Hah, no that's a typo, sorry my mind was a bit scattered in this thread. I meant to type that stop losses are at -15% or so (of the position, not the portfolio).
There is a separate risk management metric in play that automatically closes positions and pauses the strategy after a specific number of losses in a row, or after the strategy's capital allocation drops below a certain percentage (whichever comes first).
> -15% or so (of the position, not the portfolio).
Oh... HUGE difference. What percentage of the portfolio is the position? How long have you run this strategy; I ask because those are huge returns that indicate to me you're taking huge risk which can work short term but nearly always wipes you out over a sufficient amount of time.
> It earns between 3 - 15% in options trading every few days with a win rate of around 70% and an average holding time of a few hours.
If those returns could be held for any length of time you'd be wealthy in no time.
> Oh... HUGE difference. What percentage of the portfolio is the position? How long have you run this strategy; I ask because those are huge returns that indicate to me you're taking huge risk which can work short term but nearly always wipes you out over a sufficient amount of time.
No single position can be more than 10% of the portfolio, there is no limit on concurrent positions, and the strategy cannot use more than 20% of the account's capital. Each position has a profit target, normally a 5% increase on the cost basis, and when it's opened a GTC order is immediately submitted to flip it. But this isn't a market-making algorithm or something that requires serious latency considerations - the target holding period for each position is less than five days, after which if the position is still open it's flagged. The strategy has been running continuously for only eight months; prior to that it was backtested with historical data before launching live. It used to be that the mean holding time was around 2 days, but lately it's been flipping positions in fairly short intraday scales (an hour or less), which means I'll be adding more risk accountability to it.
> If those returns could be held for any length of time you'd be wealthy in no time.
Yes...however this strategy has generated less than $30,000 in profits since its launch (on an initial outlay of $10,000), and I don't reinvest profits.
This is an options trading algorithm, and I don't think there is enough liquidity available in the targets to significantly ramp up capital from here without adding on more leverage (and risk). The other difficulty is that a confluence of factors needs to happen somewhat simultaneously in order for a candidate equity to become a target.
Due to this, it's more accurate to say that the strategy generates a few hundred dollars weekly to biweekly (on average). I may be overcautious, but this is primarily a research project for me. I would not actually be trading with real capital were it not for the fact that I'd like to demonstrate the results in the future.
I use Interactive Brokers (the Python TWS API), with a trading system I've written in mostly Python and C++. Yes, I'm charged per trade (occasionally there are rebates, but the strategy doesn't optimize for adding liquidity). I don't have the trading volume to negotiate flat commission rates (nor is that really high on my list of priorities).
There is a separate risk management metric in play that automatically closes positions and pauses the strategy after a specific number of losses in a row, or after the strategy's capital allocation drops below a certain percentage (whichever comes first).
The other metrics are as stated.