[DARWIN] LSC and CVL by CavaliereVerde

[CavaliereVerde]

LSC & NFO

This is the problem with few component strategies in the darwin.
Few trades and an uneven distribution that can lead to low regularity.
There are 33 on last 3M but only 5 trades on last 1M .

 

[Forexintradiadarwin]

Cavaliereverde, I am surprised to see this statement in your description "Algorithmic swing trading with candlestick patterns. 1 trade per market"
I though automatic trading couldn't program/interpret - perform candle sticks. Am I wrong?

 

[CavaliereVerde]

Yes you are wrong 🙂 , a candlestick pattern is a bit more difficult to be coded than indicators but is just a set of conditions about candles Open High Close and Low values.

You can find a lot of articles and code on mql5.com

Price Action. Automating the Engulfing Pattern Trading Strategy

This article describes a process of creating an Expert Advisor for MetaTrader 4 based on the Engulfing pattern, as well as the pattern recognition principle, rules of setting pending orders and stop orders. The results of testing and optimization are provided for your information.

www.mql5.com

 

[Forexintradiadarwin]

Yes you are wrong 🙂 , a candlestick pattern is a bit more difficult to be coded than indicators but is just a set of conditions about candles Open High Close and Low values.

Ohh...what a pity. For a moment I held out hope on you becoming a manual trader... 😀

 

[CavaliereVerde]

I started to trade "manually" back in 2014 with an "end of the day" price action strategy on D1 a la Nial Fuller but it was fully systematic, 100% rule based.
My strategies of today are different but fully rule based so they can be fully automated.
Discretionary is when you combine some rules with some "feelings" that you dont' want to translate into a precise rule.

 

[Forexintradiadarwin]

Discretionary is when you combine some rules with some "feelings" that you dont' want to translate into a precise rule.

That's my favorite trading...rules and gut feeling based on experience. Unfortunately automatic trading can't give me that, neither adapt to fast market behavior that we can see in the last years...definitely not for my personality, not for me.

 

[CavaliereVerde]

LSC & NFO

It is 6 months that it is running only with EURSD and AUDJPY .
Maybe it is a coincidence but after the last update there seems to be a trend reversal.
Let's wait and see, maybe there is some edge.

 

[trilobite]

LSC & NFO

It is 6 months that it is running only with EURSD and AUDJPY .
Maybe it is a coincidence but after the last update there seems to be a trend reversal.
Let's wait and see, maybe there is some edge.

I believe you said somewhere (I can't find it) than LSC and NFO follow the same strategy. Do you know why the performance between the two differs, particularly this month?

 

[CavaliereVerde]

Because I am increasing var 🙂
LSC : from 500 to 300 1 microlot
NFO: from 500 to 700 and from 1 to 2 microlots
The goal is to increse both var and equity on NFO but there is a running trade so LSC had an increase in leverage because of the withdrawal.

My global plan is to go to 1500 equity and 20% var on both CVL and NFO leaving LSC to one microlot and a minimal equity.

 

[trilobite]

Because I am increasing var 🙂
LSC : from 500 to 300 1 microlot
NFO: from 500 to 700 and from 1 to 2 microlots
The goal is to increse both var and equity on NFO but there is a running trade so LSC had an increase in leverage because of the withdrawal.

My global plan is to go to 1500 equity and 20% var on both CVL and NFO leaving LSC to one microlot and a minimal equity.

Thanks for the information.
OK, I'm in (LSC and CVL), I need a home for some of the funds I've removed from my Darwin 😉
Please don't get to excited about your new investor though, just a test amount.

 

[CavaliereVerde]

CVL
2y timeframe

Nothing to remove here.

 

[trilobite]

Are you able to explain why LSC underlying strategy had a December 2021 return of -1.55% but the return of LSC was +0.05%
It seems to be quite a big difference Is it due to commissions. and swap being lower on the Darwin ?

 

[CavaliereVerde]

While the darwin has a var of 6.5% the strategy was going from 4% to 7%
Var was higher during the last week of december that was negative.
Maybe lower commission have a part on this, swaps are not lower on darwins.

 

[trilobite]

While the darwin has a var of 6.5% the strategy was going from 4% to 7%
Var was higher during the last week of december that was negative.
Maybe lower commission have a part on this, swaps are not lower on darwins.

The changing VaR explanation makes sense, thanks.

Congratulations on a Darwin whereby increasing the VaR of the underlying strategy actually increased the relative return on the Darwin 😀
The usual result is the exact opposite when traders do this in "recovery" mode.

 

[CavaliereVerde]

CVL

Disappointing collapse due to correlation of all 3 EUR components

I was allready planning to remove EURUSD component.
I have to wait until April and then I will remove 2 or 3 components from the porfolio.

 

[FXforfun]

What do you mean by Components? Instruments or EAs working in your portfolio?
May I ask how do you trade? I mean, do you have same EA working on different pairs?

I'm assuming you are algotrading

 

[CavaliereVerde]

It is the same EA working on different pairs.
Backtests were uncorrelated but probably past uncorrelation was not predictive of future. 😉

 

[FXforfun]

Backtests were uncorrelated but probably past uncorrelation was not predictive of future

That's for sure.

It is the same EA working on different pairs.

I see, never liked that idea. No need to apply same rules to different markets. I understand the motivation though.

Disappointing collapse due to correlation of all 3 EUR components

You know this week BCE talked about raising interests. EUR rocketed
View attachment 312914

 

[CavaliereVerde]

I see, never liked that idea. No need to apply same rules to different markets. I understand the motivation though.

If a strategy works only on one chart it is not likely to be robust, predictive and work on unseen data.
At least this is what the "algo wisdom" says.

 

[FXforfun]

If a strategy works only on one chart it is not likely to be robust

Fully agree! However, that doesn't force you to trade ALL the charts. Just my two cents