5) How Value-at-Risk (VaR) is calculated at Darwinex - Part I

In part I of this tutorial, we begin describing how we calculate the Value-at-Risk of a trading strategy at Darwinex.
We frame our argument based on the fact that the volatility of past returns, leverage on its own and the normality assumption that go into measuring Value-at-Risk in industry, are insufficient to adequately capture a reliable approximation of the true Value-at-Risk of a trading strategy.
We describe how our proprietary metric D-Leverage solves these problems by providing a universal value that can be used to compare the risk of any trading position with the risk of taking an equivalent trade with the same leverage on the EUR/USD over the last 1 trading year worth of EUR/USD price data.
We conclude with a discussion of the period of most recent trading positions that we consider representative of a trader's most up-to-date risk profile, and how we use the Duration and D-Leverage calculated for each position in this period to construct data series for conducting Monte Carlo simulations in order to arrive at a Value-at-Risk estimate more closely representative of the true risk a trading strategy presents to investors.
In part II of this tutorial, we describe how Value-at-Risk is actually calculated at Darwinex, following on from where we left off in part I.
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Topics: #darwinex #var #risk #montecarlo #trading #dleverage

[@itstradingtime8500]

Absolutely love this tutorial!
I myself trade on Darwinex and I can say that this is very clear and helpful, well done!
Just one small suggestion. Some parts of the board are very bright and I find them hard to read. You may want to consider a different lighting setup :)

[@traderlocuaz4509]

Clear accounts make good friends.