Aug 11 in ❓ Ask Kevin
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:
- 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
10
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What's my workflow to create algos
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