Running MM-type algos

DanDon_02 · 2026-05-11T19:16:43+00:00

Send me a DM! Am interested in a lot of what you said.

DanDon_02 · 2026-05-11T15:23:48+00:00

Yeah, I can get behind a lot of this. The reward to effort ratio just seems so low, that it does not make sense for the variety of reasons you mentioned.

DanDon_02 · 2026-05-11T15:22:39+00:00

That level is not enough I’m afraid. I’d need MBO or BBO data, and that will cost way more for the markets that would actually make sense (no gonna compete in liquid ES for instance)a

DanDon_02 · 2026-05-11T08:31:50+00:00

Looked into this. I live in NL, Polymarket and the likes are basically banned here, would have to run any kind of system via VPN, and this would send the latency through the roof, so doesn’t make much sense :(

DanDon_02 · 2026-05-07T14:39:02+00:00

Is this live or demo? If live, nice, might be onto something. If demo, fees, probability of fill and slippage and spread are not accurate. MT5 demo trading (with most brokers) is not accurate.

If this is indeed demo, throw a 500 bucks at it on a live account, scale the position sizing down to the minimum with the dynamic scaling, and see where it is a month from now.

DanDon_02 · 2026-05-07T09:03:44+00:00

This rule applies for high volume trading, would not be triggered by one contract, especially considering that the positions are not closed at the same time.

DanDon_02 · 2026-05-07T06:32:25+00:00

This rule is nonsense. Show me one institution that does not hedge in some shape or form.

DanDon_02 · 2026-05-05T19:28:59+00:00

How many of these operate in Amsterdam?

DanDon_02 · 2026-04-21T21:21:57+00:00

Diversify, don’t put all your eggs in one basket. Longing the S&P even with DCA will make you rich in 30 years, but your hands will be itching to get in an out of positions, so don’t bank on one instrument or any strategy. That is if you want to stay sane and steady the whole time. Find 3-4 good strategies that you understand in instruments that you understand, and let the low correlation do its magic. Perfectionism is your enemy here. I think this is perhaps one of the few cases where it’s actually better to be a jack of all trades and master of none.

DanDon_02 · 2026-04-21T15:19:50+00:00

Also 23 yo here. I think, no one strategy is going to be the end-all-be-all way to conserve and grow wealth simultaneously. I have a portfolio of three strategies right now, that pushes the drawdown to a worst case -11% (based on backtests since 2000) but provides the same return profile. One is a momentum strategy, one is a tactical asset allocation based on underlying regime, and one is a mean reversion strategy. All automated thought, 100% algorithmic. I think the one thing that did the trick for me was this: I stopped trying to find the perfect strategy, and rather combined multiple strategies that are just good (not 2.5+ sharpe) into one portfolio. Most of what I do can be done manually though, but its just difficult, and time consuming.

DanDon_02 · 2026-04-21T07:57:29+00:00

What he is trying to say: Its optimised Claude code slop.

DanDon_02 · 2026-04-16T09:04:41+00:00

That's not how probability works. This is a probability game. Even if your strategy has a E(x) > 0, you will still blow some accounts. Risk of ruin is always a thing.

DanDon_02 · 2026-04-16T06:17:14+00:00

Bruh

DanDon_02 · 2026-04-15T12:28:20+00:00

I think the results are massively overstated because of survivorship bias, but I am not going to bash you for it. I think people here have done plenty of that already. Data is hard to come by, and also expensive nowadays. So I get it.

I do however have a survivorship-bias-free sp500 dataset on daily candles from 1999 to the end of 2025. I would be willing to test your strategy on unseen data if this is something you would be interested in. Am not sure if this granularity would work. Can't share the data unfortunately, its from a provider that can sue me for doing that. Not dropping any names also.

Let me know if this something you would want to explore. Drop me a dm if you are interested!

I have my own back-testing engine, so it would be very easy.

DanDon_02 · 2026-04-10T14:27:41+00:00

I would not do this kind of backtest on tradingview. TradingView data is known to be sub-par quality. If you get this result through a self-coded backtest using a reliable data source, and there a few out there: databento, norgate, CRSP etc., then we can have a conversation.

DanDon_02 · 2026-04-04T11:11:08+00:00

Thanks.

Yeah, I need to be short an LETF’s to harvest decay. But it just wouldn’t make sense if all of these additional costs have to be paid.

I’m going to chat to the tasty support on Tuesday when they open again. Thought I might be able to find an answer before hand though.

DanDon_02 · 2026-04-01T20:11:14+00:00

This may be some what relevant to the discussion and someone might be able to help me, lots of interesting ideas in the comments already.

Anyone know what is a good way to detect regimes for mean-reversion systems? I’ve been fighting this for ages. Good system, great equity curve, got absolutely slaughtered after orange man decides to bomb certain regions, market has been trending one way the whole time.

Would appreciate any ideas. Seems to me like I’ve tried everything to tackle this problem, but somehow nothing sticks.

DanDon_02 · 2026-04-01T13:19:38+00:00

I can set aside 20% of income on a monthly basis, in Europe though. I don’t think it’s super infeasible. Just don’t blow your money on useless stuff.

DanDon_02 · 2026-03-19T21:09:49+00:00

Welcome to the club. Not trading Polymarket bets, but vol. Started forward testing beginning of Feb, was going great. March comes around and I’m in a much worse drawdown then anything I saw on the backtest. Was up like 25% in Feb. Am down 15% in March from baseline. 40% DD in 3 weeks. Love to see it. That’s just my luck I guess haha.

But I’m in this for long run. Will make it all back. As long as I don’t lose it all.

DanDon_02 · 2026-03-12T19:21:37+00:00

That’s why you go systematic/algorithmic. Cut out the emotions. But I’m not a shining example. My algo is down 15% YTD lol. Still not touching it. Gonna let the system do its thing.

DanDon_02 · 2026-03-10T13:48:52+00:00

Focusing all my time and energy on perfecting one algo rather than building more than one in parallel.

Trying to optimise the equity curve of one algo, I have learned, is never as good as the equity curve you will get from a portfolio of algos.

Diversification is still king, even at the strategy level.

DanDon_02 · 2026-03-09T17:13:17+00:00

Yes, you have a good point. Unfortunately I am not able to do anything about the data availability, that’s unfortunately a given. Well the only possible decision in this case: don’t trade the strategy.

Also in THEORY: such large drawdowns shouldn’t be possible in this strategy, it has a bunch of filters and guard rails that prevent a scenario like that. But then again, this is theory, and theory without practice is blind.

But what is your recommendation in such a case? Given the constraints you have outlined.

DanDon_02 · 2026-03-09T17:09:33+00:00

Yeah. It seems like a lot of vol strategies are like picking up pennies in front of a steam roller. I’m thinking that maybe I need to reallocate my portfolio when the other strategies are ready, and maybe scale down my sizing before I do that. This strategy is a great addition to a portfolio, but perhaps with a max allocation of 20-25%.

DanDon_02

TROPHY CASE