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KVL – CavaliereVerde

Kind of strategy: technical, contrarian
Execution: automated
Timeframe: h1
Entry rule: overbought and oversold levels
Exit rule: fixed stops and targets
Risk management: 0.01 every 700€ ; 1 trade per market
Portfolio: 4-7 markets

9 Likes

Darwin KVL
Strategy KnightReversal

IPO September 19, 2016

Hi @CavaliereVerde,

It is true that it is too early to draw conclusions …

But your Darwin is very great for now.

Actual results correspond to back-testing?

2 Likes

Yes it corresponds, it is backtested in the same way as LSC, over 4 years of market.
Results are 50% per year with 15% drawdown with this risk profile (var 10-15%)
The main difference is that the reversal strategy has shorter stagnation than the momentum strategy.

Updated description!

1 Like

This is the backtest from july 2012 to july 2016.

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Which part is in the sample and which one out of sample? Or is it just simple backtest?

I don’t work with IS and OOS, I optimize verifying the stability of the zone around the parameter, then I work recalibrating the walk forward part, at 6 months steps.

Fine tuning risk profile and VAR of the strategy: updated to 0.01 every 700€

3 Likes

@Medialux
Christmas holydays would be a bad idea also for KVL:

2 Likes

I spend a lot of time commenting system by other traders, maybe I should spend more words on mine. :smiley:
I am very satisfied with the behaviour of KVL during the last quarter.
These are the results of some major fixes I did on February.
I did the same improvements on LSC but Darwinia algos like much more mean reverting systems. :wink:
This is the reason of a much bigger notional allocation on KVL.

6 Likes

Another thing that makes me happy is that systems are growing uncorrelated

We have a good example with the weeks of May:
LSC was positive the first and negative the other three,
KVL was negative the first and positive the other three.

7 Likes

Dear @CavaliereVerde , was looking at your stats.

The improvement is big and visible, your KVL was very stable also during the 2K16, this year it’s growing very good, one of the best 3 month performance among the Darwins I observe :clap: .

I think that when markets will be much more in trend we will see also your LSC with a bigger allocations, just give it time, unfortunately it is not a good phase for T. Fs :grinning: .

Wish you the best,
VolcanoFX :volcano:

1 Like

@VolcanoFX
Thanx for your comments, very appreciated!

Yes it depends on market phases, longterm profitability should be the same for both systems.

About DScore I think KVL will always keep an advantage of 5-10 points, because of Os Cs D+ D-
The mean reverting portfolio was designed for both diversification and Darwinia . :wink:

1 Like

I think it too :grin: !

VolcanoFX :volcano:

1 Like

Let’s try new widgets!

mmm not so small to be “extra small” :smiley:

2 investors are missing …
AUM would be better than number of investors

4 Likes

Testing extra small widgets:

DARWIN SIGNATURE (EXTRA SMALL)

DARWIN´S CHART (EXTRA SMALL)

I´ll pass on your AuM suggestion @CavaliereVerde :wink:

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I will continue here my answer to @VolcanoFX .
KVL is 100% mean-reverting.
LSC is 10% mean-reverting and 90% trend-following.
All mean-reverting strategies have always been optimized on 5 parameters from the beginning.

4 Likes

Yes, today is the last day of darwinia and I am able to agree now that the top (1st and 2nd) are “not serious” darwins :wink:

https://www.darwinex.com/darwinia

I will be happy in every case if you are the 1st @CavaliereVerde, interesting evening

Congratulations, and I hope that this investment be fruitful for you in future months

Congratulations

6 Likes

haahahahah :smiley:

Yes congratulations to your FTT !
I hope you will celebrate the allocation with a specific post here!

DarwinIA’s algos are like ours, they need some time to develop their potential, it is not casual that six months are passed since reloaded.

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I agree that a good system has to run on a decent account, KVL seems to deserve it. :wink:
I am gradually upscaling the strategy: +equity, +sizes, SAME VaR.

3 Likes