CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. -- % of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.

MBI - MatPed

MBI (https://www.darwinex.com/darwin/MBI.4.6) is a Darwin built on a portfolio of more than 60 swing trading systems on major pairs, indexes and commodities.

Developed with robustness in mind.
The portfolio is traded fully automated. Strategies parameters are retrained every 4 months.
MBI is profitable in a Out of Sample BackTest > 4Yrs and on all test cycles with over-sampled price curve.

Money Management
Portfolio component Money Management based on OptimalF (Vince).
Equity Trading control based on Rolling Expectancy Ratio.
No Martingales, only one trade for single Algo/asset could be opend.

Some numbers from the Back-test:
Bar period 4 hours (avg 338 min)
Simulation period 2011-08-28…2018-09-01 (10899 bars)
Test period 2014-10-22…2018-09-01 (5995 bars)
Lookback period 1020 bars (35 weeks)
WFO test cycles 11 x 545 bars (18 weeks)
Training cycles 12 x 4904 bars (169 weeks)
Montecarlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)

Gross win/loss 7952$ / -3143$ (+20752p)
Average profit 1246$/year, 104$/month, 4.79$/day
Max drawdown -403$ 8.4% (MAE -547$ 11.4%)
Total down time 73% (TAE 85%)
Max down time 25 weeks from May 2017
Max open margin 1049$
Max open risk 1432$
Trade volume 881750$ (228519$/year)
Transaction costs -442$ spr, 5.04$ slp, 0$ rol, -36.38$ com
Capital required 1049$

Number of trades 305 (80/year, 2/week, 1/day)
Percent winning 66.6%
Max win/loss 662$ / -157$
Avg trade profit 15.77$ 68.0p (+169.0p / -133.0p)
Avg trade slippage 0.0165$ 0.1p (+1.7p / -3.2p)
Avg trade bars 41 (+38 / -47)
Max trade bars 377 (13 weeks)
Time in market 210%
Max open trades 6
Max loss streak 6 (uncorrelated 5)

Annual return 89%
Profit factor 2.53 (PRR 2.14)
Sharpe ratio 1.93
Kelly criterion 3.08
R2 coefficient 0.859
Ulcer index 2.5%
Cycle performance 2.18 2.34 2.80 2.89

Confidence level AR DDMax Capital

10% 101% 210 1234$
20% 99% 235 1256$
30% 98% 249 1268$
40% 97% 262 1280$
50% 96% 277 1293$
60% 95% 300 1313$
70% 94% 321 1332$
80% 92% 352 1359$
90% 89% 397 1398$
95% 87% 433 1430$
100% 76% 678 1646$

9 Likes

Hi @MatPed!

Congratulations on your DARWIN.

Now it has almost 10 of 10 in every score! Amazing!

Waiting for your Experience attribute to grow a bit more. Keep it up!!

2 Likes

Thank you Miguel. Ciao

1 Like

From backtest the strategy is good but the real departure is not good.

tradingest, I do not know how to get rid of you.
I have blocked you on Skype and on all the forums where you are running after me. This post has the unique purpose to explain the Darwinex community why I will not reply to you any longer. Take care.

sorry @MatPed you have block me on skype without reason…you are free to do this without problem… my question is different and not answer is more easy for you…take care

End of the year analysis.
The strategy underlying the MBI Darwin has closed the 2019 close with an almost flat behavior; in 3,5 trading months.
The raw numbers are:

  • Initaial Capital: 1.401.56
  • Balance at 31/12: 1.401.68
  • Closed Trades: 26
  • Floating Profit: -51.81
  • Open Trades: 2
  • Virtual Balance: 1.501.68 +7.1%
    But and is a big but, I have manually closed the best trade up to now. I have manually closed the first Eur/Usd trade when it was in profit by 50€, but I have seen its phantom counterpart controlled by the algo closse with a gain of 150€. I wasted 100€.
    Adding the wasted 100€ to Balance at 31/12, would have drawn a different picture of MBI Darwin (Balance at 31/12: 1.501.68) +7.1% in 3.5 months of trading.
    I have done a mistake. It will not happen again!
1 Like

FS1901
The FS1901 version of the strategy underlying the MBI Strategy have been released.
The new version brings an improvement in the equity line control based on Rolling Expectation Ratio. The control is effective even after a start/stop of the strategy due, as an example, for a VPS maintenance. The new algo has limited impact on TS results but guarantees easier strategy improvements.
Next Strategy release (1906) will be focused more in Algo diversification and performance improvements

1 Like

Today I shutdown my Darwin. The reason is its poor performance I am disappointed because the sister system, traded on Oanda, shows a total different behavior:

I can not explain the difference. Being a Zorro user the only differences rely on the Assets file and on training data. Unfortunately Darwinex does not share past data in a useful way as other broker does so investigate the issue is very time consuming and wasting money in a proven loser Darwin does not make mush sense to me i will use the capital on Oanda.
I will continue to investigate the issue and hopefully I will come back one day.

Good luck everybody

2 Likes

It makes me very sad to hear this @MatPed… I am sorry you’ve had this experience :slightly_frowning_face:

What you have from the looks of the Myfxbook screenshot, is a potentially investable strategy that could make for a decent DARWIN if we could solve your Zorro issue with Darwinex.

I would like to personally assist you with this as I’m 100% sure that with your feedback (e.g. data / trade logs etc), we can resolve this for you and all other affected Zorro users one way or another :muscle:

I will reach out to via PM to discuss.

1 Like

That‘s a great idea.

I also had problems with Zorro and stopped using it because of a stupid hedging trade generated by it against the parameter settings (Trade limit was 1) on a unacceptable price level.

If you get the bugs fixed, I could be interested to try it again.

1 Like

Hi thank you, I am open to share the info required. Ciao

2 Likes

Great, I’ve sent you a direct message.