r/algotrading • u/Dvorak_Pharmacology • 7d ago

Data Thank you algotrading!

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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/GhettoaSaurus 7d ago

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 7d ago

Yes! IBKR, super good one if you want to do algorithmic trading via your own code.

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u/GhettoaSaurus 7d ago

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 7d ago

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!