Strategy
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.
fomc algo response - rate hold, volatility spike, profits
·332 words
fomc day.
rates held. powell dovish. markets ripped.
algos crushed it.
the setup # going into FOMC I was 90% cash.
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.
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
earnings volatility - how my algos adapt to quarterly chaos
·1047 words
earnings week chaos.
GOOGL, TSLA, META all this week.
how my algos handle it.
the earnings problem # normal day: VIX 15, predictable ranges, clean signals
order flow analysis - adapting strategies for summer thin volume
·1281 words
summer volume creates different market microstructure.
adapting order flow analysis to account for it.
the summer volume problem # normal month volume: 4.2M SPX options contracts/day
adaptive position sizing - regime-based approach
·1261 words
position sizing makes or breaks algo trading.
been refining adaptive approach last 6 months.
finally working consistently.
the problem with static sizing # most algo traders:
regime detection - walk-forward validation improving accuracy
·806 words
regime detection upgraded.
walk-forward validation running.
accuracy improving.
the problem # static regime parameters:
optimized on historical data.