I have made some analysis and consideration of the Portfolio.
Let’s consider only october: 13 out of 20 darwins have registerd a loss.
LA high: -2.39% 5/10
LA low: -1.12% 7/10
Wrost LA low:
Wrost LA high:
this was the wrost month since 2018 of this portfolio.
I’m not very surprised to see that using Dscore as a selection I will have those results: Performance weight very much in Dscore, but performance is quite often mean reverting, so if we consider a single darwin the rule not to enter at top can be not right, but when we consider a portfoglio of many darwins, not to enter in a top can be a good rule.
On the other side the Low La score group performed lower than the High La score group: I think that in Low La score group the impact of performance can be more pronunced that in the other group. In fact a Low La score means that when the darwin loses it may loose very fast… so a low la darwin can have many periods of good performance and then suddenly a “big” drop. High La darwin tend to have prolunged DD and less steepy. So entering in a “peak” of performance (i.e. high Dscore) can be more dangerous for low LA score.
I’ve decided to change the way I wanted to follow this demo portofolio: since its creation darwinex made available API to beta tester and I’m one of them. With the API it can be possible to test rules and construct portfolio in a better (I hope ) way. Also monitoring a portfolio will be easier. So I will continue to follow this portfolio but with only one rule: if a darwin fall below 55 at the end of the month I will close all the position in that darwin. I will update so every two weeks to see the performance update.