We will make some considerations more in such a way to underline again the situation that has been going on for some weeks now.
As you can see during last times we have talked week by week about the fact that volatility and lack of direction are striking most of strategies existing on Forex, sadly not only belonging to this Algo Portfolio that, even if composed by several components with different looks, is still losing during this phase.
What anyone can easily see, spreads on various graphs especially on majors, is a huge amount of randomness on almost all time-frames, which drives to a particular alternation of volatility that during some movements foreshadows a strong change of direction which does not happen except in a contrarian way but with a different intensity.
This affects a bit all components that base their trading (entries, exits) over longer time-frames especially if they take care of volatility with a decent loss aversion. With this erratic behavior, there were no main trends to be exploited, nor new ones to follow since sharp inversions, losing trades are generated in both directions.
Has something changed in GTD's components?
No, there are no changed rules actually, one thing is to adapt at last markets conditions a component, another is to change its rules during a Drawdown of the entire Portfolio. This situation is affecting a lot of strategies in general, but taking into consideration different components of GTD over some particular past phases, it is something similarly seen.
GTD adapts at market conditions without the crystal ball , and of course adapting strategies it is not to be confused as an incentive to change the rules or overturn a setting during an unfavorable moment in general for some type of strategies, as it would be totally invalidated the statistical analysis of an algorithmic component and its relative forward that until the previous moment has confirmed the statistical advantage that allowed the same algorithm to generate positive return and a cyclic profit during times.
**Since the phase and to let understand more our words, here just some examples of live-behavior related to different components, that goes back with a time scale from the oldest to the most recent trade in ascending order:
Adapting to markets does not make necessarily something that is not productive into productive and vice versa, nor it has to destroy foundations of a strategy even if during some phases it is not working in a proper way.
Has something changed in GTD's risk?
No, there is no more risk per single component on GTD. The portfolio is actually having 9 on the RiskStability attribute also because one of our target for the year was to smooth during phases the replication between the Underlying Strategy and the Darwin, in order to let be minimal differences among them.
You can't put twice the SL tomorrow just because today it seems to be too short.
GTD is actually taking more SL during multiple weeks, but the losing period is not correlated to just one component or a risk different in comparison to the past, but more of them that are working with difficulties.
What we are doing?
What we are doing actually and will do in the future is to have eyes on all the strategies, we put time every day to understand if the picture could be improved with new things and studies, we are doing this since the beginning both during favorable moment, both during unfavorable ones, cause a Portfolio is made to lose and to win, the same a composition of strategies and we remember this condition both after loss and both after wins. Regarding the actual situation of Drawdown, that is related to a mix of conditions between discharge of performance of some algo components and the actual market's alignment, we cannot say with precision when the phase will end, as we repeated many times stagnation and drawdown will always be a part of the journey, we work to reduce them but we will never be able to avoid them nor to understand their duration if not after their end.
That's all for now, let's see in the following weeks.
A big thanks to all Investors that are still on GTD.