59 days of paper trading a 9/21 EMA crossover system on edge hardware, honest results and what I changed before going live
u/Weird_Night_2176 ·
Reddit — r/algotrading
· 2026년 6월 10일, 21:56
· ⬆ 15 포인트
· 💬 35 개 댓글
| Reddit에서 보기 ↗
AI 요약
=== 요약 ===
- 저자는 9/21 EMA 크로스오버 시스템(ATR 스탑, RVOL 필터, 손익분기점 락 포함)으로 59일간의 모의 거래를 상세히 설명하고, 실전 전환 전 개선 사항을 공유합니다.
- 시스템은 33% 승률과 3:1 승패 비율을 보이지만, 수익성은 두 개의 이상치 거래(ARM 및 AMD)에 의해 주도됩니다. 저자는 모멘텀 트레이딩에서 규율의 필요성을 인정합니다.
- 전반적 품질: 정직한 데이터, 명확한 방법론, 위험 인식을 갖춘 잘 연구된 실사 분석(due diligence)으로, 추측이나 소음이 아닙니다.
=== 심리 ===
혼합
=== 투자 아이디어 ===
이 게시물에는 실행 가능한 투자 아이디어가 없습니다.
게시물은 전략 개발과 과거 모의 거래(ARM, AMD, NVDA)에 초점을 맞추며, 현재 진입 신호나 추천은 없습니다. 실전 거래를 위한 명시적이거나 강력히 암시된 티커 방향은 제공되지 않습니다.
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▶ 전체 게시글 텍스트
Built an autonomous paper trading system on a Jetson Orin Nano. Been running it for 59 days. Real money goes in June 13. Here's the honest data before I flip the switch:
Strategy: 9/21 EMA crossover + ATR-based stops + RVOL confirming filter + breakeven lock at +5%
Results (20 trades, 14 closed):
\- Win rate: 33.3%
\- Avg winner: +$999
\- Avg loser: -$316
\- Total closed P&L: +$1,470
\- Two trades (ARM +$2,048, AMD +$1,741) are carrying the whole system
What I changed before going live:
1. Replaced fixed 2% trailing stop with ATR-based stops, the fixed stop was getting shaken out of good trades by normal daily volatility. NVDA needed 11% of room, not 2%.
2. Added RVOL confirming filter, only enter if yesterday's volume was above 80% of 10-day average. Filters out low-conviction signals.
3. Breakeven lock, once up 5%, stop moves to entry. The position becomes risk-free.
4. Backtested all closed trades against a gap% filter I was considering, it would have blocked ARM. Killed the idea.
5. Fixed a position sizing bug, MAX\_RISK\_PER\_TRADE was 0.10 (10% of $102K paper account per trade). Changed to 0.02. Had a $10K notional position in SMCI that I didn't intend.
The honest concern going live:
The system is profitable because of two outlier trades. Without ARM and AMD the system is net negative. That's the reality of momentum trading, you need your winners to be much bigger than your losers. 33% win rate with 3:1 win/loss ratio is mathematically positive expectancy but requires discipline to stick with through losing streaks.
Also running 5 paper strategies simultaneously, for comparison: 20/50 EMA, mean reversion (RSI<35 + Z-score<-1.5), VIX-filtered version, and two crypto strategies. 90 days of parallel data before any of those get real money.