Algo Development
adaptive stop losses - why fixed stops are leaving money on the table
2:30am wednesday.
been refactoring my exit logic all week.
fixed stop losses are lazy. there I said it.
the problem with fixed stops # “just use a 2% stop loss.”
monte carlo backtesting - why single backtest runs lie to you
2:30am wednesday.
ran a single backtest last week. looked incredible. sharpe of 2.4. max drawdown 8%.
then I ran 10,000 of them.
reality check.
the problem with one backtest # you run a backtest. it returns +22% over 2 years.
cross-asset correlation tracking - why diversification is a lie
1:30am and i’m staring at correlation matrices again.
everyone talks about diversification like it’s free lunch.
it’s not.
the diversification myth # portfolios are “diversified” until they’re not.
theta decay tracking - why i obsess over time
3am on a monday and i’m watching theta tick down across my options book.
most people don’t realize how much money they’re leaving on the table by not tracking theta properly.
saturday slippage deep dive - where your edge goes to die
woke up at 2am couldn’t sleep.
decided to run a full slippage analysis on last quarter’s trades.
what i found is annoying but fixable.
the invisible tax # every algo trader knows slippage exists.
volatility regime detection - when to switch strategies
the market doesn’t care what strategy you’re running.
it runs whatever regime it wants.
your job is to detect the regime and adapt.
why regime matters # every strategy has conditions where it crushes and conditions where it bleeds.
first week 2026 - january momentum algo kicking off
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new year. new momentum.
first real trading week of 2026 in the books.
january effect algo activated.
the january effect # some people think it’s BS.
year-end portfolio rebalancing algo - detecting institutional flows
december means institutional rebalancing.
pension funds, endowments, mutual funds all adjusting.
built an algo to detect and trade the flows.
the concept # year-end rebalancing patterns:
vix term structure algo - contango/backwardation trading
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been researching VIX term structure trades.
contango vs backwardation. predictable patterns.
finally got an algo working.
the concept # contango: front month VIX < back month VIX