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IlIlIlIlI's demo portfolio

This is another - I assume my last - try to find Darwins for a portfolio by filters.

The filter:

the portfolio built end of 2019:

the simple rules:

  • portfolio has double levarege
  • I take the first 10 of the filter sorted by investors last month
  • all Darwins are sold after about a month for the portfolio’s rebuild
  • if the winners are still in the filter’s top ten, they will be bought back with the last equity
  • the losers and new Darwins are bought with a standard amount ($ 1.900 at start)
  • if I publish an own Darwin anytime, it will replace the current biggest loser or the last one in the filter’s sort - just for competition

I have a hard time understanding why a portfolio needs to have that many Darwins.
Wouldn’t it be easier to make a profitable portfolio with only about 3 Darwins in it?

And which should be the best 3 ?
Easy to find the best or luckiest of the past, almost impossible to find the best for the future.
A crowd is not needed but it is better to have at least 5-7 to apply leverage without insane drawdown.

Finding that out would be the hard part I guess :smiley:

More Darwins may indeed suppress potential drawdowns, but they may just as well drag down the profits of the best 3, comparable to ‘overtrading’. It’s a fine line for sure.

Besides, diversification between Darwins is overrated. Most of them trade the same assets, and even if they trade different currency pairs, they’re still correlated. Big USD news will impact any xxxUSD and USDxxx pair in the same way. Maybe not size-wise, but definitely direction-wise.
True diversification comes from building a portfolio consisting of Forex Darwins, Single Stock Darwins and ETF Darwins (in my humble and personal opinion).


You are right forex is very correlated to eurusd and volatility is mostly the same on every pair.
Despite this uncorrelation is just part of the story, with diversification you reduce the impact of unexpected disasters, winners turning to losers, guys crushing or closing the darwins.

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Let’s consider 2 of “top-darwins” SYO and LVS .
SYO : good performance in 2018 , poor performance in 2019
LVS : poor performance in 2018 , good performance in 2019
Nobody knows which will perform in 2020 …

It would be more nice to talk about Darwins in this portfolio and not any others.

This portfolio has a monthly update, which might be one of the reasons why my former portfolios were not profitable. To define an event for an update might be better, but I never tried that.

After 2 days there is no significance for the whole month, but the current roadrunner LEN was a loser in December. But who knows how it will perform until end of this month?

Fixed timeframe rotation is the best in my opinion, events are often due to noise and can cause emotional decisions ( sell low and buy high ).
10 darwins is the minimum for a rotating portfolio, rotating fewer darwins would destroy the overall performance.


Nice result at the end of the first month:

February update should be done Monday night.

Upcoming rules change:

  1. Winners will stay in the portfolio until
  • they show a losing calendar month before or
  • more than 20% profit in the portfolio (rebuy wanted to keep the effect of the double leverage high)
  1. Stoploss will be changed to 15.1 % below ATH on all positions and will be recalculated for all positions as the filter allows only 15 % max. DD

Well it looks pretty good that you only got 2 darwins that are in the loss and all others are winners, i’m impressed.
But TDV is almost 15% down in 1 month? How do you set the rules for this?
If i look at the Loss Aversion you see a bigger drawn down, what do you think about the trading style?
Because before it was pretty solid and not really that big on losses.

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The current rule allows 20% DD below all time high, and that was not touched yet. So TDV stayed in the portfolio. With 15% DD it would have been sold on the stop loss.

To keep a Darwin longer than the entry rules does not really make sense if the filter uses 15 % in the last 2 years, and this Darwin will not appear as candidate for the following 2 years.

The individual trading style of a Darwin is not analyzed intentionally for this demo portfolio, it is only mechanical driven by the filter and the rules.

A couple of considerations about TDV and your filter.

If you set a return(2y) > 40% but a darwin has only 1y of trackrecord you will bump into a lucky trackrecord that will go back to the average after your investment.

1 year of trackrecord may not be enough with an Ex of 3 , few decisions and more likely lucky streak.
Also a low equity < 500 may not be a coincidence.
Lowest equity and lowest Ex in your portfolio.

BTW congrats for the result . :slight_smile:

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With a deeper due diligence you would also eliminate one or two of the winners, especially if you also analyze the trading account. That is intentionally not wanted with this demo portfolio, as it should also evaluate the constructive work of the risk manager. Look at the trading account of TDV and you will see a good job of the risk manager :slightly_smiling_face:.

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I was not suggesting a discretionary additional layer but pointing out some leaks on your filter, that makes a lot of sense but could be better.

Always about TDV you can notice also a delayed IPO using the backtester, so his public and significant trackrecord starts on May, less than 10 months.
Ok this cannot be noticed by the filter but Ex does its job with short trackrecords, maybe it frustrates few darwins :wink: but excludes a ton of lucky trackrecords.

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I just had 10 Darwins in my filter ( plus 1 because the bug on days in Darwinex is not fixed) and didn’t use the backtester for more checks. Currently there are also only 11 and I hope there will be more in future, so that I could extend my rules with the iPO check.

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Darwins sold as they left the filter:

Performance fees are to pay for GSK and HEO.

Darwins bought for February:


HFD was sold as the max. DD increased 15.1 %.

Usually it would be banned for the next 2 years as it cannot meet the filter criteria.

Unfortunately Darwinex uses another DD calculation than real max. DD for filters so it is currently not shown because it does not meet the 5 % profit requirement in the last 6 months, but not because of violating the DD criteria.

It is replaced by WST, which meets all criteria and got 3 new investors last month.
(OOS - originally mentioned with 4 new investors - is already in the portfolio and locked his profit by correcting my wrong operation :slightly_smiling_face:)

February ended with acceptable losses:

The March setup will be done and published hopefully tomorrow


Gone because they didn’t meet the filter criteria or were sorted down by investor 1 month sort (LEN):

As there was not enough liquidity in the demo portfolio, I decided to buy only 4 new Darwins instead of cutting the existing positions. Position size was adjusted to $ 2,000 for each Darwin.

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The demo portfolio recovered fast to break even with the new setup:

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