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Suggestion: VAR per trade and average monthly trades

Knowing the average trades per month as well as the Darwin’s VAR per trade could be helpful for investors and shouldn’t be too much of a stretch to include in the dash.

I think it would help investors especially with established Darwins who’m have significantly reduced their trading frequency to a few trades per month. Such Darwins can have extremely low VAR which causes the investor accounts to have a very high risk per trade in relation to the source underlying account.

What do you think?

There is already the average trades per day under Assets & Timeframes , named Trade Frequency.
Than there is the monthly rotation and daily rotation chart.

I think VaR per trade is very smilar to the Average D-Leverage / Position.

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I think that handling the trading frequency can be very different for manual and algo traders. I believe algo traders suffer more when the market conditions change because they can not react so fast to a new environment and the systems trade signs that often times a manual trader could let them pass.
Technical manual traders are watching the graphics all the time and they can avoid to trade some confusing signals when the markets are tricky. So, by doing that manual traders are protecting their and investors money.
In short, reducing trading frequency could be a very wise decision sometimes (most likely algo traders would like to have a “market change detector in their parameters” to avoid some trades that are becoming loses).

Sure! So in your example, if a manual trader decreases trading frequency because of a new tricky condition in the market, the VAR of the underlying strategy goes down (according to the way it is currently calculated) and consequently, the risk manager starts boosting the risk on the trades the trader does take (Unless the trader already started boosting the risk on the underlying strategy when the frequency was decreased)

So my idea is to show investors some more data related to this phenomenon - nothing more.
VAR per trade would just be interesting to look at I think.

Oops yes I should’ve asked if it exists already first.

Average D-Leverage / position is almost there but I still think VAR per trade would be nice too expressed in percent.

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I don’t think so, but I am not sure about it, the size of the positions is what weight more for the VAR. Probably some Darwinex staff could answer your question more accurately.

It would generate confusion beacuse at Darwinex VaR is always monthly, and it is more smoothed than DLeverage.

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Actually time spent with open positions in market is equally weighted as is the leverage used. I’m 100%.certain. So not actually trade frequency but open position time.

Of course time weight together with size, I am not sure frequency has any relevance.

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Are they “adapting” or just protecting their status quo?
Protecting their past return that is their bait for investors. :smiling_imp:

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You’re right.

But a lesser trade frequency does sometimes imply less time in the market. So in your example, if trader spends less time in the market because of a tricky market condition. The VAR of the underlying strategy goes down and the risk manager will boost the risk.

@CavaliereVerde is right the rotation stats and d-leverage / position are reflecting this phenomena. And I just remembered D-Leverage already has position duration factored in. Sorry I wasted everyone’s time.

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Not wasted time, a pleasure to answer non-noob questions. :wink:

The real point is that huge changes in rotation should be penalyzed (I mean 10 to 1 or 1 to 10) as we were discussing under Consistency algo.

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Less frequency could imply less time in the market (per position) only if it is also reduced the amount of trades (total position) open at same time.
And you can see trades par day, week, month…also the risk of positions opened, average pips win/lose per trade, d-leverage…I think it is more than enough information to see the traders behavior.

To be clear I meant if (assuming trader keeps position sizes static) rotates 100 positions monthly with an average 1 hour duration each and then changes his trading to rotate 10 position monthly with an average 1 hour duration each this will eventually decrease the VAR of the underlying account and increase the risk manager multiplier. Average duration per position does not necessarily need to change for this phenomena to occur.

Edit: used the word rotate incorrectly. corrected bellow.

I think maybe the best way to understand VAR is analyzing ERQ historical trading and VAR.

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This is an example of what I was talking about but looks like I used “rotation” incorrectly. Meant to say:

To be clear I meant if (assuming trader keeps position sizes static) trades 100 positions monthly with an average 1 hour duration each and then changes his trading 10 position monthly with an average 1 hour duration each this will eventually decrease the VAR of the underlying account and increase the risk manager multiplier. Average duration per position does not necessarily need to change for this phenomena to occur.

Don’t know whether you meant that: if you go to the Ra attribute, you see the VaR of every trade if you click a dot, but it is not sorted in the way to find a specific trade easily.

That is not the VaR of the trade but the existing VaR when the trade has been opened, they compare the DLeverage of the trade to the hystorical VaR and they reduce the risk when necessary (orange and red dots)

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The risk manager intervenes with a certain delay of time on the red and orange dots, so you would have more than one VaR (for replication) on that trades, as I understand it.

Yes because the risk manager cannot know the duration in advance.
It is risk adjustment not style adjustment. :slight_smile:
Suppose you are used to trade 0.01 with a duration of one day, probably also 0.10 for one hour would be tha same risk, so the excessive size is reduced only when it is clear that the duration is not short.

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