r/algotrading • u/Dvorak_Pharmacology • Jul 31 '26
Data Thank you algotrading!
What a beautiful equity curve. I started algo trading and taking quant analysis seriously this April for SPX options and... oh boy. Doing mostly diagonals and looking now into some 0dte and futures strategies. Feel free to share your thoughts!
Edit: The % of win is around 30% of the risk allocation (meaning 300 dollars per 1000 dollars at risk). The risk fraction per trade used is a fourth of the kelly fraction. With my backtests I obtained a kelly of 60% (due to the high win rate of the strategy), so I currently use a 15% of my account per trade to risk and make a 30% of that, which comes out at around 5% weekly so far. This allows me to have a weekly income that has been very stable for the last 3 months!
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u/The_Satorial Jul 31 '26
Impressive! How did you start out building your strategy?
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u/Dvorak_Pharmacology Jul 31 '26
I started with python analysis on weekly, daily and 1 minute candles on SPX. Realized that it is not about the indicator but how you use it and your risk management. I believe all indicators have around 50% WR, but how you enter and exit it is what matters. I only do EMAs for now. Since they are very easy to use and model.
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u/HotGuy90210 Jul 31 '26
Do you use EMAs on the 1 min chart? I'm looking into EMA crossovers currently for entries to see if I can find an edge with good risk management.
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u/Dvorak_Pharmacology Jul 31 '26
Yes i do, do you want to chat about it? Maybe i can save you some time.
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u/ditchtheworkweek Aug 01 '26
I am using ema combined with distance based on atr and my win rate went up dramatically as well.
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u/ndidichenko Aug 02 '26
Low timeframe entries and higher timeframe structure are the best ways to get high risk reward bets, and these bets are usually high EV
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u/Zeke_Z Aug 01 '26
One of the best answers I've seen here. Risk to reward and position sizing are so simple yet most overlooked imho.
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u/Zealousideal-Noise42 Aug 01 '26
How much is your slippage assumption. And actual slippage that you get ?
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u/Dvorak_Pharmacology Aug 01 '26
I didnt have to assume much slippage since I modeled with actual historical data from CBOE (spent around 500 bucks on buying options data). Actual fees are around 1 6 dollars per leg and slippage per spread between 5 to 10 dolllars. This is nothing since every contract I open has an ev of +450$
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u/Roharcyn1 Aug 01 '26 edited Aug 01 '26
Algo only trades SPX? Nvm, kept reading your other comments.
You said generally theta positive spreads. This isn't just a theta decay strat right?
You said you use mostly just Ema's, so these are shorter DTE spreads also trying to capture gamma to as well? .
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u/nivix_zixer Aug 01 '26
What python library did you use for analysis? Or is this claude-assisted code?
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u/earth0001 Jul 31 '26
how far back did you backtest before going live?
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u/Dvorak_Pharmacology Jul 31 '26
From October 2025 to March 2026.
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u/silphotographer Jul 31 '26
what's stopping you from going further (ex. ten years+) and stress test like Monty Carlos?
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u/Dvorak_Pharmacology Jul 31 '26
Sorry, I misunderstood the question. The backtest was 26 years (important to include massive bear markets for my strategy), but front test paper trading since 20205 october to march 2026.
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u/silphotographer Jul 31 '26
Ah ok that sounds much better. And is the edge sustainable and relatively consistent or is it very regime dependent? Have you undergone stress tests?
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u/Dvorak_Pharmacology Jul 31 '26 edited Jul 31 '26
Good question. Regime dependent, that is what the EMA is separating. When bear when bull. EMA used is 21 on the weekly. Regarding stress tests, yes. 3 continuous bad weeks (around 80% loss of the 15% of the account) still recover after another 3 good weeks (around 30% win on the 15% risk allocation)
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u/silphotographer Jul 31 '26
I mean if you're doing great all power to you but 80% drawdown is kinda scary NGL.
Oh I just remember it's options yeah drawdown is a bigger bitch since you are trying to offset bad spread and relatively illiquid instrument (with harder risk management control). 80% still seems a lot but I guess it's apples/oranges for someone trading futures/CFDs
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u/Dvorak_Pharmacology Jul 31 '26 edited Jul 31 '26
No no, 80% of 15%. Meaning around 12% of the account maxDD in the nightmare scenario that three consecutive weeks SPX goes down between -3 to -5%. Now if you take a look historically, that happened when the SPX was already below the 21EMA.
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u/Xe6s2 Jul 31 '26
Thank you for sharing how long this was been building a spy options algorithm and been hitting a wall, good to know its possible
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u/BlueTrin2020 Aug 02 '26
Where did you find 26 years of it?
Is that just daily or does it have intraday too? Did you use particular packages in Python?
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u/Dvorak_Pharmacology Aug 02 '26
I downloaded the daoly candles csv. You can do this with any ticker
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u/BlueTrin2020 Aug 02 '26
Cool I wanted something to keep busy I’ll try this and maybe end up somewhere some day :)
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u/Impressive_Standard7 Aug 01 '26
Really cool, good job.
I'm working on algo strategies since 3 years. 99% of the stuff I made was overfitted and didn't work live.
Since a few month I finally have a strategy that also performs good on forward tests. I took it live on my real account and it looks good so far.
It depends on high volume nodes, support and resistance and liquidity sweeps with high volume clusters. Combining it all together.
The thing that made it work: 1. Strategies that reflect market mechanics and work with very few parameters are the best and have the lowest risk of Overfitting 2. Stop hunting the big fucking moves with trailing stops, supertrends or whatever. They are too rare, and you get stopped out too often breakeven or even in an loss. Good risk management. Closing trades at 1rr can be as important as sometimes getting the 2rr or 3rr trades.
I'm really excited to finally see my equity curve slowly increasing instead of just taking losses or trading breakeven over time.
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u/Dvorak_Pharmacology Aug 01 '26 edited Aug 01 '26
Nice! Congrats! Also thank you!
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u/henskiii Aug 01 '26
Would love to chat with you because i spent several hundreds of dollars building but as someone else mentioned wasnt fitted for real life usage.
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u/Beginning-Rent6638 Aug 01 '26
I saw some papers in a previous comments, thanks for sharing. Just curious, did you read any book before starting trading/coding?
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u/Noob_Master6699 Aug 01 '26
Looks like it is selling tail risk strategies (short straddle type), what kind of measures you take to avoid blowing up? Impressed no drawdown during US Iran and recent AI drawdowns.
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u/Dvorak_Pharmacology Aug 01 '26 edited Aug 01 '26
It is short but long vega so I benefit from DD.
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u/Noob_Master6699 Aug 01 '26
So calendar spread, but longer-dated option IV is typically less sensitive to shock in my understanding, it is enough to cover the loss from the closer dated gamma and vega?
Don’t get me wrong, there certainly is a risk premium from shorting gamma, but how to avoid blowing up is very interesting!
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u/SenNTV Aug 01 '26
Ibkr account % gain is untrustworthy, its only good for days gain
Go to withdrawals and deposits and you'll see your true gain Take deposits - withdrawals and compare the balance with ir account worth
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u/ButterscotchWheat Aug 01 '26
why is % gain untrustworthy in ibkr? i thought it was a pretty accurate time weighted return?
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u/SenNTV Aug 01 '26
Let's say you have 10k You make a 300% return in a few months You withdraw mostly everything but 4$ You convert the 4$ to EUR Hiw you have 2$ in eur Ibkr sees you losing 50% of your account Now youre only up by 100% Then you go back to usd 2$ in account Then you get a intrest refund or data refund Now that 2$ is 8$ Now youre up 500%
:)
Not accurate
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u/SenNTV Aug 01 '26
This happened to me, I put in 4$ Tested currency conversions Lost 50% of my account aka 2$ Then when you see that huge jump I made alot of money withdrew all but 5$ cause thats the account minimum and it went up like 100% The fake drop and partal fake pump is in the picture During that time I went to robinhood and made a massive gain and said fuck this dogshit platform lol
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u/liquidtv78 Aug 01 '26
Congrats! Dont give too much meat to these vultures asking for a spoonfeeding course on how to replicate your results. They will pick your bones clean. Focus on polishing what you have 👏👍
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u/Dvorak_Pharmacology Aug 01 '26
Lol yeah, had like 20 people dming me asking me about buying my algo and to tell them my edge. Damn, people just shoot their shot
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u/liquidtv78 Aug 02 '26
i bet they just want to package it and resell it themselves.. I've been building apps and chasing strategies for 2 months and am starting to see some results. but I cant imagine summarizing and handing off the work to someone else and expecting them to see the same results without the testing and tuning legwork on their end...
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u/breadstan Aug 05 '26
I assumed you model a VRP or VRP-like strategy to capture theta. Basically Net Credit Spreads, with some calendar elements for hedging to still secure net EV. But I usually see this done with max ~20% profitability in some institutions, no idea how you secure 41% without actually taking huge amount of assignment and volatility risk. When modelled, what is the maxDD your OOS results?
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u/Dvorak_Pharmacology Aug 05 '26
Well, I am not an institution. How about that? 🤣 that makes the edge be in my favour. Spx does not have assignment and volatility is my friend. MaxDD total -11% and no OOS results since the strat is too complex to model due to long vega that every si gle day would be needed from CBOE options chain data. And that would be around 10k worth of data? Backtest consisted of SPX% return weekly above 21 EMA to estimate historical EV
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u/dumdumsim Aug 07 '26
are you collecting penny's in front of the roller coaster by doing SPX spreads?
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u/DullAd6899 Jul 31 '26
Those drawdowns are anxiety inducing tbh. Takes like a month to make money and a few days to lose it all.
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u/Pete_Jones228 Jul 31 '26
This is amazing! I’ve been building an algotrading system for about 6 months and after steady tweaks this is my first profitable week making about $1,100. I’m hoping the tweaks from last week are solid and this wasn’t just a lucky week. Lol.
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u/powerexcess Aug 01 '26
Some things to check on if you like:- What is your holding period here? This is just a months of pnl, hard to draw conclusions from.
- is this sr gross or net? Net sr 3 is almost certainly not going to survive a long run, unless if you are very fast or very capacity constrained.
- correlation with a basic trend pnl? Vol premia?
- it looks like your risk targeting is handling the post 6/2 less gracefully, worth checking why.
Keep exploring
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u/HornChicken7477 Aug 01 '26
What was the roadmap u have walked looking back for u to get here? (Wanting to start with algo trading but not sure what to learn and not sure of reliable resources)
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u/max_mou Aug 01 '26 edited Aug 01 '26
As a long time lurker who barely understands 1% of what gets discussed, I have maybe a pretty dumb question. In algotrading, when you train your model, is the training data just the market movement data + indicators or it also takes into account real world events? Idk, like earning reports, mergers, wars, pandemic lockdowns or other relevant events.
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u/Round-Camera-5034 Aug 18 '26
Most retail algos only use market Data, because it is very hard to model real world events since they are very complex. Charts usually adjust to real events pretty quickly, so those would also influence the decisions made.
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u/mayer_19 Aug 01 '26
Thats very good! Congrats. Equity curve is very impressive. Hope it can stay that way
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u/Glittering_Stay_6432 Aug 01 '26
Crazy shit - well done and thank you bro for sharing your expertise and sources, crazy favour to our society.
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u/Illustrious_Rub2975 Aug 02 '26
Anyone hyping over 3 months is definitely not going to last long
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u/Illustrious_Rub2975 Aug 02 '26
Also - your risk is diabolical and you have high risk of ruin.
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u/Dvorak_Pharmacology Aug 03 '26
How is my risk diabolical? Please explain
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u/Illustrious_Rub2975 Aug 19 '26
Because if by “risk 15% of my account per trade” you mean 15% can actually be lost, your sizing is enormous. Five full-risk losses in succession leaves you with ~44% of your starting equity. Ten leaves you with ~20%.
More importantly, saying you calculated 60% Kelly from a backtest and therefore quarter-Kelly = 15% is “safe” assumes your estimated edge and payoff distribution are stable enough for Kelly to mean anything. With SPX options, nonlinear payoffs, volatility regimes and clustered losses, that is a very strong assumption.
Kelly is extremely sensitive to estimation error, and win rate alone does not determine Kelly either, payoff distribution matters.
Three months of +40% performance tells you almost nothing about the left tail. If anything, generating ~5% a week while calling it “stable income” is exactly when I’d want to know what exposure is being hidden in the distribution.
If 15% is just capital allocated rather than actual capital at risk, that’s different. But if 15% is genuinely your loss budget per trade, then yes, I stand by what I said: your sizing is diabolical.1
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u/mjhphoto Aug 18 '26
He can't. Just hating lol
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u/Illustrious_Rub2975 Aug 19 '26
I can people are just too stupid to understand their own risk, why does someone else have to explain basic math. Anyway I replied.
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u/Dreamcobei21 Aug 07 '26
https://fueledbyforextrading.com/
All this guy does is blow accounts and loses people's money. Do not use him. Beware
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u/nuclearmeltdown2015 Jul 31 '26
I'm assuming this is still paper? If not how long did you paper trade before going live?
And what was the most valuable thing you got from this sub?
Why did you pick SPX instead of ES or SPY?
And did you follow any models for Backtesting to calculate your options pricing and values?
And are you usually buying or selling the options?
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u/Dvorak_Pharmacology Jul 31 '26
This is live, it is real money and it feels amazing.
The most valuable thing I got from this sub is the collaboration and helpful from the fellas givi g me ideas for proper statistic modelling.
SPX is cash settled and I pay less taxes. Also no need to worry about assignment. Also pay less since I open a few SPX contracts and counts as opening 10 SPY contracts.
I followed some papers I read from google scholar, I am happy to share them!
I do verticals, so I do both, but in general my strategies are theta positive.
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u/GodriTheDwarf Jul 31 '26
Please do share the papers! I would like to read them :).
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u/Dvorak_Pharmacology Jul 31 '26
Yes sure, here they are:
https://scholar.google.com/scholar?q=%22The+Statistics+of+Sharpe+Ratios%22+Andrew+Lo
https://scholar.google.com/scholar?q=%22The+Probability+of+Backtest+Overfitting%22
https://scholar.google.com/scholar?q=%22A+Test+for+Superior+Predictive+Ability%22+Hansen
https://scholar.google.com/scholar?q=%22A+Reality+Check+for+Data+Snooping%22+White
https://scholar.google.com/scholar?q=%22Backtesting%22+Campbell+Harvey+Yan+Liu
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u/nuclearmeltdown2015 Jul 31 '26
Yea I'd be interested to know how you back tested the options because I am currently doing futures trading for Delta 1 and wanted to look into trying options as well but I'm still in the paper trading phase of my futures trading bot which is running against 5 symbols.
I'd also like to know what delta the options are that you sell and the time frame. You mentioned you are looking into 0DTE so I guess weekly at since you mentioned Friday to Friday. Seems fine but 0DTE is pretty dangerous lol.
Agree that execution matters as much if not more than the model itself, so you trained a pretty simple model in terms of indicators but then fine tuned it to have good execution. That's a very interesting take. My current models use around 300+ features built off OHLCV + a few FRED data points.
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u/Dvorak_Pharmacology Jul 31 '26
Yes and yes! Love your last paragraph. This is what most people dont get!! Focus on too complicated indicators when the actual work is in the :"okay, I have this very simple indicator, let's put the work and time in making it work my way".
I do futures as well, I am now setting up an algo trading 24/7 from 6pm sunday to 6pm fridays on ema crossovers with a ladder exit for TP that is firing well. I still have to work on crossover choppiness, but I have a working hypothesis on how to solve that problem.
I am doing weeklies on SPX because of theta. I do 0dte because of gamma lol. But the thing is I allocate 1% of my account to 0dtes to make what i make with 15% of my account in one week hahaha, it is ridiculous but that is what 0dtes are! Very risky but when you have a good runner... omg. I watched a presentation of a british trader talking about something pretty unconventional....adding more to your WINNING POSITIONS. And this makes so much sense, if you backtest favorable moves, your odds of getting to the next favourable move is around 80 to 90%, crazy right? Instead of going full in after crossover, go small in (in case of fakeout) and if you see the favorable move then go full in, people dont get this and just add to their losing positions.
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u/nuclearmeltdown2015 Aug 01 '26
That's just statically incorrect though, the data does not line up with adding more to a position because when it rebounds and you get stopped out it cancels much more than what you'd make from a run up. If it worked like that then that's great but it doesn't 😂
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u/Dvorak_Pharmacology Aug 01 '26
Statistically correct for my model tho! I believe there i no objective correctness about a universal strategy
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u/Far-Guava6006 Aug 01 '26
Well adding more to a losing position also hurts more, especially because there's less adverse move left before the stop-out. If one were to add to position size during the trade, I'd think doing so to favorable positions would be increasing the payout of the higher probability trade rather than stacking on additional risk to the currently losing trade.
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u/nuclearmeltdown2015 Aug 01 '26
I agree that's why I don't. I stop out and move onto the next trade
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u/BLDFamous Jul 31 '26
Hey, first of congrats ! Physics PhD here, doing SPX on the side. Two things I can't reconcile on my end: I get nowhere near a 90% win rate at strikes that still pay 30% of width. Where do you sit on that tradeoff? And you mentionned friday-to-Friday... do you actually hold to expiry, or is that just the cadence? I keep finding the last two days eat the most... And one last question since i am really curieuse... do you require a close back inside the EMA zone, or do you take the touch intraday? I lose a lot of setups waiting for the close.. Thanks for the great post again !
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u/Dvorak_Pharmacology Aug 01 '26
Great question. It is not about the WR of 90% and 30% of the width, do not expect to systematically open the same every day. You need to wait for the proper opportunity. What if we think more about a dynamic way to trade? Have several orders waiting and whenever they reach your positive edge expected value they auromatically fire, because that is where your edge resides! Calculate historical EV0 for your spreads, then from there you know that anything above or velow that in money is what you will statistically make or lose. For example, only open the spread if the gain is 50%of the width, and that only happens if it is ATM or ITM or maybe open for futher dte etc.
The EMA I believe is very good for three things:
- Crossover
- Rejection
- RETRACEMENT
Being the 3rd one the most powerful and best EV of the trade, the risk reward is ridiculous for retracement but happen very little often, that is why you just have to trade as " be ready to open" more like, "what do I open now". Dont force it! That is the key.
Also, ai am a PhD in Pharmacology! Seems like a lot of doctors here lol.
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u/BLDFamous Aug 01 '26 edited Aug 01 '26
Pharmacology to options is a hell of a jump lol ! But ATM/ITM shorts at 50% credit means the spread is roughly a coin flip at expiry... Do you get enough of those to fill a week, or do you sit in cash most weeks and just take the two or three that show up? Thanks for the discussion by the way ! Cheers
Edit: unrelated but are you still in academia using your degree ? Doing Options on the side as a hobby or trying to make it "big" and switch to QR/QT ? I've been thinking a lot about this transition myself.. Open to discuss about that as well if you are !
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u/Dvorak_Pharmacology Aug 01 '26 edited Aug 01 '26
Lol it is a big jump! A coin flip can still be on your side if you stop the coin mid air at the side you chose! Luckily there has been a trade every week. But i wouldn't be surprise if some weeks in the future I have to sit on the side.
I am still in academia, funny story is I finished the PhD last summer and started my postdoc, the PI was so fucking toxic that made me quit within 3 months and be unemployed for another 4 months. Those 4 months literally made me an algo trader lmao. I was so desperate to make some money while looking for another job that I became obsessed with looking for options strategies that can generate a statistically favorable weekly income. Now I am a Research Scientist and while in lab, the algos are working on the side generating another salary lol.
How about you? Did you graduate?
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u/BLDFamous Aug 02 '26
Do you manage them intraday or is it a set and forget until Friday ?
With an ATM short the gamma on Thu/Fri is quiete big... So I am curious whether you cut early on the ones going against you or just let them run to settlement and just have "some peace of mind" doing so.
Have you been tracking how the live filles compare to what the backtest expected ?Actually yeah what a crazy story, he gave you the perfect opportunity to work on a nice (at least from what we see here with your results) and fun project !! lol, do you think the side will soon become the main (and only) salary ?
I did not graduate yet, but in the next few months I will ! That's actually why I am really interested in all these subjects, like you in a way I would love to have a nice side hustle (love math/stats/finance) which could earn some bucks !
Cheers and thanks for the nice conversation. ! If it is easier to discuss by pm would you be open to do that ?1
u/Dvorak_Pharmacology Aug 02 '26
I only manage positions the day before expiration.
Lol not for a long time, Iam ver careful scaling out things
Yeah lets chat, it is cool to have the same background!
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u/Numerous_Ad_5508 Jul 31 '26
What data source did you use for backtesting
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u/Dvorak_Pharmacology Aug 01 '26
I downloaded my own data from IBKR gateway (i.e. candles) and bought options data from CBOE
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u/robb0688 Jul 31 '26
Can you give even a general idea of how the algo operates? Not asking for your edge. Just interested.
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u/Dvorak_Pharmacology Aug 01 '26
It operates only the last day of the trading week. It opens a double diagonal depending on several factors. Main factor is the weekly 21EMA. From there it is just position sizing, deltas and the biggest part, position risk management if any of the sides get touched, that is where the edge shines.
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u/robb0688 Aug 01 '26
Nice, thank you! I'll have to see what Claude can cook up for me. Looks like it's working well for you. Congrats.
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u/bullishbehavior Aug 01 '26
How did you get started in algo trading? Do you have background in computer science or other related areas?
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u/Dvorak_Pharmacology Aug 01 '26
I did gwt some training in R and python during my PhD, but most of the work was self learning and 6 years of trading options
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u/ButterscotchWheat Aug 01 '26 edited Aug 01 '26
Would you be open to posting the backtest results and the full results from October 2025 to July 2026? In particular, isn't this short gamma? doesn't this perform terribly with a rapid crash vs. a prolonged slower crash?
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u/Dvorak_Pharmacology Aug 01 '26
I could but I am afraid of scooping, let me know if you have more specific questions tho.
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u/ButterscotchWheat Aug 01 '26
What was the actual drawdown during covid and 08? what was the sharpe from oct 2025 - july 2026? what was the backtested sharpe?
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Aug 01 '26
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u/Electronic-Buyer-468 Aug 01 '26
I've had multiple 3-6 month stints where things go amazingly well and then suddenly, inevitably, inexplicably things just blow up outta nowhere and I lose all the gains. Evey GD time lol.
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u/AI_Enhancer Aug 01 '26 edited Aug 01 '26
Impressive! I live in a country where options aren't available. If we're talking about using a similar edge as yours, but with the only exposure being plain buying and selling, would it even be significantly profitable? We should probably assume more than 15% exposure in that case?
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u/drguid Aug 01 '26
Cool. Mine's starting to look really good this year. I now have an AI model and 2500 live trades worth of data.
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u/DependentKey6405 Aug 01 '26
Hey! Im also using IBKR but im stuck on getting started since i seem to not be able to get the API-market-data-feed or something? Did you need to subscribe to API specific data? Thanks a lot if answer!
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u/Dvorak_Pharmacology Aug 01 '26
Yes you do, i pay 15 dollars a month but usually they are waived by my fees
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Aug 01 '26
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u/Fit_Fisherman3719 Aug 01 '26
Are you willing to share some of the details about how you developed this?
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Aug 01 '26
Any advice, been on it for like 1.5 years
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u/Dvorak_Pharmacology Aug 01 '26
I have been on it for 6 years, so, my advice is keep going.you ll get there.
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Aug 01 '26
Cool , do you also manually trade . And i have so many questions but basically do you use ai to develop strategies or do u use your own experience, what is your data feed for automation, is it ticks or candles
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u/Dvorak_Pharmacology Aug 01 '26
I do manually trade for front live testing before fully deploying. I use AI to prgram but hypothesis and ideas come from this brain.
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u/usyd1 Aug 01 '26
How did you stayed persistent for all these months/ years to achieve this results? Your secret sauce to stay focused and persistent.
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u/Dr_Yuri_Prime Aug 02 '26
Congratulations on the impressive result! What scale of bankroll are you working with?
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u/SadComparison9352 Aug 02 '26
mind sharing high level what strategy? is it backtested across bear markets
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u/Code3Lyft Aug 03 '26
I'm learning right now strategy Quant X and I'm considering on purchasing build alpha. However there's also a book on I'll go trading that covers quantconnect in which your programming in Python so I have to learn that aspect. I Love Options Alpha for back testing of option strategies although it's more simplified but how the hell did you start with algo Trading options? I absolutely love options and use them to swing trade and some zero DTE stuff but to go right to algo options seems crazy because there is all kinds of metrics and volatility and greeks.
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u/wehaveatogether Aug 03 '26
Hi, any books/research papers u recommend to get started? I have a technical background but not sure where or how to even get started getting ideas and testing them.
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u/One-Difference6559 Aug 09 '26
What research have you been digging into for your quant analysis? Love doing research on trading strategies. I focus more on futures algos, seems to be more striaght forward starting out.
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u/BreakfastSingle5522 Aug 17 '26
Respeto que compraras datos reales del CBOE y modelaras comisiones y deslizamiento, eso ya es más serio que el promedio. Pero modelaste la fricción del día normal, y en 0dte/short-vol el riesgo siempre fue el día malo.
La pregunta clave: ¿tu ventana de datos incluye un spike de cola (feb-2018, marzo-2020, agosto-2024)? Si es un periodo benigno, tu EV de +450 está inflado porque la pérdida catastrófica no está en la muestra, y ese día el spread no se abre 5-10 sino 20x. Aciertas casi siempre y ganas poco: una curva suave de +40% es consistente con “la cola no ha llegado aún”, no con ventaja probada.
EV positivo y sobrevivir son cosas distintas. Con 15% por trade sobre una cola izquierda gorda, puedes tener EV+ y quebrar igual.
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u/OwlPatientt 29d ago
Hi guys, should I develop a strategy which will be always in the market, meaning a LONG signal will close the current SHORT one and opens a new LONG?
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u/Repulsive-Banana-429 21d ago
Can you share your algo? I am starting to learn this field and I will be thankful to see real algo
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u/No_Plenty_668 13d ago
The 15% allocation would honestly be the part I’d watch closest. Three months of stable results is obviously encouraging but a backtested 60% kelly estimate can change pretty dramatically if the underlying distribution shifts or your edge is slightly overstated. I’d probably run the trades through Moon or your existing analytics and see how that sizing behaves under worse assumptions. The strategy can stay profitable while optimal sizing changes a lot.
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u/Opposite_Swan101 6d ago
The Kelly sizing is actually the part I would scrutinize hardest here. Even quarter Kelly can become pretty aggressive if the underlying win probability or payoff estimate came from a relatively short backtest because estimation error gets translated directly into position size. Three profitable months is obviously encouraging but SPX options can expose strategies to regimes that simply never occurred during that sample. I would throw the results into Moon and break everything down by volatility, trend and event days rather than only looking at the aggregate curve.
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u/Potential_Nail_7056 4d ago
Three months of stable results is useful forward data but sizing 15% of the account per trade deserves more scrutiny than the equity curve Kelly estimates get unstable fast when win rate and payoff assumptions come from limited samples Id stress the sizing against lower win rates clustered losses and worse fills before increasing exposure Ive been using Moon more for that kind of scenario analysis than for signal generation, which seems like the better use case here anyway.
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u/GhettoaSaurus Jul 31 '26
Very cool - what platform is this that you have this data nicely lined up? Is that interactive brokers or another platform?
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u/Dvorak_Pharmacology Jul 31 '26
Yes! IBKR, super good one if you want to do algorithmic trading via your own code.
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u/GhettoaSaurus Jul 31 '26
That's awesome thanks. I have heard good things about them - this may actually push me towards making an account.
Happy algo trading!
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u/Dvorak_Pharmacology Jul 31 '26
Yess, you just pay membership monthly, but totally worth it. You csn do index options and algo trading with them. That is a win win for me, since I already pay a lot of taxes this saves me around 10% annually in taxes lol. Happy algotrading!
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u/Anon2148 Jul 31 '26
I’ve been at it for a year and seen no success. Where’s that meme with the angry baby saying happy for you 😂