[Darwin] UKC by Morpheus33

[AriaS]

Have just seen that the Sharpe Ratio in May was 1.32. No wonder, since all the 27 trades were winners.

The strategy is now public on Myfxbook.

Btw, Myfxbook has malfunction. If your Sharpe Ratio shows 0.0, change the trading period by even one day (through “custom analysis”) and the Sharpe Ratio shows up.

 

[AriaS]

Stress Test

Made a successful stress test for the new back testing algorithm. Tested out-of-sample the months of interest rate changes, including both surprise and predicted. The result is good: no entrances during the news. The only problem, which did not occur in the stress tests so far, but might occur is either closure in loss, in the direction of the spike, or if the closing algorithm decides to stay and closes with a bigger loss. This can be a problem only during surprise. Maybe I should consider manually closing the trade, before the rate announcement, if I see that there is no wide consensus of economists.

 

[AriaS]

Received 2nd 30k allocation.
Decided to add a bit of contrarian sentiment to the strategy, but only to filter out some unwanted entrances. Back tested it, but didn't reach an unambiguous conclusion.

 

[AriaS]

I made a mistake that almost destroyed the account Yesterday. It survived though!

I had the equity breakeven turned on, but I didn't take into account that it needed to be turned off when I scaled the account x2, or I should have coded percent breakeven. Yesterday the floating loss was stopped out by the equity breakeven and this caused the Darwin to lose 3.32%. Luckily it is still less than made in 2 previous months combined, so my own rule is not violated.

Darwin:

Strategy: