[DARWIN] PUL by Pulse07

[Pulse07]

Hi Pulse07
Today's drawdown is the maximum recorded in a day? You closed the position, your system or darwinex risk manager? Thanks.
Regards.

Hi MisterMoney,

My system closed the position because the daily limit of 5% that I set was reached for the underlying strategy.
Darwin's risk manager limited this loss to around 3.5% (but it also happens to limit profits)

I cannot define the maximum daily loss for darwin, but I do not think it can exceed 5% until the target darwin Var is too much greater than that of the underlying strategy.
For now, the replication rate is close to 1.

The particularly unfavorable conditions which led to this loss are rare.
This can happen when the market experiences a wide, almost straight movement with little or no rebound.
But it's not the first time it's happened, and it won't be the last.

Regards.

 

[Captain Currency]

👏 Happy to see a forum member doing well 👏 #DarwinIA #PUL

 

[Pulse07]

Hi,

An update of PUL has been done a few days ago.
Its purpose is to reduce the risk during very volatile periods.

It consists of two points:

PUL will no longer trade during periods when volatility increases sharply.
When this happens, it is usually a panic reaction to destabilizing news for the markets.
The periods concerned are short, because it is not a question of avoiding periods of high volatility, but only the phase of strong acceleration.
My strategies were generally ineffective in this type of context.
This has happened twice since the creation of PUL.
The first time, in connection with COVID, in the period from March 1 to 13, 2020.
And the second time, in the period March 3 to 8, 2022.

The second change is to limit the risk in very volatile periods.
To do this, during this type of period, the first trades of a series are made with a reduced size.
The size of the trades will then increase in steps, until they reach the usual size.

I'm still working on this concept of volatility risk limit, some adjustments will probably be done in the next months, I will describe them here if they are significant.
In parallel I am adapting this update to my other strategies.

I am happy to see that few investors left PUL during this drawdown, the AUM has instead increased.
Thank you for your confidence.

Have a nice day.