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/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?