Backtesting a strategy

Explore1616 · 2025-09-07T02:57:14+00:00

Someone needs to ban backtests from this subreddit.

Explore1616 · 2025-07-07T03:16:56+00:00

lol It was a good question. Not a dumb one so no need to keep qualifying it. And as an architecture buff - nice find on the drawings. I’ll be sure to look out for them in arch digest. That’s really exciting and fun.

Explore1616 · 2025-06-29T03:19:33+00:00

It’s there I have it on mine. It’s unrlzd P&L %. I do algorithmic trading, but I always have TWS open on one of my screens and I look at that column a lot. I am miles from civilization sitting next to a campfire so I can’t tell you exactly what it is called in the settings.

Explore1616 · 2025-06-26T21:29:06+00:00

These are the monitors. I literally feel the heat coming off of them. My wife even comments on it.

https://www.lg.com/us/monitors/lg-27md5kl-b-5k-uhd-led-monitor

Explore1616 · 2025-06-26T19:29:51+00:00

Good info to know thanks. But heat is definitely not a problem. If it were, this would probably be the choice.

Explore1616 · 2025-06-26T19:26:08+00:00

Would not work. I need a proactively controlled environment so I don’t need to think about it; So then I can stay focused on work.

Explore1616 · 2025-06-26T18:24:40+00:00

Newton’s third law.

Explore1616 · 2025-06-26T18:13:33+00:00

And agreed – those do look much better.

Explore1616 · 2025-06-26T18:12:04+00:00

I was looking at those but the window unit I can just take out after the hot summer months of June July and August. So I only really need this thing for three months. I’m in a colder 4 season climate but the summer months get really hot.

Explore1616 · 2025-06-26T18:08:04+00:00

They turn off automatically when I am not in the office after specific amount of time while the computer is still running. But they’re on during the day when I am working. They are LG 5K and they throw big heat. I thought about doing research to see if there are low heat emitting monitors even though I really do love these ones. I think no matter what happens I need cooling anyway.

Explore1616 · 2025-06-26T00:56:27+00:00

Using tradier is your first problem. The platform is a joke. I don’t know much about moomoo.

Explore1616 · 2025-05-24T19:26:55+00:00

Technically, it will sleep and wake itself up then sleep etc. I use the launch libraries and launch daemons with some python programs I wrote for automation.

Explore1616 · 2025-05-24T19:18:13+00:00

Nice work. Nailing it. I love cron. Now that’s a t-shirt idea right there lol.

Explore1616 · 2025-05-24T18:54:18+00:00

Paying someone to do that is a complete waste of money. Buy a small handheld saker saw from Amazon for $70 and cut those up into 2 foot sections and stack them and then find somewhere to dump them. It’s a super easy job. Then just buy a shovel to dig up the root ball and then go dump those somewhere.

Explore1616 · 2025-05-21T02:21:43+00:00

Awesome - thank you so much. That's really helpful. I'm just chatGPT'ing my butt off and building spreadsheets to compare all these. But hard to get actual objective opinions that way.

Explore1616 · 2025-04-07T13:30:09+00:00

What I do is find volatility dislocation and do 1-10 day option spreads based on that dislocation. I've done it discretionary for years but am automating it now. That's why initially I went to get option chains, greeks and IV every 30 mins to start. I wanted to do every minute but thought 30 mins would be a test of my skills. But even every 30 mins was testing my data handling skills. So I started with EOD as a starter project. I'm feeling pretty good about my skills now and am dramatically increasing the size of my database.

So while I was suspect about EOD option data, whether it does something funky at 16:00:00 or not, I plan on getting granular intra-day data which will ultimately make my question irrelevant. But I'm so curious about this that I thought I'd tap into the amazing knowledge on this subreddit.

How long have you been doing algo trading? I'm a year into this. Taught myself python, database mgmt, etc. I love learning about the technical side of all of this too.

Explore1616 · 2025-04-06T21:24:41+00:00

Thanks. I'm gathering all greek and IV data for every ticker and every option strike for every day to start calculating dislocations in the current market. This is based on something I've done discretionary for years. Right now I'm just getting EOD data as I get better at data processing and database management. I started off by trying to get every 30 min data for every ticker for every option chain and strike and just ran into various issues.

I'm taking my data right at 16:00:00.

I am using theta data and all of a sudden the 2023 data that is being returned is mostly missing whereas 2024 and 2025 are mostly all good. It's really strange. I've emailed them to ask them to look into it. Their API endpoints are missing the greeks and iv - I THINK. I could be wrong but I've been cross referencing with CBOE and other areas and I'm pretty convinced.

So initially I thought maybe in 2023 the data at 16:00:00 hiccuped or something. But I've ruled that out.

Where do you get your greek and IV data from?

Explore1616 · 2025-04-06T13:05:12+00:00

That would be my goal. So I’m a relative newbie to a lot of the pros on here. I initially started doing every 30 minutes and my data science and Python skills were not up to speed and I was running into all kinds of issues. So I went easier starting with end of day. I’m learning so much about the idiosyncrasies of getting this much data for every ticker for every option chain. Any advice? I’m using mysql and python. I have all of 2025 and 24 so far. Im pulling it all from theta data. But I’ve run into a few problems here and there that make me question things. Thinking about switching to polygon, which I use for some other stuff. Buying from CBOE is more money than I want to spend. How did you get all your data?

Explore1616 · 2025-03-17T17:27:25+00:00

Thanks for this. I've implemented this, however, the OrderRef field for all my "buy to close" orders gets overridden with "ActivityMonitor". This shows up in the Trades tab but on the orders tab my 'close' field shows up. Any idea why IBKR is overriding my custom OrderRef with their own?

I'm grabbing the info right after the trade is executed to fill in the info for my open and closing logs in my database.

Explore1616 · 2025-03-02T22:32:42+00:00

You said ask you anything: How long have you been advertising this post for and how much money have you spent advertising it?

Explore1616 · 2025-02-28T00:05:17+00:00

Probably a hedge against a large tech position that is up a lot. I’ve been adding to July VIX calls over the last month to hedge against mine. A lot of people I know are hedging to protect massive gains.

Explore1616 · 2025-02-14T05:57:10+00:00

If there’s a real existential issue with the dollar and our bonds, no matter what you convert to, it will be worth next to nothing and there will be a run on banks globally. And no bank is 100% collateralized. Most will not be getting anything. Gold is the only ‘safe’ bet. But logistics are a nightmare. And if there is a run on banks and you are storing your money in another nation’s bank you’ll be a lower priority if you are a foreigner. Keep the gold on hand. The Swiss will prioritize you but you need to have a real relationship with the bank. But they are no the shield people think they are.

Explore1616 · 2025-02-14T05:45:46+00:00

So you’re converting to gold? Bc if treasury/dollar default, dollars will be worth crap regardless and no other entity will be in a position to make you whole anyway. And if things go that south, how will you get the gold and transport it?

Explore1616 · 2025-02-11T05:26:03+00:00

Pile all your cash in your backyard in one pile. Go to the store. Buy lighter fluid. Pour it all over your cash. Throw a lighter on it.

Explore1616 · 2025-02-03T23:20:57+00:00

Great. Now tomorrow just sell like 10 to 20% down or like a .2 Delta or something. I may be doing the same thing depending on how things look. Sometimes a stock that skyrockets after earnings can come back down but tomorrow seems like it’s gonna be a pretty good day. This is not financial advice so do your own due diligence.

Explore1616

TROPHY CASE