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 41 replies, 10 voices, and was last updated 1 month ago by LucasBest.

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09/23/2025 at 5:06 PM #251666

GraHal

What would be the equivalent or alternative (to the 39.88) that IG would be charging for CFD / IG derivative transactions?

GraHal
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09/23/2025 at 5:17 PM #251669

JS

With IG there are no exchange and clearing charges, since IG futures do not go through an official exchange; IG is the counterparty in everything…

When using IG futures, however, you do incur conversion costs, because the future is (conveniently) denominated in US dollars while most trading accounts are in euros…

Every day they perform a (FX) conversion between dollars and euros at an exchange rate that is anything but favorable…

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GraHal

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11/11/2025 at 5:58 PM #253531

LucasBest

What do you guys think about this intraday trading Algo ?

First one 30 time frame on Italy MIB : from 10k to 50k in 15 years

Second one on DAX, 7 min time frame (same strategy : hit an run => stays very few time on market) : from 10k to 1 million in 3-4 years. All the fees (spread and guaranteed stop loss fees are calculated by the code)

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11/11/2025 at 6:03 PM #253534

justisan

how many nights and weeks and months did you torture the “optimization” tool..? 😀

justisan
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11/11/2025 at 6:23 PM #253538

LucasBest

What do you mean by optimization tool? i did those codes and an other algo in 4 days, last week. Is it too much or should i optimize more?

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11/11/2025 at 6:30 PM #253539

justisan

i am glad you are comming closer to your dream – which was doubling equity every week?

other than that one has to be very careful with such small samples over so long periods of time

justisan
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11/11/2025 at 6:34 PM #253541

LucasBest

justisan wrote:

i am glad you are comming closer to your dream – which was doubling equity every week?

other than that one has to be very careful with such small samples over so long periods of time

Sure, you prefer this one ? (not intraday, it keeps positions over night)

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11/11/2025 at 7:41 PM #253543

justisan

yep, that looks like a reasonable amount of trades per year, but it is looking now back only 1 year ;-(

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11/11/2025 at 8:13 PM #253544

LucasBest

i can backtest only on 200k bars…

LucasBest
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11/11/2025 at 10:45 PM #253548

LucasBest

The algo working on Italy (MIB) did 3000+€ today (i let it run to see if i optimized it too much or not) => seems it is working fine for first day

LucasBest
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11/12/2025 at 9:03 AM #253552

VinzentVega

After optimization, every algorithm must prove itself in live trading for several months. Only then can you say how good it is. Until about two years ago, when people shared their algorithms here in the forum to get feedback for improvements, you could see after several months that performance plummeted after the final version was released. Today, everyone thinks they can program an algorithm and put it on the marketplace. Everything is based on backtests, and only a few are based on live trading.

I think that if I have an algorithm that works, then I’ll use it myself and not try to make money by selling it.

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11/12/2025 at 11:26 AM #253557

LucasBest

VinzentVega wrote:

I think that if I have an algorithm that works, then I’ll use it myself and not try to make money by selling it.

Sure, i agree and i am not coding for selling. If my algo real work, why should i sell or rent it?

Today, the algo on DAX 7 min, 90k€ now… Looking how the trade will finish 🙂

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My Algo journey 5 years deep

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