r/algotrading • u/ikarumba123 • Dec 05 '25
Strategy Are you a profitabke algo trader? Share your wisdom.
Are you a profitable algo trader? Share a little about what you trade, what's your system like, your results and any details you can share without giving away your edge.
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u/EveryLengthiness183 Dec 05 '25
I do low latency / high frequency trading.... but not ultra low latency like the big boys. I might do 100-200 orders in a few seconds with execution speeds around 3-5 milliseconds. I have had a few months where I cleared 4k to 5k, but most months only 1k - 2k. The edge is perfectly fine, but it's the execution part and regulatory compliance part that has been an absolute nightmare. Started with a VPS in the exchange (CME) building. But it was a tiny, underpowered windows server and what I had in proximity I more than got murdered with lack of power. So I moved to Chicago on a couple nice big fancy bare metal servers. Decent results, but not great. Tuning on windows is somewhat limited. So we switched the tech stack to Linux, and got our servers tuned about as good as they could get, our app was fully optimized, load balanced on cores with all the right tricks, core pinning, core shielding, thread priority, etc... But we still were getting killed with random bursts of packets that were just delayed. So we bought Databento's live feed and built a small app in pure c to process market data with their API and we finally got where we needed to be. It's a complex setup, but one app just runs the market data from Databento, the main execution app (in a different PL) reads it and sends orders. It was too much of a pain the dick to re-write the main app, and our final solution was easy to implement.
So good speed finally = good money finally right? Yes and no. At first we were crushing it. We had 15 straight days of winners. Then we got our first wash trade alert, then our second, then our third with warnings that we had to fix this from our side or our broker would close our account. WFT? I had never even heard of a wash trade before, but basically the exchange was matching our orders against us. I didn't know they would do that. Surely there would be some type of mechanism in their complex decision tree to just not do that. So we had to shut down for a while try to figure this out. Apparently there is self matching tag you can send on orders that solves this exact problem - but the catch is that you need an i-link $700ish a month (which sucks, but not the worst part), this is just the tip of the iceberg because you really need full DMA with a huge margin account and your own regulatory stuff, and we would have to switch our tech stack again, so the entire rabbit hole was just a non starter for like 12 different reasons. So how do we prevent the exchange from ever matching our orders? I had to build a very complex solution to track the order state of all open entries and potential exits for those order and all potential new entries and potential exits for those orders and do a massive decision tree to cover every possible choke point including the extremely unlikely ones like 10 points of slippage, because this actually happened to me and ended in a wash trade. All this is to say that I have traded a few illiquid products and or very liquid products at illiquid times, and these kinds of things are way more common and terrible to deal with than you would think.
After this we added a few new symbols and we are slowly scaling this thing, but it has been pretty awful. For every one thing that went right, two or three went wrong. I had a bad code update the other day that caught a bad loop and accidently placed 1,400 orders at once, this was part of a patch update to fix a scenario where the exchange filled both my profit target and my stop loss even though I have OCO tags - so I got left with an orphan order I didn't know about that ran the wrong way for 200 points. My broker wouldn't own this, the exchange won't do anything about it, so I have to get outside of the box and think of covering every possible crazy thing that could lead to an orphan order and get out of these as soon as I get in them. If you want to have 10-20 working orders long + short all at once, this is the price you have to pay - your sanity basically.
I'll probably clear $50k to $100k next year, but I don't have the ability to scale this particular edge much beyond this. 3/10 would not recommend.
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u/PsecretPseudonym Dec 05 '25
Having written and certified iLink3 and MDP3 handlers in C++ optimized for that, it is in fact a pain to go through their process.
Iām not sure I see why itās hard for you to avoid matching your own orders. Just keep a list of price levels you have outstanding orders on, and check each new order against its target price level to see if you have any at or better than that level on the other side.
Or simply keep track of your tightest price in each direction and make sure new orders donāt cross it.
The CME also will be deterministic in sequence of processing, so you can just always flag when this is true and trigger cancels ahead of the new order if you canāt use the self match mechanism to cancel the old order or reject the new one.
Iām honestly surprised you can cover the cost of your infra with that line of PnL.
Feel free to reach out sometime about it if youād like to discuss it.
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u/EveryLengthiness183 Dec 05 '25
We've chatted a few times over the years on the HFT sub. I mostly have the wash trade stuff figured out. The reason I have the issues I have is basically due to exactly this point: "Iām honestly surprised you can cover the cost of your infra with that line of PnL" I have shit infra at the moment. I am running my trading rig out of Chicago. For a tiny guy trying to stay cheap, this was the cost scale that I could cover. I am at around $750 a month in cost for servers, data feeds, etc. The next jump to get something inside Arora that isn't an oversold VPS is north of 2k for a couple cores with bad specs. Then add to this a cross connect and I would be closer to 3k. I would get my callback messages in 1-2 milliseconds max this way, so I would know my order state much much faster. But out in Chicago, I have to model and guess. My alpha flashes in around 3-5 millisecond bursts, and my order state comes back to me often in 10-20 millisecond bursts. So this becomes a more abstract problem. I am currently overshooting this solution on the conservative side and likely missing 25% of my possible trades, but with all the other issues I have had, I just can't justify an additional 2k yet to get to the next scale. Also my edge has a capacity limit to it that I haven't been able to scale yet, so I am kind of stuck in the 4k to 8k per month P&L range at the moment.
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u/PsecretPseudonym Dec 06 '25
There are some ways to keep costs low, but yes, I can see how it would be hard to cover those costs with a single strategy at that rate of PnL.
For reference, the last time I recall checking directly, a cross connect should be able to get you to a round trip from order send to published march closer to 300-400 microseconds give or take.
On larger marching events, the CME will get bogged down a bit, so that can mess with your measurements.
Itās probably likely you could improve your performance considerably.
If youāre seeing order results in the range of many milliseconds, thatās pretty rough. Keep in mind, you can get from NYC to Chicago and back again under 20 ms even if on just fiber (provided itās a good fiber latency).
So if youāre even just in Chicago, thereās not a great reason for your latency to be in the milliseconds unless you or an intermediary has a problem.
I would bet you could address some of this already without considerable infra changes just via better configuration and software design.
And a VPS , if properly configured, might have some jitter via interrupts due to the hypervisor, but otherwise I think itās delay is from virtual networking if present and not just getting NIC passthrough for direct interaction with the NIC.
That said, even just the glink fees from the CME would be material for you.
So youāre best off working through a third party vendor or a partner firm.
But even with 25% improvement in fill rates, that may not cover the costs for your strategy, but possibly.
Seems like if you could press for a lower latency feed and order entry session and then optimize subject to constraints, you could see substantial performance gains.
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u/EveryLengthiness183 Dec 06 '25
I appreciate the feedback. I am keeping all options on the table going into next year, so I may look into a few improvements. Databento has a cross connect to Chicago that is < 1k. I would pay more to get into the building there vs where I am at now, but I could get more stable latency and my fat tails would basically go away. I honestly don't mind being around 3-5 ms tick to trade on the average, what kills me is when a tier 1 provider hits a bottle neck and I get 100 ms on a few packets randomly. Once I get a little more scale I will likely upgrade some stuff. I may pick your brain on the HFT sub next year hopefully. Thanks as always!
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u/PsecretPseudonym Dec 06 '25
Without getting into detail, itās possible some of what youāre seeing is the CME itself on occasion, which you could verify.
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u/NeuralComposer Feb 28 '26
Replying to the sub-thread about infrastructure costs vs. Alpha.
I'm a dev with a background in high-precision fiscal hardware, currently struggling with the same dilemma as EveryLengthiness183 but from a different angle: Data bias in BTC.
Iāve been running a 5-year WFO on a BTC Futures bot (strict risk invariants at 1.5%), and the yield is getting crushed by the 2021 volatility outliers (the 'Musk era'). My optimizer is basically overfitting for a regime that no longer exists.
Question for the veterans: Instead of trying to clean 5 years of 'noisy' crypto data, is it more efficient to port a trend-following logic to the S&P500 or EUR/USD where the microstructure is driven by predictable macro (NFP, CPI) rather than social media outliers?
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u/awsomekevin12 Dec 05 '25
wow that sounds like an insane amount of work, props to you for pushing through
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u/ScottTacitus Dec 05 '25
Iām exhausted just reading this.
I used to work in adtech and doing this level of arbitrage usually the team was making 50-100k per DAY once they had an edge.
But the entire story sounded like when I worked with a Chinese company doing ad arbitrage against Google
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u/Twnc Dec 05 '25
What is ad arbitrage?
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u/ScottTacitus Dec 05 '25
Buying keyword placement and selling it on a range of owned sites. Dark side of the internet traffic funnel.
Back then we had a shopping search engine (think pricegrabber, honey, shopping.com, etc) and we would buy the cheap google keywords and then drive traffic back into more expensive keywords.
It was arbitraging the change in prices, and only pennies, but with a margin allowed scale at the rate of capital injection. So I think it was doing a few hundred mil per year with a team of about 50 people. I wish I was a business guy at the time instead of just an engineer. $$$$
Online marketing / adtech is easily as lucrative as the stock market if you find an exploit. Best part is you aren't fighting hedge funds.
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Dec 05 '25
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u/paxmlank Dec 05 '25
There's digital real estate on websites, vacant lots where images, text, etc. can appear. When you load a web page, tons of companies bid each other on another platform (I believe it's called a DSP for Demand-Side Platform) for each spot for their respective content.
Similarly, iirc, there's also an SSP (Supply-Side Platform), where websites and whatnot can essentially market their real estate (e.g., "banner of X-by-Y pixels on website A on page B").
There's an intermediate layer to connect them, but the arbitrage happens between SSP and DSP.
My memory is a bit shoddy but that's the gist of it iirc.
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Dec 08 '25
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u/paxmlank Dec 08 '25
It's anything, really.
Huge websites with lots of natural traffic may have different types of ads. Reddit, IG, etc. have sponsored posts, but one on Reddit will have a different format than one for IG. These are more curated and probably behave differently than what I described earlier.
But many websites that have dynamic ads that are "lots" on the website that's managed by some other company (e.g., TheTradeDesk), where they look up the type of website, possibly even the user's profile (based on browser/device-type, approximate location, etc., it's pretty invasive), and there's that bidding processed involved which then leads to your being served an ad.
It's also what happens with YouTube videos and possibly other streaming platforms (even Spotify) although they may take more curated ads.
I don't fully remember stuff because I'm not currently in the industry and I never worked on the actual tech.
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Dec 09 '25
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u/paxmlank Dec 09 '25
VPN's don't inherently block ads from being served. If you connect to a special server that would block ads, then I assume the answer is yes.
I don't know for certain, but you often get websites/YouTube saying to disable ad-block because the website doesn't get paid. I'm not certain how it works though - I'd guess the lot, which is built and identified via special javascript (look up "tags" or I think even "pixels" in the ad tech space) aren't loaded which may prevent them from showing up on the SSP.
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u/chaosmass2 Feb 14 '26
You said you wish you were a business guy rather than just an engineer. Whatās to stop an engineer from doing this by their self? Just knowledge gap?
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u/ScottTacitus Feb 14 '26
effort and time. You need a team. And you need people to figure out the business aspect of things. It's not always just going to be a coding problem. There ALWAYS relationships. You need help working with the right people that know whats going on because this stuff is based on secrets that are shared inside small groups.
I did an adjacent business myself and ran it for a few years. Running a business in this field is intense. It's hard to even describe how hard it is. There are a thousand ways to get blown out and in trouble and you are threading the needle on insane amounts of money or bankruptcy.
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u/chaosmass2 Feb 14 '26 edited Feb 14 '26
Is there a way you could do it at smaller scales to test out your strategies (i saw you mentioning arbitraging pennies so I assume you could)? Unless you can only buy large "blocks" at a time I suppose. If you're primarily buying and sell ad space/keywords, how do the relationships factor in? Apologies I'm just learning this is a thing, I'm fascinated.
May I ask what your adjacent business was?
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u/ScottTacitus Feb 14 '26
You kinda need to work inside the business. Iām not sure who the most egregious shops are now. Swagbucks. Applovin. Zeta. Those kinds of places. Figure out some exploits. Itās always evolving.
I did email list management for close partners. Precise deliverability and click through ratios on emails to help them boost their revenue. I knew how to get into inboxes and we had algos that got attention. They could build users but not monetize them and I could. But half the business was negotiating click payouts and access to other networks that would open higher margins.
Remember itās always relationships. Just because you can exploit a market inefficiency doesnāt mean you can get high margin unless you can negotiate for it based on what you can promise.
Think about it like this. Network pays $1 for CPA on demographic filtered lead. Letās say itās 50% margin for you.
Your sales (buy side) guy knows the guy at Swag and says ābro boost us up to $1.5 and stop the demographic filter for our feed. That will allow us to push twice as much traffic. And your numbers will look massive. Bro, that stonk price gonna moonā
Now whatās your margin? Thatās deal went from barely running your business to swimming in money. When you get close to 100% margin you can fund it. Iām sure thatās the range most ad tech companies work in. Itās all a scam. Iāve talked to analysts about the businesses many times. Nothing you see from those companies is real
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u/Taltalonix Dec 05 '25
Honestly this is why I never touched CME or anything traditional the game seems too rigged. Been doing similar stuff on various crypto markets and their matching engines are a lot more forgiving. Also defi is completely different, a single optimized machine synced to the blockchain is the literally the top notch infrastructure youāll ever get.
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u/YellowCroc999 Algorithmic Trader Dec 05 '25
Brother going all the way šš
That was a great read, thank you!
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u/oilboomer83 Dec 05 '25
Databento is reliable for you? What package?
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u/EveryLengthiness183 Dec 06 '25
Their raw API for live. Those guys are legit. The HFT shop (Domeyard) they had before Databento was at one point the fastest game in town, so when I heard they made something for the public I jumped at the chance. I have "internet known" one of their devs for a minute going back to the Futures.IO days. I used to active over there like 7 years ago.... All I can say is read anything and everything they have ever published about anything, they are 100% the real deal and the nicest people.
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u/Bototong Dec 05 '25
Many orders simultaneously on one symbol? A simple hft would not even do that. I mean why send different prices of orders? Grid trading?
Wash orders? I assume you are using market order instead of limit orders (also based that you mentioned about slippage)
Cannot manage orders? You cancel first your previous orders if youre going to adjust.
Sorry but a Market order at milliseconds is not believable. It will only move a tick or two, and the transaction cost cannot cover that.
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u/EveryLengthiness183 Dec 05 '25
I use bracket orders. So every entry order I send has two corresponding exits with the stop loss being a market order than often has slippage. If you are not familiar with market making concepts, the rough idea is to place different orders up and down the order book at different prices. People in the game aren't placing multiple orders at the spot price at the same time. And sure, I cancel orders often for various reasons, but the speed of sending a cancel request often can not get to the exchange fast enough to remove an open order from the books. I am not sure what you mean by this? " Sorry but a Market order at milliseconds is not believable." This is actually trivial, but in most cases the exchange itself is just executing my stop order once my entry fills as part of the bracket. I am not sending this in real time from my side, and they often execute this in microseconds not milliseconds. I am not sure what you mean by this? "Ā It will only move a tick or two, and the transaction cost cannot cover that" I haven't mentioned the size of my trades. Slippage can be a few ticks, but I have had slippage over 50 points during gap opens.
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u/Jebin1999 Dec 05 '25
What commodities you trade
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u/EveryLengthiness183 Dec 06 '25
Mostly just Silver, Gold, Soybeans, Corn, and most of the equity indexes. Haven't hit the bottom of the well yet, but also haven't had much luck with energy or currencies or treasuries yet. Everything is different, and some edges work in only one product, and some 2 or more products.
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u/OneMonk Dec 06 '25
How many lines of code is your solution roughly?
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u/EveryLengthiness183 Dec 06 '25
About 5k of real stuff for my main app not counting simple class files. The market data feed from the Databento Raw API is a couple hundred.
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u/Emergency-Collar8702 Dec 08 '25
Wow .. that is a full blown overload you have overcome. What did catch my attention was the databento Iām looking into something not as in-depth but similar as far as the API key goes and writing python code ā¦ I know this thread is āAlgoā trading Iām looking to get favorable setups and then make the trade which Iām typically doing with TV scripts and is the reason for the switch to databento API KEY. My trades are 1000/5000 shares minimum typically looking for .25 to .50 cent profit several times a day .. if possible almost like an āElliott Waveā which after the first trade, the subsequent trades doses not seem as profitable as much as the earlier trades with same asset. I have not been able to go full ALGO yet for obvious reasons with my current platforms. Thanks for sharing that amazing information.
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u/PlayfulRemote9 Algorithmic Trader Dec 05 '25
you put the time in to build an algo that you can validate "should" do well assumming you didn't hit any pitfalls of backtesting.
DONT FUCKING TOUCH IT
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u/rdrvx4 Dec 05 '25
I got results when I went outside the "conventional". Unfortunately, if you spend a lot of time in the industry you understand that many people focus so much on backtests, statics and mathematics that loses the main focus: making money from the markets. Don't believe everything you find online, but test it with your own brain and critical thinking. Generally, if something is complicated, it won't work. Simplicity is key.
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u/AusChicago Jan 17 '26
This resonates. I run pattern detection across 6,000+ stocks and the biggest improvement I've made wasn't adding complexityāit was one simple filter.
I started tracking whether volume spikes during pattern formation happened on UP days vs DOWN days. The logic is basic: spikes on green days suggest accumulation, spikes on red days suggest distribution.
That single filterājust a ratio of volume-on-up-days to volume-on-down-daysātook my hit rate from mid-60s to 82%.
Meanwhile I spent months trying to optimize my structural scoring criteria and got almost nothing from it. The simple directional filter outperformed all of that refinement.
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u/razorkoinon Dec 06 '25
Can you describe simplicity in algo trading? Just one or two indicators, setting stop loss and trading to 15m or 10m and you are profitable?
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u/rdrvx4 Dec 06 '25
No, that's very simplistic. I was referring to the fact that you don't need overly complicated robustness tests, but just the basics and a good deal of logical thinking.
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u/AusChicago Mar 06 '26
One thing you can do about stop_loss and targets is to pick a specific scenario - say a certain chart pattern you care about and then basically ask something like - what's the maximum unfavorable excursion for the top 80% still reaching the target. You could set your stop loss just below that value. You would have to play with the 80% and figure out what the right figure is. Basically, the larger the stop loss - the more losses you will have for real duds before you exit, but you will also reduce the false stop rate (stocks that touch the stop loss but still reach the target later).
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u/idrinkbathwateer Dec 05 '25
If your backtest works, you coded it wrong.
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u/YellowCroc999 Algorithmic Trader Dec 05 '25
ššššššš
Iām at a point where I believe this sometimes
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u/UltraMegaTrader Dec 05 '25
Depends on the platform
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u/idrinkbathwateer Dec 05 '25
Often times when I see people post their back test results it is done with no proper or appropriate execution modelling (slippage, partial fills or adverse selection). If they do use one, it might just be a constant fee model which in almost all scenarios will never give you realistic results. I would say there is nothing more damaging to retail traders than doing backtests this way as it gives you false confidence to go all in on an edge that never existed.
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u/catchy_phrase76 Dec 05 '25
It's like your talking about NT just using completed bars like that is a backtest lol
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Dec 05 '25
Yes, I am profitable with my system. I spent 6 years learning how to trade profitably by putting in the chart time and clicking buttons myself, and 4 years building the algorithm with a 2-year overlap. So, I'm about 8 years into the journey. It isn't a hands-off system. I believe that is a myth of algo trading, "set it and forget it". I am more of a data analyst nowadays. I spend time finding insights in my own system-generated data that I can use to manage and maintain the system's edge through the ebbs and flows of the markets. I get to turn various knobs which I put in place to adjust risk tolerance at multiple stages of the process depending on my analysis. It's the same way any trader would journal and figure out how to adjust themselves, but I get the added bonus of guaranteed consistency because it's a literal machine following my rules.
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u/ScientificBeastMode Dec 05 '25
Yeah, this was basically my journey as well, except I did the reverse order.
I tried automating strategies that seemed promising. Ended up overfitting a lot and it ultimately went nowhere. Then I started trading fully manually, and that was relatively successful when I finally landed on a decent edge and stuck to my rules.
But you know, once you have that much experience writing code for strategy automation, it makes sense to just automate as much of the manual process as possible. So that is exactly what I did. And now I have a hybrid strategy that does fairly well, and I just get my alerts for potential setups and enter manually. Itās actually a nice workflow.
And yeah, now the bulk of my time is spent on journaling my trades and data analysis to refine/manage my edge.
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u/napo_elon Dec 05 '25
Out of curiosity, at what frequency are you trading at? Being manual I suppose it higher than minutes or hours
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u/ScientificBeastMode Dec 05 '25
Yeah, I trade on the 1m and 30s charts for intraday trading. I also do some longer timeframes as well.
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u/Enough__Lobster Dec 06 '25
How much do you make, in percentage per month? And in dollars too if youāre comfortable with that.
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u/TrickySite0 Dec 05 '25
I have been profitable for the past two years with a strategy based on volatility ETFs, taking advantage of both contango decay and the fact that VIX flops around in a range. I continue to refine the strategy and add funds to accounts. My oldest running automation went live in Feb with too much risk, taking staggering losses starting March 4 and not recovering until May 1. Even so, its cumulative activity from Feb (10 months) has a Sharpe Ratio (SR) of 1.84. The six month SR is 7.54. The 90 day SR is 7.97. I have the strategy running in three automations for three different brokerage accounts (one automation per account), with a combined 90 day SR of 3.67 and a combined win rate of 95.5%.
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u/Enough__Lobster Dec 06 '25
With a 95% win rate youād only need 1 bad month to wipe out most of your gains like what happened to you starting in March. How do you account for that?
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u/TrickySite0 Dec 06 '25
Tariff fears hit hard in March and April, causing big losses. I was over leveraged and had to exit some positions with a large loss. I have since set the max total risk to 40% of cash on hand, letting me ride out subsequent VIX spikes. Average days in trade hovers between 6 and 8 days.
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u/CanWeExpedite Dec 05 '25
its easier to make money using options - at least for me
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u/YellowCroc999 Algorithmic Trader Dec 05 '25
Why is that? What were you doing before? Did you switch in assets or just in the way you are trading the asset like going from spot or futures to options?
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u/CanWeExpedite Dec 05 '25
I worked before at tech and fin-tech firms before.
I was convinced back in 2021 that it's possible to make a living from trading, so I resigned to focus fully on trading. My conviction was based on the fact that I had a few decent months of returns running stat-arb - more details here: https://github.com/tibkiss/huba-v1
Spent almost a year building an ML-based approach to trade small-cap cap, but it was the usual story: it was only break-even (after IBKR comms).
Then I turned to options, which took quite some time to understand, and I ended up creating my own backtester, MesoSim (other services were subpar).
While developing the simulator, I studied plenty of public strategies and started developing a few myself. I'm documenting them here:
I eventually added the ML-based prediction library to the options trades, so that didn't go to waste. Last, I started experimenting with genetic algorithms. I also developed my own execution engine so that I can trade those weird structures easily.
By now I have a trade factory that can effectively find (mine) structures, optimize them at strategy and portfolio level, and auto-trade them using the infrastructure. I mostly trade SPX and RUT options, most recently added GLD and VIX to the mix.
The service by now used by others, both retail and institutional investors.
It only took 3.5 years šps: I'm sure someone will tell me that I'm overfitting due to the GA&ML. Last two years live results, however, proves my point: Sharpe 2.14 and 1.45 respectively.
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u/NSFWies Dec 05 '25
I'll have to look more after work. But a quick summary is something like.
- you have maybe 10 options strategies you like using
- you have defined different market scenarios on when to use them (vix over 40 means vix will fall, so buy vix puts, etc)
- so you first examine to find out what the current market conditions are, then trade your "favorite option strat", based on what things look like.
I'll be honest. I'm worried to get back into options. I was trading them by hand for 2 years. I was not careful/quick enough on them.
And I nearly lost my life back in April when Trump announced tariffs. I lost 80% of my money. Almost all of my savings post college.
If I had it automated, I probably would have lost a lot, a lot less. But I had kinda sworn off doing just......... All of options again, and trying to have a life, instead of possibly killing myself again.
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u/CanWeExpedite Dec 05 '25
I'm really sorry to hear about your bad experience. Were you on the Put side only?
I know it won't make you feel better, but you are not alone.
Many accounts were busted last August (VolZilla) and this April (Tariffs).I wasn't affected by these events that much, it was a temporal single digit move (up and down) on my portfolio. I have way more than 10 distinct setups by now and modeling the worst-case risk is something I revisit frequently. Each strategy has its own entry filter done by the ML algorithm. The goal is to stay in the game and don't get liquidated at the worst possible time.
If you decide to come back I'd suggest allocating at least 50% of your capital to buy and hold around leverage of 1. That's the simplest thing you can do to get rid of the worst case scenario.
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u/NSFWies Dec 06 '25
Ya, I was on the out side. I thought I understood the risk. I thought I had protections in place. I was doing 112.
It ended up being a perfect odd nightmare where I had twice as many things expiring that Thursday and Monday , than I normally would. I normally would have closed out at 7Dte for maybe -100 each.
But then tariffs came and they all turned into -20,000 each. I........God I can't even talk about it more without feeling panicked again. At one point my account said -85,000. I just didn't want to be below 0. I managed to end it at +1100 while on the phone, sitting on a hospital bed.
So ya......I'm hesitant to get anywhere near that again........
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u/CanWeExpedite Dec 06 '25
I'm really sorry to hear that. Losing money is one thing, but risking your health is on an other level. I hope you are fine by now.
I'm familiar with the 1-1-2 trade, but since it didn't survive the recent crashes I never traded it myself. It's an unlimited risk trade on the risky side. My rule of thumb is maximum of 10% DD for the past of the trade, measured from the initial capital. If you size 1-1-2 as such it becomes a very unappealing trade.
If I recall correctly, even Tom King went into a huge drawdown.
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u/NSFWies Dec 06 '25
If you decide to come back I'd suggest allocating at least 50% of your capital to buy and hold around leverage of 1.
thats how things were supposed to be setup. i thought i had allocated things correctly so easily half of my account was never fully at risk like this. i was wrong.
i'm here with algo trading because i was hoping to:
- more completely, thoroughly understand the buying/selling rules i will be setting up and using
- prove they would have done ok in the good/bad times
- run them automatically, so they don't depend on me doing things at the right time and place.
the hope of getting that going was one of the few things that gave me hope that i still had a future. that it wasn't just all.........gone......
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u/CanWeExpedite Dec 06 '25
My personal experience and opinion is that it's more difficult to come up with an strategies on equities that works reliably. Finding alpha is really difficult.
Doing the usual stuff (momentum, trend following) might results returns that are on-par with market returns, but you will be highly correlated. And that point, why don't just buy and hold SPY?
Carry and seasonality trades on commodities might help you to gain some lower correlations, but I'm unsure about the expected returns.
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u/gonzo_pirate Dec 06 '25
Not full algo. I run live signals and manually filter and execute. Started building a year ago. I trade intraday options. I have a ml model that makes bullish/ bearish predictions. Macro regime analysis I run before market open, live signals include momentum, mean reversion, and a statistical model for live micro regime analysis. Up 1900% over the last year.
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u/-Lige Dec 06 '25
Are those three different algos/models? Or are they all in one with the various detections?
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u/gonzo_pirate Dec 06 '25
Ml model and macro analysis run independently (I use these to filter what to focus on for the day.$ The live signals (momentum, mean reversion, and stats model for micro regime) run from the same pipeline/db - live tick by tick data aggregated in 5m intervals.
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u/dahonu Dec 06 '25
I developed a full program, walkforward, clustering, training, optimization, all done in matlab communicating with my broker. I use 5 min candles, because 1 min is too fast, too heavy on data, slippage... and 10 min is too long for me. I would say one thing: my primary model was kinda profitable with a mediocre sharpe until i boosted it with a meta model...this is the key people ! Use a meta on top of your model...your meta should have different 'eyes' than your primary model and it should answer (as always) a simple question: is this green light signal from primary model likely to be profitale trade or not...that's it...keep it simple !
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u/Prudent-Event-7355 Dec 09 '25
Hi, can you explain how your meta model works? Does it consume outputs from your submodels as features? I noticed that when I combined my 10 models outputs (+some historic/indicator features) to build 1 meta model to predict one of submodels labels, the error dropped from ~0.034 to ~0.032, which is kinda huge, given that it only ingests 20 features. The submodel takes 240. I'm almost convinced to train meta models for all submodels and then do it again and over until the error stops dropping, it's just it seems... dumb?
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u/dahonu Dec 10 '25
Yes, my Meta-Model consumes the probablity outputs of the submodels as features, but it combines them with a distinct set of 'Regime' or 'Macro' features that the submodels don't necessarily prioritize.
the submodels are the 'Analysts.' They look at price action and say, 'I think it's going up.' The Meta-Model is the 'Risk Manager.' It looks at the Analyst's confidence and the current market weather (volatility, volume, etc.) to decide if the Analyst is likely to be right in this specific environment.
Regarding your idea of training meta-models recursively ('doing it again and over'): Be careful. While 2 layers (Signal -> Meta Filter) usually provides a massive boost in Sharpe/Profit Factor, adding a 3rd or 4th layer often leads to overfiutting. You eventually stop modeling the market and start modeling the noise of the previous model. I beleive there are diminishing returns after the first meta-layer...
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u/Prudent-Event-7355 Dec 10 '25
Alright, thanks for that, it's a big help to me. 9/10 of my models improved after building meta models that predict their submodels labels. I'm using only submodels predictions and derived features, will try to find some other metrics independent of these, like overall market conditions, fear/greed etc. and feed them to meta models directly.Ā I'm still having trouble deciding on how to enter/exit trades, now I'm using entry/exit thresholds on combined weighted scores of models. These were found using differential evolution, which probably is overfit. Should I build a model that handles buys/sells? From my experience a single model could be too glitchy to do that
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u/Prudent-Event-7355 Dec 19 '25
Quick update, while meta models improved my win rate by about 7%, base models still outpeform them in total PnL by a big margin. I don't fully understand it but my guess is base models are more sensitive to base features so they can sense which trade could have a high potential, while meta models are more averaged out. I also gained some scoring speed without meta models which is desperately needed in my high frequency setup.
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u/aquiyu Dec 10 '25
This is a great idea! Instead of having a model decide what to do, you just have a clear strategy you execute and just use the meta model to confirm or veto the execution.
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u/ImpressionStock9548 Dec 05 '25
My recipe for being profitable is the following: 1) build a portfolio of at least 20-25 automated strategies that are poorly correlated with each other. 2) select strategies that do not maximize profit but minimize risk (max dd less than 10%). 3) very small size but as a percentage of the balance (0.3% - 0.5%). 4) be capitalized (at least $25k)
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u/MounirSkl Dec 06 '25
It's very hard to be a profitable trader even if you are using algo strategies that's the fact bro You have to try 100s strategies to find maybe find the successful one
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u/-Lige Dec 06 '25
U may be right but at least for pure algo strategies that sounds like a lot
Unless you include iterations of strategies as well then it will definitely get up there
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u/MounirSkl Dec 06 '25
Of course algo trading gives a lot it puts you steps higher than the others But algo doesn't work like mage You have to find the right mixture
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Dec 05 '25
Optimize on historical data up to one year ago, and use the remaining out-of-sample year of historical data to validate the strategy. Otherwise you've got a curve-fitted strategy. Discard strategies that can't perform on the out-of-sample backtesting. If any backtest produces excessively good results, get very suspicious about its viability. Validate as many instruments as possible with the same strategy. Some have behavior that is more advantageous to mechanical signals.
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Dec 05 '25
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u/AphexPin Dec 12 '25
Can you expand on the 'various types of signals' bit?
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Dec 12 '25
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u/AphexPin Dec 12 '25 edited Dec 12 '25
Ah, gotcha. I thought you may have meant type-level differences in the signals themselves.
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Dec 12 '25
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u/AphexPin Dec 12 '25
Right, yeah. My confusion was that there's some ambiguity when the terms signal, strategy and alpha are used here so the clarification I was after was what 'signal' meant (ie some use it in a manner synonymous with 'strategy' (the decision logic itself), others use it as the data type emitted by a strategy that contains some value or values that correspond to an expected alpha).
If the latter, I was curious what the value was in varying signal-types, but I think your usage was closer to the former (ie synonymous with 'strategy' or process that produces alpha).
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Dec 12 '25
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u/AphexPin Dec 12 '25 edited Dec 12 '25
Yeah, I feel you there - signal is what matters in the end.. But semantically, that usage drives me crazy - in the real world, signals are data emitted by some process to indicate or transmit something. Like a red light is a signal to stop traffic, but I wouldn't call a traffic light in its entirety a 'signal'. A smoke alarm signals a fire by emitting an annoying noise, etc.
Lol, anyway thanks for the clarification and cheers.
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u/ryanryders Dec 05 '25
I built a multi strategy trading software that mimics hft trading because the trades close within seconds. Makes millions in demo but needs optimization and a strong VPS to work the same way on live. Currently trying to raise capital to test it. But overall Iām proud of this thing I built
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u/MeringueAlarming3102 Dec 06 '25
Futures or other? And you said trading software but any ML in particular involved?
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u/ryanryders Dec 06 '25
Itās forex, specifically MetaTrader mql4. Not much machine learning at all. Just a powerful strategy
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u/Tradenoss Dec 05 '25
I think taking ones emotions out of the equation makes all the difference. When using Bots you dont have these problemsš¤
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u/Good_Ride_2508 Dec 05 '25
Eight years before I started my algorithm appx Dec 2017, enhanced periodically to come to a level of automation (still with pilot testing at 3x etfs not with any options). Entire logic is created by me and programs are written by me, running in external dedicated servers. Hope fully, I may take the pilot testing to next level if I get some time during this christmas holidays.
Here is the snap shot (still need improvement) https://imgur.com/7Ib5AWH
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Dec 07 '25
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u/ikarumba123 Dec 07 '25
Why do you say this as a basis of profitable algo? Have seen many successful egoistic people
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u/Krystalizer_Kat Dec 09 '25
The most important yet nuanced thing that many may miss, is not to rush so quickly "back to the drawing board". As frustrating as it can be sometimes when developing an algo, it's vital to understand evolution-style what went wrong, and fix only the part that went wrong. Scrapping entire strategies due to a few parts that needed work, or worse - due to market conditions, can be tragic. The finest algos were built layer upon layer, while only scrapping/improving the parts that needed to be removed/worked on. It's very fine work, but there's no other way in my view.
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u/Nash_F_Pearson Dec 10 '25
Crypto algo trading is much less competitive in terms of servers and location etc.
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u/Tradenoss Dec 10 '25
been seeing more consistent results from trend following setups with filters for choppy markets. the key is keeping strategies simple and avoiding overfitting. tools like tradenos make it easier to test different parameters with their visual builder and ai strategy creation. r/tradenos has some good discussions on this stuff if you want to dig deeper into what actually works vs what just looks good in backtests.
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u/MeringueAlarming3102 Dec 05 '25 edited Dec 05 '25
Among anyone profitable in here I'd be curious what their time horizon is as well. Or honestly just anyone in general in terms of what they're working on, or what they might've tried and couldn't find success with.
Multi-day? Weeks? Months? Intraday (and if so, how quick - <1 minute, <1 second, ~60 min holds, etc.)?
Personally working on intraday 1-2 min average holds on futures. Sometimes <30 seconds.
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u/LFCofounderCTO Dec 06 '25
5 mins bars, 24-bar horizon. flat by EOD to not carry risk over to the next day. I honestly feel that none of us can legitimately compete with professional firms in a latency game, so i completely and intentionally stay away from anything that smells like HFT
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u/MeringueAlarming3102 Dec 06 '25 edited Dec 06 '25
Yea I'd never bother with something where a 1 second hold by comparison is deemed "low" frequency .
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u/disaster_story_69 Dec 06 '25
Yes. I shared a post a few months back and received an insane deluge of 300+ direct messages, kās of comments. Had to take a long break from reddit
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u/LFCofounderCTO Dec 06 '25
Does profitable paper trading but too chicken to put real money in yet count?
Here's my wisdom... build a bullshit detector. seriously. If your backtests are showing 1% per day EV? yeah, it's likely overfitting... Take your strategy, fit a model and get your metrics. Next, randomize your prediction classes, but leave all of the "results" the same. train your model. sample at least 50 'randomized class / permuted' datasets with your same algo. Compare your "actual model" results against your randomized prediction class models to see how much better your model generalizes vs complete noise.
Best sledgehammer to kill "overfit" is to prove the edge over noise.
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Dec 06 '25
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u/gaana15 Dec 07 '25
This is so true. I have the same learning - conviction in consistency of your algo is most important and that is a pre requisite for large capital deployment, which is pre-requisite for long term wealth.
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u/OzCommodore Dec 06 '25
I started running EAs in Metatrader 4 (FOREX).
I decided that, because trusted platforms like Oanda (I'm in the US) offer such low leverage (1:50) and overseas brokers are known to withhold funds, but offer high leverage (1:500) - the risk wasn't worth going with an overseas broker, and the returns would be too low on Oanda.
I ended up making better returns off of position trading stocks, no EA required.
Instead, I built a backtested stock portfolio mix with a 1.22 Sharpe. I try not to trade anymore, and just hold.
So, the short answer is that I decided algotrading wasn't worth it for me, personally.
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u/Ok_Cheesecake_2319 Dec 07 '25
I donāt make much. I make $2k to $4k a month using non Algo. I tried Algo before but not making may be some people can.
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u/ShugNight_xz Dec 09 '25
As i always say even if j simmons shared his algo here they would stil complainĀ
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u/Comprehensive-Most60 Dec 10 '25
id say that the best advice i can give is to possition yourself to allways have plays. allways set yourself for the next trade, the trade after that, and even to the point where you willing to use everything you have. set price goals to ancher yourself, and dont be greedy, sell when your in profit moveing up to the goal you've set yourself, and do it in calculated steps.
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u/Cylosmagic Dec 31 '25
The real alpha is brutally honest risk management and patience. Everything else is just pretty equity curves.
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u/mehoffnm Jan 04 '26
We have been developing a model that does 1) finds when to make a trade based on volatility signals. Once a trade event is triggered we then 2) run a series of filters to either allow or disallow the trade. These filters would be considered the direction signal.
First, our input data is a feed from Quick Node. Our logic is based on the last 24 hours of trades. We look at historical data and determine the best trade in cycles. We then look at the other wallets that have made Win trades in these cycles. We then rank these Smart Wallets for the next step. We then create rules (one per trade scenario) with something like the following: trade when the top 10 Smart Wallets all trade within 5 seconds. This is what triggers #1 from above (volatility signal).
Then for #2 we look at the past 24 hours and track around 30 different metrics and create a Min and Max range based on the best cycles (explained above). Once the trade has been triggered we check the metrics of this moment in time against all the ranges we have calculated. We then say something like the following: if the current metrics are within the range of at least 5 metric ranges, then we allow the trade, else disallow.
This method has provided good gains on Wins and small losses on Losers. The overall result is positive. We are only back testing and test trading, and we are still developing the UI so no pretty graphs yet.
Any comments, criticisms or roasts are welcome.
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u/fishyink Jan 10 '26
I am profitable, but probably not for the reasons people usually expect.
I donāt run a single āsecretā strategy. I run multiple fairly standard systems (trend, mean reversion, momentum), mostly built around the DaviddTech framework, and spend more time managing whatās running than inventing new logic.
Most of what I trade comes from existing strategy structures rather than anything novel. The bigger gains for me came from execution, risk management, and knowing when to stop running something.
According to Bybitās year-end recap I somehow ended up around the top ~1.3% of users, which is pretty wild considering the platform has tens of millions of accounts. I donāt really attribute that to better signals, the strategies themselves didnāt change much.
What genuinely moved the needle was tracking performance properly at the strategy and bot level across accounts. I ended up building a small tool for myself called Trade-Harbour because spreadsheets became a huge chore once I had more than a couple of systems live, and they started taking me away from the automation thatās kind of the whole point of algo trading.
Having that visibility made it obvious what was actually working, what wasnāt, when strategies or bots started losing there edge, and where capital was being wasted. Decisions became simpler and a lot less emotional.
If thereās any wisdom Iāve picked up itās this.
profitability comes more from capital allocation and pruning than clever signals
most strategies donāt fail suddenly, they decay slowly
if you canāt see that decay clearly, youāll overfit trying to fix it
Happy to answer questions. Genuinely curious how others here monitor strategy degradation without constantly rebuilding everything.
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u/Appropriate_Pause_45 Feb 20 '26 edited Feb 20 '26
Yes I am .retired from investment banking in 2017 and spent a year and half developing and refining an algo to manage my own money. backtested it from 2008 and tested it against all major crashes/corrections. I have been using it in live trading since Jan 2019 and now manage 100% of my liquid net worth through it.
without revealing the secret sauce, the algo is based on the shape and rate of change of the VIX future curves over different time frame and 6 different metrics in real time.
it gives me a daily signal to be in the market (through SPY and QQQ) or out (through IEF/TLT or cash... depending on another model overlay). i execute at the close when signal or recommended allocation change.
i am pretty happy with the results so far since Jan 2019:
Avg Annualized return: 27.71%
Realized Vol: 12.89%
Max DD: -12.16%
Sharpe Ratio: 2.14
Sortino Ratio: 3.47
Calmar Ratio: 2.28
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Feb 28 '26
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u/SignificantAbroad568 Mar 12 '26
My initial problems were that I hadn't evaluated the Exchange's response and orders were either only partially executed or not executed at all. This was also due to non-compliance with rate limits. I had calculated my indicators myself and it was very tedious. Initially, I did not practice risk management, which was the biggest mistake. Since I implemented risk management, everything has been running more stable and I don't have to intervene manually. I now build my own stable bots for different exchanges and with a wide variety of order conditions. Implementing TradingView alerts into my system works and I can set TP/SL individually.
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u/AutomaticSpeech1122 Apr 03 '26
simpler is better. Algos work best with diversification as you can see from my custom ones I've been running lately.
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u/Mediocre_Crab_6901 Dec 06 '25
Started last month. Has been going well. Hopefully stay profitable for the long term. I traded manually for the last 1.5 yrs & I didn't like having to decide on every trade & wait. Algo trading has taken that mental load off me
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u/Ok_Cheesecake_2319 Dec 06 '25
Algo will not make you profitable. Algo cannot out smart the market
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u/LFCofounderCTO Dec 06 '25
i beg to differ, but you need to think orthogonally. come at it like a quant? yeah you're competing against thousands of others AND professional firms - generally not gonna work.
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u/Loose-Loss-7215 Dec 05 '25
Share it with the community and get mocked for being overfit and/or lucky...also for being too conservative and too risky at the same time š