On September 12, the FINDEX strategy became operational again, after the manager’s absence due to travel, and with some adjustments made.
Previously, FINDEX had three different entries. The first was a ‘market’ operation, which was carried out at the same time as the signals were given. The second and third were ‘pending’ trades, which were only executed if the price initially advanced in favour.
During the month of August it was observed that there was a certain asymmetry between the progress of positive and negative trades in the Darwin MYQ.
Once Darwinex was consulted, we discovered that the Risk Manager was making adjustments that were not reflected in the Risk Adjustment (Ra) chart that Darwinex claimed it was going to correct.
Graphic already corrected
The Risk Manager
What happened was that in the very positive positions, where the second and third trades were opened, the Risk Manager considered that it was trading with more risk than usual and closed trades. This obviously protected the Darwin in the event that the price went against it, but it did not transfer the full benefits of the underlying strategy to the Darwin MYQ.
As a result, adjustments have been made so that all the operations carried out have the same weight. This means that the risk does not increase in the underlying strategy and that the Risk Manager does not have to act in the Darwin.
From now on only one trade per position will be opened, so there will never be simultaneous trades in each pair. This will lead to a more uniform risk in general.
In addition, very active management of open positions continues. The aim is to detect as soon as possible the moment in which the movement in favour loses strength and to also try to close quickly when the strength of the movement in favour of the counter increases.
From September 9, 2019 to September 15, 2019
Momentum total trades per week: 3
Reversion total trades per week: 0