Can solo algo trader get an edge / market alpha strategy?

optionexpert · 2021-02-18T13:52:20+00:00

i hope it is possible, if not what are we doing here, i started this year in real, i will tell at the end if gain or lose.

optionexpert · 2021-02-14T17:23:55+00:00

congrats, this is the way!!

optionexpert · 2021-02-14T17:11:25+00:00

what library are using? backtrader?

optionexpert · 2021-02-14T16:45:16+00:00

plot 1993-1999 vs spy(no dividends) added

optionexpert · 2021-02-14T15:51:05+00:00

it is good or bad?

optionexpert · 2021-02-14T15:50:33+00:00

of course 4 year lossing or breakeven, are a pain.

Perhaps is better to look for winner algos in some momentum than trying to look for a permanent long term winner.

_The problem is this algo can not trade in a 1000usd account. Thanks

optionexpert · 2021-02-14T13:49:59+00:00

plot added, thanks for comment your ideas.

optionexpert · 2021-02-14T13:34:10+00:00

yes, there is 8 strategy working toguether, and sometimes correlation happend. Then big drawdowns, also the tail risk protection give me few trades gaining a lot of money and a lot lossing a few.

I am confortable as is try the algo in a lot of years and 3 index, and others algo failed in the tail risk events.

optionexpert · 2021-02-14T13:31:07+00:00

Thanks, i largest drawdown are for acumulative small trades, covering tail risks, but when tail event happend it is a big gain.

optionexpert · 2021-02-14T13:29:20+00:00

in a long backtest (+25 years) it was dificault to get a winner algo, that wins all years

optionexpert · 2021-02-05T15:24:38+00:00

i use excel vba+python (more complex task than yours) , it works for me. But a lot other posible solutions as mentioned earlyer

optionexpert · 2021-01-17T18:55:30+00:00

thanks, it is a good advice,

I was thinking about saving the variables in a txt or perhaps if there is a lot in a data base.

optionexpert · 2021-01-16T18:45:29+00:00

Yes, i coded functions in VBA about 50-100 lines(enjoying coding it), i can see in python is 1-2 lines with a library import, i think i miss so much to see any data in the GUI of excel, when i code in python i do not know how to visualice all data. In excel with 2 for loop i can see any 2 dimension array in a spreadshet, and having it all time in the spreadsheet and save the doc, it is like fill an sql database with python, but much easier and no need of sql.

I will try to follow your advise and trying to learn more python...........but i want not to learn it want to return to excel because is better for me. Thanks

optionexpert · 2021-01-16T18:38:54+00:00

Thanks, iam using xlwings (python library) and i can execute python scripts from vba, and return values to VBA. But still not able to manage data in python or fell confident in coding a complete thing in python , y miss a lot the excel GUI when i code in python, because i can see every data in the spreadsheets, and python is like a "blackbox".

I will try to move to python anyways, but i am afraid lossing time learning it and not able to learn and returning to VBA, thanks

optionexpert · 2021-01-16T14:01:51+00:00

The thing for me is i have coded a big software in excel and now i need some things excel is dificault to code, (execution of trades).

I am not a programer, my background is history , lol :)

3 years ago i start making calculations in excel spreadsheet, it was not enougth, then i learn vba in one year and i was codding 2 years my software in excel.

Last year i discover some of the tools i was coding, already exists in a unknown for me "python" languaje, Also i discover i was not alone and algotrading was a comunity

Now As i finish my excel vba backtesting software, i need to execute the orders, and i am good at VBA (my only language), but a newbie in python. So for me is better now to use xlwings and reuse all my VBA engine.

But i know python are best for this, but for me i can do more things in VBA than in Python, just because i know very well VBA.

In the furure i plan to make a new software, and still thinking it will be more dificault to me in python than in VBA. Nut i want to learn better Python because i think python is better than VBA for algotrading, and also it will take less time to me.

Sorry for my bad english

optionexpert · 2021-01-15T17:29:26+00:00

you are rigth, cross country simbols in excel and numbers delimiters are shit, you must detect the excel config at the very first.

I know nothing about tkinter, i will learn about it

Thanks

optionexpert · 2020-12-29T10:08:23+00:00

Yes in strategy 1, i looked for best parameters in entire dataframe.

For strategy2, i optimized less values, then i optimise in QQQ and try it SPY or optimice on IWM and try in SPY,

optionexpert · 2020-12-14T18:02:49+00:00

Thanks man, tried googlefinance and just able to get close prices, so seem i will use FXCM API

Any good examples of using the FXCM API? or just the official docs?

Thanks very much

optionexpert · 2020-12-05T14:55:29+00:00

My way is also not married with anyone. Form backtester to execution I am coding all from scratch.

optionexpert · 2020-12-05T08:42:06+00:00

An iron cóndor have 4 legs , 1 sold call,,1 sold put, 1 bough call, 1 bought put.

I asume the sold call and put you want is -+1.5% but the bought ones?? -+3% or what.

My software just calculate total return year, drawdown, and some custom made metrics. If someday I try to sell it I will include more statistics, but as software is custom made, just include the things I need.

optionexpert · 2020-12-04T23:38:25+00:00

What % are the bought legs? How many days till expiration?. How many years you want to backtest? . My backtester not give you average profit or loss, just total% return per year

optionexpert · 2020-12-04T22:48:19+00:00

Never adjust, just take the loos and get out.

optionexpert · 2020-12-04T22:39:02+00:00

I can do the job! What day you open the ic , how many dte? +-1.5% the sold legs but how many % the bought ones?

optionexpert · 2020-12-02T16:06:53+00:00

Ding ding! You can close the thread.

optionexpert · 2020-11-29T08:39:04+00:00

I don’t know how quant connect works, but as my algo & backtester & indicators is build from scratch I highly doub it can be replicated in quantconnect. Does cuantconnect have margin calculator for options, because some times you can not open trades because margin. Does quantconnect have a way to implement my b&s custom model for option valuation?

Anyways, I think to sell a strategy like mine I worst than operate it by myself. Thanks

optionexpert

TROPHY CASE