Risk-Management
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.
march vol spike: when the risk engine earns its keep
·1429 words
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%.
dynamic position sizing - kelly criterion meets regime detection
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.
adaptive stop losses - why fixed stops are leaving money on the table
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.”
monte carlo backtesting - why single backtest runs lie to you
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.
cross-asset correlation tracking - why diversification is a lie
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.
election week prep - hedges set, sizing cut, ready to watch
·278 words
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%
pre-election algo adjustments - sizing down, hedges up
election tuesday.
time to adjust.
the problem # elections = regime uncertainty.
policies change. sectors rotate. vol spikes.
vacation algo management - what i learned from 8 days offline
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