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Why is my score (EOD) going down with low VAR?

My VAR is low and my score for RS is going down.
Normal behaviour?

Trader of EOD.

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Yes document is clear and my score will soon climb again. Thank you @CavaliereVerde for the heads up

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Hello @hekenberg.

I took a look at your Darwin EOD.

The equity curve of your underlying strategy (and your Darwin) gives me the impression that your EA is avaraging down / taking extra trades when your initial trade is going in the wrong direction. Also in your trading journal, I see that multiple trades in 1 pair close at the same time, probably when the whole basket is in profit.

Rs (risk stability) will be low with such kind of strategy. It will lead to ustable D-Leverage height during your track record. And of course some high peaks in D-Leverage, when sometimes baskets go suddenly against you.

See for example at 08-03-2020 / 09-03-2020 in your underlying strategy. You see very high peaks of D-Leverage at that dates.

I see that you trade with Darwinex since 16-08-2020. Probably, before that date, you traded with a broker which offered much higher leverage than Darwinex.

In your Rs attribute, I see a sudden dive in Var right after 16-08-2020.

I assume that your EA noticed that Darwinex offers lower leverage / free margin, and therefore your EA took suddenly much lower lotsizes right after your move to Darwinex at 16-08-2020, suddenly resulting in a lower Var.

I assume that your Rs will be going up after some time when your EA trades lower lotsizes for a longer period of time, matching the lower Darwinex leverage. But I won’t expect your Rs to reach very high levels, if your EA indeed averages down as part of it’s algorithm.


Hi @SteadyWins,

Thank you for your reply

My EA uses one machine learning filter avoiding taking the “bad” trades I took before.
We still have the “extra” trades features enabled but will not enter into that feature too often from now.
I trade on 6 different brokers. Some with higher leverage and some with the same leverage as Darwin.
My EA does not detect the lower leverage / free margin. I think the drop in Rs is more a result that ML module acts more often than before.

I get one odd situation. My own Darwin account is up 0.74 % in August and my darwin is up 1.06 %.
So investors get better returns than me.
I will not change anything so aim for 2-3% on my own account lets see what my investors get.


The analysis by @SteadyWins is accurate but we can also notice that starting from 23/6/2020 the risk management (D-Leverage) is much more stable, if this is due to the filter your RS score will improve.

The darwin has more return because the risk profile is higher 3.25 to 6.5% vs 2-3% of the underlying strategy.

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I notice that your drop in Var was just right after 16-08-2020, the date you started trading with Darwinex.

That made me think that the drop in Var was possibly a result of your EA taking smaller lotsize at Darwinex than with the broker you have imported your trade history from.

But it could be coincidence or being another reason that your EA traded smaller positions when you moved to Darwinex.

I don’t know your code and trading logic / position management of course.

It was just something of which I thought it could be the reason for your sudden fall in Var.

I appreciate your views and comments.

Can you see this one @SteadyWins ?

You see RS also fall down and not changing broker.
My Machine learning acting I think.

We will see in the future.

I don’t think leverage is a factor as it only determines how much margin is available to trade, not the risk of the trade.
In my humble opinion, I believe EOD will never have a good Rs score because it looks like it averages down to avoid any sort of loss.
You can start from 0.10 per position and then add other 0.10, then other 0.20, 0.40, 0.80 at each slot and so on. You can start from 0.01 per position and go 0.01, 0.02, 0.04 and 0.08, but your Rs will be exactly the same because it monitors the stability of the risk management, not whether it is high or low.



Lotsize one year ago and lotsize used today are the same. The only difference now is that I avoid opening some trades from my master system. My return is better or same. I explain some here EOD - Hefoba and on

Let see how my Rs will change in the future. It will be interesting to see.

@FedericoSellitti thank you for your input.



My understanding is that Rs is calculated on the lot size of your overall portfolio, not per single trade. If, overall, your lot size has gone down due to less trades, you have a lower VaR, but stability is still a problem if lot size tends to increase a lot during some periods.
In any case, enjoy the weekend and good luck :slight_smile:

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Yes, I see the same fall there, in Var right after 16-08-2020.

Then it must have been coindidence (or have another reason), the sudden fall in Var in your Darwin, right after broker change.

But you overall see a very choppy Var chart also in

I think that FedericoSellitti is right and that your Rs is low because of averaging down. Then sudden changes in Var will always be there at random moments.

This is absolutely true. But I was trying to give a possible explanation just for the 16-08-2020 (broker change) fall in Var. It could have been that his EA reconized the lower leverage in the new broker and thefore lowered the (initial) lotsizes. But it was not the case, as hekenberg says he trades the same lotsizes as before,

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