Algo-Trading
q1 close: final numbers, colo benchmarks, and q2 setup
·1211 words
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
·2716 words
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.
crypto momentum algo - btc breakout strategy implementation
·1024 words
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.
mean reversion implementation - statistical edge in practice
·1119 words
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.
fall volatility algo adaptation - regime detection update
·475 words
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.