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QUA - Quantessence

Me too… I have also occasionally been following Quantessence since the championship. Since you guys have developed your algorithms by your self, I wonder if you have considered improving the “Divergence”. Now at -1.3% per month for me.

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Hi @Kalle88,

we are rethinking our order execution at the moment in order to reduce divergence and to sync investors performance with the strategy. However this takes some time since a different entry method affects the strategy. We will keep you updated and inform the community as soon as we found a solution to it.

Regards

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Hi everyone,

I’d like to give an update on the divergence topic and a comment on the recent losses.

The good news is that the divergence of QUA dropped significantly from almost -2% to -0.27%. It seems that the adaption of our order execution succeeds in decreasing the divergence. We are currently implementing additional measures that are supposed to keep the divergence as low as possible.

This takes me to the current performance. I assume that the loosing streak looks especially drastic since it started right after the equally sharp uprise in performance from the beginning of this year and is stressing those investors the most that entered right around that peak:

As stressing as this is, a look at the bigger picture shows us that right now the drawdown is still a statistically normal cluster of loosing trades and still moves in expected territory:

However we hate to see the market not agreeing with our models :wink: and are working on further improvements. Since it might seem like the drawdown is connected to our change in order execution I’d like to say that this is not the case. It is rather the opposite. While thinking about ways to adapt the order execution without allowing a negative impact on the performance we were able to find a way to make the strategy more robust. In fact the first half of the drawdown wouldn’t have been so severe if the adaption of the strategy would have been implemented earlier. Unfortunately retrospection does not change facts ;-).

If you have any further questions please throw them at us.

Regards

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Thanks a lot for the update, you rock!

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Thanks for the update! Much appreciated :smile:

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Thanks for the update :wink:

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Hi @Quantessence recently invested in your Darwin going off the stellar historical performance. As your Darwin is migrated, just wondering if you have run tests on both Darwinex data and your prior broker and what the divergence was if any? I ask because time and time again we have seen recently migrated Darwins tanking following migration.

I was aware of this risk investing, but results were so good, thought it was worth a shot :slight_smile:

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Hi @OGFX,

we are still trading some capital with IC Markets as the broker we migrated from. The difference to Darwinex is minimal. One or two trades don’t match because of slightly different price quotes but overall the performance is quite the same. You can compare it yourself with an account profile at myfxbook: QUA-IC-2
So unfortunately we can only blame statistics for the recent drawdown. :wink:

Regards

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The return of the cheer QUA fall down below the return of MIGRATION:
All investors (435 poor guys) loose.
https://www.darwinex.com/darwin/QUA.4.3
what occurs?
Thx

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Can’t speak for @Quantessence but this just look like a regular drawdown to me.

Something that I have observed pretty often is that the Darwinex Risk Manager seems to be getting a little overconfident when a strategy didn’t experience a bigger drawdown in the last couple of months. Increasing the leverage assuming the var is low.

The myfxbook equity curve looks perfectly fine here (although lower risk): https://www.myfxbook.com/members/_Quantessence/qua-ic-2/1487974
The Darwin trades at a higher risk so its curve looks bumpier.

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Hum ! I see some changements and a strategy by jolts (stable-big up-stable-big down-stable).
Since six months…

I would kike read the trader and what occurs ?

My conclusion is: this strategy has a bad recovery ratio. It’s really hard to recover the High water mark often for investors with bad timing.

I hope best days for QUA, a leader of Darwinex. Brave !

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I think the risk manager amplified the previous runup on January.
The side effect is that the present physiological DD seems worse than hystorical.

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How can you tell that the risk manager is responsible for the previous run up?

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Hi everyone,

the leverage on the account that the Darwin is replicated from is the same as for the account linked on myfxbook. We have enough experience to not change the risk settings because we believe that the strategy has a good run or because we want to make up for a period of loosing trades. In the light of historical performance the current drawdown is the normal behaviour of the strategy. But as @CavaliereVerde noted: the risk logic of Darwinex amplifies some trades more than others. This way the performance is more volatile than the underlying strategy behaves.

Regards

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Just to avoid any misunderstandings. When I am saying … [quote=“KlondikeFX, post:30, topic:2962”]
Something that I have observed pretty often is that the Darwinex Risk Manager seems to be getting a little overconfident when a strategy didn’t experience a bigger drawdown in the last couple of months. Increasing the leverage assuming the var is low.
[/quote]

… I am talking about the Darwinex Risk Manager, not the trader himself. Not sure on what timeframe the Darwinex logic bases its calculations (I think it was 3 months?).
Anyways, if a strategy has a low var during that period, the risk manager automatically increases leverage to achieve the aimed 10% VAR. This can be pretty annoying as this behaviour amplifies losses occurring after a solid run.
Afterwards, the risk manager has to reduce leverage again, to stay in that 10% VAR, making the recovery a little harder.
However, this also works the other way around by amplifying profits during a good run which nobody complains about, obviously :wink:

Please correct me if I am wrong :smiley:

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Hi @KlondikeFX and @CavaliereVerde!

You are right, but let me add a bit of info, just for the record.

VaR is calculated on a 45 trading-days period.

If a trader has a stable VaR below 10%, the D-Leverage of the DARWIN will be higher than the strategy’s, amplifying profits and losses.

On the other hand, if the Risk Manager measures a higher risk than usual could intervene the position on the DARWIN, which may result in lesser losses (or profits). This is independent of the strategy’s VaR and may be based on:

  1. DARWIN’s D-Leverage ceiling and/or
  2. D-Leverage x Duration is excessive compared to similar trades from the past

For more information, we have published a webinar about Risk Manager.

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:open_mouth:

Are you sure about that ?

Var could be modulated, evaluated on a 45 day period, but not (I repeat :not) calculated on a 45 trading-days-period.

As everybody knows, 504 or better 756 trading-days-period is the minimum way to compute a VAR. :smiley:

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@CondorcetInvestment
Current lookback is 45 trading days, before reloaded it was 15 .
You are right: evaluated like a moving average with a period of 45 bars.
12 DPeriods of data and a period-lookback of 45 days.

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You are right to remember us the complexity of Var evaluation.

There are two dimensions :

  • Long term : using history EC to evaluate the VAR
  • Short term : monitoring short term leverage to seek a stable Dleverage.

The second term is about 45 days.
The first term as no limit : all data available.

Sorry for my poor English!

I meant monthly VaR in Darwinex is calculated taking into account the last 45 trading days of the strategy, as @CavaliereVerde says.

Blog: Risk Manager part 2

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