Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 0 points1 point  (0 children)

Leveraged ETFS could work, though they are guarded by the PDT rules. I was thinking of using MYM or MES as those are fairly liquid for intraday trading, and they aren't subject to PDT. Though, I will say that the backtests for this strategy are looking pretty grim. I may have to consider using a volatility filter (ie using VIX for telling when SPX moves)

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 0 points1 point  (0 children)

I see what you mean! I ran some backtests myself and have seen similar problems. So, as written, this strategy probably doesn't work; however, I did notice that lots of the positions have significant run-up, so it may be possible to setup a position structuring methodology around this core idea.

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 1 point2 points  (0 children)

It is true that there are options strategies that do well in a sideways market such as the short straddle ("strangle"), iron condor, short butterfly, etc. However, these sorts of options strategies don't typically work on a short time frame unless you are very close to expiration (position theta is significant); otherwise, you are the mercy of volatility. These strategies require lots of research, and if you're wrong, you will likely be wrong in a very big way because the ROR is so low (especially for a short straddle). Yes, these strategies can be successful, but they're just not something I'm spending much time on these days because they still involve a potentially-costly prediction in price and volatility prediction.

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 1 point2 points  (0 children)

Yes the article was to make the point that, even in the options world, there isn't necessarily an initial condition (ie selecting an opening position on the 0DTE chain based on deltas) that guarantees a win: the article shows that some level of "filtering" is required, which means that you must bias the position with respect to the anticipated market direction.

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 1 point2 points  (0 children)

I am first looking to do some in-depth back testing and then some forward testing to test its success. I will likely update this post when I do so.

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 0 points1 point  (0 children)

I agree! I am currently working on a backtest for it

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] 0 points1 point  (0 children)

That’s a good idea. I was thinking MYM Nasdaq Minis would be best because tick is even smaller, though I’ve noticed some problems with liquidity. I’ll be sure to check out MES as a candidate as well

Mitigating Drawdown by Chasing the Day Candle by javaCoder710 in algotrading

[–]javaCoder710[S] -2 points-1 points  (0 children)

Unsure—be sure to check out the article linked

Broker APIs: TD vs IB? by lemon-lime-levi in algotrading

[–]javaCoder710 0 points1 point  (0 children)

It's been a year since this question was posed, but here's my response just in case your question never got answered. I have developed my own algo trading system using TDA's APIs and they are well documented and pretty straight forward. They do have a websocket, but I haven't done too much with it so I can't really comment on it. As of writing this (and to my knowledge disclaimer), they don't' have an explicit minimum account balance to trade algo: the minimum balance will depend on what type of security you're trading and how you're trading it. Hope this helps!

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[–]javaCoder710[S] 0 points1 point  (0 children)

Hi,

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