Algo Development
testing momentum overlay - early results promising
·472 words
been running mean reversion strategies for 4 months.
works well. 87% win rate in july.
but: only trades when price reverts.
misses trending moves.
the idea # add momentum overlay to existing system.
ran walk-forward test - strategy holding up
·567 words
been profitable 3 months now.
wanted to verify i’m not just curve fitting.
ran walk-forward analysis this weekend.
what is walk-forward testing # normal backtest:
rebuilt backtesting pipeline - 10x faster parameter optimization
·881 words
spent last 3 days rebuilding backtest optimization pipeline.
went from 6 hours to 35 minutes for full parameter sweep.
the problem # old approach: sequential parameter testing.
building volatility regime detection
·797 words
need to stop trading when volatility spikes. building detection system.
the problem # this week VIX spiked 18% in 2 days. my strategies got stopped out twice.
using python async for real-time market data
·1056 words
rewrote my market data pipeline to use async. 3x faster, way cleaner code.
the problem # old synchronous code:
checking my backtests for overfitting
·1019 words
worried my strategies are overfit to historical data. spent today testing for it. been reading NexusFi backtesting threads about this exact problem.
the problem # my backtests look great:
how i organize my trading code on github
·988 words
got asked on r/algotrading how i organize my trading repos. here’s my setup after 4 months of refactoring.
repo structure # i have 4 main repos:
fixed the fucking assignment bug
·458 words
found the bug that cost me $5k in april. took 6 hours but finally fucking fixed it.
the problem # selling options spreads. sometimes short leg gets assigned early (ITM before expiration).
actual risk management rules that work
·485 words
after losing $60k in 4 months i finally built risk management that doesn’t suck.
what wasn’t working # my “risk management” before: