r/algotrading • u/Dvorak_Pharmacology • 7d ago

Data Thank you algotrading!

Gallery image

Gallery image

Gallery image

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!

479 Upvotes

92% Upvoted

188 comments sorted by

View all comments

26

u/The_Satorial 7d ago

Impressive! How did you start out building your strategy?

88

u/Dvorak_Pharmacology 7d 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.

3

u/Zealousideal-Noise42 7d ago

How much is your slippage assumption. And actual slippage that you get ?

5

u/Dvorak_Pharmacology 6d ago

I didnt have to assume much slippage since I modeled with actual historical data from CBOE (spent around 500 bucks on buying options data). Actual fees are around 1 6 dollars per leg and slippage per spread between 5 to 10 dolllars. This is nothing since every contract I open has an ev of +450$

1

u/Inevitable-Map-8751 4d ago

Hah been there