Just following on from this, and also talking with @ignacio about some ideas and examples of this.
Currently KBP is ranked first in Darwina even though its a strategy with -35.5% DD and -2.01% total gain (all correct as I write this). There are a few reasons its been able to get the top position in Darwina, firstly 10 experience (I think overly weighs on scores but I’ve mentioned that before) and also it happens to be having a good month this month with a 23.82% gain.
My issue with this is a strategy that continually looses money but then has 1 good month doesn’t encourage consistent ‘investment grade’ trading but rather sporadic large gains, and therefore high risk.
One of the suggestions I had was that each months Darwina could use the previous 3-6 months performance, this way it encourages consistent growth with controlled losses and also brings consistent systems more into the view of investors. Maybe a system where it uses the previous 3-6 months but drops the worst month to allow for major events, eg brexit, Trump election, that cause mass volatility.
Just my thoughts and putting them here for everyone to see and give their opinion