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[DARWIN] JTL by okcm2019

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Darwin ->https://www.darwinex.com/darwin/JTL
Impressive return, impressive skin in the game.
Very good values in RS and LA .
According to the description it is a stop and reverse strategy, stable leverage and n of trades looking to trading journal.

As investors I find only 2 faults.
Return is too high and DD is too low.
Seems counterintuitive but 40% in one year is not a sustainable result, the first wave of dreaming investors are already crowding. ;)

EX = 10 but one year is not so much, another reason to wait a serious DD to come, a complete picture and a decent entry.
 
Strategy description say JTL use momentum strategy. This year momentum strategies not perform well but JTL performance is great. I am really curious how he define momentum when other momentum strategies suffered.
 
CavaliereVerde said:
As investors I find only 2 faults.
Click to expand...
IMO the worst fault is another one that the assets are hidden.
But you have an impressive performance and 3 significant DDs on the trading accountwith new highs after the first 2 DDs.
The third DD there could be just recovering now, after the former DDs it needed about 2 month for a new all time high on the trading account.
 
The trader is not generating return replicating US indexes .
Market Correlation is perfect.

JTL-marketcorrelation1.png
 
Ok let's suppose his real risk is var 40-50 because Darwinex underestimates the volatility of gold...
Who cares, risk is stable and well managed.
BTW worst day is -3.92% , consistent with the Darwin asset class.
 
Hello
Thanks for my Darwin thread. @CavaliereVerde

First of all I would like to apologize for the delay in posting. I didn't need any additional explanation of JTL, but now that JTL have more investors, I will explain.

Basic information about JTL is on Darwinex, so I'll answer questions posted in this thread here.

Q1. Why is the VaR of your underlying strategy so high?
A1. The Darwinex account is one of my accounts, and since my equity in the account were initially small, I was trading aggressively. I think I took too much risk in one account alone, but overall I didn't take that much risk. because JTL is Var-adjusted, so I thought it would be fine as long as the risk of the underlying strategy was stable. Now that my equity have increased, the VaR of the underlying strategy is going down.

Q2. Will a serious DD come?
A2. When I started trading, I assumed that the maximum DD would be around 60% for the underlying strategy and 10% for Darwin. Fortunately, in 2020, volatility was higher and the maximum DD was less than expected. Now that I have more assets to trade and am taking less risk per position, I think the possibility of a serious DD is less than before. However, this is for the underlying strategy, and I'm not sure about Darwin, as its VaR is automatically adjusted.

Q3. How do you define momentum?
A3. I am looking for signs of momentum, because it is too late for momentum to occur. This may not be what you think of as a typical momentum strategy, but the strategy's win rate is about 50% and the ratio of average win to average loss is 1.37. This is a typical short-term momentum strategy.

Q4. why do you hide your assets, are you trading XAUUSD?
A4. I do not like to show my hand too much. The trade targets are major currencies, major stock indices, and major commodities. In 2020, the trading performance of metals was very good. I don't disclose my trading assets, but I mainly trade highly liquid assets at highly liquid times, so the monthly divergence is currently positive.
md.png


The following is not a post in this thread, but it is something that investors might be interested in.

Q5. Why did it take so long to recover from the drawdown in 2021?
A5. JTL is designed to perform better in high volatility situations, and in the first half of 2021, volatility tended to be low except for January. Since stocks tend to perform better when volatility is low, I believe that investing in both stocks and JTL will improve the Sharpe ratio.

Q6. Why did you keep silent for 2 years?
A6. My goal is to make money from trading and the reason I trade with Darwinex is because they are a reliable A-book broker. My current Trader P&L and performance fees are shown in the figure below. I may not be able to report much to the investors, but I would like to improve the performance of JTL by concentrating on operations.
pl.png


The following is a summary of Q&A.

Pros:
  • Tends to perform well in high volatility situations.
  • Divergence is small between investor's P&L and Darwin.
  • This trader are taking risks with his own money.
Cons:
  • No long-term track record.
  • Trading assets are not disclosed.
  • Less communication.

Thank you for reading.
 
Thanks. @CavaliereVerde
Last month was a lucky month for this strategy.

By the way, two weeks ago, Mr. Ignacio asked me by e-mail to write a fact sheet for institutional investors.

The fact sheet is pretty much the same as what I posted before, but I wrote an additional information, so I'm posting it here.

The additional information is about why I don't use targets and stop-losses. The reason is that increasing the parameters can easily lead to worse future performance compared to past performance.

If you have any more questions, please post them here and I will try to answer them, although my reply may be delayed.

Thank you for reading.
 
okcm2019 said:
By the way, two weeks ago, Mr. Ignacio asked me by e-mail to write a fact sheet for institutional investors.

The fact sheet is pretty much the same as what I posted before, but I wrote an additional information, so I'm posting it here.
Click to expand...
Hi okcm2019. Please go ahead with posting it in this thread. Thank you.
 
This is one of the triple A Darwins here. In my short time analysing some Darwins, this is the only one that I noted AAA+.
I love his equity curve and how he manages the periods where his strategy underperforms.
He`s a pro, don`t be mislead by the "small" track record, not all can import their previous accounts.

Please keep us posted. Could you tell us more about the traditional techniques you use? Any references in particular?
 
Hello.
I'd like to report two changes regarding this strategy after my last post.

1. Change to position sizing adjusted for volatility
Although I had previously decided on position sizing with a fixed ratio, I have changed to volatility adjusted position sizing. I believe that the tendency to perform well in a high volatility environment has not changed. However, high volatility can easily lead to sudden large losses like the one on January 24, I reduced my position size in high volatility situations. This change also makes it easier to trade assets that are too volatile.

2. To improve the monthly divergence, increase trades of assets that are expected to improve the divergence.
Since the monthly divergence was getting worse, I increased the number of trades in assets where divergence tends to get better. The following are the results for the past month. It includes two extreme values due to trading delays, but overall, the green bars are increasing.

md.png


As for the change in trading statistics due to increased trades, The image on the left shows the statistics for all periods and the one on the right shows the statistics for the past month.

st_all.png
st_1m.png

The average duration is less than half, but the other statistics have not changed much.

The following are answers to questions.

Q1: What are traditional techniques?
A1: This is based on my experience working for a commodity trading advisor in Japan, so I don't have any books to refer to.

Q2: How do you manage risks?
A2: It is a simple method of opening positions with limited risk in several assets with low correlation. A book like Way of the Turtle can be a good reference.

Thank you for reading.
 
Last edited:
okcm2019 said:
Hello.
I'd like to report two changes regarding this strategy after my last post.

1. Change to position sizing adjusted for volatility
Although I had previously decided on position sizing with a fixed ratio, I have changed to volatility adjusted position sizing. I believe that the tendency to perform well in a high volatility environment has not changed. However, high volatility can easily lead to sudden large losses like the one on January 24, I reduced my position size in high volatility situations. This change also makes it easier to trade assets that are too volatile.

2. To improve the monthly divergence, increase trades of assets that are expected to improve the divergence.
Since the monthly divergence was getting worse, I increased the number of trades in assets where divergence tends to get better. The following are the results for the past month. It includes two extreme values due to trading delays, but overall, the green bars are increasing.

View attachment 314349

As for the change in trading statistics due to increased trades, The image on the left shows the statistics for all periods and the one on the right shows the statistics for the past month.

View attachment 314350View attachment 314351
The average duration is less than half, but the other statistics have not changed much.

The following are answers to questions.

Q1: What are traditional techniques?
A1: This is based on my experience working for a commodity trading advisor in Japan, so I don't have any books to refer to.

Q2: How do you manage risks?
A2: It is a simple method of opening positions with limited risk in several assets with low correlation. A book like Way of the Turtle can be a good reference.

Thank you for reading.
Click to expand...

Hello okcm2019

I would like to know if your trading strategy is manual or automatic?
 
Hello.

Q. Is your trading strategy manual or automatic?
A. Trading strategy is automatic. However, asset selection is handled manually. I basically trade assets with high liquidity. Recently, I had been trading XTIUSD, but stopped trading XTIUSD due to very poor divergence between the strategy and Darwin.

Since there are more investors in JTL, I would like to write my thoughts. Your trading strategy must be completely customized for you. Otherwise, you will not be able to continue using that strategy for a long time.

For example, in the case of my strategy
  • No change in strategy even if funds increase - Trade high liquidity assets at high liquidity times
  • I live in Asia and want to sleep at night - Automated trading
  • I want to sleep without worrying about price movements - Momentum strategy because it is easy to manage risks.
  • I want to hedge stocks - Strategies that perform better when volatility is high.
I design my strategies with these considerations in mind. It is also important that it fits with my trading philosophy.

This suggests that the best way for a investor is to create strategies for himself by himself. But Darwin is a strategy created by others, so it is important whether he can relate to the strategy's policies and the creator's approach.

As far as JTL is concerned, I try to be as honest as possible, but I can't reveal the details of my strategy. I've covered most of the strategy in previous posts, so I hope that by posting my trading thoughts in the future, you will consider investing in JTL.

Thank you for reading.
 
Hi okcm2019,

Your JTL darwing is impressive.
But I dont understand the reason you didnt qualified for Darwinia on February.
Your darwing has a d-score of 83 points and you got a return of 10.75% on February.
Do you know the reason?

Thanks
 
Hello.
Thank you for asking the question.

Q. Why didn't JTL participate in DarwinIA in February?

A. Here are the rules for participating in DarwinIA.
7. DarwinIA allocation < € 600,000. To be ranked on the DarwinIA leaderboard,
a DARWIN's current DarwinIA allocation must be lower than € 600,000.

I think JTL already had a DarwinIA allocation of about €650,000 in February, so JTL did not participate.
JTL still has a DarwinIA allocation of €730,000 and will not participate in this month's DarwinIA.


I wrote last time that I would post about my trading approach,
but it is still in preparation, so please wait a little longer.

Thank you for reading.
 
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