What do the Open and Close Strategy (Os / Cs) attributes tell about a trading strategy / DARWIN?

Open Strategy (Os) and Close Strategy (Cs) Investable Attributes measure if the strategy would perform better by systematically opening/closing trades earlier/later.

What is it?

Open Strategy (Os) and Close Strategy (Cs) Investable Attributes measure how skilled the trader is when opening / closing. It assesses the quality at the entrance / exit of trades and comparing their profitability with that of 10 simulations that systematically enter and exit the market either a bit earlier or later than the trader.

Os and Cs are scored from 0-10 and take into account the last 12 D-Periods of Experience (Ex).

Open Strategy (Os)

Measures if the profitability of the strategy would have improved if the trader had opened trades a bit earlier or later.

The better the score, the more accurate the trader at opening trades.

Close Strategy (Cs)

Measures if the profitability of the strategy would have improved if the trader had closed trades a bit earlier or later.

The better the score, the more accurate the trader at closing trades.

How is Os/Cs calculated?

Calculation of Os/Cs scores is done as follows.

Open strategy (Os)

We simulate return of 10 hypothetical trades that open 10%, 20%, 30%, 40% and 50% before and after the actual real trade.

Once the simulations are done, we classify all trades per return and assign them the following reference scores (not to be mistaken for the final attribute score):

  • 1 => first place
  • 2 => second place
  • 3 => third place
  • ...
  • 11 => last place

With all the reference scores acculumated in the Os Attribute an arithmetic average is worked out, and the final score is calculated. The closer to 1 the reference score is, the closer to 10 the final score for is Os Investable Attribute is, and viceversa.

Close strategy (Cs)

Together with the orginal trade's return, the returns of 10 hypothetical trades are simulated which close 10%, 20%, 30%, 40% y 50% before and after the original trade.

Once the simulations are done, we classify all trades per return and assign them the following reference scores (be careful not to confuse this with the final Cs score):

  • 1 => first place
  • 2 => second place
  • 3 => third place
  • ...
  • 11 => last place

With all the reference scores acculumated in the Cs Attribute an arithmetic average is worked out, and the final score is calculated. The closer to 1 the reference score is, the closer to 10 the final score for is Cs Investable Attribute is, and viceversa.

Where I can see the data for the Os/Cs Investable Attributes?

As with all of the Investable Attributes at Darwinex, you access them either through the relevant icons (Os/Cs) on the main DARWIN/strategy page, or through the tab [''Investable Attributes''/''Os''/''Cs''].

  • Attributes bar

From the Attributes bar, click on ''Os''/''Cs''.

Barra atributos

NOTE: If you hover the mouse over any Investible Attribute, you will be able to see the score, as well as a brief descritption.

  • Investible Attributes tab

In the tab ["Investible Attributes" / "Os"/"Cs"].

Timing

Once inside, you will have access to the 2 following graphs:

  • Open Strategy Graph (Os)

In the Open Strategy graph (Os) the quality of the original strategy's opening, shown in white, is compared with 10 simuluated trades which all open, systematically, a little before or after (+/- 10%, 20%, 30%, 40% y 50%). 

Open strategy

The higher up the white line is in the graph, the better the score reflect in the Os Attribute.

In the example shown you can see that the original strategy shows the best result, followed by the strategy that opens all its traades, systematically, a 50% later.

  • Close Strategy Graph (Cs)

In the Close Strategy graph (Os) the quality of the original strategy's opening, shown in white, is compared with 10 simuluated trades which all open, systematically, a little before or after (+/- 10%, 20%, 30%, 40% y 50%). 

Close strategy

The higher up the white line is in the graph, the better the score reflect in the Cs Attribute.

In the example shown the original strategy offers a result close to the average of the 11 strategies with different closes, therefore the Close Strategy (Cs) score will be very similar o the other scores, around 5.

Tips

And to finish off this lesson, we offer you the following tips or anecdotes about the Open and Close market Investable Attibutes (Os/Cs):

  • Kaizen: constant improvement

The Os/Cs Attributes can help the traders to improve their entry and exit points, because they will know perfectly if they enter/exit, systematically, too early/late.

  • Perfection does not exist

It is very difficult for a strategy to achieve good scores in all of the Investable Attributes, therefore you may find DARWINs with a good D-Score and with low scores in Os/Cs.

Do you want to learn more?

If you want to learn more about the Investable Attributes for os/Cs, we recommend this webinar offered by our CEO, Juan Colón, titled: ''DARWIN investable attributes, explained!''.

From the minute 15:40 it starts talking about Open and Close Strategy Attributes (Os/Cs).