All DARWINs are given scores for what we call investable attributes and, in addition, are given a general score called the D-score. Direct and real-time data of the strategy underlying the DARWIN is not disclosed in order to protect the trader's trading activity details, therefore investors are offered the investable attributes and the D-score for making their investment decisions.
(FYI, we´ve recently hosted a webinar explaining the rationale for developing our trader diagnostic toolkit - including both the 0-100 D-Score, as well as the 12 independent investable attributes underpinning it.)
Aim of Investable Attributes and D-score
Our aim with with investable attributes is to measure the quality of a DARWIN with the least possible number of parameters. There should be no attribute that is superfluous and no one either that is missing.
The ultimate aim of attribute scores and the D-score is to offer an indicator of probable future profitability. It is proved with a representative set of DARWINs that the higher the D-score, the better the future performance that can be expected of a DARWIN.
Calculation of Investable Attributes and D-score
For the calculation of the attributes and the D-score we work with historic trades of the strategy underlying the DARWIN and with the equity supported by this strategy. The answer to the question whether investable attributes and D-score are of the DARWIN or of the strategy underlying the DARWIN, is that they are attributes of a strategy meant to be transformed into a DARWIN.
Let's see the 5 principles investable attributes have to respect.
- They need to be fit to compare strategies with any risk. In other words, they need to be valid for all kinds of trading strategies.
- Each attribute is completely independent of any other attribute.
- It mustn't be possible to dispute, in any attribute, that a higher score is better that a lower one.
- In separate, no individual attribute can determine the quality of a strategy. It is possible to get a very good score in one attribute at the expense of another.
- Quality of a strategy depends on the combination of the scores. Scores have different weights depending on how they are combined with the rest of the scores. Therefore, they can't be simply added up to make a ranking of DARWINs. Let me repeat it, the value of a score depends on the rest of the scores.
We follow the rule that any attribute that exists and fulfills these 5 criteria, must be added as an investable attribute. This is why we have 12 investable attributes and not less nor more than 12.
Scores of the 12 attributes are computed into a general score called the D-score which takes into account both the score of each individual investable attribute and their combination. Based on a series of simulations, we guarantee that the higher the D-score, the higher the probability that a DARWIN will be profitable in the future. This way, the D-score is the ultimate way to compare DARWINs.
Although we consider the investable attributes and the D-score as the most important metrics for a DARWIN, investors are also offered a whole set of other metrics they are welcome to explore under the 'Basic', 'Divergence', 'Correlation' and 'Underlying strategy' tabs.