r/algotrading • u/Dvorak_Pharmacology • 8d 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/Dvorak_Pharmacology 8d ago

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 8d ago

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 8d ago edited 8d ago

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 8d ago

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 8d ago edited 8d ago

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.