Algo Development
sector rotation algo - implementation with relative strength scoring
been working on a sector rotation algo.
concept: own the strongest sectors, short the weakest.
simple in theory. complex in implementation.
the core idea # sectors rotate in predictable cycles.
earnings volatility filter - implementation and early results
·733 words
been running the earnings volatility filter for a week now.
early results are promising.
the problem # earnings = binary events. stock moves 5-10% or nothing.
crypto momentum algo - btc breakout strategy implementation
·1024 words
BTC broke out of 3-month range today.
my momentum algo caught it.
time to document the implementation.
the context # BTC been consolidating between $25,000 and $28,000 since june.
mean reversion implementation - statistical edge in practice
·1119 words
finally deploying the mean reversion algo I’ve been backtesting since june.
6 months of development. time to go live.
the edge # simple concept: prices that deviate from their mean tend to revert.
fall volatility algo adaptation - regime detection update
·475 words
first real trading days since vacation.
volatility already picking up. VIX hit 16.2 today.
time to adapt.
the seasonal shift # summer algo settings don’t work in fall.
earnings volatility - how my algos adapt to quarterly chaos
·1047 words
earnings week chaos.
GOOGL, TSLA, META all this week.
how my algos handle it.
the earnings problem # normal day: VIX 15, predictable ranges, clean signals
order flow analysis - adapting strategies for summer thin volume
·1281 words
summer volume creates different market microstructure.
adapting order flow analysis to account for it.
the summer volume problem # normal month volume: 4.2M SPX options contracts/day
position sizing with kelly criterion - python implementation
·850 words
rebuilt my position sizing engine last weekend.
kelly criterion with practical modifications.
the problem # old approach:
fixed 2% risk per trade.
regime detection filter - why it failed march, python implementation fix
·1327 words
march disaster taught lesson.
regime detection lagged.
cost $6,690 before pausing.
fixing implementation.
what went wrong # my current filter: