[Darwin] CLN by CabedoClenow

[CabedoClenow]

Hello everyone,
I'm opening this thread to provide updates on the progress of Darwin CLN.
https://www.darwinex.com/darwin/CLN

The investment strategy is a modified version of the system described in the book "Stocks on the Move" by Andreas F. Clenow. In summary, it's a stock selection system for US stocks based on the momentum factor.I started operating the system approximately a year ago on Darwinex to make it easier for my family and friends to follow.
On my X profile (Twitter), I regularly update the portfolio's stock situation and its results.
https://twitter.com/Cabedovestment
During these initial months of investment, we've had the opportunity to test the main features that make the system a good long-term investment. We initiated the investment in March with the RISK ON signal and went through a RISK OFF period from August to November 2023. The results obtained so far are quite acceptable, and while the system hasn't outperformed the SP500 index, it has achieved a close return while significantly reducing investment volatility.

To ensure that the original system published in the book works, I have implemented a version of it in Quantconnect to study its behavior in the years following the book's publication. The results can be found in the following post, and the code can be cloned by anyone for modifications and attempts to improve it.
https://www.quantconnect.com/forum/...e-quot-momentum-strategy-by-cabedovestment/p1

On my Twitter profile, you can find statistics for the improved system I implemented on Darwinex, which I extended to evaluate its performance during the 2008 crisis.

https://twitter.com/x/status/1749409379076465148

If you are intrigued by the potential of the Darwin CLN strategy and its resilient performance through varying market conditions, I invite you to join our community of investors. The journey has been marked by adaptability and consistent results, and we believe there is room for growth and success in the long run. Feel free to explore the Darwinex link for more detailed insights, and don't hesitate to reach out if you have any questions or if you're considering becoming a part of this investment venture. Your interest and participation contribute to the collective success of the Darwin CLN, and we welcome new investors to join us on this exciting investment path.
Let's navigate the markets together and build a future of financial prosperity!

 

[voxpow]

How do you overcome commissions and swap costs of trading stocks CFDs?
things like swap and commissions gonna eat lot of your profit.
Anyway looking good, gonna keep an eye on this Darwin

 

[CabedoClenow]

How do you overcome commissions and swap costs of trading stocks CFDs?
things like swap and commissions gonna eat lot of your profit.
Anyway looking good, gonna keep an eye on this Darwin

Hi Voxpow, thank you for your interest. Those are very good questions that I will try to answer simply.

The system backtest we conducted in QuantConnect already includes trading commissions simulated with IBKR rules, and as you can see, they do not prevent us from achieving good performance results. Bear in mind that the system follows a "swing" trading style, so the trades last several months. Additionally, the rebalance technique for managing risk according to the volatility of different stocks runs every 2 weeks, resulting in not too many trades in this system. In backtest stats, portfolio turnover is around 4%, indicating that the strategy does not trade excessively.

However, due to the system's trading style, swaps are a concern. To minimize their impact, we are trading the underlying CLN account with some leverage to achieve a VaR around 20-25% in RISK ON periods. This way, the Darwinex Risk Engine adjusts the Darwins' risk to a 6.5% VaR, helping to mitigate the impact of swaps.
In parallel, we are testing the same trading system with an IBKR underlying account for trading directly on stocks instead of CFDs. This account will be traded without leverage to assess the resulting VaR and the potential impact of the risk engine. As soon as we get conclusions we will decide to migrate to this one in a midterm plan. It could take more tha a year for having it ready for comparing the performance differences.

Thank you again for your thoughtful questions, and if you have any further inquiries or need clarification, feel free to reach out. Happy trading!

 

[CabedoClenow]

February 2024 is over! I am happy to share CLN Darwin achievements and results got so far.

Achievements got in February:

1. D-Score exceeds 60 points level

https://twitter.com/x/status/1762184206988226755

2. CLN promote to Gold DarwinIA

https://twitter.com/x/status/1763338246304444535

CLN February monthly return was 3,9% vs. 5,22% of SPY ETF (SP500 index)

https://twitter.com/x/status/1763594874996007177

 

[CabedoClenow]

One year ago, we initiated our stocks investment system on Darwinex.
We had a promising start with consistent good results, maintaining a favorable risk/return ratio and a smooth upward trendline.

Happy trading!

https://twitter.com/x/status/1770689469277958213

 

[CabedoClenow]

March 2024 is over! I am happy to share CLN Darwin achievements and results got so far.

1. 3 new investors allocated capital to CLN last month.
2. CLN has received a notional allocation of 55,000 € in DarwinIA GOLD and we continue participating in April.

CLN return was 1,41% vs 3,1% of SPY ETF (SP500 index)

https://twitter.com/x/status/1774711028720271469

Happy trading!

 

[orevacam]

impressive, try demo and then i will pass in real

 

[CabedoClenow]

impressive, try demo and then i will pass in real

Wow @orevacam! Thank you for your kind words and your interest... As you can see, we haven't beaten the S&P 500 yet, but we hope to improve as interest rates continue to decrease. As of today, the results are penalized by the 7% swap cost of the CFDs, as @voxpow pointed out.
Keep in mind that you can replicate the strategy quite closely by cloning the code I am publishing in the www.quantconnect.com community.

 

[CabedoClenow]

April 2024 is over! I am happy to share CLN Darwin achievements and results got so far.

1. 3 new investors allocated capital to CLN last month.
2. CLN has received a notional allocation of 80.000 € in DarwinIA GOLD and we continue participating in May. Total DarwinIA allocation is 165.000 €.

CLN return was 2,90% vs -4,03% of SPY ETF (SP500 index)

https://twitter.com/x/status/1785582543066054996

 

[CabedoClenow]

May 2024 is over! I am happy to share CLN Darwin achievements and results got so far.

1. 6 new investors allocated capital to CLN last month. Thank you for the confidence!
2. CLN has received a notional allocation of 70.000 € in DarwinIA GOLD and we continue participating in June. Total DarwinIA allocation is 205.000 €.
3. CLN is considered "Promising" and "Trending"

CLN return was +2,63% vs. 5,06% of SPY ETF (SP500) return.

https://twitter.com/x/status/1797177978767434222

 

[CabedoClenow]

June 2024 is over! I am happy to share CLN Darwin achievements and results got so far.

1. CLN has surpassed 65 points of DarwinScore.
2. 6 new investors allocated capital to CLN last month. Thank you for the confidence! 20 investors started the investment in July, the 6 June newcomers are in losses due to the bad June return. I would like to thank them specially for selecting CLN due to its investing fundamentals contrasted with the backtest results of the last 30 years. Be patient, profits will come in the long term!
3. CLN continue participating in DarwinIA GOLD in July. Total DarwinIA allocation is 205.000 €.
4. CLN is considered "Promising" and "Trending"

CLN return was -1,89% vs. 3,53% of SPY ETF (SP500) return.

https://twitter.com/x/status/1807710398063259942

Current portfolio allocation is distributed in the following stocks

Throughout June, the same portfolio has been maintained stable without Alphabet, which has been added recently.
Its performance during the month of June has been very poor, but they continue to remain in the top positions of the ranking calculated according to the Clenow momentum criterion. Therefore, we need to be patient and continue acting according to the system's rules, hoping for better luck in July.

Happy trading!

 

[CabedoClenow]

July2024 is over! I am happy to share CLN Darwin achievements and results got so far.

1. 3 new investors allocated capital to CLN last month. Thank you for the confidence! It is al long run...
3. CLN continue participating in DarwinIA GOLD in August. Total DarwinIA allocation is 205.000 €.
4. CLN is considered "Promising"

CLN return was -1,49% vs. 1,21% of SPY ETF (SP500) return.
This is the second consecutive month with losses. If we look at the backtest results of the system conducted since the beginning of 2007, we can see that statistically, declines for two consecutive months are quite common, and up to four consecutive months of losses can be considered within a "normal" scenario. The portfolio adjusts positions based on whether the regime is considered risk-on, the momentum of stocks and bonds, and market volatility.

The month of July has been a very active month for the portfolio. Only Alphabet remains among the invested companies that were in the portfolio at the beginning. We are still in a RISK ON phase, and the portfolio has been rotating towards more cyclical sectors such as consumer discretionary, incorporating stocks like Costco and Walmart. Semiconductor stocks, such as Qualcomm, exited after crossing the stop loss set at the 100-day simple moving average, and NVIDIA was incorporated and then removed within a week due to high volatility with swings of more than 10%. Long-term bonds have started to gain more strength compared to ultra-short-term bonds, due to the Fed's anticipated interest rate cuts expected in the last months of the year. Therefore, they are beginning to gain presence in the portfolio for the month of August. If interest rate cuts begin, we trust that Darwinex will also adjust swaps downwards, allowing us to benefit from lower costs that would make medium- and long-term system investments more attractive.

This is how the portfolio is positioned for the month of August.

Happy Trading!

...and please do not forget We published a simplified version of the CabedoClenow investment system. It is open for everyone who wants either to trade it by itself or try to study or improve it. https://www.quantconnect.com/forum/...e-quot-momentum-strategy-by-cabedovestment/p1 . It is imperative to know where we are investing our money!

 

[CabedoClenow]

August 2024 is over! I am happy to share CLN Darwin's achievements and results got so far.

1. 1 new investor allocated capital to CLN last month. Thank you for your confidence! We now have a total of 17 investors. Due to the drawdown experienced between the end of July and the beginning of August, some investors who recently joined our investment system decided to withdraw their money at a loss. We are saddened to see people lose money due to us when, at this time, they could have made gains. Therefore, before investing, please ensure you fully understand the investment system and have reviewed the statistics of the published backtest on X (formerly Twitter) and Quantconnect. Regarding the drawdown, as seen in our last post, a 10% drawdown is completely normal and can occur for up to 1-4 consecutive months.

The worst expected daily drawdown is between 20% and 25%, which is likely to occur at the onset of a crisis or recession, like in Financial Crisis or during COVID. Intraday drawdowns could be slightly larger.

2. CLN has received a notional allocation of 90.000 € in DarwinIA GOLD and we continue participating in September. Total DarwinIA allocation is 295.000 €.


CLN return was 3,24% vs. 2,34% of SPY ETF (SP500) return.
August was an active month as well! We started the month with a drawdown of around 4% and closed it with a 1%, beating the S&P 500 throughout most of the month. The performance was driven by the partial recovery of Apple and the steady growth of consumer defensive stocks with good momentum (Costco, Walmart, and Philip Morris). We exited Alphabet at the beginning of the month after it fell below the stop-loss. Costco was replaced by Philip Morris as it was gaining more momentum. American Tower also entered the portfolio.

We face September with a RISK ON scenario and a balanced portfolio of defensive, growth, and uncorrelated stocks.

Happy Trading!

...and please do not forget we published a simplified version of the CabedoClenow investment system. It is open for everyone who wants either to trade it by itself or try to study or improve it. https://www.quantconnect.com/forum/...e-quot-momentum-strategy-by-cabedovestment/p1 . It is imperative to know where we are investing our money!

 

[CabedoClenow]

September 2024 is over! I am happy to share CLN Darwin's achievements and results got so far.

1. 3 new investors allocated capital to CLN last month. Thank you for your confidence! 18 investors continue invested at the beginning of the month.
2. CLN has received a notional allocation of 50.000 € in DarwinIA GOLD and we continue participating in October. Total DarwinIA allocation is 290.000 €.

CLN return was 1,18% vs. 2,10% of SPY ETF (SP500) return.
September 2024 was characterized by significant market optimism following a major Fed rate cut, alongside mixed economic signals from both the US and eurozone. Commodity and currency markets also experienced ongoing shifts, with investors keenly focused on upcoming economic data to shape future monetary policy expectations.

At the start of the month, Apple was removed from the portfolio, while Lockheed Martin Corporation was added. Throughout September, we successfully closed the previous drawdown, and the portfolio demonstrated behavior largely uncorrelated with the S&P 500 index. This strategic adjustment helped enhance the portfolio's resilience amid market fluctuations.

As we enter October, the market environment is leaning towards a RISK ON scenario. The portfolio currently includes securities from the Consumer Staples, Real Estate, and Industrials sectors, positioning us to capitalize on potential growth opportunities.

Happy Trading!

 

[JimmyAlgo]

Is there a way to message you directly ? It seems you can’t on here or your Twitter… telegram perhaps?

 

[CabedoClenow]

Is there a way to message you directly ? It seems you can’t on here or your Twitter… telegram perhaps?

My Twitter account allows direct messages. Tell me your user and I will contact you.

Thank you!

 

[CabedoClenow]

October 2024 is over! I am happy to share CLN Darwin's achievements and results got so far.

1. 11 new investors allocated capital to CLN last month. Thank you for your confidence! but 20 investors continue invested at the beginning of the month. The darwin was "Trending" during aproximtely one week and almost all of them they sell with losses one week later after a new drawdown started. This event makes me think that this group of investors probably invest together, through signals from a Telegram group or something similar. My recommendation for these investors would be: regardless of the fact that Darwins can be followed using technical analysis techniques confirmed by backtesting, it is very important to understand the fundamentals of the strategy being traded. From my point of view, this is one of the functional shortcomings of Darwinex. Traders do not have a way to properly explain how their strategy works beyond their track record, nor do they have a way to communicate with investors, having to resort to forums like Trade2Win. Given how hard it is to earn money, one must be very careful in thoroughly analyzing what they invest in.
2. CLN continue participating in DarwinIA GOLD in November. Total DarwinIA allocation is 210.000 €.

CLN return was -2,28% vs. -0,89% of SPY ETF (SP500) return.
The performance in October 2024 has been heavily influenced by corporate earnings results. October has presented a mixed bag for equities, with the US markets showing resilience amid corporate earnings discussions and solid economic data. European markets face headwinds, while bond markets experience heightened volatility due to political uncertainties and economic indicators. The upcoming weeks will be crucial as investors monitor corporate earnings and economic reports, particularly from the USA.
For our portfolio, the month started well. American Tower was removed from the portfolio with some gains as it was losing momentum. It was replaced by IBM, which had been on a strong upward trend for several weeks. As the first corporate earnings reports came in, Philip Morris exceeded expectations, causing a significant revaluation of the stock and its removal from the portfolio due to high volatility. The Darwin’s valuation was not greatly benefited by this, as Lockheed Martin Corporation disappointed the market with its figures, leading to a significant drop in its stock price. Philip Morris was replaced by PayPal, which also had a strong upward trend for a few weeks. However, disappointing results from both IBM and PayPal followed. Although they beat earnings expectations, they fell short on revenue, casting doubt on their growth prospects for the coming quarters.

As we enter Novemeber, the market environment is leaning towards a RISK ON scenario. The portfolio currently includes the above commented securities.

Happy Trading!

 

[CabedoClenow]

November 2024 is over! I am happy to share CLN Darwin's achievements and results so far.

1. CLN has raised its Darwinex Score by over 70 points. Currently, 78 of more than 9,000 Darwins have surpassed this level. Only 15 of them have been active for less than 2 years since their inception as CLN.
2. CLN's return since inception has reached an all-time high.
3. CLN has received a notional allocation of 65,000 € in DarwinIA GOLD, and we continue to participate in December. The total DarwinIA allocation is 205,000 €.
4. CLN has been tagged as "Under the Radar," which refers to DARWINs with good scores in the Investable Attributes, at least 6 months of experience in Darwinex, and a monthly reduced divergence (> -0.5%). It is currently managing investor capital of less than $500k.

CLN's return was 3.46%, compared to the SPY ETF's (S&P 500) return of 5.96%.
November has been a remarkable month for the markets, with positive trends across various sectors. It saw strong performance in US equity markets. European markets also showed positive trends, although concerns about economic growth and political uncertainties persist.
In the bond market, yields increased in the US following recent elections and budget announcements. The nomination of Scott Bessent as Treasury Secretary by President-elect Trump was well-received, suggesting a more gradual approach to tariffs and inflation.
In the US, the economy continues to expand, driven by robust consumer spending. Jobless claims were lower than expected, and inflation remained stable.
In the Eurozone, inflation rose to 2.0% in October, in line with the ECB's target, but economic growth showed signs of contraction, with a PMI below 50.
Our portfolio remains stable. LMT and IBM exited with minor losses, while GILD, BKNG, and CRM replaced them. WMT continues to show a steady uptrend since it was added to the portfolio in August.