Flat Month October 0.06% return

October 0.06%

I’m closing out October as a flat month returning 0.06% I wrote in my last post about a big change up and I can report on the underlying strategy a very positive shift using my intraday methods.

However the algorithm of the Darwinex risk manager has to aggregate new data to catch up and this is a really, really, slow process.

Below is the Value at Risk calculation for a sample from the past 30 days.

VAR 30 days

We can see the VAR start to drop from 43% to it’s current rate of 26.68% which is moving in the direction I expected, however this doesn’t seem to translate in the same magnitude to reflect positive performance of the asset.

An investor using 3x leverage is placing a trade of 0.13 lots vs my 0.12 lots. The return of each 0.5% positive trade on the Darwin wet based on actual net cash return is about 0.05%

What this means is that if the VAR algorithm doesn’t catch up and begin to reflect the underlying trades more accurately it will be challenging to justify a 0.5% management fee currently charged by Darwinex to investors. I’m watching with interest how this will perform next month.

I intend to trade intraday for the rest of 2020 using a fixed risk of 0.5% per trade on one asset only. I don’t pretend to understand how Darwinex manage the risk and the performance of my Darwin but I am expecting to see a closer match to the underlying strategy over the next 60 days to give investors the benefit of the potential returns whilst being mature about the risk. Building a stable and sizable sample size of 100 trades should help.

Some stats for October WET since the gearchange commencing 13th:

31 trades, 66.67% win rate, 2 losing days out of 13. Nett cash return on equity +6.48%

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