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Using portfolio of systems that trade the same movement

Hi,
I have several systems that I will run on my Darwin. 4 of the systems run on EURUSD and trade in a similar way but with different risk /lot size. I usually have clusters of trades during major market events. Also my winning trades are held for longer than my losing trades and it seems that the risk manager does not like that.
I want to ask the more experienced Darwin providers for guidelines.
How to set the strategies, so that I have less interventions from the risk manager and higher correlation between my Darwin and underlying strategy?

Please share your thoughts and/or guide me with links to content.

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Hi @OneOfTheOne, welcome to the community :slight_smile:

As far as I understand it, as long as there aren’t any abrupt changes or huge swings in your Margin Level during your trading activities the RM will not have to intervene much, so the key here would be to keep that as stable as possible.
And to give you an idea, I’m trading with a VaR according to Darwinex of about 14-16%, and my Margin Level in MT4 is between 150 and 250% so I’m guessing that if you want to target a Monthly VaR of ~10% to have 1:1 replication of the underlying strategy to the Darwin, I think you’ll need to trade at Margin levels between 225% and 375% ?
Note that this is not confirmed information, this is how i think it works :slight_smile:

For more info, you can always look at the help topics here:
Risk Stability
Risk Adjustment

Thank you for the reply.
What about the orange dots?
They are killing my Darwin. Of course this is my track record from another broker and I will lower the use of leverage/risk in order to reduce the VAR of the underlying strategy, but will this reduce them enough?

I am seeing that some other strategies with low D-leverage below 10 still have them?

Ther are no problems in mixing components with different size-leverage, what matters is that the mix stays the same and the overall risk stays the same.

Darwin is IQI , VaR is very stable on the big picture but there is some aggressive pyramiding that sometimes is deleveraged by the risk manager.

How can I avoid this deleveraging, do you have any suggestion?

This “aggressive pyramiding” is actually opening positions in the direction of the trend (relatively short term), when my system has detected such. If the trend continuous I have more positions and that is when I make my biggest gains.

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To be honest I don’t know how to solve your problem.
While VaR is calculated on 45 days and is averaged and stable, the risk manager acts on single positions.

On average you positions have a DLeverage of 40 but your big winners reach a DLeverage of 100 when many of your breakout components trade the same movement.

Maybe @ignacio or someone else from Darwinex has some suggestions…

The orange dots actually don’t impact any of your Attribute scores. Only the red ones.

:smiley: it is not a matte of DScore , it is a matter of Return …
Winning positions are reduced by 40% while losing positions are untouched…

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Yes, exactly. I don`t care (a lot) about DScore.

I care about the difference between the Darwin and the strategy and the results of my investors. In my case Darwin is with return 30% and my account with the underlying strategy is +270%.

If the Darwin represents accurately my strategy, I can attract a lot of investors and new clients to Darwinex even without their help. Good execution and FCA “umbrella” is more than enough for me.

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Don’t change your successful trading because of any attribute.
That’s the worst thing you can do. Nobody will get the perfect attributes or a D-Score of 100 with real data. And this Score is not needed. :slight_smile:

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IlIlIlIlI I agree, the question is can I make something in terms of risk adjustment to transfer more from my strategy to my investors?
That is why I am here after all.

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It is normal for a Darwin to have less return than the strategy but if the strategy has a VAR of 15% the darwin should have a 2/3 of the return of the strategy, here we heve 1/10 …

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That can be the reason - the 1 year result is not positive and the Darwin is just migrated.
Same is with the 1 month result.

@OneOfTheOne
Just stay patient. I’m sure if that situation changes and the migration is older there will be a higher return rate on the Darwin.

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I appreciate your answers and I have one other question.
My VAR is 15%, if I lower the risk in the strategy with 50%, can I expect to have VAR of 7.5%?

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Exact, but it would not solve your problem.
Your problem is the distribution of DLeverage among your positions.
You would lower the mean value but the “bell” is too wide and the upper tail is adjusted.

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Any ideas how to fix the upper tail issue guys?

Or Darwinex is lost cause with my system?

Adding to a winning position seems incompatible with Darwinex’s RM for now I’m afraid.
It’s unable to identify Risk-Free positions where your SL is already locking in profits, simply because the RM doesn’t look at Stop Losses at all. So adding to winners will be interpreted by the RM as increasing your risk and it will scale down relative to the underlying strat.

Some say it’s the correct approach, because a trader can always decide to (re)move their SL.
I personally think the RM should look at the SL of each trade, and recalculate accordingly whenever the trader moves it, or at hourly intervals or whatever. It would also immediately identify traders who trade without SL by labelling them as 100% VaR traders so investors have that information as well.

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The risk manager is quite tolerant, DLeverage 2 to 20 is tolerated, 2 to 100 is not tolerated and adjusted.

In my opinion the next risk manager will be even more tolerant.
And this could be the solution, wait for improvements to risk manager.

During 2016 the former risk manager was much worse than the actual one.
When they change risk manager they recalculate all darwins including past trackrecord, at least this happened last time in April 2017.

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Renko, I completely agree.

Every trade that my system is opening has a ST and a TP and I never intervene. Trading with and without a SL is quite a different world.

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My biggest concern is that even with a lot lower risk and DLeverage is exactly the same, if not even worse.
This form backtest of one of my systems

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