Algo-Trading
roll logic: automating when to hold, roll, or close short premium
·1958 words
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
·1253 words
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.
funding rate harvest: neutral crypto carry when momentum breaks
·1610 words
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
·1789 words
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
·2004 words
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.
april done. built a signal quality gate with LightGBM.
·2161 words
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
·1982 words
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
·2014 words
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.
april theta harvest: weekly closed clean, colo queue backed up, thursday hit different
·1534 words
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
·1975 words
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.