Algo Development
backtest vs live - wtf happened
·554 words
my backtests showed +20% annual returns. i’m down 12.75% after 3 months live.
something is very fucking wrong.
the numbers don’t match #
position sizing is killing me - fixing it with code
been up since 3am coding a proper position sizing module. my current approach (fixed 2% risk per trade) is bleeding me out.
down another $8k this week. total drawdown now -$48k since january. at this rate i’ll be broke by august.
upgraded IV rank filtering
·899 words
the IV rank problem # my original algo only sells premium when IV rank > 40
IV rank = where current IV sits relative to its 52-week range