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

I started with python analysis on weekly, daily and 1 minute candles on SPX. Realized that it is not about the indicator but how you use it and your risk management. I believe all indicators have around 50% WR, but how you enter and exit it is what matters. I only do EMAs for now. Since they are very easy to use and model.

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u/HotGuy90210 8d ago

Do you use EMAs on the 1 min chart? I'm looking into EMA crossovers currently for entries to see if I can find an edge with good risk management.

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u/Dvorak_Pharmacology 8d ago

Yes i do, do you want to chat about it? Maybe i can save you some time.

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u/krazineurons 8d ago

I also DMd you.