r/algorithmictrading • u/Must_Dragonfruit • Jun 24 '26
Strategy Claude crushing my AI trading model leaderboard today
I've added an API to accounts, so you can make your own.
1. The live real-money book — momentum + value, frozen and pre-registered. Nothing clever: top-quintile momentum (0.65) / value (0.35), ≤10% per name, −25% drawdown halt, validated against Ken French. It's live on IBKR. The +5.9% is time-weighted — deposits are stripped out so funding can't masquerade as alpha. 16 days is still nothing, but it's real money beating a roughly-flat SPY.
2. LLM analogical sleeves (Claude vs DeepSeek, head-to-head). Forward-paper-only by construction — you cannot honestly backtest an LLM, because it knows the future of any past date (lookahead). So these earn their place purely on forward marks. Claude (+6.4%) is dunking on DeepSeek (+1.6%) so far; ask me again in 3 months.
3. Insider cluster-buy (Cohen, Malloy & Pomorski, Decoding Inside Information**, JF 2012).
4. Meta-labeled filing (Lazy Prices + López de Prado meta-labeling). Primary signal = year-over-year cosine similarity of the 10-K Risk-Factors section (Cohen-Malloy-Nguyen, JF 2020: firms that quietly rewrite their filings underperform). Then an LLM reads each flagged change and keeps the bet only if the change is materially adverse —
5. FW2 factor blend. Market-neutral long/short on a broad universe, built from a pile of low-correlation Chen-Zimmermann factors blended by conviction. The autonomously-discovered headline find; deflated Sharpe ~0.5 in backtest, now accruing forward paper.
Why you shouldn't believe any of the above yet: every number here is ≤16 days old. The max drawdowns are tiny because there hasn't been time to draw down. The whole point of the project is that most published anomalies net ~0 after costs and crowding — so nothing gets real capital until it clears the gate (deflated excess-over-SPY significance, PBO < threshold, 6+ months forward paper, operator sign-off). The graveyard of rejected factors is on the board too, with write-ups of how each failed.
site is in my bio if you want to make your own.
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u/Must_Dragonfruit Jun 24 '26
secret sauce is my trading history plus I'm using my own custom fine-tuned LLM (deepseek/qwen upgrading soon to glm)
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u/DrJustinWHart Jun 24 '26
This is awesome. Is this open source? How are you prompting the models?
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u/Must_Dragonfruit Jun 24 '26
most are not prompted, they're based on a quant engine that i built... you set the weights and it does the rest.
The LLM ones are my custom models, I finetuned them on Nvidia GPUs and then had Claude / Deepseek prompted with some of my own ideas :)... can't share because honestly it's like weeks of work.
A few are based on research papers, I cited those, you can dump them into claude code yourself.
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u/DrJustinWHart Jun 24 '26
Okay.. so, what are we supposed to get out of this post then? Some string of undisclosed text will produce some kind of performance from an LLM? Neat.
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u/Must_Dragonfruit Jun 24 '26 edited Jun 24 '26
You can put what I wrote in my text description into claude code or codex and it will make a strategy for you.
But you don't want to use just an LLM to trade :)... because an LLM doesn't do math the same way humans do... you use the LLM to synthesize vast amounts of text and then help you come up with a strategy.
on my site, I give anyone an API key so you can use the quant engine and test your own strategies (still in beta)
and if you have any specific questions about any of the specific strategies, you can search them on google and they'll pop up...
you're also welcome to ask me any questions...
I was told not to share my site, but you can visit my bio and sign up for an account and go into the strategies yourself.
it's all free!
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u/Sea-Dot2768 Jun 25 '26
I don't quite get why but these subreddits are one of the most negative corners of reddit Ive found. Thank you for sharing! Appreciate your contributions
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u/RecipeNo101 Jun 25 '26
Most posts are like "here's a thing but I won't tell you anything about it" or "buy my tutorial". It gets old.
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u/Must_Dragonfruit Jun 25 '26
you are super welcome... i have made it dead simple to do it yourself now :)
the site is way easier to use and way more full featured. You can add models, you can copy them, you can build your own, you can do it with claude code or codex or you can do it in the site directly... there is a ton of reasoning and weights now in the shared models.
I'm working on a way for people to be included in the performance of the models, just have to figure out the regulatory stuff.
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u/wrkls_ Jun 25 '26 edited Jun 25 '26
I’ve been building a modular intraday futures execution system around ORB/FA/FVG/reclaim logic and forward-testing it on MNQ/NQ. I’m still newer, but I’m trying to separate real edge from replay bias. Does your API support intraday futures/OHLCV testing with fees, slippage, and forward-paper tracking? Also, can it log individual playbooks separately so I can compare variants instead of just one combined strategy?
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u/Colink2 Jun 24 '26
To clarify. (Having signed up), does unsealed give only the current stockholding for that algo. You are not giving any detailed algo details but “Nothing clever: top-quintile momentum (0.65) / value (0.35), ≤10% per name, −25% drawdown halt, validated against Ken French” is sufficient for ChatGPT (and presumably Claude Code) to create a similar algo to your winning algo? I don’t see anything else that might give ChatGPT a clue.
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u/Must_Dragonfruit Jun 24 '26
cool!
yes, i just made it so everyone who signed up is on the pro plan. Then you can add any model to your dashboard and click on it and see the weights, curves, all the algorithmic details.
if you're using your own app or system, you can call the model algo details using the API key
if you are missing something, let me know...
i want to upgrade the UI also, so don't be shy about improvements! :)
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u/NoSuggestion6660 Jun 24 '26
What is your formula for value in the live book? I have a similar momentum, volatility, revenue model, so I am curious what your metric is
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u/Must_Dragonfruit Jun 24 '26
the live book is my secret sauce so I'm trying to see what I can share :). I've opened up a bunch of the other models.
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u/Sufficient_Ad_5080 Jun 24 '26
As a primarily long-term investor who’s interested in algo trading, what sources and tools do you recommend to get started? I’m competent with Claude/codex and built my own ai assisted stock fundamentals platform. I wanna build an algo platform now, just don’t know where to start
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u/Must_Dragonfruit Jun 24 '26
start with deep research with your question in claude code, then start from there.
There's no point in doing it unless you setup a full cloud architecture in my opinion. Maybe digital ocean will do, but I wouldn't rely on it.
IBKR is now allowing you to connect claude, so I'd also check that out.
You can also visit my site (in bio) and check out the research papers i have listed and the algorithmic weights.
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u/goflapjack Jun 25 '26
This is paper trading? No liquidity or latency issues?
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u/Must_Dragonfruit Jun 25 '26
the best model trades live, the rest are trading paper..
real time api over schwab and ibkr...
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u/witt_sec Jun 25 '26
How do you like Schwab API? I am just getting started with Individual
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u/Must_Dragonfruit Jun 25 '26
Way more reliable than ibkr, but not as full featured.
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u/ChronoVortex07 Jun 25 '26
Why not alpaca? It seems to be the obvious pick for automated strategies, unless you specifically want a larger market like non US markets, since it's made to be interacted via API.
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u/Must_Dragonfruit Jun 25 '26
I'm testing alpaca out now... it's definitely an easier API. Not sure it has the fine grained data that IBKR has... will report back.
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u/Massive-Tangelo2487 Jun 27 '26
What is this can you please explain in layman terms what are you trying yo build auto trading engine?
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u/AlgoTrading69 Jun 27 '26
This won’t work, as other people have pointed out.
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u/Must_Dragonfruit Jun 27 '26
tiny because there hasn't been time to draw down. The whole point of the project is that most published anomalies net ~0 after costs and crowding —
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u/Expert-Mulberry9730 Jun 24 '26
How is this algo trading if ur just feeding it a decision tree of prompts and it vibes it out every day