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QUA - Quantessence

D-score (82) can not prevent the fail of 1M$ aum (356 followers) as soon as to the migration quote. The IA Loss Aversion always before 7, then 6 and now < 3 !!

"This strategy trades a portfolio of proprietary quantitative trading systems. For reasons of diversification all systems are uncorrelated to each other. The risk of the underlying strategy is managed by an extensive risk simulation that models several parameters."

OK ! Diversification, quantitative, uncorrelated, simulation, parameters ! But QUA fall down.

Investors could, should demand some explanations.

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You are right but if we analyze the darwin and IAs chart we can see these vertical drawdowns and LA gong from 2 to 8 and viceversa other times in the past.
I seems that sometimes an high LA system is on while other times a low LA system is running.

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$QUA had have two matters:
1- Its VaR was TOO LOW.
2- He had used MARTINGALE.

Psychology !!!

After 4 years track record but only few months since MIGRATION, this darwin, boss for darwinex (D-score >82), can recover the high water mark ?

I am in a hurry to see the system of covering: Grid, leverage or calm ?

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In fact and i saw this with my friend, the many variations of Loss Aversion (since blue arrows) could, should predict the drawdown, more, THE bad drawdown. Darwinex shows this and it’s easy to understand the system of QUA.

I also underline, the TIME drawdown of 6 months. So it’s not a darwin for Buy & Hold investors even if the track record showed a rising equity curve. The past is the past for performance but remember LA prediction.

Investors should understand how is the performance obtained? And for me: Loss Aversion attribute is the best tool, with, Risk stability, and a glance on Underlying strat. What else ?

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You’re excellent in theory.

Hi everyone,

I’d like to answer in response to @TheCheetah:

We do not use any kind of martingale approach. Instead we gradually scale in and out of a signal by opening or closing a linear set of orders as long as the signal is valid or becomes invalid. I know this sounds quite technical so let me explain by what recently happened: due to the strong downwards trend in EURUSD the system scaled into the correction assuming the price would at least move sideways if not drop again to gradually close a portion of the entered trades but then the correction became a copybook reversal of the major downward trend and almost all orders where taken to their stoploss. This is also the explanation for the drop in the LA score.

This is an event that didn’t surprise us because we have seen it in our risk models as a tail event. But I wish it would have waited to happen until the system had recovered its high watermark.

If you have any more questions, just ask.

Regards

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@Quantessence
I think that your system scales in both winnig and losing positions.
The problem is that LA has a short lookback of 3 Dperiods , so in this case only the recent losing position is anayzed.
This explains also the big waves in the score.

Dear @Quantessence ,

I just wanted to congratulate you on your impressive recovery… you guys deserve it!!!

Have a wonderful weekend,
Ignacio

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Hi @ignacio,

thank you for your congratulations. We are happy that the new strategy features are behaving as expected and that the high watermark has finally been re-reached.

Regards
Ole

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Keep up the great trading!

This is probably the single biggest drop in a day from a respectable darwin that I have witnessed in my time here in Darwinex (-12%). What happened?

Hi @jumpergrog, @DAIICHI, @asder34 and everyone else,

I’d like to shed some light on the recent drawdown.

What happened?
The optimistic comments from both sides of the Brexit negotiations in the past weeks where supported by positive economic numbers on the british economy and made the exchange pair trending strongly upwards. Our system placed a bigger bet on a continuation of the positive climate. Then came the much hoped for Salzburg summit where PM Mays Chequers proposal was unexpectedly rejected and the uptrend of the pound came to a halt. But what made the sterling fall like a stone was the reaction of Theresa May. As soon as she talked of the Brexit negotiations having reached an “impasse” the pound had its biggest drop since the referendum. As a consequence our system pulled the emergency break and closed all positions with a significant loss erasing all previous months gain.

It is always easier to digest a drawdown as it happens slowly over days or even weeks as to see it happen in a matter of hours. Despite the risk of sounding silly I have to state that even though a loss of 12% on a single day looks just brutal - it still is rare but expected behaviour. However in light of the possible developments concerning the Brexit talks in the next few weeks and the increased volatility we have decided to reduce the risk for all trades in GBPUSD.

If you have any further questions, please ask.

Regards

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Sorry but my intervention it’s not about the reasons of the DD.

I completely desagree with this:

you can say this when you’re trading your own money or trading with 1K not when you manages 1 million.

The other point I don’t like is your explanation about what happend.

Sure we can’t avoid brutal movements in forex but in the case of GBP it was sure like a rock (that in one sense or another).

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Seems a bit concerning that there is nothing that indicates that you hedged your so called “bigger bet”. Surely you all knew the news was going to land on one either side of this “flipped coin”? I haven’t traded out of your Darwin yet, but the above reasoning makes me slightly nervous.

Hi @jumpergrog, @DAIICHI,

I have to admit that we underestimated the possibility of a negation of the positive developments in the Brexit negotiations by Mays surprising statement on that particular Friday. In hindsight the risk should have been lower in order to hedge against the dramatic decline the market developed as it was caught by surprise. In conclusion we did reduce the risk parameter for all GBPUSD trades. On the other hand we believe that the upcoming uncertainty will also offer chances to recover the performance.

Regards

I love this:

Of course if you’re in right side.

You have 50 % chance.

You do realize that it was the initial uncertainty (surprising statement) that caused this in the first place right and that this statement is a paradox in itself?

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I think that there could be a misunderstand here…
QUA is an ALL EA darwin right? So I can’t see anything wrong if you decided to let the EA works out as always. From another point of view it can be dangerous to lower the usual exposition now… brexit will be on the table for a long time… and risk manager will kick in anyway…

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I love that quote too:

how can I say it?

there is no RM with this type of darwin (VAR 4).

Risk Manager does not kick in only to lower the risk, but also to rise it to at least 10% VAR… so with 4 of VAR the risk manager will more then double the investment… with a VAR of 2 it will multiply it by 5… so yes there is a RM but will rise the risk and all the effort to be less “risky” will be worthless. The only way to reduce risk is to be more proactive in the trades… i.e. to have tighten stop loss.

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