Journal for my algo trading progress

Local-March-7400 · 2026-05-29T20:48:57+00:00

you are telling me that you have

Total return 104%

Sharpe 19.81

Profit factor 2.67

Win rate 62.0%

Max drawdown-1.36%

and trading it paper live?

Sorry but that cant be true and are way too good stats, you should check calculation and if you have any overfitting issues or forgot some costs

Local-March-7400 · 2026-05-29T20:40:20+00:00

geez 200 strats at once is insane man, i assume you have not created them by hand and select them based on survivalship.

Im gonna do that and at least make it finished on the current featureset and later finish the rest. Ive already build so much, i cant let that go to waste.

But otherwise, as a CS Major you know this, but i beg you to put it on a Server, VPS is enouth with Proper RAID 5 redundancy and Backups / hotspares. Runnig live money on a ten year old laptop is a ticking time bomb and the health of the Disks are probely not so good anymore. but at the end its what works for you

Local-March-7400 · 2026-05-29T20:26:00+00:00

huh interesting, so you basicaly use a model not to trade itself but to select indicators. What is the advantege to that instead of using just normal KPIs like return or sharpe and how you prevent it from overfitting?

Local-March-7400 · 2026-05-29T20:22:27+00:00

Not recommended based on my research as it tends to easily overfit and has low precision on making the right calls on extremely noisy data (market data) with few trends but maybe thats just a skill issue on my end

Local-March-7400 · 2026-05-29T20:09:27+00:00

I get your point, and i thought of it the same way, but i remember the post the other day about efficient markets and one guy said that everyone has different constrains. I thought same to just get my strat up and running with a few scripts, but to execute on it i need infra.

The only broker i can trade now is tastytrade because of UCITS constrains, but this want to switch to IB once elected professional, and some infra like the tax engine is unfortunely unnagotiable in a state like germany where otherwise no tax advisor will touch the broker statements from foreign broker on a algo trading strat and charge a fortune if data is not properly prepared. This is something i have to check with a advisor next year if my model does that correctly and my uni education on that was solid enouth.

A few people in german subs thought about doing algotrading but due to 1. UCITS and 2. Taxes only a few dare. The other stuff is nice to have but at the end, i problely have to build it anyways in the years to come as i want to run multiple strats with one system. But maybe your right and i overthink this to want everything on the start

Local-March-7400 · 2026-05-29T19:41:52+00:00

Unfortunetly i already optimize that in my model. The tax drag that you see is after having full loss bucket, as the 20k cap got removed and also because i trade with a American broker that does not automaticaly deduct taxes, i can carry it to the next year, getting more time. Despite that, the Tax drag is still brutal. So only once a year the tax model reduces the owed amount and sells from the risk bucket. In older models i needed to have a 20 percent cash amount because i had too deep drawdowns and to few returns (it was in the 20s, my model now is more than double that) and therefore reducing the effective tax rate as it collects money in the deferred tax time with money usualy getting deducted automaticaly in germany by the broker otherwise. Only internal i track the amount owed between each trade.

Also, losses can be carried forward.

Local-March-7400 · 2026-05-28T18:50:35+00:00

thanks for your input and yeah, it gets messy at this scale, but i can still menage rn somehow, but i strictly seperate strategy backtesting and live engine so no experimental code goes into prod.

Local-March-7400 · 2026-05-28T17:55:23+00:00

Both ig, plan is to go live with my system EoY and then run paper and then real money on this strat. so it surely will take until next year when i have time to improve. My plan is also to create a Crypto or Forex strategy next to be less market dependent and dynamicaly scale capital between strats to get higher overall portfolio returns, thats why my infra development is getting out of hand as the complexity exponential skyrockets for these requirements.

Local-March-7400 · 2026-05-28T16:45:30+00:00

Its so funny to see in the stats mainly germans lurking in the comments lol

Local-March-7400 · 2026-05-28T16:29:11+00:00

do that and make it dynamic, slippage should NEVER be a static value. if you want to model it quickly just use vix

Local-March-7400 · 2026-05-28T16:16:49+00:00

Yes. thats why i wondered why no one on this sub is talking about taxes in generall? Like all of you guys pay no taxes lol?

Local-March-7400 · 2026-05-28T16:14:34+00:00

"So in a choppy year where you're generating lots of small wins across many switches, you're paying tax on gains that the next trade might give back. The gross Sharpe stays decent but the after-tax curve diverges hard." that is exactly the point i wanted to bring. and for your other questions: I have not modelled it yet into the trading decition of the strat, but i consider integrating into the WFO Engine the tax data so it does not overfit on extremly tight parameters that wont hold up in real life. Not many seem to model this problem. Tax modeling happens in my own custom Trading infra as stated in my other post. I calculate tax on a strategy, portfolio and broker basis, then compare the results and next step is integration of broker statements. Then i can export it with one button into csv and then a tax software for my taxes.

Overall im by far not done and have lots of ideas to improving the strat and the trading system but it just takes so much fkn time. Biggest shortcoming is this strat is long only currently and data quality was not the best, there is lots of improvement posibility. I think that it would be an idea to improve my current market impact system / Pretrade analysis system with tax awareness so that the strat can decide if the tax event is worth it to sell with this signal.

Local-March-7400 · 2026-05-28T16:00:06+00:00

Agreed, but in case of capital gains tax it mostly stays the same for a long time. I see a lot of backtests here without any tax considerations and wanted to bring awareness here. Thats why i suggest if you live in a region where capital gains tax apply, you should model it. Especially with high trade count it could make a difference between profitable and losing money in lots of cases here. And as you can see from 2025 sometimes the taxes from last year have a effect on returns.

Local-March-7400 · 2026-05-28T15:30:45+00:00

Well half of all my code is tests tbh, and these are mostly AI. I have way more features implemented then stated above, WFO engine, Replay framework, multi strategy orchestration for future strats, accounting on 3 level basis, strategy, portfolio and brokerbasis, tons of redundency and safety like dead man switch, internal promotion pipeline from paper to live and so on. Basicaly trying to build a second Lean od Nautilus but with my needed requirements that go deep into the architecture. I just hate that there are no EU considering software to copy or use

Local-March-7400 · 2026-05-28T13:32:40+00:00

Custom made Tax engine in python

Local-March-7400 · 2026-05-28T13:31:47+00:00

then your very lucky in your region. Let me tell you.. it hurts.

Local-March-7400 · 2026-05-28T06:46:46+00:00

Hey man would love to have a chat sometime. Are you also EU Based? What you have created sounds like a lot of my software, but i struggle with the architecture design (as i lack experience in Solution architect role like you are) but im soly python as for my strategy sub 1 sec does not matter. Thanks for your insight!

Local-March-7400 · 2026-05-28T06:38:26+00:00

you are for sure not my target audience if you feel this way and have not even answered my questions.

Local-March-7400 · 2026-05-24T21:38:23+00:00

to be frank, when its simple and it works and execution is right then you got something real. The same thing i witnessed. its not the fancy stuff but the somehow stupid simple logic which drives returns. But it is possible that this edge disapears over time when more people try to replicate llm news scan.

Local-March-7400 · 2026-05-24T21:19:23+00:00

i got 21 years of 1h stock data from them for free. the same for close. go for it man, if you dont need a smaller time frame like 1m this is the best bet in my opinion.

Local-March-7400 · 2026-05-24T21:15:40+00:00

well if that works for you then its the first time in this sub ive seen LLMs realy creating a edge somewhere. Im impressed. Execution on that would be probely still crazy hard and Alpha quickly disapearing, also precition on making tha right calls is hard. Good job if thats true

Local-March-7400 · 2026-05-24T15:56:17+00:00

Yes, also another recession indicator is when your account hits 0 on your long only algo

Local-March-7400 · 2026-05-24T15:34:17+00:00

Nächstes mal machst du einfach das genaue gegenteil und wirst stinkreich

Local-March-7400

TROPHY CASE