What's my workflow to create algos
Here's my playbook to build a 7-figure portfolio of 10-20 algos in the next 90 days: 1. Pick a futures market, time frame, and direction I've found edge on these: - @NQ, 30 min, Long @CL, 1440 min, Short @GC, 1440 min, Long @ES, 1440 min, Long @JY, 1440 min, Short @EC, 1440 min, Short @GC, 30 min, Short @ES, 30 min, Long @S, 1440 min, Long @HG, 1440 min, Long 2. Find entry rules: - Mine thousands of indicator & rule set combos on 20 years of data (50/50 in-sample & out-of-sample split) - Withhold 2020-2024 for 2nd OOS validation - Fitness function: Expectancy score - Make sure to add in slippage & commissions (2 ticks per trade) - P.S. I use @buildalpha 3. Filter by Metrics: - Net Profit: $100k+ - Expected Value: $100+ - Average Trade: $100+ - Trade count: 600+ - E-ratio: 1.2+ - PNL/DD: 5 - WR: 40%+ 4. Find exit rules: - Hold time - Profit target - Stop loss Indicators Keep this simple. Your edge shouldn't come from your exit. 5. Robustness testing: - 2nd OOS Noise test - Correlated markets test - 3 months or 100 trades on live sim - 3 months or 100 trades on micros - If it passes all of these, now you're ready to go LIVE. 6. Portfolio optimization: - Check for correlation as close to 0 as possible between strategies - Check that fixed position sizing is fairly close to efficient frontier on the Markowitz model Source: https://x.com/KevinAlgotrades/status/1822470549227929916