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Changes to Experience & Performance attributes

18 January 2016

The DARWIN Exchange (Darwinex) lists DARWINs that investors purchase from independent traders. To assist investors, we grade DARWINs for investable attributes (IAs).

But: DARWINs are (different leverage) transformations of their underlying strategies. So… what are the IA grades for, the DARWIN, or its underlying strategy?

The logical answer would be – the DARWIN! Then again, remember Tradeslide and the TS Score? Way back when, we were a site that diagnosed trading strategies, and DARWINs didn’t exist. Because of that legacy, up to last week, IA grades – somewhat inconsistently – were for the underlying strategy, not its DARWIN.

For the Consistency & Timing IA grades this is irrelevant: a strategy’s and its DARWIN TP / SL levels and trade timing are identical. For other IAs DARWIN & underlying strategy differ.

To side with logic, going forward IAs will grade the DARWIN – not the underlying strategy. The rest of this post outlines the implications for the Experience and Performance IA.

1. Changes to Experience Attribute

As you may recall, the Experience IA measures statistical representativeness. One core input into it is, amongst others, D-Leverage.

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To rate the DARWIN’s statistical representativeness (instead of the underlying strategy’s), the Experience IA now feeds off DARWIN adjusted D-Leverage, as opposed to  underlying strategy’s D-Leverage. After this change, which track record is more statistically representative, a strategy’s, or its DARWIN’s?

To reach the answer, think this through. All other things being equal, which strategy has more statistical significance?:

  1. Strategy 1: Take 100 trades, one where you leverage 200:1 for 5 days, and 99 where you leverage 1:1 for 1 hour
  2. DARWIN 1: Strategy’s 1 DARWIN, as offered to investors

Strategy 1 is (probably) very driven by the outcome of the 5-day 200:1 trade. To protect investors in DARWIN 1,  risk management algos would not fully replicate the 200:1 leverage trade to begin with. Moreover, as the 5 days progressed, they would gradually close out the trade to control leverage over time. This “smoothing out” would increase DARWIN 1’s statistical significance above Strategy 1, by “allocating” performance (more) evenly across the remaining 99 trades.

DARWINs accrue Experience at least as fast as their underlying Strategy, and generally faster. Going forward, therefore, users should rejoice that DARWIN Experience grades will grow faster – precisely because it rates DARWINs, not underlying strategies. Note that investability doesn’t change one bit – it’s just that the grade refers now to something else.

2. Changes to the Performance Attribute

Similarly, the Performance Investable Attribute grades the output DARWIN’s performance (i.e. the performance on 20% VaR after algos manage D-Leverage independently from the underlying strategy).

As you may recall, the Performance IA used to include a Leverage Illusion grade in addition to the Monkey Test. Their average grade was the strategy’s 0-10 Performance score.

Because only adjusted D-Leverage drives DARWIN performance , the “with and without leverage” Leverage Illusion grade is now redundant.

Snip20160118_16

All DARWIN providers need to do now is beat trading monkeys that use their same D-leverage!

Think this makes beating the monkeys any easier? Think again 🙂

3. Changes to other Attributes

Evolution is a process,  so it doesn’t stop here! We’ll keep working hard on algorithms and ratings.

Questions on the changes or anything else Darwinex?

E-mail info@darwinex.com, we’ll be glad to help out!

 

Last News

Amended Trading Hours U.S. Labor Day 2019

30 August 2019

Please note the amended Darwinex trading hours for the upcoming U.S. Labour Day on September 2nd, 2019.

Please note the amended Darwinex trading hours for the upcoming U.S. Labor Day on September 2nd, 2019. All times are in UK (BST) time.

 


 Instrument Trading Hours on September 2nd 2019
 COMMODITIES  
Gold 23:01 Sun – 17:59 Mon
Silver 23:00 Sun – 18:00 Mon
Platinum 23:00 Sun – 18:00 Mon
Palladium 23:00 Sun – 18:00 Mon
US Crude 23:00 Sun – 17:45 Mon
Natural Gas 23:00 Sun – 17:45 Mon
 INDICES  
Japan 225 23:00 Sun – 18:00 Mon 
 US SPX 500 23:00 Sun – 18:00 Mon
 US Tech 100 23:00 Sun – 18:00 Mon
Wall Street 30 23:00 Sun – 18:00 Mon
US STOCKS
All US stocks CLOSED

 

The rest of the assets will trade according to their usual trading time. As always, at info@darwinex.com we’ll be happy to assist you!

UK100 Closed on August 26th

14 August 2019

Please note that the UK100 index CFD will be closed on Monday August 26th due to UK Summer Bank Holiday. All other assets will trade according to the usual trading hours. 

Please note that the UK100 index CFD will be closed on Monday August 26th due to UK Summer Bank Holiday. All other assets will trade according to the usual trading hours.

DAX Trading Hours Soon to be Extended

9 July 2019

The CFD of the DAX (GDAXI) start trading with an extended schedule as of Monday July 22nd, 2019.

The CFD of the DAX (GDAXI) will soon – probably as of Monday July 22nd – start trading with an extended schedule.

The current schedule is as follows:

  • 07:00 – 21:00 (London) Mon-Thu
  • 07:00 – 20:55 (London) Fri

The extended schedule will be as follows:

  • 01:30 – 21:00 (London) Mon-Thu
  • 01:30 – 20:55 (London) Fri

We’ll update this post with the final implementation date of the extended schedule as soon as possible.

Update on July 18th: the DAX will start trading according to the new schedule on Monday July 22nd.

Note that during the night, GDAXI usually has a wider spread and a lower liquidity than during the day.

Please get in touch at info@darwinex.com for any questions you may have.

apalancamiento esma

The FCA Makes ESMA’s CFD Restrictions Permanent

4 July 2019

The new measure doesn’t affect us more than the ESMA intervention already did. And it affected us in a positive way, contributing to the improvement of our clients’ performance.

The UK’s Financial Conduct Authority (FCA) made the European Authority’s (ESMA) CFD restrictions permanent this week.

Some reactions to this we saw in user forums implied this was a “ban” of Contracts for Differentes (CFDs). Some even said it was “the end of Darwinex”.

We’d like to clarify that the FCA’s measure makes the restrictions we already applied last year permanent. But nothing else changes. It’s only that this time it’s the national regulator that said this while last year it was the ESMA.

The new measure doesn’t affect us more than the ESMA intervention already did. And it affected us in a positive way, contributing to the improvement of our clients’ performance.

Trading Schedule for the US Independence Day on 3rd and 4th July 2019

27 June 2019

Please note the amended Darwinex trading hours (in red) for the upcoming US Independence Day on 3 & 4 July 2019. All times are in UK (BST) time.

Please note the amended Darwinex trading hours (in red) for the upcoming US Independence Day on 3 & 4 July 2019. All times are in UK (BST) time.

 

FX Wednesday 3rd July Thursday 4th July
All FX Instruments 22:05 Tue – 22:00 Wed 22:05 Wed – 22:00 Thu
DARWINs 22:05 Tue – 21:59 Wed 22:05 Tue – 21:59 Wed
Commodities
Gold 23:01 Tue – 21:59 Wed *23:01 Wed – 18:00 Thu 
Silver 23:00 Tue – 22:00 Wed *23:00 Wed – 18:00 Thu 
Platinum 23:00 Tue – 22:00 Wed *23:00 Wed – 18:00 Thu 
Palladium 23:00 Tue – 22:00 Wed *23:00 Wed – 18:00 Thu 
US Crude 23:00 Tue – 22:00 Wed *23:00 Wed – 17:45 Thu 
US Natural Gas 23:00 Tue – 22:00 Wed *23:00 Wed – 17:45 Thu 
Indices
AUS200 23:00 Tue – 22:00 Wed 23:00 Wed – 22:00 Thu
STOXX50E 23:00 Tue – 22:00 Wed 23:00 Wed – 22:00 Thu
FCHI40 23:00 Tue – 22:00 Wed 23:00 Wed – 22:00 Thu
GDAXI 07:00 – 21:00 07:00 – 21:00
J225 *23:00 Tue – 18:15 Wed *23:00 Wed – 18:00 Thu 
SPA35 07:00 – 19:00 07:00 – 19:00
UK100 23:00 Tue – 22:00 Wed 23:00 Wed – 22:00 Thu
SPX500 *23:00 Tue – 18:15 Wed *23:00 Wed – 18:00 Thu
NDX *23:00 Tue – 18:15 Wed *23:00 Wed – 18:00 Thu 
WS30 *23:00 Tue – 18:15 Wed *23:00 Wed – 18:00 Thu
US stocks 14:31 – 20:59 CLOSED
 
Crypto
All Crypto Instruments 22:05 Tue – 22:00 Wed 22:05 Wed – 22:00 Thu

 

 

The DARWIN Exchange will remain open even if the underlying assets’ market is closed. Should you want to know the standard procedure when you buy/sell a DARWIN whose underlying asset market is closed, we recommend you to read the following Help Center article: What happens if you want to buy/sell a DARWIN which has underlying trades open with different opening/closing times?

As always, at info@darwinex.com we’ll be happy to assist you!

Australia Public Holiday on 10th June 2019

5 June 2019

Please note the amended Darwinex trading hours for the upcoming Bank Holiday in Australia on 10th June 2019 (all times are in UK time).

Please note the amended Darwinex trading hours for the upcoming bank holiday in Australia on 10th June 2019. All times are in UK (BST) time.

Indices  Monday 10th June 2019
AUS200 08:10 – 22:00

 

The rest of the assets will trade according to their usual trading time.

As always, at info@darwinex.com we’ll be happy to assist you!

CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 66 % of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.