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Realistic Expectations

I wouldn´t call this reality check, as it has a strong loser bias.
And it invites to top your competitors with extra misery.
But yes, it is sad. Very sad.
That people chose this method to destroy themselves.
Like race car driving.

trading has a strong loser bias

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An example of Real Trading for investors worried about losing months and “large drawdowns”:

I would like to have an opinion from new active users with a proven trading experience like @FedericoSellitti and @bendex

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Just the opinion of a rusty student, who used to study these things at the University (around 10 years ago), then focused almost exclusively on Forex Trading after that.

I think that it is a nice comparison, since this DUNN Capital is not standard for CTAs and is more similar to Darwins.
The main characteristics of it, seem to be:

  • High volatility strategy;
  • Variable (adaptive) risk.

I guess that the intent is to massively outperform the underlying market, targeting high returns, at the expense of risk.
It is a good setup for people who are trying to build their capital, for people who don’t mind about having a higher risk, for people who focus only on returns etc.
It would be an amazing setup here on Darwinex :slight_smile:
I would certainly walk away after a quick look at the PDF.

Something that is more for me: https://investor.vanguard.com/mutual-funds/profile/overview/vwiax

As a trader, I have to be able to go to sleep at night with peace of mind. As an investor, I guess it would be the same.

I wouldn’t say that, in order to keep realistic expectations, an investor should expect drawdowns like 40-50%, not even here on Darwinex.
I would say that you can reasonably expect and accept a drawdown that is half of the yearly return. If you see someone making +100% per year, on average, you can reasonably expect and accept a drawdown of -50%, just as a generic guideline.
It depends on too many things (ability of a trader, strategy used, markets traded etc.) to give a detailed guideline.
Of course, all of this is provided that the trader knows what he’s doing, otherwise no matter what, you should always expect to lose all your money :slight_smile:

At the end, in terms of numbers, I think that the drawdown that HFD is having is quite normal, considering the profits he made so far.
What worries is the risk structure that comes out of the candlestick chart. A very marked tendency to recover every single bad trading day/week as soon as possible (this should also explain the incredible number of positive trading months).

Just my opinion, I think you know much more than me on this stuff :slight_smile:

I think it is still very low .

If Dunn is not enough I have this:
https://ctaperformance.com/
DD is always higher than annualized return.

What investors want is completely different from what is possible to acheive.
If you can find me a trackrecord of 10 years with annualized return that doubles DD… I cannot.

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Ok, allow me to rephrase.

I would say that you can reasonably expect and accept a drawdown that is half of the return in a certain period of time. If you see someone making +100% in that period of time, on average, you can reasonably expect and accept a drawdown of -50%, just as a generic guideline.

I tend to focus on Forex Trading, where a year is generally a good time-frame.
For other kind of investments, it might not be a good metric.

A negative year for long term investments in whatever market, I don’t think it says much.
A negative year in normal fast Forex Trading and I would be already quite worried about my strategy.
Two consecutive negative years and I would definitely stop my trading activity for that strategy, until I find out what’s going on.

VAR is quite stable at 15-18%
For those that want low risk there is the institutional version.


Half DD half return… :slight_smile:
CTAs and Hedge Funds trade with much better conditions than us.
Those that trade futures say that it is easier than spot forex .

About vanguard and stocks/bonds portfolios you are right, they often beat hedge funds and traders.
A lucky year (30%+) can happen to Dunn and to every trader but on the long run average performance is this.

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I completely missed this.
Can’t find it because I’m not a fan of hedge funds and ETFs, I prefer trading my own strategies and systems.
What about THA? Not 10 years, but I think it is a good example in Forex Trading.
THA is, right now, the only Darwin I would invest into, if it was not for the divergence.
I analyzed more than 500 Darwins so far, maybe I will find someone else :slight_smile:

Edit: I forgot, AEK is another one I like on Darwinex. So 2 so far :slight_smile:

Hedge Funds are the industry standard for trading.

THA can be a good benchmark but I prefer LVS (no divergence, longer total and native trackrecord)
On THA the big return is mostly concentrated on the fist part of the trackrecord.
In both cases considering the invested and public part, annualized return is lower than DD.

THA : return 2y 36% , DD 18%
LVS : return 2y 28% , DD 24%

I’m not really an expert at investing at this time but here’s my thoughts so far:

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@bendex You are absolutely correct!All three sentences.Investors and traders should really let these three things sink in deeply.And this is perfect thread for this post.

It doesn’t matter if you as a trader would like to drive around with VW Beetle,like @FedericoSellitti,Darwinex will drive your investors in Porsche 911.In theory you can drive around in Porsche like in some normal vehicle,but it doesn’t take much to accelerate from 0 to 100.
In fact,I think Darwinex lost quite a bit of serious and gifted traders in past because people couldn’t adapt to this and psychologically cope with that.I know one trader who was trading at Darwinex back in a day when darwins were trading at 20% VaR - darwinex was driving investors around in Formula1.He was so traumatized that he didn’t want to talk much about the experience and when I told him I found Darwinex on youtube and was very enthusiastic,he just made a grimace.It is still work in progress.

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Hi all, interesting topic.
On this website you can find a lot of data and track records of CTAs, I am sure it will be interesting for all
https://www.iasg.com/en-us/managed-futures/returns#

When I am judging trading systems and performance I am calculating return/max DD on a yearly basis (similar to CAGR). I have found that most of the professional managers and funds are struggling to get more than ratio of 1 (drawdown/max DD for calendar year) close to 5 is a great and higher than 5 is an awesome performance. What do you think about this?

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For funds with a long and significant trackrecord the ratio is lower than 0.3 .

Same story with darwins here, ratios higher than 1 exist only on short trackrecords, shorter than 3 years.
With trackrecords longer than 3 years you are always lower than 0.5.

The difference between dreams and reality.
High ratio is an indicator of luck, and luck never lasts for more than 2 years.

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Hedge fund indices:
Barclays:

Credit Suisse:
https://lab.credit-suisse.com/#/en/index/CSLAB/CSLAB/performance

# Nasdaq CTA Artificial Intelligence & Robotics (NQROBO)
https://indexes.nasdaqomx.com/Index/History/NQROBO

more CTA indices:
http://www.ctaindices.com/Analysis_AnnualReturns.html
(This site has a lot of useful links to the index providers.)

Take one you like :slightly_smiling_face: as a benchmark for your Darwins.

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Realistic expectations should always be risk-adjusted returns aka return being a function of the DD. Risk is something you can control with position sizing and management, return, though has more luck in it. Everything else being equal, if you adjust your risk appetite and you will change your return. For example, my public track record is 5% DD for 30% return, but I trade 3 times bigger on my personal account, that’s 15% DD for 100% return. So knowing how much you risk realistically is the first big step.

Apart from the test of time, high ratio is not uncommon when funds are small. On an institutional level where you have +$100M, with leverage you just don’t get out with 2 pip slippage on your SL. Also, comparing HF with Darwins is a bit odd cause spot FX is not the main product/strategy in most institutions, and certainly not the one that has the greatest impact over their performance.

Can you show me any of these high ratio small funds?
I mean 10 years of verified trackrecord or more.

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@OldSchoolPT
ctaperformance.com has gone … :frowning:
Now we have a useless “axs” marketing site.

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Hi @CavaliereVerde
seams so…my reference… ( special top 3 of 19).


OldSchool

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for me this is something…
OldSchool

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