My Algo journey 5 years deep

jebus89 · Wed, 17 Sep 2025 10:59:38 +0000

So its been 5-7 years with algotrading, most seriously the past 5 year i would say. Its a been a wild ride.. Im going to include a bunch of systems equity curves here so you can see how its been performing “in sample” vs live the past 5 years. All codes have been made between 2017-2022 i would say. First let me just summarize the past 5 years btw i use IG and obviously prorealtime: It has not been easy, and im not rich lol. However i would say my account grew from roughly $20k -> $55k over 5 years, which is a nice number, but its currently at $35k. after taking some huge drawdowns since Trump (and tarriffs) rocked the markets.. My algos does not enjoy fast volatility, they mostly enjoy nice even calm swing trades. Ive taken my backtest “max drawdown”, added 20% ish to that number, and allocated enough contracts to each system so that my total max drawdown, if everything went to shits and all algos are at max drawdown at the same time, my total account drawdown would be -50%. This has happened to me twice and let me tell you.. thats painful. Ive listened (and read) many books of great traders (and algotraders) saying that you need yo withstand a -50% drawdown and build your way up again from that. It happens some times. And it has, twice, and its painful. Every single time you allocate more contracts to an algo you can just assume its going to be another “new high” for your max drawdown on that algo from day 1 lol.. its crazy, ive never once managed to actually get the timing correct.. Every time my account getsd +10k$ i try to allocate the funds to my top performing algos and wouldnt you know it, add 1 more contract = 10 losses in a row and profits for a year is suddenly gone lol.. Real life results vs backtest is some % worse.. Slippage and cost makes the results i would say 10-20% worse than what backtest says.. Holding positions overnight eats away so much of your profit its crazy.. Last year i paid $8K in just overnight holding costs.. Ive tried my best to see how i can get it lower but most of my algos demand holding positions over night 1-2 nights or more on some and that hurts your profit really bad.. Most of my algos are 15m, 30m, 1h and some daily. Markets i trade are Dax, Wall st, US500, US tech. Ive made all the algos myself Some of my algos use “dynamic stop loss” (example 5* ATR = Stop loss) but honsetly for many years ive just used fixed “stop Ploss”, same for profit and its been working good. I cant tell you why, when i started Wall st was not as high as it is now, but still it works.. and optimizing for a fixed number stop loss today gives me the same number as for the previous years. The Win % has gone down in Out of sample vs In sample, as expected, but as long as its profitable im running the algo. All algos are Long only except my daily algos are short as well when in bear markets Ive used trailing stop losses alot over the years and it works good for a year or 2, but removing them have ALWAYS given me better long term results.. Worse %winrate but higher avg wins making more then enough up for it. I try to never change my algos. I reoptimize every year to see if anything has changed, but making a new version of my algo almost never happens. When i discover something new like a new filter or new stop loss i try it out and if its better i change it, but i dont reoptimize variables ever.. Like i never change RSI 14 to RSI 10 next year because it looks better that spesific year.

This topic has 31 replies, 8 voices, and was last updated 1 month ago by JS.

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09/19/2025 at 1:44 PM #251153

deleted23092025

It´s only worth to trade futures when you hold positions for weeks?

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09/19/2025 at 2:00 PM #251154

justisan

jebus89 wrote:

Im really glad you chose to write your reply to me!

sorry – I could not sit still after reading your insights 😀 it’s not first time I see/read guys doing from my perspective/experience lot of right things in trading but one or another statement indicating that the person might be on the direct way to bankrupcy still – financially and/or psychologically. and respect for risk is somehow one of the last things many traders learn. on the other hand probably it makes little sense to hint folks to the risk they are taking – because they in fact “want” that risk, and they will go for it. and hopefully they will learn their lessons before some serious desaster. I am sure not so much different from others. one of the constants in my developing as trader was that I was year after year reducing my risks. not because others told me, but because of financial and emotional experience. I want deep, calm sleep at night 😀 and whish the same for all others! of course one can have good sleep by trading amounts of cash which absolutely don’t matter for the person, or by “trading” 150 algos on demo-account, but in those cases one learns absolutely nothing about trading, zero.

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09/19/2025 at 2:18 PM #251158

justisan

wrote:

It´s only worth to trade futures when you hold positions for weeks?

avoiding overnight fees which one has on cfd is serious reason to trade futures, even if one keeps positions for one or two nights on regular base. but there are plenty of other very good reasons. for me one of major reasons to switch from IG/cfd to futures is that nasty “habit” of IG to implement quite frequently temporar minimum price distances for entries (and also exits).

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09/19/2025 at 2:28 PM #251159

JS

Of course, when you trade (actual) futures you implicitly pay the cost of carry…

This is the price difference between the spot price and the futures price…

JS
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09/19/2025 at 4:01 PM #251162

JS

This price difference can be significant… (borrowing money costs money)

JS
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09/19/2025 at 4:05 PM #251163

deleted23092025

But you´re paying higher spreads on the future, so if your algos have runtime of arround 20 hours you will hit the overnight fee once on avg.

Meanwhile on futures the spread is higher, no? And you can run way less algos as you´re not borrowing money.

It depends on the market for overnight fee and the spread differnce but for normal indices I belive it´s 1-3 days for breakeven. But since you can leverge and borrow money and if you have good systems it´s allways worth running cash contracts.

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09/19/2025 at 4:18 PM #251164

JS

The IG futures are not ‘real’ futures but CFDs in disguise…

Trading ‘real’ futures is only possible with IB as a broker…

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09/23/2025 at 10:12 AM #251640

justisan

JS wrote:

This price difference can be significant… (borrowing money costs money)

hi JS,

if one buys futures it’s not borrowing money (nor is it lending when one sells short). and it’s huge difference between overnight financing cost for cfds (as charged here in particular by IG) and cost of carry for futures which justifies futures prices being (usually but not always) higher than spot and futures converging to spot when approaching contract expiration date. for index futures price difference vs spot is – as you probably know – increased by market interest rate and decreased by expected dividend yield. both components are market driven. overnight fin.fees by IG are on the other hand sum of market interest rate and “handling fee”, and this handling fee is neither market driven (can be changed by IG whenever they want, it was lower few years ago), nor are they low, in fact they are heavy, currently being 3%. what’s the difference in practice for a trader:

if one bought dax index via cfd this year 1st of august at 17:00 and sold 29th of august 17:00, one would have gained 432 index points, while same long transaction via futures would show 398 points profit, so 34 points less than transaction on spot. so yes, these 34 points are “cost” of carry, looking like disadvange. but – IG currently charges 3.26 points per night for “financing”, and that makes approx 91 points in sum for those 28 nights from 1st to 29th of august. surprise surprise – in the end one holding cfd position would not gain 34 points vs futures, but lose 57 points. isn’t it fun? cfd “broker” (and the bank behind) is simply and purely milking their customers thanks to that “handling fee”. and that is only one of few ways how they drain cash from clients.

I am not “angry” at IG because they charge so much for overnight positions and do other quite terrible things. thanks to them I learnt so much in general, but when moment/conditions were proper, it was time for me definetely to move to futures. I don’t think one should move to futures just because of avoiding overnight charges – since there are several other and much more significant reasons, but maybe not everybody is as much affected by those reasons like me/my strategies.

cheers

justisan

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GraHal

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09/23/2025 at 11:10 AM #251647

JS

Hi Justin,

I only meant to point out that futures are not “free” — they have a cost of carry (your 34 points on the DAX index)…

I’m well aware that IG charges outrageous fees…

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09/23/2025 at 2:46 PM #251650

justisan

ok JS, clear. for me your statements just sounded as if you want to tell that there is no advantage in terms of avoiding/reducing “overnight charges” by trading futures instead of cfds, while in fact there is and quite significant one. possibly there would be no advantage or just almost neglectable one, if IG would not have those “handling fees”…

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09/23/2025 at 3:26 PM #251653
JS
Hi Justin,

Aha — the conversation sounded (to me) as if using futures came with no costs, which isn’t the case…

When you review the daily activity statement you’ll see that, besides the cost of carry that’s already embedded in the futures price, there are additional items to consider:

Trading costs: commissions (and exchange/clearing/regulatory fees)…

Financing costs: only if you run a debit balance / use margin or have a negative currency balance (e.g., USD)…

Currency impact (FX translation): not a broker fee, but an (un)realized FX gain or loss on your cash balances…
JS
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09/23/2025 at 4:19 PM #251660

PeterSt

@JS, Is it intentional that you show an IBKR report with your portfolio data and all ?

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09/23/2025 at 4:25 PM #251661

JS

Thanks, I realized afterwards that there was a bit too much on it, but it doesn’t really matter…

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09/23/2025 at 4:48 PM #251663

GraHal

Interesting! What does the Transaction Fee of 39.88 relate to, if you don’t mind me asking?

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09/23/2025 at 5:02 PM #251665

JS

That fee relates to exchange and clearing charges…

It’s not a broker commission but a cost that comes directly from the exchange and is passed on to you…

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My Algo journey 5 years deep

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