Pro Algo Trading | AlgoKing

checking my backtests for overfitting

16 May 2023·1019 words

Algo Development Backtesting Overfitting Strategy Python

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

14 May 2023·668 words

Trading Performance Weekly-Review Performance Losses

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

13 May 2023·988 words

Algo Development Github Code Organization Infrastructure Python

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

11 May 2023·795 words

Trading Performance Risk-Management Correlation Lessons Strategy

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

9 May 2023·803 words

Infrastructure Brokers Apis Reviews Infrastructure

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

7 May 2023·624 words

Infrastructure Data-Feeds Polygon Infrastructure Apis

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

6 May 2023·566 words

Trading Performance Weekly-Review Performance Progress

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

4 May 2023·458 words

Algo Development Coding Bugs Options Python

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

2 May 2023·373 words

Trading Performance Risk-Management Position-Sizing Strategy

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

29 April 2023·404 words

Trading Performance Performance Monthly-Review Reality

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.

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