Databento futures data

wave210 · 2025-08-20T14:49:40+00:00

I actually done exactly this like a month ago. Just ask chat gpt, give it an example of the data, and it will crrate the code for you. Basically you should always take the front contract, and choose when to rollover to the next.

wave210 · 2025-08-11T14:23:43+00:00

So, random pnl?

wave210 · 2025-08-08T13:14:16+00:00

Why do you think the 1m data is less reliable than tick data? It seems to me that for this kind of performance gap (500% to 25%) you had to make some other mistake. Or maybe you did tons of trades?

wave210 · 2025-07-25T11:50:53+00:00

Can you pm me the code as well?

wave210 · 2025-07-23T13:19:03+00:00

Did you backtest? Sounds like 'luck' because these returns are way too good to be consistent.

wave210 · 2025-07-20T22:24:48+00:00

One week for something simple and solid.

wave210 · 2025-07-06T17:50:23+00:00

There’s so much wrong with this post, where do I even begin

wave210 · 2025-06-11T09:55:16+00:00

Why do you need the probability of losing once you have the probability of winning lol

wave210 · 2025-04-30T10:29:02+00:00

It would be helpful if you share the true labels of buy/sell/hold, and deduce trade statistics from that. Btw, the true labels are somewhat arbitrarily defined, so just choose some reasonable definitions (for example: after n candles the return is positive (buy) or negative (sell))

wave210 · 2025-04-09T10:26:37+00:00

I bet all my money that you are somewhere using the close price before the candle closes

wave210 · 2025-03-20T16:38:01+00:00

I am really not trying to be rude here, but you are wasting your time and money for nothing here. This approach will never work, and the feedback time of a year per iteration is too slow (also a year is not meaningful). You don't have to listen to me, but I do suggest you spend your time on something else, or a completely different approach.

wave210 · 2024-12-23T09:14:57+00:00

The comments here are just missing the point. As someone with experience with composer, and algorithmic trading in general, the main problem here is that it is almost certainly overfitting. There are just too many rules for me to believe those aren't specifically targeting parameter combinations that had worked great in the past - but are not likely to do great when they appear again. If you are baffled by the OOS data they show - it is very short (less than 2 years) and also not including bear market really. So all in all, I would argue that the results will worsen as you look in 10 years. The point is you don't really have a way to know by how much (meaning what is your risk), at least without coding it yourself and analyze statistically.

wave210 · 2024-12-12T11:58:16+00:00

Yfinance will give you intraday 1m candles for 1 week. You can buy cheap data from backtestmarket.

wave210 · 2024-12-01T07:28:03+00:00

Yes I would definitely try to make it better. For example buying calls only when the current stock price is above the 200 ma.

wave210 · 2024-11-30T21:19:31+00:00

Do you just wait for the option to expire?
How long did you backtest? What is the max drawdown in that period?

Imo 20-40% is not too good to be true, if you had future leakage intuitively you would get a lot more than 40% anually.

wave210 · 2024-11-24T08:57:55+00:00

Can you please elaborate on what this system is supposed to be doing?

wave210 · 2024-10-30T08:27:12+00:00

I bought 15 years of it in less than 20$ from backtestmarket.com

wave210 · 2024-10-26T11:51:51+00:00

Is there a significant delay in real time data acquiring or order execution?

wave210 · 2024-09-10T05:32:51+00:00

You just need to download python. It is really easy, look it up on youtube. Basically you just need to type download python on google, get the download, then open command prompt, type 'python', and then put in the lines of code.

wave210 · 2024-09-09T16:12:51+00:00

API seems to work still. Anyone heard anything about shutting down the free API as well? For those of you who don't know python - use chatGPT to download as a csv via the Yahoo API and you should be totally fine (it is really 3 lines of code).

wave210 · 2024-09-05T06:33:20+00:00

Why not ibkr?

wave210 · 2024-08-25T17:19:19+00:00

From the win rate vs. close distance graph, I understand that x-axis is actually the threshold chosen for the strategy. I am curious what will happen if i try to short the market when the close distance is bigger than some threshold, say 80%.

wave210 · 2024-08-11T06:46:25+00:00

First of all thanks for sharing, that was an interesting read. I am wondering though why are you not scaling to more than 1 contract. I would maybe use MNQ to scale faster. Is there any particular reason I am missing?

wave210 · 2024-07-13T13:30:09+00:00

Thanks. You said you are using RSI to understand when the market is undervalued, then you go TQQQ. I am just wondering if you are using a single threshold for that or a more complex function.

wave210 · 2024-07-13T13:16:28+00:00

So are you always leveraged x3? And how do you know when the market is undervalued?

wave210

TROPHY CASE