Good afternoon to everyone!
You know that our Darwinex Lab runs 24/7 to grant you with the best possible tools and metrics to analyze, assess and compare trading strategies... and Darwins.
I am dropping a line to introduce you to these 2 new chaps that I think you’re all going to get along.
Both of them are going to fill these missing gaps you might have noticed in the Darwin profile.
Without further ado, let me introduce you to:
- Return/Risk (since inception)
This metric is going to complement the Pf Investable Atribute by assesing the risk/return ratio since inception -in contrast to the last 12 D-periods of experience we use for the Pf-.
It is something similar to the Sharpe Ratio since it is a way to examine the performance of an investment by adjusting for its risk.
FYI, a number over 1 means that it has statistically beaten at least 68% of random strategies. A figure over 1.65 has statistically defeated a minimum of 95% of arbitrary strategies and a number over 2 has statistically beaten 99% or more random strategies.
Average D-Leverage / Position
Although all Darwins come with the same target risk, set at 10% monthly VaR, this does not mean that they have the same volatility.
Let me explain this point: The D-leverage per position of a strategy trading only few and fleeting trades, will not be the same as a strategy that’s always in the market. Both of them have the same target risk but they need different levels of volatility to reach the target risk (10% monthly VaR). The former one will yield a higher average D-Leverage per position and therefore will be more volatile, when they in the market, than the latter one.
FYI, we calculate this metric by going back 1.5 D-periods of Ex.
Please, let me know what you think about these two newborns and feel free to ask all the questions that might have arisen.
Have a good one!