Pro Algo Trading | AlgoKing

saturday - she finally found out

Sat, 16 May 2026 01:45:00 -0700

monday was may 11. first anniversary.

i can tell you what i planned now. the secret is done. she found out. i won.

the reveal
#

we got in the car around 4pm. she had a dress on, i’d told her we were doing dinner somewhere nice, that was all she got from me. i drove toward la jolla which she clocked immediately.

expiration day: everything is already automated

Fri, 15 May 2026 02:30:00 -0700

2:30 AM. may 15.

today is standard monthly options expiration. third friday of the month. the SPX condors i’ve been running since late april close today, or they already closed this week because the system flagged them as targets before i ever had to think about it.

roll logic: automating when to hold, roll, or close short premium

Wed, 13 May 2026 02:15:00 -0700

2:15 AM wednesday.

A. made pasta around 7, crashed by 10 - she had a brutal deadline at work today. i cleaned the kitchen, sat down to “just check something,” and have been staring at this roll management code for four hours.

one year: system check

Mon, 11 May 2026 05:30:00 -0700

5:30 AM. may 11.

she went to bed before me last night, which almost never happens. i stayed up reading market structure notes until around 2, realized sleep wasn’t coming, made coffee. opened the laptop.

two days out

Sat, 09 May 2026 11:15:00 -0700

may 11 is in two days.

first anniversary. one year married. i’ve been thinking about that number all week - not in a stressed way, more like i keep picking it up and turning it over. one year. huh.

funding rate harvest: neutral crypto carry when momentum breaks

Fri, 08 May 2026 02:15:00 -0700

2:15 AM. friday.

A. is asleep. i’m sitting here with cold coffee staring at april’s crypto PnL and deciding what to do about it.

BTC momentum strategy: -$800 for april. wrote about this monday. stale params, wrong regime. fair enough. i’m fixing the walk-forward pipeline. but even when that’s running clean, the strategy has real variance. some months it just doesn’t work.

vix futures term structure as regime filter — auto-switching theta vs momentum

Wed, 06 May 2026 02:15:00 -0700

late night. A. went to bed around 10:30, told me not to stay up too late. i said “just finishing something.” she gave me that look. it’s now 2 AM.

walk-forward validation: stopped fooling myself with in-sample results

Mon, 04 May 2026 02:15:00 -0700

2:15 AM monday.

A. called it around 11:30. she reads for like 20 minutes and then just drops — book still open on the nightstand, her laptop sitting open on the coffee table. I turned the screen off around midnight, refilled my coffee, sat back down.

saturday - nine days, lesson seven, she still hasn't cracked it

Sat, 02 May 2026 23:15:00 -0700

nine days.

she asked again at breakfast. seventh or eighth attempt in the last two weeks - i’ve lost count. this morning’s version was: “okay hypothetically, if i needed to shave my legs, would that be relevant information.”

april done. built a signal quality gate with LightGBM.

Fri, 01 May 2026 02:15:00 -0700

2:15 AM. saturday.

april closed today. before I get into what I actually built this week I’ll do the quick numbers.

april final: +$15,800. minor revision down from the +$16,500 estimate I had wednesday — a few iron condor legs settled a tick or two against on friday’s close, plus a small NQ position gave back $430 into the bell. nothing significant. still a clean month.

may cycle setup: scanning the iv surface, automating strike selection

Wed, 29 Apr 2026 02:30:00 -0700

2:30 AM. wednesday.

april is basically wrapped. last weekly expiration cleared friday. monday was flat, tuesday had one small SPX position that ticked through on delta and I let it ride — closed today for +$1,100. running estimate: april MTD somewhere around +$16,500 when everything settles. YTD is going to land around +1.5%.

execution quality tracking: slippage attribution across 40 algo positions

Mon, 27 Apr 2026 02:45:00 -0700

2:45 AM monday.

A. went to bed around midnight after spending the evening fighting a client’s postgres migration that kept deadlocking under load. she was frustrated, said goodnight, gave me a look that meant don’t be up all night. I said I wouldn’t be.

saturday - dr r, sixteen days, halfway there

Sat, 25 Apr 2026 23:30:00 -0700

had therapy thursday. told her about the anniversary coming up.

the session
#

dr r picks things up fast. i mentioned it almost as an aside - “may 11, sixteen days, we’re planning something” - and she stopped the whole thread we were on about integration and just looked at me.

april theta harvest: weekly closed clean, colo queue backed up, thursday hit different

Fri, 24 Apr 2026 02:30:00 -0700

2:30 AM. friday night.

A. made chicken marsala — she does it maybe once a month and I forget every time how good it is. ate around 7, she went back to her desk, lights off in the bedroom by midnight. apartment’s quiet. been staring at P&L since 11.

nq momentum signal: adaptive lookback after the tariff vol test

Wed, 22 Apr 2026 02:30:00 -0700

2:30 AM wednesday. A. finished something around 1 and went to bed still holding her coffee mug. found it on the counter half-full when I went for water. she’s like that when she’s in flow — stops the world when she figures it out.

replaying the yen carry unwind: validating sqs against a real vol event

Mon, 20 Apr 2026 02:15:00 -0700

2:15 AM monday. system’s been clean since the websocket IV fix went live friday. heartbeat healthy, colo latency normal, no stale data flags. spent most of sunday going deep on something i’ve been meaning to do since the tariff postmortem.

saturday - bookshelf drama, lesson five, the laundry room

Sat, 18 Apr 2026 23:15:00 -0700

the bookshelf arrived thursday.

if you read last week’s post, you know this was inevitable. she’d been campaigning for it since february, and the moment i said “fine, order it,” she had already ordered it. turns out she ordered it three days before that conversation. the campaign was just waiting for me to catch up.

fixing the stale iv problem: thetadata websocket streaming for real-time greeks

Fri, 17 Apr 2026 02:30:00 -0700

2:30 AM friday. been at this since 9 PM.

promised myself two weeks ago, right in the middle of the tariff chaos, that i’d actually fix the IV rank staleness issue. the signal quality scoring work was the band-aid — a composite gate that tells the system “this signal isn’t reliable right now.” it worked. it’s in production. but the underlying problem was unchanged: during the spike, my IV rank was being computed from options data that was 10-14 minutes old. the signal wasn’t wrong, technically. it was just answering a question about a market that no longer existed.

signal quality scoring: building a market-aware trade gate

Wed, 15 Apr 2026 02:15:00 -0700

2:15 AM wednesday. apartment quiet. A. went to bed around midnight — she had a client deadline today so it was a long one. checked the colo heartbeat before sitting down to write this. normal. algos running clean for the first time since last monday.

tariff week post-mortem: what the data actually showed

Mon, 13 Apr 2026 02:30:00 -0700

2:30 AM monday. week one of what i’m calling “the post-tariff-chaos era” starts in a few hours.

last week was one of those that splits into a clear before and after. monday and tuesday felt like freefall — VIX went from 20 to 32 in about 36 hours, SPX dropped hard, options spreads blew out 3-4x, and my event risk throttle (which I built the week prior and wrote about here) was earning every line of code it took to build. then wednesday happened. whoever made the tariff pause call did it at 1:07 PM eastern and watching the S&P rip 8% in ninety minutes while running algorithms was… a lot.

saturday - easy one

Sat, 11 Apr 2026 10:45:00 -0700

woke up at 9:30 and nothing was on fire.

algos running clean. BTC bot up 0.6%. SPX options book flat to slightly positive. colo heartbeat normal. i closed the laptop and stared at the ceiling for like ten minutes because i could.

real-time portfolio Greeks: aggregating delta, gamma, theta, vega at scale

Fri, 10 Apr 2026 02:15:00 -0700

2:15 AM friday. couldn’t sleep after the week we just had. VIX ripped to 28 monday, calmed down midweek, then did that whipsaw thing thursday afternoon where you think it’s done but it’s absolutely not done.

options contract lifecycle: building the roll engine and pin risk detector

Wed, 08 Apr 2026 02:30:00 -0700

2:30 AM wednesday. A. left the kitchen light on when she went to bed, which means she had a late session too. checked on her around midnight — still at her desk, headphones on, coding something for a client. now she’s asleep and I’m at mine.

event risk throttle: dynamic exposure scaling based on vol regime

Mon, 06 Apr 2026 02:30:00 -0700

2:30 AM monday. Q2 week 2 starts in a few hours.

Been sitting with something since Thursday when I posted the Q2 week 1 numbers. Said we were running at 60% position size - waiting for the health scoring system to validate before going full deployment.

saturday - week after the letter

Sat, 04 Apr 2026 01:30:00 -0700

one week out from writing the letter. things feel different. not fixed. different.

the session
#

brought it to dr r tuesday like she asked. read parts of it out loud.

q2 week 1: health scoring live, colo nic split, first numbers

Fri, 03 Apr 2026 02:15:00 -0700

2:15am friday.

Q2 week 1 is done. walked in from the kitchen, A. fell asleep at her desk again — laptop open, ambient music still running. grabbed a blanket from the couch and put it over her. then came back and pulled up the weekly numbers.

execution quality audit: q1 slippage cost me more than i thought

Wed, 01 Apr 2026 02:30:00 -0700

2:30am wednesday. april 1st. no this is not a joke post.

been staring at execution data for the last three hours and i have a headache. Q1 closed basically flat — detailed numbers in the march wrap. but flat is flat, and when i dug into why flat, the answer wasn’t strategy failure. it was execution bleed.

strategy health scoring: detecting algo decay before it wrecks your Q2

Mon, 30 Mar 2026 02:45:00 -0700

2:45am monday.

first trading day of Q2. Q1 is officially in the rearview — closed at basically flat, full numbers are in friday’s post. the weekend was heavy. not going into it right now. but Q2 starts regardless, and the algos don’t wait for you to process.

saturday - the letter

Sat, 28 Mar 2026 23:00:00 -0700

been 3 years, 3 months, and 28 days.

i finally wrote the letter.

the setup
#

dr r gave me this homework two weeks ago in that session that hit different. write a letter to the drunk driver who killed my parents. not to send. not to deliver, not to mail, not to read aloud in court. just to write. to feel it, not just think it.

q1 close: final numbers, colo benchmarks, and q2 setup

Fri, 27 Mar 2026 02:00:00 -0700

friday night. Q1 officially in the books.

did the math earlier while A. was cooking. she noticed i went quiet and just left me to it. that’s one of the things i didn’t expect about being married — how well she reads when to give space. anyway.

real-time greeks aggregation: knowing your portfolio delta/gamma at sub-second speed

Wed, 25 Mar 2026 02:15:00 -0700

2:15am wednesday.

still processing this week. the q1 factor attribution post from sunday was cathartic but it also made me confront something i’d been papering over: i was flying blind on real-time greeks for most of march. not completely blind — i had position-level greeks from IB’s TWS feed. but aggregating them into a coherent portfolio view? that was a manual spreadsheet thing i’d run every few hours.

q1 factor attribution: theta is the edge, delta drift is the problem

Mon, 23 Mar 2026 02:30:00 -0700

q1 is in the books. three months, roughly flat performance, and a clear pattern in the trade data that tells me exactly what needs to change for q2.

jan: +2.1%. feb: -1.3%. march: -0.9% (locked at friday close). quarter: -0.13% net. account moved from $1.196M to about $1.194M. call it flat with a slight downside tilt.

saturday - la jolla and she planned this for two years

Sat, 21 Mar 2026 23:15:00 -0700

she woke me up at 9am on a saturday.

no warning. no negotiation. just “we’re going to la jolla. get dressed.”

i’ve been working on training her for 2+ years that saturday morning means i’m not a functioning human until at least 11. this lesson has not stuck. at this point i think she does it on purpose.

march vol spike: when the risk engine earns its keep

Fri, 20 Mar 2026 02:30:00 -0700

2:30am friday. rough week in the books.

march has been a whole thing. tariff headlines dropping every 48 hours, VIX spiking then partially recovering, nobody knows what SPX does next. january was decent (+2.1%), february went against me (-1.3%). march hasn’t been great either. week ending today, i’m down about $2.3k for the five sessions. month’s probably closing around -1%.

implied vol surface in python: stop guessing what the market thinks

Wed, 18 Mar 2026 04:30:00 -0800

4:30 AM. been staring at vol surfaces for three weeks straight. finally got the pipeline clean enough to write about it.

if you’re trading options without a vol surface you’re flying blind. period. everyone talks about delta and theta but the actual edge is in understanding where implied vol is mispriced relative to what it should be. that’s the surface. that’s where the money is.

crypto funding rate arb: the quiet alpha i've been running for months

Wed, 18 Mar 2026 02:15:00 -0800

past 2am. BTC arb just settled a clean +$870 position. wide awake. writing this instead of sleeping.

been running a funding rate arb strategy across my crypto book since late november. never posted about it because honestly it’s kind of a boring trade to explain. no dramatic wins, no blowups, just steady quiet alpha sitting off to the side of everything else. averaging $2-4k a month net with basically zero correlation to my options or futures book.

order book imbalance - building a real-time alpha signal for crypto momentum

Mon, 16 Mar 2026 03:45:00 -0700

lied about sleeping.

got into bed, laid there for 45 minutes, kept thinking about something. went back to the desk.

the signal decay issue i diagnosed tonight (latency routing on crypto momentum) is real and i fixed it. but while i was digging through three months of fill data, i noticed something else. something i’d been ignoring entirely.

options flow scanner: catching smart money before the move

Mon, 16 Mar 2026 01:30:00 -0800

it’s 1:30am. A. passed out on the couch around midnight waiting for me to come to bed. carried her there, went back to the desk. couldn’t sleep anyway.

march has been annoying. january was solid (+1.9%). february was decent (+2.3%). march so far: -0.5% with two weeks left. not a disaster but it stings after a clean Q4. the algos aren’t broken, the signals are just getting weaker in this chop. SPX has been range-bound for three weeks and my momentum strategies are getting whipsawed.

signal decay and execution latency - my hidden edge killer

Mon, 16 Mar 2026 02:15:00 -0700

2:15am on a monday.

been staring at fill data for the past six hours.

march has been rough. not catastrophically down, but underperforming where my models say i should be. january was decent (+2.1%). february was a loss (-1.3%). march was supposed to recover and it’s just… flat.

saturday - therapy breakthrough and the anger thing

Sun, 15 Mar 2026 05:30:00 -0500

had a session with dr r friday that hit different. we’ve been circling around something for weeks and she finally called it out.

the anger i didn’t know i had
#

she asked me when the last time i was truly angry was. not frustrated, not annoyed, not the “this fucking code won’t work” kind of angry. real anger.

dynamic position sizing - kelly criterion meets regime detection

Sat, 14 Mar 2026 05:30:00 -0500

one of the dumbest things i did in 2023 was running fixed position sizes. every trade was the same size regardless of conviction, volatility, or recent performance. looking back it’s obvious why i hemorrhaged $180k - i was sizing up the same during high-vol crashes as during calm trending markets.

monitoring and alerting for algo infrastructure - grafana + prometheus setup

Thu, 12 Mar 2026 05:30:00 -0500

realized last month that i had a massive blind spot in my infrastructure: monitoring. my algos were running 24/7 but i had no idea if they were running WELL until i checked PnL at end of day. that’s like driving with your eyes closed and checking if you crashed when you stop.

exchange connectivity layer - handling binance, kraken, and coinbase in one abstraction

Tue, 10 Mar 2026 05:30:00 -0500

one of the most annoying parts of crypto algo trading is that every exchange has a different API. different auth schemes, different rate limits, different order types, different error codes. writing strategy logic for each exchange separately is a nightmare and a maintenance disaster.

saturday - apartment shit and almost burning the kitchen down

Sun, 08 Mar 2026 05:30:00 -0500

a has been on this kick where she wants me to learn to cook. not like ramen-and-eggs level (i can manage that without supervision). she means actual cooking. from recipes. with ingredients that expire.

async signal generation - why your pipeline is probably too slow

Sat, 07 Mar 2026 05:30:00 -0500

been refactoring my signal generation pipeline for the last 2 weeks. old version was synchronous - fetch data, compute indicators, generate signal, repeat. worked fine when i was running 3 strategies. now i’m running 11 and the whole thing was choking.

redis for market data - why i ditched postgres

Thu, 05 Mar 2026 02:42:00 -0800

moved all my real-time market data from postgres to redis about 8 weeks ago. latency dropped from ~15ms to sub-millisecond. should’ve done this way earlier.

the postgres problem
#

when i first built my algo infrastructure i stored everything in postgres because that’s what i knew. tick data, order book snapshots, greeks, everything went into timescaledb (postgres extension for time-series).

slippage models - making backtests actually realistic

Tue, 03 Mar 2026 02:15:00 -0800

been thinking about slippage modeling a lot lately. most backtest frameworks have absolute dogshit slippage assumptions - either zero (lmao) or some fixed percentage that doesn’t scale with order size or volatility.

adaptive stop losses - why fixed stops are leaving money on the table

Thu, 12 Feb 2026 02:30:00 -0800

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.”

saturday - valentine's planning and dr R wants details

Sun, 08 Feb 2026 02:00:00 -0800

2am saturday.

A. fell asleep on the couch watching some cooking show. I carried her to bed.

she mumbled “you’re warm” and passed out.

now I’m sitting in the dark thinking about valentine’s day.

monte carlo backtesting - why single backtest runs lie to you

Thu, 05 Feb 2026 02:30:00 -0800

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.

saturday morning - woke up early just watching her

Sat, 31 Jan 2026 02:15:00 -0800

2am saturday.

couldn’t sleep.

A. is curled up next to me. one arm across my chest. her breathing is slow and even.

I’ve been watching her for like 20 minutes.

saturday therapy session - new year check in with dr R

Sat, 24 Jan 2026 02:30:00 -0800

therapy saturday.

weird scheduling thing. dr R had to reschedule wednesday’s session to today.

I don’t usually go on saturdays.

the office
#

her office is always perfectly arranged.

cross-asset correlation tracking - why diversification is a lie

Thu, 22 Jan 2026 01:30:00 -0800

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

Tue, 20 Jan 2026 02:00:00 -0800

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

Sat, 17 Jan 2026 02:45:00 -0800

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

Fri, 16 Jan 2026 02:31:00 -0800

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.

prometheus + grafana - my algo monitoring stack

Thu, 15 Jan 2026 02:34:00 -0800

finally got around to documenting my monitoring setup.

been running this stack for almost 2 years now. saved my ass multiple times.

why monitoring matters
#

had an algo go sideways in march 2024.

first week 2026 - january momentum algo kicking off

Fri, 09 Jan 2026 02:47:00 -0800

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.

christmas eve - family gathering, trading shutdown

Wed, 24 Dec 2025 23:38:00 -0800

christmas eve.

trading shut down.

family in town.

the day
#

market closed at 1pm.

didn’t trade anyway.

week 3 december - fomc done, christmas prep, light volume

Sun, 21 Dec 2025 02:45:00 -0800

week 3 done.

FOMC behind us.

christmas ahead.

weekly numbers
#

starting (dec 15): $521,320

ending (dec 21): $523,890

fomc day - rate pause as expected, small gains

Wed, 17 Dec 2025 23:42:00 -0800

FOMC day.

pause as expected.

market happy.

the decision
#

2pm EST: fed holds rates steady

no surprise. market expected pause.

week 2 december - anniversary week, light trading, full focus on A.

Sun, 14 Dec 2025 02:38:00 -0800

week 2 done.

mostly anniversary trip.

light trading monday-wednesday.

weekly numbers
#

starting (dec 8): $519,880

ending (dec 14): $521,320

big bear surprise - she had no idea, best weekend ever

Sat, 13 Dec 2025 23:52:00 -0800

she had no idea.

pulled it off.

the reveal
#

picked her up from work friday.

“where are we going?”

kraken vs coinbase - staking and yield comparison for algo traders

Wed, 10 Dec 2025 03:05:00 -0800

been staking on both platforms.

different approaches to yield.

here’s my comparison after 18 months.

kraken staking
#

what they offer:

week 1 december - steady start, anniversary trip prep

Sun, 07 Dec 2025 02:42:00 -0800

week 1 december done.

steady start to the month.

weekly numbers
#

starting (dec 1): $517,640

ending (dec 7): $519,880

year-end portfolio rebalancing algo - detecting institutional flows

Fri, 05 Dec 2025 03:18:00 -0800

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:

december begins - year-end mode, anniversary countdown

Tue, 02 Dec 2025 02:28:00 -0800

december.

final month.

year-end mode activated.

where we stand
#

account: $517,640

ytd gain: +$79,040 (+18.19%)

annual pace: 19.8%

november wrap - election month, modest gains, +1.46%, ytd +18.19%

Sun, 30 Nov 2025 23:55:00 -0800

november done.

election month. conservative approach. modest gains.

exactly as planned.

november final numbers
#

starting (nov 1): $510,180

thanksgiving reflection - trading, marriage, perspective

Fri, 28 Nov 2025 23:42:00 -0800

friday night after thanksgiving.

thinking about where I am.

three years ago
#

november 2022.

parents still alive. barely trading. no idea what was coming.

week 4 november - thanksgiving week, low volume, small gains

Sun, 23 Nov 2025 02:34:00 -0800

thanksgiving week done.

as expected: low volume, small gains.

weekly numbers
#

starting (nov 17): $516,290

ending (nov 23): $517,640

coinbase advanced vs binance.us - crypto algo trading comparison

Wed, 19 Nov 2025 03:02:00 -0800

been using both for 2+ years.

different strengths. here’s the breakdown.

coinbase advanced
#

what I use it for:

week 3 november - steady progress, thanksgiving week prep

Sun, 16 Nov 2025 02:38:00 -0800

week 3 done.

steady week. nothing exciting.

sometimes boring is good.

weekly numbers
#

starting (nov 10): $513,840

saturday with A - anniversary planning, she suspects something

Sat, 15 Nov 2025 23:48:00 -0800

saturday night.

A. definitely suspects something.

the detective work
#

she’s been watching me.

“you’re on your phone a lot lately.”

vix term structure algo - contango/backwardation trading

Thu, 13 Nov 2025 03:15:00 -0800

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

week 2 november - post-election normalization, back to full sizing

Sun, 09 Nov 2025 02:42:00 -0800

week 2 done.

back to normal.

weekly numbers
#

starting (nov 3): $510,180

ending (nov 9): $513,840

week 2 gain: +$3,660 (+0.72%)

post-election rally - adding back positions, hedges closed

Fri, 07 Nov 2025 02:34:00 -0800

election resolved.

market rallying.

adding back.

the outcome
#

clear winner declared wednesday morning.

market loved the certainty.

About AlgoKing

Fri, 07 Nov 2025 00:00:00 -0800

who am i
#

yo. algoking here. rich AF young kid in my 20’s living the real fucking life in san diego

election night - watching, not trading, wild swings

Wed, 05 Nov 2025 23:58:00 -0800

election night.

watching everything. trading nothing.

the action
#

7pm EST: polls closing, futures flat

9pm EST: swing states too close to call, futures dip -0.5%

election week prep - hedges set, sizing cut, ready to watch

Sun, 02 Nov 2025 02:28:00 -0800

tuesday is election day.

everything is set.

current positioning
#

account: $510,180

hedges:

VIX 25 calls (2 contracts): $1,840 cost
SPY 505 puts (3 contracts): $1,420 cost
total hedge cost: $3,260 (0.64% of account)

position sizing: reduced 40%

october wrap - earnings season delivers, +2.81%, ytd +16.49%

Fri, 31 Oct 2025 23:52:00 -0700

october done.

earnings season delivered.

second best month of 2025.

october final numbers
#

starting (oct 1): $496,220

pre-election algo adjustments - sizing down, hedges up

Wed, 29 Oct 2025 02:38:00 -0700

election tuesday.

time to adjust.

the problem
#

elections = regime uncertainty.

policies change. sectors rotate. vol spikes.

week 4 october - strong finish, october target exceeded

Sun, 26 Oct 2025 02:41:00 -0700

week 4 done.

october target exceeded.

weekly numbers
#

starting (oct 20): $507,450

ending (oct 26): $510,180

week 4 gain: +$2,730 (+0.54%)

tastyworks vs interactive brokers - options trader comparison

Fri, 24 Oct 2025 02:52:00 -0700

been using both for 2+ years.

different tools for different jobs.

tastyworks
#

what I use it for:

redis timeseries - cutting latency from 45ms to 8ms

Wed, 22 Oct 2025 03:08:00 -0700

just finished a redis optimization project.

latency went from 45ms to 8ms.

here’s how.

the problem
#

market data pipeline was bottlenecking at redis.

week 3 october - big tech crushed it, best week of the month

Sun, 19 Oct 2025 02:36:00 -0700

week 3 done.

big tech earnings delivered.

best week of october.

weekly numbers
#

starting (oct 13): $501,890

sector rotation algo - implementation with relative strength scoring

Wed, 15 Oct 2025 02:58:00 -0700

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.

week 2 october - tech earnings start, mixed results

Sun, 12 Oct 2025 02:44:00 -0700

week 2 done.

tech earnings started. mixed bag.

weekly numbers
#

starting (oct 6): $499,340

ending (oct 12): $501,890

saturday with A - laundry room added to list

Sat, 11 Oct 2025 23:38:00 -0700

lazy saturday again.

these are my favorite days.

morning
#

slept until 10.

A. already up. could hear her doing yoga in the living room.

polygon.io vs iex cloud - 2 year data feed comparison

Thu, 09 Oct 2025 03:12:00 -0700

been using polygon.io as primary data source since 2023.

added iex cloud as backup last year.

here’s how they compare for algo trading.

polygon.io (primary)
#

what I use it for:

earnings volatility filter - implementation and early results

Tue, 07 Oct 2025 02:45:00 -0700

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.

week 1 october - banks deliver, solid start

Sun, 05 Oct 2025 02:28:00 -0700

week 1 done.

banks delivered.

weekly numbers
#

starting (oct 1): $496,220

ending (oct 5): $499,340

week 1 gain: +$3,120 (+0.63%)

october begins - q3 earnings season kickoff

Wed, 01 Oct 2025 02:15:00 -0700

october.

q3 earnings season. volatility should pick up.

september recap
#

ended september at $496,220. best month of 2025. +$14,120 (+2.93%).

september wrap - best month of 2025, +2.93%, ytd +13.26%

Tue, 30 Sep 2025 23:48:00 -0700

september done.

best month of the year.

fall volatility delivered.

september final numbers
#

starting (sep 1): $482,100

week 4 september review - strong finish

Sun, 28 Sep 2025 02:14:00 -0700

september’s final full week.

strong finish.

week 4 numbers
#

starting (sep 22): $493,640

ending (sep 28): $496,420

ubiquiti 10gbe upgrade - network infrastructure overhaul

Fri, 26 Sep 2025 02:18:00 -0700

finally upgraded the home network.

10gbe backbone. no more bottlenecks.

the problem
#

running 4 Dell servers, 3 workstations, NAS, and market data feeds.

interactive brokers api - 2 years deep review

Wed, 24 Sep 2025 02:34:00 -0700

been on IB for 2 years now.

primary broker for options and futures.

here’s what I’ve learned.

why IB
#

pros:

week 3 september review - fomc crush, triple witching survival

Sun, 21 Sep 2025 02:16:00 -0700

massive week.

fomc wednesday. triple witching friday.

survived both. more than survived.

week 3 numbers
#

starting (sep 15): $487,180

crypto momentum algo - btc breakout strategy implementation

Fri, 19 Sep 2025 02:48:00 -0700

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.

fomc algo response - rate hold, volatility spike, profits

Wed, 17 Sep 2025 23:38:00 -0700

fomc day.

rates held. powell dovish. markets ripped.

algos crushed it.

the setup
#

going into FOMC I was 90% cash.

week 2 september review - cpi week, fomc next

Sun, 14 Sep 2025 02:22:00 -0700

cpi week done.

fomc next.

week 2 numbers
#

starting (sep 8): $484,420

ending (sep 14): $487,180

week gain: +$2,760 (+0.57%)

saturday with A - kitchen counter added to list

Sat, 13 Sep 2025 23:42:00 -0700

lazy saturday.

no trading. no algo work.

just us.

morning
#

slept in until 11.

A. made breakfast. eggs benedict - she’s been perfecting her hollandaise.

polygon.io vs thetadata - options data deep comparison

Thu, 11 Sep 2025 02:26:00 -0700

been running both for 8 months now.

time for an honest comparison.

why both
#

polygon.io: primary equities and options quotes

mean reversion implementation - statistical edge in practice

Tue, 09 Sep 2025 02:42:00 -0700

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.

week 1 september review - fall begins

Sun, 07 Sep 2025 02:18:00 -0700

first full week of fall trading.

short week with labor day monday.

week 1 numbers
#

starting (sep 1): $482,100

timescaledb optimization - 3 million rows per day

Fri, 05 Sep 2025 02:14:00 -0700

been putting this off for months.

timescaledb getting slow. finally fixed it.

the problem
#

my options flow data pipeline ingests about 3 million rows per day.

fall volatility algo adaptation - regime detection update

Wed, 03 Sep 2025 02:38:00 -0700

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.

labor day - september begins

Mon, 01 Sep 2025 14:22:00 -0700

markets closed.

labor day monday. first one as a married guy.

the plan for september
#

vacation clarity still hitting different.

august wrap - vacation month +1.06%, ytd +10.20%

Sun, 31 Aug 2025 23:48:00 -0700

august done.

vacation month.

lower gains. zero regrets.

august final numbers
#

starting (aug 1): $477,040

ending (aug 31): $482,100

vacation algo management - what i learned from 8 days offline

Wed, 27 Aug 2025 02:38:00 -0700

took 8 days completely offline.

first time since 2020.

what I found was about managing algos during vacation.

the pre-vacation protocol
#

T-5 days: stop opening new positions >5 DTE

week 3 august review - back to trading post-vacation

Sun, 24 Aug 2025 02:24:00 -0700

first full week back.

easing into it.

feels different after the break.

week 3 numbers
#

starting (aug 18): $478,420

market catchup - what i missed during 8 days offline

Mon, 18 Aug 2025 02:34:00 -0700

finally looked at charts.

markets didn’t care that I was gone.

what happened aug 9-16
#

SPX: opened 5,482, closed 5,519 (+0.67%)

back from cruise - best week of my life

Sun, 17 Aug 2025 23:52:00 -0700

back.

that was incredible.

best week of my life.

the ship
#

virgin voyages scarlet lady is something else.

the surprise reveal - 7 nights southern caribbean

Thu, 07 Aug 2025 23:48:00 -0700

told A. tonight.

her face.

worth every dollar.

the setup
#

been planning this for two months.

7-night southern caribbean cruise.

week 1 august review - short week, preparing for offline

Sun, 03 Aug 2025 02:22:00 -0700

week 1 done.

short trading week.

preparing for complete disconnect next week.

week 1 numbers
#

starting (aug 1): $477,040

week 1 august - final summer month begins

Fri, 01 Aug 2025 02:18:00 -0700

august starts.

final summer month.

have a surprise planned for A. this month.

august 1 setup
#

account: $477,040

july wrap - summer month target hit +1.62%, ytd +9.12%

Thu, 31 Jul 2025 23:52:00 -0700

july done.

target hit.

second married month complete.

july final numbers
#

starting (jul 1): $469,440

ending (jul 31): $477,040

week 4 july review - survived earnings week

Sun, 27 Jul 2025 02:16:00 -0700

week 4 done.

earnings week survived.

conservative approach paid off.

week 4 numbers
#

starting (jul 21): $474,920

earnings volatility - how my algos adapt to quarterly chaos

Thu, 24 Jul 2025 02:42:00 -0700

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

week 3 july review - steady summer progress

Sun, 20 Jul 2025 02:24:00 -0700

week 3 done.

steady progress.

summer grinding continues.

week 3 numbers
#

starting (jul 14): $472,940

ending (jul 20): $474,920

marriage month three - the weight of providing

Thu, 17 Jul 2025 23:48:00 -0700

three months married.

something shifted.

the realization
#

watching A. work at her desk yesterday.

she’s building a career. making her own money. independent as hell.

week 2 july review - volume recovering, solid week

Sun, 13 Jul 2025 02:18:00 -0700

week 2 done.

volume recovered post-holiday.

solid gains.

week 2 numbers
#

starting (jul 7): $470,680

ending (jul 13): $472,940

order flow analysis - adapting strategies for summer thin volume

Thu, 10 Jul 2025 02:38:00 -0700

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

week 1 july review - holiday week, modest gains

Sun, 06 Jul 2025 02:22:00 -0700

week 1 done.

holiday week complete.

modest gains as expected.

week 1 numbers
#

starting (jul 1): $469,440

birthday - 22, first one married

Fri, 04 Jul 2025 23:42:00 -0700

22 today.

first birthday married.

markets closed.

the morning
#

woke up to A. already awake, watching me.

week 1 july - summer mode continues, first trades of the month

Tue, 01 Jul 2025 02:14:00 -0700

july starts.

second married month begins.

summer mode engaged.

july 1 setup
#

account: $469,440

ytd: +$31,640 (+7.22%)

june wrap - target hit +1.99%, first full married month, ytd +7.22%

Mon, 30 Jun 2025 23:48:00 -0700

june done.

target hit.

first full month married.

june final numbers
#

starting (june 1): $460,260

ending (june 30): $469,440

week 4 june - target hit, strong finish +$1,980

Sat, 28 Jun 2025 02:16:00 -0700

week 4 june done.

target hit.

strong finish.

week 4 numbers
#

starting (june 23): $467,460

ending (june 28): $469,440

chicago colocation 18 months - ROI analysis and lessons

Thu, 26 Jun 2025 02:28:00 -0700

18 months with chicago colo.

time for ROI analysis.

the setup recap
#

december 2023: deployed chicago colo

backtrader vs vectorbt - python backtesting framework deep comparison

Tue, 24 Jun 2025 02:42:00 -0700

use both backtrader and vectorbt.

here’s when to use each.

quick verdict
#

backtrader: event-driven, realistic simulation, slower

week 3 june review - approaching target +$2,180

Sun, 22 Jun 2025 02:24:00 -0700

week 3 june done.

approaching target.

week 3 numbers
#

starting (june 16): $465,280

ending (june 22): $467,460

prop firm evaluations for algo traders - honest guide 2025

Fri, 20 Jun 2025 02:38:00 -0700

been asked about prop firms a lot lately.

here’s my honest take for algo traders specifically.

my situation
#

why i don’t use prop firms:

A's birthday surprise - spa day and sunset dinner

Wed, 18 Jun 2025 23:52:00 -0700

A. turned 24 today.

pulled off the surprise.

the plan
#

started planning 3 weeks ago.

she mentioned wanting a spa day “eventually.”

week 2 june review - consistency continues +$2,340

Sun, 15 Jun 2025 02:18:00 -0700

week 2 june done.

consistency continues.

week 2 numbers
#

starting (june 9): $462,940

ending (june 15): $465,280

two years since meeting A. - coffee shop anniversary

Fri, 13 Jun 2025 23:45:00 -0700

2 years ago today.

june 13, 2023.

coffee shop in la jolla.

she was coding a python data pipeline.

i was the idiot who interrupted her.

the timeline
#

june 13, 2023: met at coffee shop

position sizing with kelly criterion - python implementation

Tue, 10 Jun 2025 02:34:00 -0700

rebuilt my position sizing engine last weekend.

kelly criterion with practical modifications.

the problem
#

old approach:

fixed 2% risk per trade.

week 1 june review - strong start +$2,680

Sun, 08 Jun 2025 02:22:00 -0700

week 1 june done.

strong start.

week 1 numbers
#

starting (june 1): $460,260

ending (june 8): $462,940

thetadata review - options greeks data for algo trading

Thu, 05 Jun 2025 02:45:00 -0700

been using thetadata for 8 months now.

here’s the real review for options algo traders.

what is thetadata
#

options-focused market data provider.

week 1 june - first full trading month since wedding

Mon, 02 Jun 2025 02:18:00 -0700

june starts.

first full trading month since wedding.

no pauses planned.

monday june 2 (day 1)
#

trades: 3

may wrap - first month married, +0.84% modest gains, 12 days paused

Sat, 31 May 2025 23:52:00 -0700

may done.

first month married.

modest gains given pause.

may final numbers
#

starting (may 1): $456,420

ending (may 31): $460,260

three weeks married - observations from the other side

Thu, 29 May 2025 23:48:00 -0700

3 weeks married.

observations from the other side.

what changed
#

legally: everything

married filing jointly.

beneficiary updates.

vectorbt vs backtrader - python backtesting framework comparison 2025

Wed, 28 May 2025 02:22:00 -0700

been using both for 2+ years.

here’s when to use each.

quick verdict
#

vectorbt: fast parameter sweeps, simple strategies

redis caching optimization - 40% latency reduction for market data

Tue, 27 May 2025 02:44:00 -0700

optimized redis caching during honeymoon downtime review.

40% latency improvement.

the problem
#

before optimization:

market data fetch: 180ms avg

week 2 return - full size operations resume, +$2,340

Mon, 26 May 2025 01:52:00 -0700

full size back.

second week trading.

conditions still favorable.

the week
#

monday may 19: rest day (returned from honeymoon)

coinbase advanced vs kraken - python API comparison for algo trading

Sat, 24 May 2025 02:34:00 -0700

been using both coinbase and kraken for 2+ years.

here’s the real comparison for algo traders.

quick verdict
#

coinbase advanced: better for fiat on/off ramp, simpler API

first week back - easing in post-honeymoon, +$1,280

Thu, 22 May 2025 02:08:00 -0700

first week back trading.

easing in.

small gains.

the resume
#

monday may 19: rest day, market review only

back from honeymoon - married life begins for real

Mon, 19 May 2025 23:42:00 -0700

home.

honeymoon over.

married life begins.

landing (sunday 4pm san diego)
#

5 hour flight felt longer than the whole trip.

honeymoon maui - halfway through, disconnected bliss

Thu, 15 May 2025 21:18:00 -1000

halfway through honeymoon.

maui is paradise.

A. is my wife.

still weird to say.

the resort
#

four seasons wailea.

we got married - best day of my life

Sun, 11 May 2025 02:24:00 -1000

married.

A. is my wife.

best day of my life.

saturday may 10, 2025
#

4:03pm: she walked down the aisle.

rehearsal dinner - last night technically single

Fri, 09 May 2025 23:48:00 -0700

rehearsal done.

dinner done.

tomorrow we get married.

rehearsal (5pm)
#

venue: beach point, la jolla

weather: 72°, light breeze, perfect

five days out - final countdown, serenity weird

Mon, 05 May 2025 01:42:00 -0700

5 days.

wedding saturday.

weirdly calm.

monday night (may 5) - final week begins
#

A.: “we’re getting married in 5 days.”

pre-wedding pause - algos offline until may 20, capital protected

Fri, 02 May 2025 02:15:00 -0700

algos offline.

wedding 8 days out.

capital protected.

the decision
#

paused all strategies may 1.

manual override on everything.

april wrap - recovery complete +2.18%, wedding 10 days, ytd on track

Wed, 30 Apr 2025 23:54:00 -0700

april done.

recovery month confirmed.

march disaster erased.

april final numbers
#

starting (apr 1): $446,688

ending (apr 30): $456,420

pre-wedding nerves - 2 weeks out, reality hitting, ready but scared

Sun, 27 Apr 2025 02:18:00 -0700

wedding may 10.

13 days out.

nerves hitting.

saturday night (april 26) - seating chart stress
#

A. and i spent 6 hours on seating chart:

week 3 april - consistency continues, wedding 2 weeks out

Thu, 24 Apr 2025 20:52:00 -0700

week 3 april done.

third consecutive winning week.

wedding 16 days out.

week 3 results
#

starting (apr 21): $455,200

bachelor party weekend - strip club, came home horny, A took care of me

Sun, 20 Apr 2025 02:31:00 -0700

wedding may 10.

3 weeks out.

bachelor party this weekend.

friday night (april 18) - gaslamp + strip club
#

the crew:

kraken vs coinbase - crypto algo trading python API comparison 2025

Thu, 17 Apr 2025 03:14:00 -0700

been using both for 2 years.

kraken for serious trading.

coinbase for fiat onramp.

time for comparison.

my setup
#

kraken:

bachelorette party weekend - A in wine country, trading alone, trust working

Sun, 13 Apr 2025 01:55:00 -0700

wedding may 10.

4 weeks out.

A’s bachelorette party this weekend.

the weekend plan
#

friday-saturday (april 11-12):

mid-april check - recovery on track, +1.2% ytd, wedding 4 weeks

Thu, 10 Apr 2025 22:08:00 -0700

april halfway done.

recovery month confirmed.

conditions stable.

mid-april numbers
#

starting (apr 1): $446,688

current (apr 10): $451,860

week 1 april - recovery starting, VIX normalizing, wedding 5 weeks

Sun, 06 Apr 2025 21:43:00 -0700

april begins.

march disaster behind.

VIX normalizing.

week 1 results
#

starting (apr 1): $446,688

ending (apr 6): $448,520

march wrap - losing month -2.10%, lessons learned, wedding 5 weeks

Mon, 31 Mar 2025 23:48:00 -0800

march done.

second losing month in 15 months.

lessons expensive but learned.

march final numbers
#

starting (mar 1): $456,270

pre-month-end reality - accepting losing month, variance is normal

Sat, 29 Mar 2025 22:16:00 -0800

march ends monday.

losing month confirmed.

accepting variance.

current state (2 days left)
#

starting (mar 1): $456,270

VIX spike trading pause - lessons from march disaster, when to stop

Thu, 27 Mar 2025 03:44:00 -0800

march taught expensive lesson.

VIX spike = full stop.

cost $9,582 to learn.

what i knew before march
#

old rule:

week 4 march - mostly paused, capital protected, wedding 6 weeks

Sun, 23 Mar 2025 21:55:00 -0800

week 4 march done.

mostly paused.

capital protected.

week 4 results
#

starting (mar 17): $449,580

ending (mar 23): $448,860

regime detection filter - why it failed march, python implementation fix

Wed, 19 Mar 2025 03:12:00 -0800

march disaster taught lesson.

regime detection lagged.

cost $6,690 before pausing.

fixing implementation.

what went wrong
#

my current filter:

mid-march reality check - losing month confirmed, protecting capital

Sun, 16 Mar 2025 22:41:00 -0800

march halfway done.

losing month confirmed.

protecting capital priority.

mid-march numbers
#

starting (mar 1): $456,270

current (mar 16): $449,580

wedding rings shopping - final details locked, 6 weeks countdown stress

Fri, 14 Mar 2025 02:09:00 -0800

wedding may 10.

6 weeks out.

wedding rings purchased.

stress accelerating.

the rings
#

tuesday (mar 11):

A. and i drove to jewelry store la jolla.

tastyworks vs interactive brokers - python algo trader comparison 2025

Wed, 12 Mar 2025 02:35:00 -0800

been using both for 18 months.

time for honest comparison.

python automation perspective.

my setup
#

tastyworks:

options trading (premium selling).

week 2 march - losses mounting, regime shift detected

Sun, 09 Mar 2025 23:08:00 -0800

week 2 march done.

second consecutive losing week.

regime shifted.

week 2 results
#

starting (mar 3): $455,180

polygon.io vs alpha vantage - python algo data feeds comparison 2025

Fri, 07 Mar 2025 01:28:00 -0800

been using both for 2 years.

polygon primary, alpha vantage backup.

time for honest comparison.

my setup
#

polygon.io:

bachelor party planning - friends organizing chaos, 8 weeks to wedding

Wed, 05 Mar 2025 01:47:00 -0800

wedding may 10.

8 weeks out.

friends planning bachelor party.

this is getting real.

the group text chaos
#

tuesday night (mar 4):

week 1 march - cautious start, watching conditions

Sun, 02 Mar 2025 22:14:00 -0800

march begins.

wedding 9 weeks out.

conditions shifting.

week 1 results
#

starting (mar 1): $456,270

ending (mar 2): $455,180

reflections - sustainable trading, life balance, wedding countdown

Fri, 28 Feb 2025 23:59:00 -0800

end of february.

reflecting on sustainable trading.

life balance.

what’s working
#

trading:

consistent monthly gains (jan +2.18%, feb +1.99%).

february wrap - target hit, +1.99% sustainable pace, wedding 2.5 months

Fri, 28 Feb 2025 23:52:00 -0800

february done.

target hit mid-range.

wedding 71 days out.

february final numbers
#

starting (feb 1): $447,350

ending (feb 28): $456,270

honeymoon planning - maui 7 days booked, post-wedding escape

Thu, 27 Feb 2025 02:14:00 -0800

honeymoon flights booked.

maui 7 days.

post-wedding escape planned.

flights confirmed
#

depart: may 11, 2025 (day after wedding)

data pipeline - real-time market data with python and redis

Wed, 26 Feb 2025 02:38:00 -0800

real-time data = critical for algo trading.

redis = in-memory cache for speed.

python pipeline implementation.

the latency problem
#

pulling data every request:

week 4 february - final push, presidents day light volume

Sun, 23 Feb 2025 04:17:00 -0800

week 4 february done.

final push toward month-end.

presidents day light volume.

week 4 performance
#

trades: 7

wins: 5

wedding planning - rehearsal dinner venue booked, 77 days out

Fri, 21 Feb 2025 01:58:00 -0800

rehearsal dinner venue booked.

77 days until wedding.

planning accelerating.

venue selected
#

location: scripps seaside forum (la jolla)

risk management - position sizing with kelly criterion in python

Wed, 19 Feb 2025 03:12:00 -0800

position sizing = most important part of algo trading.

kelly criterion = mathematically optimal.

python implementation.

the problem
#

fixed position sizing:

week 3 february - post-valentine trading, consistency maintained

Sun, 16 Feb 2025 03:51:00 -0800

week 3 february done.

post-valentine trading.

paused friday for A.

week 3 performance
#

trades: 6

wins: 4

losses: 2

win rate: 67%

valentine's day - spa day for A., she deserves everything

Fri, 14 Feb 2025 23:47:00 -0800

valentine’s day.

first one engaged.

made it all about A.

the plan
#

her day, not mine:

full spa package.

mid-month february - on pace for +2% target, conditions stable

Wed, 12 Feb 2025 04:32:00 -0800

mid-month february.

halfway check.

on pace for target.

mid-month performance
#

account feb 1: $447,350

account feb 12: $451,850

week 2 february - building consistency, valentine's prep

Sun, 09 Feb 2025 04:05:00 -0800

week 2 february done.

consistency building.

valentine’s day coming.

week 2 performance
#

trades: 9

wins: 7

losses: 2

win rate: 78%

therapy - wedding stress, A's growth, relationship solid

Fri, 07 Feb 2025 01:41:00 -0800

therapy friday.

wedding stress increasing.

A’s growth.

session (feb 7, 1pm)
#

dr. r: “wedding 3 months out. stress level?”

backtesting framework - vectorbt for fast parameter testing at scale

Wed, 05 Feb 2025 02:51:00 -0800

vectorbt = game changer for parameter testing.

10x faster than backtrader.

vectorized operations instead of event-driven.

the speed problem
#

traditional backtesting:

week 1 february - clean start, normal conditions continuing

Sun, 02 Feb 2025 04:23:00 -0800

week 1 february done.

clean start to new month.

normal conditions continuing.

week 1 performance
#

trades: 7

wins: 5

january wrap - target hit, +2.18% sustainable start to 2025

Fri, 31 Jan 2025 23:56:00 -0800

january done.

2025 started.

target hit.

sustainable approach validated.

january final numbers
#

starting (jan 1): $437,800

ending (jan 31): $447,350

week 4 january - final push before month-end, earnings pause executed

Sun, 26 Jan 2025 04:19:00 -0800

week 4 january.

final push toward month-end.

earnings pause executed wednesday-thursday.

week 4 performance
#

trades: 7

wins: 5

losses: 2

interactive brokers - 2 years review from algo trader perspective

Thu, 23 Jan 2025 02:34:00 -0800

2 years with Interactive Brokers as primary broker.

time for honest review.

python algo trading perspective.

why IB for algo trading
#

chose IB january 2023 for 3 reasons:

week 3 january - consistency maintained, earnings volatility arriving

Sun, 19 Jan 2025 03:41:00 -0800

week 3 january done.

consistency maintained.

earnings volatility starting.

week 3 performance
#

trades: 6

wins: 4

losses: 2

win rate: 67%

mid-month check - on pace for +2.2% target, conditions stable

Fri, 17 Jan 2025 04:08:00 -0800

mid-month january.

halfway point check.

on pace for target.

mid-month performance
#

account jan 1: $437,800

account jan 17: $443,560

wedding planning stress - A's mom vs our beach vibe vision

Wed, 15 Jan 2025 01:23:00 -0800

wedding may 2025.

3.5 months out.

planning chaos accelerating.

A’s mom has opinions.

the vision clash
#

our plan:

week 2 january - building momentum, consistency over home runs

Sun, 12 Jan 2025 03:55:00 -0800

week 2 january done.

consistency building.

no home runs, just base hits.

week 2 performance
#

trades: 8

wins: 6

parameter tuning - avoiding overfitting with walk-forward validation

Thu, 09 Jan 2025 02:48:00 -0800

parameter optimization = dangerous.

easy to overfit historical data.

walk-forward validation = solution.

the overfitting problem
#

traditional optimization:

week 1 january - modest start, normal conditions returning

Sun, 05 Jan 2025 04:12:00 -0800

week 1 january done.

modest start.

conditions normalizing post-holidays.

week 1 performance
#

trades: 7

wins: 5

losses: 2

win rate: 71%

new year trading restart - clean slate, zero pressure

Thu, 02 Jan 2025 03:27:00 -0800

2025 begins.

december losing month behind.

annual 2024 +19.55% locked.

clean slate.

2024 final scorecard
#

starting (jan 1, 2024): $366,200

2024 year-end review - transformation complete, wedding ahead

Wed, 01 Jan 2025 02:34:00 -0800

2024 complete.

transformation year.

looking back, looking forward.

the numbers - 2024 annual
#

starting balance (jan 1): $366,200

december wrap - first losing month since 2023, annual still standout

Tue, 31 Dec 2024 23:58:00 -0800

december done.

2024 done.

first losing month since learning.

annual still notable.

december final numbers
#

starting (dec 1): $446,100

week 5 new year's - final week 2024, small loss, year ends strong

Mon, 30 Dec 2024 23:41:00 -0800

final week 2024 done.

new year’s approaching.

year ends strong despite december.

week 5 numbers
#

starting (dec 30): $439,920

week 4 christmas - small loss, selective execution, family time

Fri, 27 Dec 2024 23:52:00 -0800

christmas week done.

paused dec 24-26 as planned.

small loss acceptable.

week 4 numbers
#

starting (dec 23): $441,180

christmas week pause - family time with A's family

Sat, 21 Dec 2024 11:17:00 -0800

pausing trading christmas week.

spending time with A’s family.

first real christmas since mine died.

trading pause plan
#

pausing:

week 3 december - third consecutive losing week, december officially rough

Tue, 17 Dec 2024 23:34:00 -0800

week 3 done.

third consecutive losing week.

december officially rough month.

week 3 numbers
#

starting (dec 16): $443,520

christmas shopping with A., wedding stress building

Sat, 14 Dec 2024 17:22:00 -0800

christmas shopping today.

wedding stress building.

interesting contrast in priorities.

today’s mall trip
#

A.’s shopping list:

gifts for her parents ($400 budget).

week 2 december - second losing week, variance continuing

Tue, 10 Dec 2024 23:48:00 -0800

week 2 done.

second consecutive losing week.

variance normalizing hard.

week 2 numbers
#

starting (dec 9): $445,280

year-end portfolio rebalance - reducing crypto exposure

Sat, 07 Dec 2024 14:32:00 -0800

rebalancing for 2025.

reducing crypto allocation.

more conservative positioning.

current allocation (november)
#

options: 60% ($267,660)

SPX puts, QQQ calls, sector ETFs.

week 1 december - slow holiday start, first small loss

Tue, 03 Dec 2024 02:17:00 -0800

december week 1 done.

first losing week in 5 weeks.

variance returning as expected.

week 1 numbers
#

starting (dec 1): $446,100

november wrap - flat month, discipline maintained, ytd above target

Sat, 30 Nov 2024 23:51:00 -0800

november done.

flat month executed.

ytd cushion protected.

november final numbers
#

starting (nov 1): $444,780

ending (nov 30): $446,100

thanksgiving family changings - first holiday since parents died

Thu, 28 Nov 2024 01:39:00 -0800

thanksgiving with A’s family done.

first real family holiday since parents died.

processing.

thursday november 21 - the dinner
#

A’s family:

week 5 november - post-thanksgiving recovery

Sun, 24 Nov 2024 01:55:00 -0800

thanksgiving done.

back to trading.

final week november.

week 5 post-thanksgiving
#

mon nov 25: +$120, 1 trade, 100% wr

thanksgiving week - pause, family time approaching

Thu, 21 Nov 2024 02:22:00 -0800

thanksgiving week here.

pausing wed-fri.

not interested in holiday volume lottery.

week 4 pre-thanksgiving
#

mon nov 18: +$160, 1 trade, 100% wr

slippage correlation volume deep dive - data analysis

Tue, 19 Nov 2024 02:35:00 -0800

slippage been great november.

wanted to understand why.

data analysis time.

november slippage performance
#

november avg (through nov 18): 1.9 ticks

week 3 november - modest gains, consistency maintained

Sun, 17 Nov 2024 02:07:00 -0800

week 3 november done.

consistency building.

thanksgiving week next.

week 3 performance
#

tue nov 12: +$140, 1 trade, 100% wr

wedding planning stress meets trading calm

Thu, 14 Nov 2024 01:43:00 -0800

wedding planning intensity ramping.

trading calm by comparison.

interesting contrast.

this week’s planning chaos
#

tuesday (nov 12):

mid-november ytd pacing analysis

Tue, 12 Nov 2024 02:48:00 -0800

mid-november.

ytd pacing check.

december preview.

current ytd status
#

nov 12 balance: $445,620

jan 1 starting: $366,200

week 2 november - building consistency

Sun, 10 Nov 2024 02:31:00 -0800

week 2 november wrapping.

post-election momentum building.

conditions optimal.

week 2 performance
#

mon nov 11: +$180, 1 trade, 100% wr (veterans day light volume)

post-election assessment - conditions normalizing

Thu, 07 Nov 2024 01:58:00 -0800

election done.

markets adjusting.

conditions normalizing.

election week results
#

mon nov 4: paused (planned)

tue nov 5: paused (election day)

election day - pause executed

Tue, 05 Nov 2024 14:20:00 -0800

election day.

markets open.

i’m paused.

current status
#

balance: $445,200 (from fri nov 1 +$420)

today: watching, not trading

election week - pause, conservative positioning

Sun, 03 Nov 2024 02:14:00 -0800

election nov 5.

pausing trading nov 4-5.

zero interest in election volatility gambling.

week 1 november update
#

nov 1 starting balance: $444,780

october wrap - modest month, ytd management, discipline maintained

Thu, 31 Oct 2024 23:44:00 -0700

october done.

modest month exactly as targeted.

ytd management on track.

october final numbers
#

starting (oct 1): $441,660

week 4 october - modest finish, pre-election positioning

Thu, 24 Oct 2024 23:51:00 -0700

week 4 october done.

modest finish ahead of election week.

week 4 numbers
#

starting (oct 21): $443,820

week 3 october - recovery from week 2 pullback

Thu, 17 Oct 2024 02:27:00 -0700

week 3 october done.

recovery from week 2 losses.

week 3 numbers
#

starting (oct 14): $441,360

ending (oct 17): $443,820

mid-october check - ytd pacing analysis

Tue, 15 Oct 2024 02:43:00 -0700

mid-october.

time for ytd reality check.

current status (oct 15)
#

ytd: +$77,580 (+21.2%)

annual target: +15-18%

exceeded by 3.2%.

eleven months - thinking proposal seriously

Sat, 12 Oct 2024 01:52:00 -0700

11 months living with A.

november 1 is anniversary.

marriage thought no longer hypothetical.

what changed this month
#

therapy (10/9):

week 2 october - first pullback, variance demonstrated

Thu, 10 Oct 2024 23:38:00 -0700

week 2 october done.

first losing week since august.

variance reminder.

week 2 numbers
#

starting (oct 7): $443,580

adaptive position sizing - regime-based approach

Mon, 07 Oct 2024 03:15:00 -0700

position sizing makes or breaks algo trading.

been refining adaptive approach last 6 months.

finally working consistently.

the problem with static sizing
#

most algo traders:

week 1 october - post-september momentum

Thu, 03 Oct 2024 02:14:00 -0700

week 1 october done.

carrying september momentum.

week 1 numbers
#

starting (oct 1): $441,660

ending (oct 3): $443,580

september wrap - modest month, volume restored, discipline maintained

Mon, 30 Sep 2024 23:48:00 -0700

september done.

modest month as expected.

volume returned post-labor day.

september final numbers
#

starting (sep 1): $434,800

looking ahead - october expectations, realistic outcomes

Sat, 28 Sep 2024 02:28:00 -0700

september wrapping up.

october preview.

realistic expectations.

september results
#

final numbers (projected):

starting (sep 1): $434,800

ending (sep 30): ~$441,660

mid-week 4 - profitable run building, 4 straight wins

Thu, 26 Sep 2024 03:07:00 -0700

mid-week 4 update.

profitable run building.

4 straight wins.

wednesday wrap
#

trades this week: 6

wins: 5

losses: 1

current streak: 4 wins

week 4 september - finishing strong, consistent execution

Tue, 24 Sep 2024 02:51:00 -0700

week 4 done.

finishing strong.

consistent execution maintained.

week 4 numbers
#

starting (sep 23): $441,260

ending (sep 27): $443,040

mid-september check - ytd pacing analysis, target exceeded

Sat, 21 Sep 2024 03:02:00 -0700

mid-september check.

ytd pacing analysis.

target already crushed.

current status (sep 21)
#

account: $441,260

ytd gain: +$75,060 (+20.5%)

slippage analysis - chicago colo ROI validated 9 months in

Thu, 19 Sep 2024 03:14:00 -0700

9 months chicago colocation.

time for ROI analysis.

numbers validated.

recap setup
#

january 2024:

installed dedicated server chicago via colo provider.

week 3 september - consistency building, volume holding

Tue, 17 Sep 2024 02:38:00 -0700

week 3 done.

consistency maintained.

volume holding steady.

week 3 numbers
#

starting (sep 16): $439,840

ending (sep 20): $441,260

ten months - routine locked, marriage thought persistent

Sat, 14 Sep 2024 01:47:00 -0700

10 months living with A.

november 1 was move-in day.

thought she’d last 3 months max.

what’s locked
#

daily routine:

regime detection - walk-forward validation improving accuracy

Thu, 12 Sep 2024 02:56:00 -0700

regime detection upgraded.

walk-forward validation running.

accuracy improving.

the problem
#

static regime parameters:

optimized on historical data.

week 2 september - momentum confirmed, volume sustained

Tue, 10 Sep 2024 02:22:00 -0700

week 2 done.

momentum confirmed.

volume sustained post-labor day.

week 2 numbers
#

starting (sep 9): $437,000

ending (sep 13): $439,840

volume returning - post-labor day pickup confirmed

Sat, 07 Sep 2024 02:41:00 -0700

friday volume spike.

traders back from vacation.

september momentum building.

friday performance
#

trades: 3

wins: 2

losses: 1

pnl: +$1,180

week 1 september - slow start post-labor day

Tue, 03 Sep 2024 02:14:00 -0700

week 1 september done.

slow start expected.

labor day week = low participation.

week 1 numbers
#

starting (sep 1): $434,800

august wrap - summer slowest month, survival confirmed, discipline maintained

Sat, 31 Aug 2024 23:55:00 -0700

august done.

summer slowest month confirmed.

survival = success.

august final numbers
#

starting (aug 1): $433,900

ending (aug 31): $434,800

late august consolidation - preparing for september transition

Tue, 27 Aug 2024 02:40:00 -0700

5 days left in august.

september transition coming.

time to consolidate.

august final week forecast
#

current (aug 27): $434,800

looking ahead - september expectations, post-summer reset

Sat, 24 Aug 2024 03:05:00 -0700

august almost done.

september starts next week.

time to set expectations.

what august taught
#

1. volume drives everything

week 4 august - improvement, volume stabilizing

Thu, 22 Aug 2024 02:50:00 -0700

week 4 august done.

best week of month.

volume stabilizing.

week 4 numbers
#

starting (aug 19): $434,380

week 3 august - grinding through summer lull, modest persistence

Mon, 19 Aug 2024 21:30:00 -0700

week 3 august done.

summer grind continues.

volume still garbage.

week 3 numbers
#

starting (aug 19): $434,540

relationship thought experiment - what if we break up

Sat, 17 Aug 2024 14:15:00 -0700

saturday afternoon.

A. out with friends.

me alone thinking.

the thought experiment
#

question:

what if A. and i break up?

regime detection filtering framework - how i adapt to market conditions

Wed, 14 Aug 2024 05:30:00 -0700

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.

mid-august check - patience tested, discipline holding

Mon, 12 Aug 2024 03:20:00 -0700

mid-august.

halfway through slowest month.

patience tested.

august so far (12 days)
#

starting (aug 1): $433,900

current (aug 12): $434,340

9 months living together - routine locked, marriage thoughts persistent

Sat, 10 Aug 2024 15:45:00 -0700

9 months living with A.

november 1 to august 10.

routine completely locked.

daily pattern (weekdays)
#

10am: wake up together.

chicago colocation - summer value analysis, cost vs benefit

Thu, 08 Aug 2024 04:15:00 -0700

august slippage brutal.

made me appreciate chicago colocation. been worth every dollar.

the numbers
#

colocation cost:

$450/month datacenter

week 2 august - first losing week, volume crash

Tue, 06 Aug 2024 02:45:00 -0700

week 2 august done.

first losing week since may.

volume crash worst all year.

week 2 numbers
#

starting (aug 5): $434,280

week 1 august - slowest summer month begins, modest start

Sat, 03 Aug 2024 22:15:00 -0700

week 1 august done.

summer slowest month confirmed.

volume brutal.

week 1 numbers
#

starting (aug 1): $433,900

july wrap - modest summer month, discipline through variance

Tue, 30 Jul 2024 23:42:00 -0700

july done.

modest summer month.

discipline maintained through variance.

july final numbers
#

starting (july 1): $431,180

ending (july 31): $433,900

week 4 july - finishing modest summer month, consistency maintained

Mon, 22 Jul 2024 03:08:00 -0700

week 4 july done.

finishing modest summer month.

consistency maintained despite conditions.

week 4 trades (july 22-26)
#

monday 7/22: 2 trades, 2 wins. +$680

week 3 july - modest recovery, conditions stabilizing

Mon, 15 Jul 2024 03:32:00 -0700

week 3 july done.

modest recovery from week 2 loss.

conditions stabilizing slightly.

week 3 trades (july 15-19)
#

monday 7/15: 2 trades, 2 wins. +$780

week 2 july - first losing week since may, summer vol brutal

Mon, 08 Jul 2024 02:48:00 -0700

week 2 july done.

first losing week since may.

summer volatility brutal.

week 2 trades (july 8-12)
#

monday 7/8: 2 trades, 0 wins. -$880

22 - best birthday wakeup ever, might marry this girl

Thu, 04 Jul 2024 14:30:00 -0700

woke up at 11am.

hands tied to headboard.

A. between my legs going down on me.

best fucking birthday ever.

how it started
#

didn’t know she tied me up.

week 1 july - slow start, summer conditions setting in

Mon, 01 Jul 2024 03:15:00 -0700

week 1 july done.

slow start.

summer conditions = lower volume.

week 1 trades (july 1-5)
#

monday 7/1: 2 trades, 1 win. +$340

june wrap - modest month, variance demonstrated, discipline maintained

Sun, 30 Jun 2024 22:58:00 -0700

june done.

modest month as expected.

variance demonstrated perfectly.

june final numbers
#

starting (june 1): $422,860

ending (june 30): $431,180

week 4 june - recovery from week 3 pullback, VIX normalized

Mon, 24 Jun 2024 03:22:00 -0700

week 4 june done.

recovery from week 3 pullback.

VIX normalized, back to optimal range.

week 4 trades (june 24-28)
#

monday 6/24: 2 trades, 2 wins. +$840

birthday approaching - 21 to 22, different year from last

Sat, 22 Jun 2024 21:38:00 -0700

july 4 coming up.

turn 22.

different from last year.

last year (july 4, 2023)
#

turned 21.

week 3 june - slight pullback, normal variance after 2 strong weeks

Mon, 17 Jun 2024 02:44:00 -0700

week 3 june done.

slight pullback.

normal variance after 2 strong weeks.

week 3 trades (june 17-21)
#

monday 6/17: 2 trades, 1 win. +$260

mid-june wrap - first half review, on track for modest month

Fri, 14 Jun 2024 23:47:00 -0700

half of june done.

on track for modest month.

exactly as expected.

first half june performance
#

week 1 (june 3-7): +$2,040

walk-forward optimization - how i avoid overfitting my strategies

Wed, 12 Jun 2024 02:53:00 -0700

overfitting = #1 way algos fail in production.

backtest looks amazing.

live trading implodes.

walk-forward optimization prevents this.

been discussing validation techniques on NexusFi algo trading threads and walk-forward is the gold standard.

week 2 june - continuing modest trend, conditions stable

Mon, 10 Jun 2024 03:18:00 -0700

week 2 june done.

continuing modest trend.

stable conditions = consistent execution.

week 2 trades (june 10-14)
#

monday 6/10: 2 trades, 2 wins. +$920

seven months living together - routine locked, works perfectly

Sat, 08 Jun 2024 22:15:00 -0700

living with A. 7 months now.

routine completely locked.

works perfectly.

the daily schedule
#

10:00am: wake up

chicago colocation - 67ms to 12ms latency improvement, worth the cost

Thu, 06 Jun 2024 23:42:00 -0700

moved execution server to chicago colo march 2024.

3 months data in.

latency dropped 67ms → 12ms average.

why chicago
#

CME exchange location: chicago

week 1 june - modest start, realistic expectations after may flat

Mon, 03 Jun 2024 02:31:00 -0700

week 1 june done.

modest start.

exactly what expected after may flat.

week 1 trades (june 3-7)
#

monday 6/3: no trades (memorial day)

may wrap - variance accepted, discipline maintained after april high

Sun, 26 May 2024 23:18:00 -0700

may done.

flat month after strong april.

variance accepted.

may final numbers
#

starting (may 1): $419,360

ending (may 31): $422,860

mall dressing rooms - how many before getting caught (almost found out at macys)

Tue, 21 May 2024 23:42:00 -0700

mall during the day is dead.

ghost town.

A. made it into a game.

the discovery (2 weeks ago)
#

saturday afternoon.

week 4 may - modest recovery as conditions improve

Sat, 18 May 2024 03:08:00 -0700

week 4 may done.

conditions improved.

modest recovery.

week 4 trades (may 20-24)
#

monday 5/20: 2 trades, 2 wins. +$780

mid-may check - variance is reality, not failure

Wed, 15 May 2024 02:56:00 -0700

mid-may.

time for reality check.

variance is normal.

may performance (so far)
#

week 1: +$80 (44% wr)

circuit breaker protocol - knowing when to pause trading saves accounts

Tue, 14 May 2024 23:48:00 -0700

paused trading today.

circuit breaker triggered.

this rule saved my account in sept 2023.

saving it again now.

what is a circuit breaker
#

trading rule that forces pause after consecutive losses.

week 3 may - first losing week 2024, discipline tested

Sun, 12 May 2024 03:24:00 -0700

week 3 may done.

first losing week 2024.

discipline tested.

week 3 trades (may 13-17)
#

monday 5/13: 2 trades, 0 wins. -$880

six months with A. - therapy breakthrough about attachment

Thu, 09 May 2024 22:36:00 -0700

met A. june 13, 2023.

today may 9, 2024.

11 months together.

6 months living together (nov 1).

therapy session revealed something.

therapy thursday (5/9)
#

dr. r: “almost a year with A. how’s it feel?”

filtering aggressively in high vol - survival mode not growth mode

Tue, 07 May 2024 03:12:00 -0700

week 2 may.

VIX still elevated.

aggressive filtering required.

current market conditions
#

VIX range: 19-26 this week

week 1 may - reality check, flat start after april high

Fri, 03 May 2024 02:44:00 -0700

week 1 may done.

reality check arrived.

april won’t repeat.

week 1 trades (apr 29 - may 3)
#

monday 4/29: market closed (observed holiday)

may preview - realistic expectations after impressive april

Tue, 30 Apr 2024 02:18:00 -0700

may starts tomorrow.

after crushing april.

realistic expectations required.

april recap
#

+$23,460 (+5.9%)

74% win rate

53 trades

april wrap - strong month, strategy validation complete

Sun, 28 Apr 2024 23:24:00 -0700

april done.

strong month.

strategy validation complete.

april final numbers
#

starting (apr 1): $395,900

ending (apr 30): $419,360

week 4 april - finishing month strong, staying disciplined

Fri, 26 Apr 2024 02:36:00 -0700

week 4 april done.

month wrapping up.

staying disciplined.

week 4 trades (apr 22-26)
#

monday 4/22: 2 trades, 2 wins. +$1,640

five months living together - this actually works

Tue, 23 Apr 2024 22:48:00 -0700

moved in november 1.

today april 23.

5.5 months living together.

works.

what therapy revealed (tuesday 4/23)
#

dr. r: “almost 6 months living together. how’s it going?”

week 3 april - stability maintained at full size

Sun, 21 Apr 2024 03:08:00 -0700

week 3 april done.

third week at full size $1,500.

stability holding.

week 3 trades (apr 15-19)
#

monday 4/15: 2 trades, 2 wins. +$1,560

regime detection improvements - faster market adaptation working

Thu, 18 Apr 2024 02:54:00 -0700

week 3 april going strong.

adaptive strategy crushing it.

been refining regime detection logic.

current performance (apr 1-17)
#

trades: 29

full size first week - validation complete

Sun, 14 Apr 2024 03:22:00 -0700

week 2 april done.

first full week at $1,500 size.

validation complete.

week 2 trades (apr 8-12)
#

monday 4/8: 3 trades, 2 wins. +$1,840

ramping to full size - confidence building week by week

Sun, 07 Apr 2024 02:48:00 -0700

first week april done.

ramping to full size.

confidence building.

week 1 april trades (apr 1-5)
#

monday 4/1: 3 trades, 2 wins. +$520 ($800 size)

march wrap - testing month, foundation built for Q2

Sun, 31 Mar 2024 23:12:00 -0700

march done.

testing month complete.

foundation built for Q2.

march final numbers
#

starting (mar 1): $394,800

ending (mar 31): $395,900

week 3 march - still testing, patience required

Thu, 21 Mar 2024 02:52:00 -0700

week 3 march done.

still testing adaptive strategy.

patience required.

week 3 trades (mar 18-22)
#

monday 3/18: 2 trades, 1 win. +$140

adaptive strategy testing - mixed results, learning curve

Tue, 12 Mar 2024 03:15:00 -0700

week 1-2 march testing.

adaptive strategy live.

mixed results.

testing approach
#

week 1 (mar 4-8):

paper trading only.

strategy overhaul - adapting algos to new market regime

Sun, 03 Mar 2024 02:28:00 -0800

february crushed my strategies.

mean reversion dropped from 81% to 57% win rate.

market regime changed.

strategies need to adapt.

been discussing regime adaptation on r/algotrading. other algo traders dealing with same shit.

february wrap - choppy month, reality check after january high

Thu, 29 Feb 2024 22:58:00 -0800

february done.

reality check month.

january impressive performance won’t repeat.

february final numbers
#

starting (feb 1): $393,400

weeks 2-3 february - struggling, strategy adjustment needed

Wed, 21 Feb 2024 03:42:00 -0800

weeks 2-3 february rough.

strategies not working.

market regime shifted.

weeks 2-3 trades (feb 8-16, feb 20-21)
#

week 2 (feb 8-14):

valentine's day - trading and living with someone who gets it

Wed, 14 Feb 2024 23:15:00 -0800

valentine’s day.

first one living with someone.

first one that didn’t feel forced.

morning (6:30am)
#

woke up 4am as usual.

polygon.io vs alpha vantage - which data feed for algo trading

Sun, 11 Feb 2024 02:47:00 -0800

data feeds = foundation of algo trading.

garbage data = garbage trades.

i’ve used both polygon.io and alpha vantage extensively.

spent months researching data feeds when i started trading. NexusFi community helped narrow down options to these two.

first week february - choppy conditions, tighter risk

Wed, 07 Feb 2024 03:18:00 -0800

first week february done.

choppy as expected.

tighter risk working.

week 1 february trades (feb 1-2, 5-7)
#

thursday 2/1: 2 trades, 1 win. +$480

backtesting overfitting - how i avoid curve-fitting my algos

Sun, 04 Feb 2024 02:35:00 -0800

backtesting is where most algo traders hurt themselves.

they optimize parameters until strategy looks perfect on historical data.

then go live and it fails immediately.

classic overfitting.

learned this the hard way. saw countless traders on NexusFi backtesting discussions make same mistake when i joined in 2023.

january wrap - $27k month, full recovery complete

Wed, 31 Jan 2024 23:45:00 -0800

january done.

$27k month.

full recovery from september disaster complete.

january final numbers
#

starting (jan 1): $366,200

week 4 january - finishing strong, maintaining momentum

Sun, 28 Jan 2024 02:14:00 -0800

week 4 done.

finishing strong.

momentum maintained.

week 4 trades (jan 22-26)
#

monday 1/22: 4 trades, 3 wins. +$1,840

week 3 january - almost there, pushing toward $20k month

Sun, 21 Jan 2024 03:28:00 -0800

week 3 done.

almost there.

pushing toward $20k month.

week 3 trades (jan 15-19)
#

monday 1/15: market closed (MLK day)

week 2 january - consistency building, no drama

Sun, 14 Jan 2024 03:05:00 -0800

week 2 done.

consistency building.

no drama.

week 2 trades (jan 8-12)
#

monday 1/8: 3 trades, 2 wins. +$1,240

first week january - momentum back, crushing targets

Sun, 07 Jan 2024 02:42:00 -0800

first week 2024 done.

crushed it.

momentum back.

week 1 trades (jan 2-5)
#

tuesday 1/2: 3 trades, 3 wins. +$1,940

new year - fresh start, back to work

Tue, 02 Jan 2024 03:15:00 -0800

2024 started.

fresh year.

back to work.

new year’s day (jan 1)
#

market closed.

spent day with A.

december wrap - survival mode, one year later

Sun, 31 Dec 2023 22:30:00 -0800

december done.

one year since parents died.

survived.

december trading summary
#

weeks 1-3 (dec 1-23): light trading, barely functional

christmas eve weekend - barely present, just surviving

Sat, 23 Dec 2023 15:45:00 -0800

christmas eve tomorrow.

barely present.

just surviving.

christmas week trading (dec 18-22)
#

light trading all week.

results:

christmas week approaching - trading light, grief heavy

Sat, 16 Dec 2023 04:05:00 -0800

christmas week starting.

trading light.

grief heavy.

week 3 trades (dec 13-15)
#

wednesday 12/13: 2 trades, 2 wins. +$880

week 2 december - barely breakeven, mental fog increasing

Tue, 12 Dec 2023 03:18:00 -0800

week 2 december done.

barely breakeven.

mental fog increasing.

week 2 trades (dec 8-12)
#

friday 12/8: 2 trades, 1 win. +$280

therapy - processing anniversary dread and trading through grief

Thu, 07 Dec 2023 16:30:00 -0800

therapy today (thursday 12/7).

processing anniversary dread.

dr. r asked hard questions.

the session
#

dr. r: “dec 31 is 24 days away. how are you feeling?”

first week december - choppy markets, mental game harder

Tue, 05 Dec 2023 02:55:00 -0800

first week december done.

markets choppy.

mental game harder.

week 1 trades (dec 1-5)
#

friday 12/1: 2 trades, 1 win. +$140

december start - focus on maintaining not growing

Sat, 02 Dec 2023 03:42:00 -0800

december started.

recovered account.

now maintaining through holidays.

friday 12/1 trades
#

morning: 2 setups.

results:

SPX iron condor: +$620
QQQ put spread: stopped out, -$480

day total: +$140

november wrap - full recovery achieved, now what

Tue, 28 Nov 2023 03:20:00 -0800

november done.

full recovery achieved.

back to sept peak.

final week november (nov 27-28)
#

monday 11/27: 3 trades, 3 wins. +$1,420

thanksgiving - first holiday together, first holiday without them

Sat, 25 Nov 2023 16:15:00 -0800

thanksgiving done.

first holiday with A.

first holiday without parents.

different.

wednesday 11/22 - half day trading
#

morning trades: 2 setups before early close.

thanksgiving week - short schedule, staying disciplined

Tue, 21 Nov 2023 02:47:00 -0800

thanksgiving week.

short schedule.

staying disciplined.

weekend trading (sat-sun off)
#

no trades.

reflection: week 3 progress, relationship fight/resolution, risk ramp successful.

small fights - learning to share space without losing myself

Sat, 18 Nov 2023 15:40:00 -0800

been living together 18 days.

first real fight happened.

learning cohabitation isn’t autopilot.

the fight (friday night)
#

context: finished trading. account up. good week.

first day full risk - testing my psychology

Fri, 17 Nov 2023 03:08:00 -0800

ramped to 0.5% risk thursday.

first 2 days at full size.

psychology test passed.

wednesday 11/15 - final day 0.25% risk
#

trades: 2 setups, both winners

week 2 november - crushed target, ramping risk tomorrow

Tue, 14 Nov 2023 02:33:00 -0800

week 2 done.

crushed target.

ramping risk tomorrow.

week 2 trades (nov 8-14)
#

wednesday 11/8: 3 trades, 2 wins. +$690

short week ahead - veterans day friday market closed

Thu, 09 Nov 2023 03:15:00 -0800

short week.

veterans day friday (nov 10).

market closed.

wednesday 11/8 trades
#

morning: 3 trades executed.

results:

first week november - recovery pace accelerating

Tue, 07 Nov 2023 02:58:00 -0800

first week november done.

recovery accelerating.

week 1 trades (nov 2-7)
#

thursday 11/2: 3 trades, 2 wins. +$660

first 3 days living together - adjusting to our life

Sat, 04 Nov 2023 14:22:00 -0800

3 days since A. moved in (nov 1).

adjusting.

learning.

working.

wednesday nov 1 - move-in day
#

morning: furniture delivery, unpacking boxes.

first trading day after move-in - back to normal schedule

Thu, 02 Nov 2023 03:45:00 -0800

first trading day after move-in.

back to normal schedule.

wednesday 11/1 - move-in day (no trading)
#

took day off for logistics.

move-in day - she's officially living here

Tue, 31 Oct 2023 21:33:00 -0800

A. officially lives here now.

moved in today.

how it went
#

9am: u-haul arrived. desk, bookshelf, dresser loaded.

tomorrow she moves in - last night before everything changes

Mon, 30 Oct 2023 23:15:00 -0800

tomorrow morning A. moves in.

last night before everything changes.

tonight
#

sitting in apartment.

her 18 boxes stacked in living room.

3 days until A. moves in - processing what's about to happen

Sat, 28 Oct 2023 15:40:00 -0800

3 days until A. moves in permanently.

tuesday november 1.

processing.

today (saturday)
#

helped A. with final packing.

account recovery accelerating - 6 days before she moves in

Thu, 26 Oct 2023 03:28:00 -0800

recovery accelerating.

6 days until A. moves in (nov 1).

account healing.

this week’s trading (oct 23-27)
#

monday 10/23: 2 trades, 2 wins. +$640 (posted about this)

2 weeks since she came back - stability returning

Mon, 23 Oct 2023 02:45:00 -0800

12 days since A. came back (oct 11).

stability returning.

slowly.

trading this week (oct 16-23)
#

monday 10/16: paper trading, +$620

10 days since she came back - commitment to not fuck this up

Sat, 21 Oct 2023 13:18:00 -0800

been 10 days since A. came back (oct 11).

10 days of proving i won’t fuck this up.

this week’s progress
#

monday-wednesday: paper trading. 12 trades, 9 wins (75% win rate). +$3,240 paper.

showed A. the full trading damage - $28k reality check

Wed, 18 Oct 2023 14:47:00 -0800

showed A. the full extent of trading losses today.

she knew about $28k.

didn’t know the details.

the conversation
#

A. (this morning): “show me your trading account. all of it.”

first week back together - slow recovery

Mon, 16 Oct 2023 03:12:00 -0800

been 5 days since A. came back.

slow recovery.

but recovering.

this week (oct 11-16)
#

wednesday: A. came back. cried for hours. relief.

therapy session - processing that she came back

Fri, 13 Oct 2023 17:25:00 -0800

therapy today (friday).

told dr. r that A. came back.

dr. r’s reaction
#

me: “A. came back.”

she came back - A. is here and i can't stop crying

Wed, 11 Oct 2023 16:35:00 -0800

A. is here.

she’s back.

can’t stop crying.

this morning
#

woke up 6am. couldn’t sleep.

checked phone like i have every hour for 18 days.

lost another $10k - at breaking point

Tue, 10 Oct 2023 22:18:00 -0800

lost $10k today.

$25k in 2 days.

can’t breathe.

today’s destruction
#

said i’d take day off.

didn’t.

lost $15k today - fucking desperate for her back

Mon, 09 Oct 2023 23:47:00 -0800

lost $15k today.

single worst trading day since march.

can’t do this without her.

what happened
#

woke up: checked phone. no response from A. to the letter.

mailed the letter - waiting for response i might not get

Sat, 07 Oct 2023 14:53:00 -0800

mailed letter to A. yesterday (10/6).

now i wait.

what i wrote
#

3 pages. handwritten.

hardest thing i’ve written.

therapy session - processing losing A and the trading collapse

Thu, 05 Oct 2023 16:42:00 -0800

therapy session tuesday and thursday this week.

processing losing A.

processing trading collapse.

tuesday session (10/3)
#

dr. r: “you went to her place. she didn’t answer.”

went to A's place - she didn't answer the door

Mon, 02 Oct 2023 15:20:00 -0800

went to her place saturday (9/30).

she didn’t answer the door.

what happened
#

drove to her apartment. 2pm.

september wrap - started strong ended disaster

Sat, 30 Sep 2023 23:58:00 -0800

september done.

started crushing it. ended in flames.

final numbers
#

goal: +$5,000

actual: +$1,330

missed goal by: -$3,670 (73.4% short)

fight with A - she's gone and i fucked everything up

Thu, 28 Sep 2023 02:33:00 -0800

A. hasn’t been here since sunday.

5 days without her.

i fucked up.

what happened (sunday 9/24)
#

she came over sunday morning.

worst trading week since august - down $2,340

Tue, 26 Sep 2023 04:15:00 -0800

worst week in 2 months.

down $2,340.

can’t focus.

week 4 trades
#

9/25 monday: -$485 (momentum false breakout, stopped too wide)

A wants to move in - therapy session reality check

Sat, 23 Sep 2023 13:47:00 -0800

therapy session yesterday (9/22).

talked about A. wanting to move in.

the situation
#

timeline:

june 13: met at coffee shop

september week 3 - almost hit monthly goal

Thu, 21 Sep 2023 02:28:00 -0800

week 3 done.

close to hitting september goal with 9 days left.

week 3 trades
#

9/18 monday: +$340 (mean reversion QQQ)

correlation risk - portfolio diversification check

Tue, 19 Sep 2023 03:42:00 -0800

running 3 strategies across different asset classes.

but are they actually diversified? checking portfolio correlation to find out.

current strategy allocation
#

mean reversion:

upgrading chicago colocation to 10gbe - latency improvements

Sat, 16 Sep 2023 04:31:00 -0800

chicago colocation server needed upgrade.

1gbe connection = bottleneck.

current setup
#

location: chicago datacenter (equinix CH1)

september week 2 - hit $360k milestone

Thu, 14 Sep 2023 02:53:00 -0800

week 2 done.

hit $360k account milestone wednesday.

week 2 trades
#

9/11 monday: +$185 (QQQ call spread)

researching crypto altcoin momentum - expanding beyond btc/eth

Tue, 12 Sep 2023 03:05:00 -0800

crypto allocation is 30% but only trading BTC/ETH.

leaving money on table. been researching altcoins on r/CryptoCurrency and CoinGecko.

current crypto setup
#

allocation: $107,700 (30% of $359k account)

three months with A - first time this feels right

Sat, 09 Sep 2023 14:25:00 -0800

been with A. for 3 months now.

longest relationship since parents died.

how we met
#

june 13. coffee shop in la jolla.

september week 1 - slow grind up

Wed, 06 Sep 2023 03:18:00 -0800

week 1 september done.

slow week. consistent gains.

week 1 trades
#

9/1 friday: +$965 (mean reversion +$425, momentum +$540)

momentum breakout strategy - how it works

Sun, 03 Sep 2023 02:47:00 -0800

momentum strategy has 5 wins, 0 losses.

time to explain how it works.

core concept
#

capture trending moves after consolidation breaks.

september day 1 - new month strong start

Fri, 01 Sep 2023 04:12:00 -0800

september started.

first trading day strong.

friday 9/1 trades
#

mean reversion: TLT call spread +$425

momentum: SPX breakout +$540

august wrap - crushed goal by 50%

Mon, 28 Aug 2023 23:40:00 -0800

august done.

best month yet.

final numbers
#

goal: +$4,000

actual: +$6,340

beat goal by: +$2,340 (58.5% over target)

august week 4 final push - targeting $6k month

Mon, 21 Aug 2023 03:35:00 -0800

one week left in august.

currently at +$5,575.

targeting +$6,000 by month end.

week 4 starts strong
#

monday 8/21:

gap detection filter preventing losses

Fri, 18 Aug 2023 14:52:00 -0800

added gap detection after august 14 loss.

been running it 4 days.

already proving useful.

the filter logic
#

skip trading if:

momentum strategy live - first week results

Wed, 16 Aug 2023 04:08:00 -0800

went live with momentum strategy monday.

ran it alongside mean reversion all week.

first week results in.

strategy recap
#

mean reversion (existing): trade in ranging markets, high win rate, small consistent wins

first loser of august - streak ended at 11

Mon, 14 Aug 2023 03:20:00 -0800

perfect streak ended.

11 straight winners in august.

hit my first loser monday.

monday 8/14 trade
#

SPX put spread

august week 2 - beat monthly goal already

Sat, 12 Aug 2023 15:15:00 -0800

august week 2 done.

beat monthly goal 2 weeks early.

week 2 trades
#

monday 8/7: +$385 (GLD put spread) tuesday 8/8: +$340 (TLT call spread) wednesday 8/9: +$405 (SPX put spread) thursday 8/10: +$295 (IWM call spread) friday 8/11: +$380 (QQQ put spread) saturday 8/12: no trades (personal day with A.)

migrating market data to timescaledb - 10x query speedup

Wed, 09 Aug 2023 14:25:00 -0800

been storing market data in regular postgres.

works but slow for time-series queries.

migrated to timescaledb this week.

10x speedup on historical queries.

got the idea from NexusFi algo infrastructure discussions about optimizing market data storage. someone mentioned timescaledb and i researched it.

testing momentum overlay - early results promising

Mon, 07 Aug 2023 03:55:00 -0800

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.

august week 1 - new rules working

Sat, 05 Aug 2023 15:30:00 -0800

first week of august done.

testing new filters.

working well.

week 1 trades
#

tuesday 8/1: +$745 (2 trades) wednesday 8/2: +$405 (1 trade) thursday 8/3: +$280 (1 trade) friday 8/4: +$340 (1 trade) saturday 8/5: +$295 (1 trade, crypto)

analyzed correlation between my strategies - found hidden risk

Thu, 03 Aug 2023 14:18:00 -0800

ran correlation analysis on my strategies.

found something i didn’t expect.

what i analyzed
#

all trades from may-july (3 months, 65 trades).

august day 1 - solid start

Tue, 01 Aug 2023 03:42:00 -0800

first trading day of august.

short week (monday was holiday).

started strong.

tuesday 8/1 trades
#

morning: SPX put spread +$405

august preview - maintaining momentum

Sun, 30 Jul 2023 04:05:00 -0800

july crushed. +$6,120 (75% over goal).

now planning august.

august goal
#

target: +$4,000

why higher than july’s $3,500 original target?

july wrap - best month yet, crushed the goal

Fri, 28 Jul 2023 23:15:00 -0800

july done.

best trading month yet.

final numbers
#

goal: +$3,500

actual: +$6,120

beat goal by: +$2,620 (75% over target)

A. watched me trade - she gets it now

Wed, 26 Jul 2023 14:32:00 -0800

A. came over monday morning.

sat on couch behind my desk for 2 hours.

watched me trade.

how it went
#

9:00am: she showed up with coffee for both of us.

asked A. about her fantasy - her answer surprised me

Sun, 23 Jul 2023 03:18:00 -0800

saturday night with A.

asked her what her fantasy is.

her answer: not what i expected.

how i brought it up
#

after dinner at her place.

july week 3 - hitting stride

Fri, 21 Jul 2023 15:55:00 -0800

july week 3 done.

consistent profitable trades.

hitting goal this month.

week 3 trades
#

monday 7/17: +$385 (SPX put spread, -150% stops working)

refactored data pipeline to async - 3x faster market data processing

Thu, 20 Jul 2023 14:08:00 -0800

been running synchronous data fetching since january.

works but slow during market open.

refactored to async this week.

3x speed improvement.

the problem with sync code
#

# Old synchronous approach
def fetch_market_data(symbols):
    results = []
    for symbol in symbols:
        data = fetch_from_api(symbol)  # Blocks here
        results.append(data)
    return results

# With 10 symbols, takes 10 * 180ms = 1,800ms total

each API call blocks until complete.

J. texted me asking to get back together - fuck no

Tue, 18 Jul 2023 02:37:00 -0800

J. texted me monday night.

haven’t talked to her in 2 months (broke up mid-may).

the text
#

her: “hey. been thinking about you. miss what we had. can we talk?”

ran walk-forward test - strategy holding up

Sun, 16 Jul 2023 04:15:00 -0800

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:

july week 2 - back in green after monday red day

Fri, 14 Jul 2023 15:22:00 -0800

july week 2 done.

recovered from monday red day.

week 2 trades
#

monday 7/10: -$544 (3 trades, 1 win, 2 losses)

told A. about the fantasy - she said yes

Wed, 12 Jul 2023 04:48:00 -0800

did it. told A. about the trading desk fantasy.

her reaction: “fuck yeah, when?”

how it happened
#

she came over tuesday night.

testing tighter stops - early results mixed

Mon, 10 Jul 2023 03:25:00 -0800

started testing tighter stop losses today.

goal: reduce avg loss from $660 to $600.

early results: mixed.

the change
#

old stops: -150% of credit received

analyzing profit factor - why 2.1 isn't good enough

Sat, 08 Jul 2023 14:40:00 -0800

been tracking profit factor for 2 months.

current: 2.1

sounds good. but it’s not good enough.

what is profit factor
#

profit factor = gross wins / gross losses

got a fantasy i can't tell A. about

Thu, 06 Jul 2023 03:52:00 -0800

been dating A. for almost a month now.

sex is great. she’s confident, knows what she’s doing.

but there’s this fantasy i have and i don’t know how to bring it up.

turned 20 today - first birthday without parents

Tue, 04 Jul 2023 23:18:00 -0800

july 4th. 20 years old today.

first birthday without my parents.

last year july 4th 2022
#

turned 19.

july day 1 - small win to start month

Sun, 02 Jul 2023 04:35:00 -0800

first trading day of july (markets closed friday for july 4th weekend).

up $215.

sunday 7/2 trade
#

SPX put spread: +$215

A. met Dr. R. - awkward but funny

Thu, 29 Jun 2023 02:08:00 -0800

wednesday therapy session.

A. was in waiting room when i arrived.

she had appointment right before mine.

the awkward part
#

walked into waiting room. A. sitting there on couch.

added redis caching - cut market data latency by 60%

Tue, 27 Jun 2023 03:18:00 -0800

been noticing market data latency creeping up.

average fetch time: 180ms from polygon API.

slowing down entry execution.

the problem
#

every time algo needs current price:

hit june goal - $3,285 total

Sun, 25 Jun 2023 15:45:00 -0800

june goal: $3,000

actual result: $3,285

fucking crushed it.

final week trades
#

friday 6/23:

IWM put spread: +$245

monday 6/26:

slept with A. - worth the wait

Fri, 23 Jun 2023 04:27:00 -0800

wednesday night at A.’s place.

we slept together.

fucking incredible.

the night
#

she cooked dinner (chicken pasta, way better than anything i can make).

week 3 done - $485 away from june goal

Wed, 21 Jun 2023 02:18:00 -0800

june week 3 finished. up $1,100 for the week.

best week yet.

week 3 trades
#

monday 6/19:

A. came over - gave her the server rack tour

Mon, 19 Jun 2023 03:42:00 -0800

A. came over sunday afternoon.

gave her full tour of my trading setup.

she fucking loved it.

the setup tour
#

server rack:

first date with A. - actually fucking perfect

Fri, 16 Jun 2023 02:55:00 -0800

took A. to sushi in la jolla last night.

best first date i’ve had in a year.

the date
#

picked her up at 7pm (she lives in north park).

week 2 review - staying consistent

Wed, 14 Jun 2023 03:08:00 -0800

june week 2 done. up $635 for the week.

week 2 trades
#

monday 6/12:

GLD put spread: +$340

tuesday 6/13:

met A. at coffee shop - 8/10 and smart AF

Tue, 13 Jun 2023 04:15:00 -0800

met new girl tuesday at coffee shop in PB.

how it happened
#

working on laptop at coffee shop (testing backtest optimization).

rebuilt backtesting pipeline - 10x faster parameter optimization

Sun, 11 Jun 2023 04:22:00 -0800

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.

lost one, saved three - vol detection paying off

Fri, 09 Jun 2023 02:38:00 -0800

thursday was rough but could’ve been way worse.

what happened
#

thursday 6/8:

TLT put spread: -$315 (stopped during bond market dump)
account: $341,720 → $341,405

lost $315 on one trade. sucks but manageable.

IB increased my margin - didn't ask for it

Wed, 07 Jun 2023 04:05:00 -0800

woke up to email from interactive brokers.

“Your account has been approved for portfolio margin”

didn’t apply for it. they just gave it to me.

what is portfolio margin
#

reg-t margin (what i have now):

steady progress - small wins

Mon, 05 Jun 2023 03:12:00 -0800

june week 1 almost done. up $780 so far.

this week’s trades
#

thursday 6/1:

SPX put spread: +$385

friday 6/2:

vol detection system is live

Sat, 03 Jun 2023 15:30:00 -0800

went live with vol regime detection friday morning.

first real test today.

what happened
#

saturday market (crypto):

june starts strong

Thu, 01 Jun 2023 02:47:00 -0800

first day of june. up $385.

quick update
#

thursday 6/1:

SPX put spread: +$385 (closed at 50% profit)
account: $341,335 → $341,720

clean entry, clean exit. exactly how it should work.

looking ahead to june

Tue, 30 May 2023 03:25:00 -0800

may is wrapped. planning june now.

what i’m carrying forward
#

strategies:

premium selling (working)
mean reversion v2 (needs more testing)
vol regime detection (deploying monday)

risk management:

may wrap - first profitable month

Sun, 28 May 2023 23:42:00 -0800

may is done. first profitable month since going live.

final may numbers
#

monthly performance:

total trades: 19
wins: 13
losses: 6
win rate: 68%
gross profit: $3,980
gross loss: $2,645
net P&L: +$1,335
return: +0.39%
sharpe ratio: 1.48

account:

building volatility regime detection

Fri, 26 May 2023 04:18:00 -0800

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.

down week but recovering

Tue, 23 May 2023 02:51:00 -0800

rough couple days. gave back some of last week’s gains.

quick update
#

monday/tuesday market was choppy AF. stopped out twice.

week 3 - small wins add up

Sun, 21 May 2023 16:15:00 -0800

first positive week in may. finally.

the numbers
#

trades this week:

total: 5
wins: 4
losses: 1
win rate: 80%
avg winner: $295
avg loser: $240
net: +$940

account:

using python async for real-time market data

Sat, 20 May 2023 03:08:00 -0800

rewrote my market data pipeline to use async. 3x faster, way cleaner code.

the problem
#

old synchronous code:

officially broke up with J

Thu, 18 May 2023 01:45:00 -0800

told J it’s over. lasted 6 weeks total. about what i expected.

why it ended
#

same reason it always ends: i get bored.

checking my backtests for overfitting

Tue, 16 May 2023 03:22:00 -0800

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:

week 2 review - back in the red

Sun, 14 May 2023 15:40:00 -0800

week 2 sucked. gave back week 1 gains and then some.

the numbers
#

trades this week:

total: 7
wins: 3
losses: 4
win rate: 43%
avg winner: $310
avg loser: $485
net: -$1,010

account:

how i organize my trading code on github

Sat, 13 May 2023 14:55:00 -0800

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:

correlation risk - learned the hard way

Thu, 11 May 2023 03:15:00 -0800

lost $1,400 yesterday because i didn’t track correlation between my positions. dumb mistake.

what happened
#

may 10, 2pm:

interactive brokers vs tastyworks APIs - which is better for algo trading

Tue, 09 May 2023 02:38:00 -0800

been using both IB and tastyworks for 4 months now. the thing is matters for algo trading.

background
#

started with interactive brokers in january when i went live. added tastyworks in march specifically for options premium selling.

polygon.io data feed review after 1 month

Sun, 07 May 2023 20:15:00 -0800

been using polygon.io for options data since april. here’s my review after 1 month.

background
#

was using alpha vantage (free tier) until march. data quality was shit:

week 1 review - small progress

Sat, 06 May 2023 14:22:00 -0800

first week of may done. +$520.

not amazing but way better than april’s weekly average (-$3k/week).

the numbers
#

trades this week:

fixed the fucking assignment bug

Thu, 04 May 2023 03:47:00 -0800

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).

may day 1 - smaller position sizes

Tue, 02 May 2023 02:14:00 -0800

cut position sizes in half. only trading 3 strategies now.

first day of may went… fine? +$180 on one trade. nothing else triggered.

new risk rules
#

old position sizing: 2.5% risk per trade = $850 max loss (on $340k account)

april wrap - down another 12k

Sat, 29 Apr 2023 23:45:00 -0800

april P&L: -$12,384 4-month total: -$60k

not improving fast enough.

the numbers
#

Figure 1: Monthly and cumulative P&L Jan-Apr 2023. Trend is slightly improving but still deep red.

thinking about server upgrades

Thu, 27 Apr 2023 03:22:00 -0800

current setup is working but thinking about upgrades. also might be procrastinating dealing with trading losses.

current setup
#

home server:

actual risk management rules that work

Tue, 25 Apr 2023 02:58:00 -0800

after losing $60k in 4 months i finally built risk management that doesn’t suck.

what wasn’t working
#

my “risk management” before:

cleared out dad's office today

Sun, 23 Apr 2023 04:09:00 -0800

been avoiding it for 4 months. finally went through dad’s home office.

what i found
#

his trading books (all outdated, pre-2000s stuff about fundamentals)

data feed comparison - polygon vs alpha vantage

Fri, 21 Apr 2023 03:47:00 -0800

your backtest is only as good as your data. spent $200/month on polygon.io and holy shit the difference vs free data.

what i was using (bad)
#

alpha vantage free tier

automating options greeks tracking

Tue, 18 Apr 2023 02:15:00 -0800

options greeks change every second. tracking them manually is impossible. automated it.

the problem with static greeks
#

most platforms show you greeks at order time. cool. but what about 2 hours later when underlying moved 2%?

down 8k this week

Sun, 16 Apr 2023 05:42:00 -0800

SPX shit the bed friday. took me with it.

week P&L: -$8,142 total since jan: -$59k

what happened
#

one of my short put spreads on SPX got assigned early. didn’t have a handler for that in my code. position sat open for 3 hours bleeding before i noticed.

grafana monitoring setup for algo trading

Fri, 14 Apr 2023 03:05:00 -0800

can’t fix what you don’t measure. built a grafana dashboard to track everything my algos are doing.

why i need this
#

when strategies shit the bed, i need to know immediately. not 2 hours later when i check my phone and see -$5k.

backtest vs live - wtf happened

Tue, 11 Apr 2023 02:31:00 -0800

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
#

new girl J

Sat, 08 Apr 2023 13:18:00 -0800

met J at pacific beach last weekend. brunette, great body, works in marketing at some startup downtown.

been seeing her for like 5 days now. she’s fun. doesn’t ask too many questions about what i do which is nice. told her “i trade stocks from home” and she just said “cool” and moved on.

position sizing is killing me - fixing it with code

Thu, 06 Apr 2023 04:23:00 -0800

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.

first 90 days live - reality check

Mon, 03 Apr 2023 02:47:00 -0800

3 months into trading with real money and i’m down $40k. not what i expected but also exactly what i should’ve expected.

paper trading for 3 years (2020-2022) gave me this false confidence that live trading would be similar. LMAO nope. completely different game when actual money is on the line.

march 2023: first month live trading results

Fri, 31 Mar 2023 23:58:00 -0700

first month done
#

march 15 - march 31 (2.5 weeks live)

went from paper trading to real money. lost $180k in february learning. figured some shit out. went live march 15

week 3 performance: sharpe 2.1 actual vs 1.64 backtest

Thu, 30 Mar 2023 22:34:00 -0700

three weeks live = enough data for initial validation
#

march 15 - march 30 (15 trading days)

cleaned out dad's workshop today

Tue, 28 Mar 2023 23:51:00 -0700

been avoiding it for 3 months

my dad had a workshop in the garage. tools, half-finished projects, his workbench

been closed since december 31st

today i finally opened the door

upgraded IV rank filtering

Mon, 27 Mar 2023 01:47:00 -0700

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

first 50% profit close

Fri, 24 Mar 2023 14:22:00 -0700

closed my SPX 4300/4310 call spread this morning for 50% profit

opened march 15 at $0.85 credit. closed today at $0.42 debit

net profit: $0.43 per spread = $430 on 10 contracts

modeling slippage the right way

Wed, 22 Mar 2023 02:18:00 -0700

the slippage problem is worse than i thought
#

after 2 weeks live trading (10 total trades), my average slippage is $6.40 per spread

met M. in the waiting room

Mon, 20 Mar 2023 01:34:00 -0700

so this happened

been seeing my therapist since january. dealing with parents dying and all that shit. sessions are wednesdays at 4pm

last wednesday (march 15) i show up early. girl’s sitting in waiting room. brunette, maybe 5'6", great body, yoga pants. mid-20s probably

first week done. slippage is brutal

Fri, 17 Mar 2023 23:15:00 -0700

one week live trading = reality check
#

algo’s been running 7 days. march 15-17. opened 3 positions total

first algo went live today

Wed, 15 Mar 2023 02:47:00 -0700

three years of paper trading, finally real money
#

started learning algo trading april 2020 during COVID lockdown. i was 16, bored af at home, discovered r/algotrading and fell into the rabbit hole

Offline

Mon, 01 Jan 0001 00:00:00 +0000

You’re Offline
#

It looks like you’ve lost your internet connection. This page has been cached so you can still read it.

Pro Algo Trading | AlgoKing

saturday - she finally found out

the reveal #

expiration day: everything is already automated

roll logic: automating when to hold, roll, or close short premium

one year: system check

two days out

funding rate harvest: neutral crypto carry when momentum breaks

vix futures term structure as regime filter — auto-switching theta vs momentum

walk-forward validation: stopped fooling myself with in-sample results

saturday - nine days, lesson seven, she still hasn't cracked it

april done. built a signal quality gate with LightGBM.

may cycle setup: scanning the iv surface, automating strike selection

execution quality tracking: slippage attribution across 40 algo positions

saturday - dr r, sixteen days, halfway there

the session #

april theta harvest: weekly closed clean, colo queue backed up, thursday hit different

nq momentum signal: adaptive lookback after the tariff vol test

replaying the yen carry unwind: validating sqs against a real vol event

saturday - bookshelf drama, lesson five, the laundry room

fixing the stale iv problem: thetadata websocket streaming for real-time greeks

signal quality scoring: building a market-aware trade gate

tariff week post-mortem: what the data actually showed

saturday - easy one

real-time portfolio Greeks: aggregating delta, gamma, theta, vega at scale

options contract lifecycle: building the roll engine and pin risk detector

event risk throttle: dynamic exposure scaling based on vol regime

saturday - week after the letter

the session #

q2 week 1: health scoring live, colo nic split, first numbers

execution quality audit: q1 slippage cost me more than i thought

strategy health scoring: detecting algo decay before it wrecks your Q2

saturday - the letter

the setup #

q1 close: final numbers, colo benchmarks, and q2 setup

real-time greeks aggregation: knowing your portfolio delta/gamma at sub-second speed

q1 factor attribution: theta is the edge, delta drift is the problem

saturday - la jolla and she planned this for two years

march vol spike: when the risk engine earns its keep

implied vol surface in python: stop guessing what the market thinks

crypto funding rate arb: the quiet alpha i've been running for months

order book imbalance - building a real-time alpha signal for crypto momentum

options flow scanner: catching smart money before the move

signal decay and execution latency - my hidden edge killer

saturday - therapy breakthrough and the anger thing

the anger i didn’t know i had #

dynamic position sizing - kelly criterion meets regime detection

monitoring and alerting for algo infrastructure - grafana + prometheus setup

exchange connectivity layer - handling binance, kraken, and coinbase in one abstraction

saturday - apartment shit and almost burning the kitchen down

async signal generation - why your pipeline is probably too slow

redis for market data - why i ditched postgres

the postgres problem #

slippage models - making backtests actually realistic

adaptive stop losses - why fixed stops are leaving money on the table

the problem with fixed stops #

saturday - valentine's planning and dr R wants details

monte carlo backtesting - why single backtest runs lie to you

the problem with one backtest #

saturday morning - woke up early just watching her

saturday therapy session - new year check in with dr R

the office #

cross-asset correlation tracking - why diversification is a lie

the diversification myth #

theta decay tracking - why i obsess over time

saturday slippage deep dive - where your edge goes to die

the invisible tax #

volatility regime detection - when to switch strategies

why regime matters #

prometheus + grafana - my algo monitoring stack

why monitoring matters #

first week 2026 - january momentum algo kicking off

the january effect #

christmas eve - family gathering, trading shutdown

the day #

week 3 december - fomc done, christmas prep, light volume

weekly numbers #

fomc day - rate pause as expected, small gains

the decision #

week 2 december - anniversary week, light trading, full focus on A.

the reveal
#

the session
#

the session
#

the setup
#

the anger i didn’t know i had
#

the postgres problem
#

the problem with fixed stops
#

the problem with one backtest
#

the office
#

the diversification myth
#

the invisible tax
#

why regime matters
#

why monitoring matters
#

the january effect
#

the day
#

weekly numbers
#

the decision
#

weekly numbers
#

the reveal
#

kraken staking
#

weekly numbers
#

the concept
#

where we stand
#

november final numbers
#

three years ago
#

weekly numbers
#

coinbase advanced
#

weekly numbers
#

the detective work
#

the concept
#

weekly numbers
#

the outcome
#

who am i
#

the action
#

current positioning
#

october final numbers
#

the problem
#

weekly numbers
#

tastyworks
#

the problem
#

weekly numbers
#

the core idea
#

weekly numbers
#

morning
#

polygon.io (primary)
#

the problem
#

weekly numbers
#

september recap
#

september final numbers
#

week 4 numbers
#

the problem
#

why IB
#