In reading this post OPK – Mallku
I feel some frustration because I feel clearly identified the problem, mentioning it, but have failed to make myself heard and preach in the desert.
So I shall give a layer on a new Topic. For it is not a secondary issue, in my opinion, it is even THE current central problem.
So for me, the problem was the update in August of the algorithm that calculates the Monthly VaR of the strategy.
To be more specific, the suppression of the time weighting provided by the inclusion of the “D-PERIOD DURATION”.
To me, it is clear from this change that we are witnessing a drop in Monthly Var.
One aggravating factor, that the capital of traders was made public, prompting a capital increase that for reasons of credibility, and it reinforced the Monthly VaR drop.
The fact that on Darwins as OPK and ERQ Darwinex multiple volatility by 20, respectively 100 is still incredible and should interpellate !
Instead of questioning the foundations, reduce the reference VaR, etc, it might be better to replace the calculation of the Monthy VaR to the old version.
I know it all I’ve said. But in October I lost enough money to allow me to repeat it again!
I read http://blog.darwinex.com/darwinex-reloaded/ and I’m excited for all the announcements.
But I am still convinced that a rapid return to the old calculation of Monthy VaR could reduce the severity of the problem.