Pro Algo Trading | AlgoKing

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.

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.

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.

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.

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.

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).

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.

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.”

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.

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.