u/tuscan21 ·
Reddit — r/algotrading
· April 26, 2026 at 10:35
· ⬆ 15 pts
· 💬 44 comments
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AI Summary
Summary
The post describes a 2-week performance of an algorithmic options strategy trading short-dated (0–4 DTE) long-only options, with high turnover and aggressive directional bets.
The author questions whether the strong returns (21.6% on ~$95K NAV) reflect a real edge or just luck, and seeks advice on risk metrics, regime detection, and downside protection.
Quality assessment: Noise – While the metrics are detailed (Sharpe 4.26, Sortino 8.23, tail ratio 2.75), the sample is extremely small (9 trading days) and lacks any independent verification or out-of-sample testing. This is a self-reported performance update, not rigorous DD.
Score15
Comments44
Upvote %65%
▶ Full Post Text
Roast my 2 week algo options performance.
Built a bot trading short dated long-only options, mostly 0 to 4 DTE. Current April performance so far:
Net P&L: +$16,929
Return: +21.61%
Average per day: +2.58%
Fees: $841
Trading days: 9
Max drawdown: -$11,672, about -12.87%
Worst day: -$10,504, -11.74%
Best day: +$17,298, +21.90%
Current NAV: around $95K
It outperformed NASDAQ and S&P massively over the period, but the equity curve is obviously not smooth.
The strategy is aggressive, high turnover, short dated options, and tries to catch directional moves and reversals. I am not pretending this is low risk. The question is whether the edge is real or whether I am just watching a very sophisticated slot machine have a good week.
What I am looking for:
1. What risk metrics would you track beyond max drawdown ?
2. How would you separate actual edge from short term luck with only a limited live sample?
3. What would you monitor to detect when the bot has entered a bad market regime?
4. How would you control catastrophic downside without killing the upside from large convex winners?
5. Any obvious red flags from this profile?
Edit: calculated Sharpe and Sortino ratios: 4.26 and 8.23 respectively. Tail ratio 2.75. Hit rate 44%.