Another week is ending for SAKURA portfolio, here's the latest update!
$PUL sold 1/2 unit @149.95 (arbitrage)
$QUA bought 1 unit @296.46 (see comments below)
Here's the list for the LIVE Portfolio
$PIK - https://www.darwinex.com/darwin/PIK.4.23
$NTI - https://www.darwinex.com/darwin/NTI.4.12
$DWC - https://www.darwinex.com/darwin/DWC.4.20
$PLF - https://www.darwinex.com/darwin/PLF.4.12
$EZX - https://www.darwinex.com/darwin/EZX.4.51
$PUL - https://www.darwinex.com/darwin/PUL.4.61
$UAF - https://www.darwinex.com/darwin/UAF.4.13
$DLF - https://www.darwinex.com/darwin/DLF.4.71
$KWC - https://www.darwinex.com/darwin/KWC.4.19
$ERQ - https://www.darwinex.com/darwin/ERQ.4.41
$LVS - https://www.darwinex.com/darwin/LVS.4.20
$VFL - https://www.darwinex.com/darwin/VFL.4.11
$STN - https://www.darwinex.com/darwin/STN.4.5
$PGH - https://www.darwinex.com/darwin/PGH.4.1
$FEG - https://www.darwinex.com/darwin/FEG.4.5
$QUA - https://www.darwinex.com/darwin/QUA.4.3
THIS WEEK'S RESULTS: +0.97%
RESULTS SINCE INCEPTION: -1.08%
Portfolio current composition:
Have a nice weekend guys!!!
This week as an extent, and now we begin to have some good datas to exploit, here's some comparisons with the initial model.
In this model (red in DEMO):
- $PIK is not overweighted
- $DWC is not overweighted
- $THA instead of $FEG
SAKURA Live vs. Initial Model - 1 month period
SAKURA Live vs. Initial Model - from January, 1st of 2018
Initial Model since Inception
P.S.: Separated note, on the trading side:
- $PIK's VaR still decreasing, and now 23% on the underlying strategy (target is 5%)
- With 6 DARWINs in my cellar, trying to understand the work of each of the Darwinex algos one by one, I have spotted the missing piece of the puzzle for a strategy like mine (wich is Mc)
Since $PIK is working on 6 to 12 months cycles, it needs a trend on monetary policy divergence to perform.
But results prove that it may actually lead in periods of 6 months without performance (even if the loss is well contained, it cannot satisfy investors who want long term AND short term returns)... yeah FX majors are not as juicy as they were 10 years in the past. I remember when the average daily standard deviation was 120 pips on EURUSD...
At some point you can ask: " with such an excellent Timing (Os) -and a so bad (Cs)- it is clear that $PIK would be profitable like crazy if you just take profit instead of staying in the market. Why the f*** don't you just take the money and run? "
The reply is: Since my time is thinner and thinner, swing/position trading is not a choice but a pre-requisite. And from my own experience (scalping DOM on the 5 and 2yr bonds for several years before), manual scalping needs consistent monitoring and a lot of attention if you want to do it seriously (readjustment of price, size in the ladder, get out quickly if you see there's a trick in the DOM, etc...)
For these reasons, I'm working on a $PIK more agile (applied actually on a separated account with good results for now), with a "Cut and Reverse" logic based on time (hours) + price levels, to protect and/or continue to grow the equity at short term, until the overall trend resumes or, is replaced by a new-born one. It will be more agile because:
- not correlated with the underlying market on datasets of more than 1 month.
- will require less attention since all orders are already set in the market.
- Losses have a fixed fork of value (-1 min. to -50 pips max.), but I let profits run:
- the Reverse methodology will protect the profits as the market move forward (neutralize the exposure), and at some point reverse the exposure.
It works on monthly cycles instead of 6 to 12 months, this way I can expect to avoid drawdowns of more than a trading week, with the aim to be profitable at the end of the short-term cycle (1 month).
In this serie composed of 34 trades, from the beginning of the month of January 2018, there's already 3 individual sequences: SHORT --> LONG --> SHORT
I expect a 15% to 20% VaR on this setup.
Well.... we'll see if I apply it directly in $PIK or if I run it in addition.
On one hand, the track record of $PIK is built so it is painful to run a new account in addition
On the other, $PIK underlying strategy is a garbage for someone who just look at it without more details. So a new DARWIN is an attractive option too.