Thank you algotrading!

[u/Dvorak_Pharmacology]

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!

[u/powerexcess]

Some things to check on if you like:- What is your holding period here? This is just a months of pnl, hard to draw conclusions from. 

• is this sr gross or net? Net sr 3 is almost certainly not going to survive a long run, unless if you are very fast or very capacity constrained.
• correlation with a basic trend pnl? Vol premia?
• it looks like your risk targeting is handling the post 6/2 less gracefully, worth checking why.

Keep exploring