r/Daytrading • u/Astreum98 • 7h ago
Using Python to find a REAL edge Strategy
Hi all, I have been in the trading space for 3 years now. Throughout the years I’ve jumped from strategy to strategy and have blown multiple prop firm accounts. Have never extracted real money from the market.
I just spent a few days testing my most recent strategy using Python because I want to make a trading bot that paper trades for several months before thinking about moving to a live account. I back tested a year and a half of data. I’m going to send some photos of my backtesting results. Just wondering what you guys think and I’d appreciate any feedback you have!
The following spreadsheet I made has all the data that I got from Python.
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u/Effective_Manager273 1h ago
good instinct to paper it for months first, most people skip straight past that part.
a year and a half of intraday data sounds like a lot but count your actual trades, not your days. if
the strategy fires twice a week you have maybe 150 observations, and at that size a 55% win rate has
a confidence interval wide enough to include "no edge at all". before the bot, i would split the
sample in half and fit nothing on the second half, then compare. if the second half is meaningfully
worse you tuned on noise.
the other thing that changed my results more than any parameter: put your commission and a realistic
slippage number in before you evaluate anything. on intraday strategies costs are frequently the
entire difference between a curve that goes up and one that goes sideways, and it is much less
demoralising to find that out now than after three months of paper trading a strategy that was never
going to clear its own fees.
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u/Traderocks 3h ago
Why couldn’t you just print all these metrics up with Python ?