
In this way traders will be encouraged to create local clones of their accounts to “darwinize” after every risk manager update to take advantage of the better algo.

You did it on 2017… :no_mouth:

The perfect solution is not always the best one.
In this case, recalculating the darwins would take mucho more resources, (there are tons of things that we need to take into account), that would not be used in other product developments that we consider will improve a lot our proposition. And in this case, it is questionable which one is the best solution. We had tons of discussion around it and we came to the conclusion that any decision was bad, but the improvement, the earlier we released it, the better.

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Yes, we did.
That iteration in the risk manger had much more impact than this one. We also learnt a lot in that process to know that making the change this time was too risky.

Anyway,
if i had any doubt that old darwins are clearly penalised against the new, it would be a reason to decide to take the time it requires to redo the darwins. In this case, i truly think that the way we recalculate the darwins can have even more impact in some darwins returns than the change in the risk manager. That is why i think is the best.

Finnally, we can admit that sometimes we fail to do the best. I don’t want to give the impression that we have a reason for everything.
We will try to explore ways to improve our decision making process.

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IMO they are on the max. DD if that value would be smaller with the new formula.

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Hi all,

Will we be able to see somewhere on the platform what the new Flex VaR of the Darwin currently is?
It’s still showing Target Risk (VaR 95%/Month) = 10% for all Darwins.

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We are going to change the copy to Target Max Risk =10%, to be more accurate.
In the following weeks we will launch a new private section in which Darwin Providers will have more information of their Darwin, and our idea is to show there the current value of VaR target.

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