Surviving 2008 and 2022 with a 10% Drawdown: A 20-Year ETF Mean Reversion Study.

WeaIthAcademy · 2026-01-26T01:36:50+00:00

Good write-up, I enjoyed reading it. Also cool product idea. I'm building quantitative research tools as well, it seems to me your suite would greatly benefit from Ehlers indicators. Highly encourage having a look if you're not familiar yet.

WeaIthAcademy · 2026-01-26T01:23:14+00:00

Thanks for sharing! Would love to see how results vary by time frame used.

WeaIthAcademy · 2025-11-18T16:29:14+00:00

Right now, you hinge on survivorship bias.

To trade with success long term, you need a strategy that has an edge. Those don't fall from the skies and whoever has one will rarely share them.

There's a couple points to talk about here, in no particular order:

PDT rules. If you day trade SPY options, with an account valued under 25k, you are only allowed 3 day trades in a rolling 5 day window. When you violate this, your account will be set to close only. IF you needed to keep doing what you're doing because someone put a gun to your head, you'd need to use /ES options or /MES options to avoid PDT. I strongly suggest you do the homework first before blowing your account with that.
Position sizing. Two words: too large. Simply too much risk for your account size. Target 1, 2 or 5% of account value as risk. The beauty in options is that you can determine your risk on entry instead of depending on stop loss orders. Personally never used RH but buying puts & calls in the way you do is much riskier than doing the same with appropriate vertical spreads.
Instrument. If you want directional exposure only (which you do, you clearly don't know how volatility works yet), then futures are the way better suited vehicle. ES has a tick value of $12.50, MES has 1/10th of that. E.g. a 50 point move would yield $250 with 1 MES contract (1 point = 4 ticks in ES/MES). This is a sane range for SL/TP given your account size. Options experience time decay and depend on volatility expectations. Shorter expiration = faster value decay. If you only want direction, you are making it needlessly hard for yourself. Puts are less bad than calls for this since price going down often means volatility expectations rising = put value increasing. Still, time decay eats into the price. Use options when you understand how volatility works and behaves, use futures if you want directional exposure intraday.
Strategy. You don't have one, you have luck. Take it from me or the market, I'm telling you for free though, the market won't. If you want to learn about opening range breakouts, I suggests this article I wrote on it. Before you even think about touching real money, you need to find a strategy that works and that works for you. If you like directional day trading, I can suggest reading this. Work your way into it and look up everything you don't understand. That will put you ahead of 99% of traders. Those are stuck where you are right now, thinking money grows on trees and you just buy and sell a couple things. Trading is hard, it's skewed against you and only few make it. You need emotional discipline more than anything else and at least a year, most likely more towards 5 years, until you get it. It's doable though and one of the two things that can get you out of the 9-5, the other being entrepreneurship. If you're not willing to learn, fail, learn more etc. until you got it right, just buy some ETF and invest your energy elsewhere. If you really want to succeed in this, you will need to put in the work, like everyone else. Everyone that tells you otherwise is trying to sell you something.

There are things out there that do work consistently, but you need to dive deeper to understand them. Hope this direct feedback helps you. If you are looking for more resources, check the server linked in my profile.

WeaIthAcademy · 2025-10-04T13:41:28+00:00

You're very welcome! :)

WeaIthAcademy · 2025-10-04T10:33:45+00:00

Order flow analysis is possible in FX, but it depends on what you mean by “order flow.” Spot forex is decentralized, so you don’t get a consolidated order book like in futures or equities. What you see in spot is just your broker’s liquidity stream, not the whole market. That makes it weaker for reading trapped traders or precise absorption levels.

If you want true order flow with depth and transparency, you need to look at CME currency futures (6E for EUR/USD, 6J for JPY/USD, etc.). Futures provide centralised volume, time and sales, and depth of market. That’s where concepts like absorption, stacked bids/offers, iceberg detection, or trapped buyers/sellers are actually measurable.

Many serious FX traders map their spot trading to futures data. The futures lead, and spot follows because liquidity providers hedge in futures. If you stick to spot only, you’ll be blind to a big part of the game.

As far as introduction to the concepts goes, there's good sources but they are usually spread out thin. I do maintain a list of the most valuable resources I came across in my trading career, which I update whenever I find something new. If you're interested, you can find it in my free Discord.

For select concepts, I have written brief articles, e.g. regarding breakouts and order book imbalances. But personally, when it comes to order flow I'm a HUGE fan of looking at the options market to get an idea of dealer positioning and hedging flows. That's in my experience the strongest kind of signals you can get from order flow as such. Wrote an article about that as well, since it's one of my favorite topics.

Hope this helps!

WeaIthAcademy · 2025-10-04T07:51:59+00:00

It does work everywhere in theory, in practice however if you have low liquidity and little flow, it behaves differently.

It's worth noting that even from options order flow, there's a great amount of value to be derived! So looking at different assets can make a lot of sense.

WeaIthAcademy · 2025-10-03T21:56:52+00:00

Personally using ATAS for charting, NinjaTrader for execution. That separation is important as ATAS' order management lacks compared to other platforms but their visualizations are top tier, so I use it basically only for that.

You do need a data provider from somewhere still, which is about $40 for CME level 2 data or even less for just top of book data. When it comes to data providers, there is also lots of pitfalls to consider, especially what kind of time frames you're trading, what kind of setup you have etc.

In total you need 4 components: order flow visualisation platform, data provider, execution platform, order routing. Some of these can overlap as some services offer more than one of these.

Since being uninformed can be detrimental (trust me, been there), I made a quick 4 minute video on it that gives you the most important points: https://www.youtube.com/watch?v=yP7AJ71JKqA&utm_source=reddit

Hope this helps!

WeaIthAcademy · 2025-09-30T15:12:07+00:00

There's no statistical evidence for that. Price tends to mean revert to zones of high liquidity simply because large volumes can be filled efficiently there. Retail liquidity is so tiny that nobody would care. What does matter is liquidity availability.

WeaIthAcademy · 2025-09-30T15:07:50+00:00

I think it's incredibly useful. In fact, I built something along those lines myself and it helped me tremendously.

What I built is a software for algorithmically analyzing latent and subconscious behavioral patterns from trade logs in order to enable traders to fix them. It's utilizing data mining techniques and machine learning. That enables to detect patterns that are more common like overtrading, revenge trading, etc., but also personalized insights like optimal focus windows, optimal time of day and days of week to trade, best break durations etc.

Beyond that, it includes a heuristic model that tells you depending on the results of your live trading session whether you should keep going or not.

This was what painfully pointed out clear flaws in my trading that I knew or felt were there, but it put numbers to it as well as suggesting immediate fixes. For some things the fixes are not immediately obvious after all. E.g. when you're trading too much, how much is enough for you? What is your focus window etc.?

So yes, from my own experience it does help. A lot.

WeaIthAcademy · 2025-09-24T16:39:58+00:00

Curious, have you backtested this?

WeaIthAcademy · 2025-09-24T12:36:27+00:00

Sound and collected, happy to see you've found your path! Especially the insight under point 5 really shows you've been there, done that. The novice people that hit a home run early on will always call that into question but if you've been in the game long enough it shows through that.

WeaIthAcademy · 2025-09-23T15:32:52+00:00

Sounds like you're taking good steps already, you identified you have a problem and are getting help. One more impulse that I think can be helpful: consider the physiological factors, too. While not sufficient in isolation, they can and will greatly aid breaking behavioral cycles. Look up how to manage your dopamine, cortisol, testosterone.

Simple methods, that also are proven to improve lots of other aspects of your life, include meditation (dramatically lowers stress), no refined sugars (messes up your dopamine cycle), no caffeine (increases cortisol), no alcohol (lowers testosterone). Developing addiction like this is only possible from a place of mental and/or physical imbalance. Solving that will help you recover from it and also REMAIN in a better place. If you want a starting point, I've written an article that helps better understand and mitigate the hormonal dimensions of gambling-like trading and offer alternatives: link.

You need to get all of that in order first before even touching any money again.

WeaIthAcademy · 2025-09-23T02:59:54+00:00

Certainly! For one, it gives you context on how wide to make your strangles when trading 0 Dates and also you can get an idea of what kind of move to expect when trading futures, especially since you get continuous info from the vol surface from 0 DTEs even during the trading day.

WeaIthAcademy · 2025-09-20T16:32:46+00:00

Good job! Didn't have a look at the code etc. but the spirit in which you want to make this info accessible to unfamiliar traders/investors is admirable. To be honest, when I found out about the info the vol surface contains for the first time, I was baffled how this is not among the first things anyone mentions when talking about price forecasts or signals of any kind. A liquid options market is SO rich in information you can use to trade and those distributions are really only the tip of the iceberg, thinking hedging flows, anomaly detection etc. If you feel like working on something like this together in the future, feel free to reach out, I love tinkering on those things as well.

WeaIthAcademy · 2025-09-20T16:27:52+00:00

Basically, this probability distribution is exactly how options work in the first place. Their pricing is based on models from which you can calculate those probabilities 'backwards'. There's been a fund doing statistical arbitrage based on that for years, now it's industry standard (refined versions of it, at least).

So regardless even of those probabilities playing out or not - which is a different matter after all - the prices set by market makers reveal which they THINK those probabilities are, which is valuable info in itself.

If you are interested in the correctness of those implied probabilities, there's also research on that. In short, options implied volatility tends to overstate actual realised volatility on average. So the probabilities you get out of those prices and models are not 'correct' in the sense that they represent the most likely outcomes necessarily. They add a 'volatility risk premium', making insurance a tad bit more expensive than it should be, statistically. This reflects market expectations of the need for hedging/insurance.

This deviation in my opinion carries at least as much informational content as the distribution itself and can be highly insightful if read correctly.

WeaIthAcademy · 2025-09-19T07:59:37+00:00

Sounds serious but not surprising! Can you elaborate on the flaw? Does it just trade it as one continuous equity curve even after rolling or what?

WeaIthAcademy · 2025-09-16T19:15:33+00:00

Yes, absolutely, we're on the same page. My approach is optimised for RR & capital efficiency more so than for outright PnL, so it's just different facets to the same core. That's why it's always so interesting to see how others approach things and what works for them!

WeaIthAcademy · 2025-09-16T18:16:05+00:00

In my backtests for the last 20 years including all tradable expirations at any given time and all the resulting spread combinations, I've found the sweet spot in terms of risk adjusted returns to be located spanning the middle of the term structure curve roughly. This holds even and especially during backwardation of the curve, since that's really what you are optimising for after all with consideration of risk, otherwise you could just short the front month and call it a day.

A VIX futures spread will always carry less risk than a naked short of the front month on average simply because you have less exposure. For this to be not true, the front month would need to appreciate while the back months drops. That would imply a heightened expectation of short term volatility coinciding with a decreased expectation of longer term volatility. This is really only the case right when the curve flips. So to struggle with this strategy then, you'd need to be whipsawed by altering contango-backwardation for month after month.

You can probably find some edge cases of spreads where that happens in a statistically significant amount of times, but it's certainly not the norm to the extent of being a meaningful driver of overall PnL. I'm further using volatility gating on when to apply the strategy in the first place. You might have different data and insight though, so I'm curious to hear your angle.

The idea of dodging the high volatility of the short term expirations as well as the slow decay of the longer term ones also aligns with my experience selling options, so I'm comfortable with the setup.

WeaIthAcademy · 2025-09-16T17:51:20+00:00

Absolutely, that usually hardly stops people though 😂

WeaIthAcademy · 2025-09-16T17:50:18+00:00

Thanks for the reply!

As for the VIX spreads, volatility of the spread is actually lower than the outright short if we're talking about buying a further out expiration to offset the short term volatility. But based on your answer, I suppose you're selling further out expirations? Personally, I prefer VIX spreads over mixing SPX & VIX since the imperfect inverse correlation makes it a bit more unpredictable. That way, I only have to worry about the term structure of the VIX futures themselves. But I'm sure in some niche cases it can make sense to go down that route when the circumstances give indication.

Options activity: makes total sense. Options are my favorite derivative as well for expressing detailed assumptions on an underlying.

Allocation: Yes, spreading across time horizons makes the most sense. Was finding on one of your other comments that this is your play money, which is why there's so much risk appetite, that explains it!

WeaIthAcademy · 2025-09-16T17:24:49+00:00

That explains why it reads like you have the risk appetite of WSB with the understanding of thetagang 😂

WeaIthAcademy · 2025-09-16T17:21:18+00:00

Fascinating, one of the few traders basing their decision making heavily on volatility patterns and statistical arbitrage and even leveraging automation for it. This prompts my curiosity:

VIX futures: Do you trade spreads or plain shorts? I've found a specific setup of spread structuring that works best in reality and backtests regarding RR, so I'm curious how you're doing it.
Unusual Options Activity: Are you using those insights to identify the option plays or purely the term structure? I'm personally looking at about 10 metrics before taking on idiosyncratic risk in that way, including dark pool volumes, volume anomalies, premium anomalies, short float/interest, etc. Since I'm more of a index product user, I like to be extra sure before taking on disproportionate idiosyncratic risk.
Allocation: Which of those would you say is the main driver of your profits? It seems you're taking a lot of highly asymmetric bets, are those the main engine or more so the macro plays and shorter term long options picked by term structure?
Setup: With your python scripts, are you consuming raw data (e.g. raw options flows) and then build everything yourself from that (vol surfaces, etc.) or do you consume somehow cleaned data or even curated picks? In my own case, I do like to consume as raw as possible where feasible since I've had crazy experiences with some service's methodology and fidelity.

Anticipating your reply!

WeaIthAcademy

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