We close out September with a +6.11% return on my Darwin asset WET.
All direct USD positions are flat and I will not be planning any overnight exposure until after the presidential election.
The plan for the last quarter of the year is to employ one of my mean reversion strategies on fairly slow moving cross pairs but have enough exposure to GBP and EUR to capture the Brexit swings on the pair as we approach the inevitable death throws of final wrestles in the negotiations.
Depending on how this performs I may well reintroduce my day trading GBP strategy into the portfolio. This is very effective but the duration of the trades normally drags the capacity and divergence of the asset down, thus creating slippage for investors. I’ll review this in the coming weeks after I have made some calculations.
I am still trying to figure out the Darwinex value at risk multiplier. The risk manager appeared to work well during the drawdown I’ve just traded through however it is a double edged sword in that it doesn’t seem to recover fast enough to reward back positive returns. As this is proprietary system I have no information to help me manage this as effectively as I would like, it’s more by trial and error which is not an ideal situation.
One thing for sure is that I will not be chasing it by changing my own strategies. I’ve been there before and will not return to go down that rabbit hole again!
Currently I have two positions building in EURGBP and AUDCAD. They are correlated but provide enough variance to spread my risk. I’ll aim to update mid month with an update on the plan.
We finished June on a 0.73% return on a fairly flat but stable month. I had 6 trades close for the month and have 7 trades which are rolled over into July so we should see a pick up in volatility for my Darwin asset WET early on in the month of July.
With the VAR 6.5% changed implemented by Darwinex at the beginning of the month I decided to segregate my intra-day trading into another account and focus on building a much higher capacity and scalable asset class to handle bigger investments without slippage issues. I can now easily adapt entries and exits within a reasonable margin to accommodate much larger positions.
The underlying strategy produced 4.36% so the new Darwinex VAR model is having an effect on return is it is good that they are offering 3x leverage to compensate giving investors the option of exposure.
July is looking good and I have quite a few options to trade in the planning phased pending execution probably early next week since we have early NFP tomorrow and the US markets closed on Friday.
The plan for April was to track and trade EUR crosses which worked out pretty well for the month with some early results in for EURUSD. I traded only a couple of pairs to limit risk exposure while the markets establish obvious zones for me to assess. So margin use for this month has been conservative.
The huge expansion on EURUSD has set my levels further out than I have ever traded within but this presents me with more opportunity to plan set ups. My current level high of 1.12 takes me back right to Sep 2018 and the sell side level at 1.0627 goes way back to Feb 2017. So until these break I have plenty of price lattitude to play with.
April closed as another profitable month returning a 3.4% on my Darwinex Asset WET. Slightly lower than I anticipated given that my underlying strategy returned 7.83% to my account. This is where the risk manager throttles in or out for the investor and I think it could be accountable to the intra day trades I take on mainly GBP. These trades often have a lower take profit and because of the short timing are inherently more volatile compared to my longer term trades.
I am working on the intra day plan to add bigger take profits to hopefully fill in these risk management interventions.
All in all it has been another great month and May is already lining up on my charts for set ups. I’m looking forward to the next 4 weeks of potential.
The simulated investment in my Darwin asset has closed today with a 16% return over a 4 month period.
The above shows the investment period and the performance of the Darwin WET. If you had invested when the Darwin was still calibrating at the start then this would still be underwater, so a money management strategy is important with an entry and an exit to be given consideration.
I’ll be posting another demo simulation with two other Darwin Assets from different managers using an averaging model to experiment with a theory. Update to follow…
The above image shows the performance fees due to be paid; because I closed this investment prior to the high water mark payment been due Darwinex retains this fee.
Fees paid are $36.04 + $295.18 for this investment period. Ask Darwinex about other fees which may be due including any other commissions or currency exhange rate differentials.
So after 4 months the demo investment in WET has crystallized with a $10000 investment at a nett profit of $1324 or 13%
As with any investment this could have gone the other way and a max 10% loss I had in place could have been -$1324 depending on how the asset performs and how you handle drawdown. Please read through my earlier posts and ask yourself, how would you react when your investment is going down (which this did)?
Watch out for my next post with a new demo investment simulation model using real time trading records!