Strategy Development
risk management - position sizing with kelly criterion in python
·1261 words
position sizing = most important part of algo trading.
kelly criterion = mathematically optimal.
python implementation.
the problem # fixed position sizing:
backtesting framework - vectorbt for fast parameter testing at scale
·1126 words
vectorbt = game changer for parameter testing.
10x faster than backtrader.
vectorized operations instead of event-driven.
the speed problem # traditional backtesting:
parameter tuning - avoiding overfitting with walk-forward validation
parameter optimization = dangerous.
easy to overfit historical data.
walk-forward validation = solution.
the overfitting problem # traditional optimization:
regime detection filtering framework - how i adapt to market conditions
·1334 words
august forcing me to rely on filters.
figured worth explaining how regime detection works. learned a lot from options selling regime discussions on NexusFi about adapting to conditions.
the problem # strategies don’t work in all conditions.