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[Darwin] CLN by CabedoClenow

CabedoClenow

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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.

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!
 
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
 
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!
 
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)


Happy trading!
 
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.
 
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