AlgoTrading strategy/journey 7 months in. Is it worth running or shall I seek other ideas?

equiltonio · 2026-08-05T17:41:27+00:00

=== SUMMARY === - The author presents a 4-sleeve systematic trading strategy (Trend, Tactical Equity, Gold, Crypto Carry) using 2x leverage and asks for feedback on its viability. - The post details realistic cost modeling, including a 5% borrowing rate that significantly impacts the strategy's CAGR, prompting the author to question if it's worth running live. - Quality assessment: Well-researched systematic strategy discussion. It is a portfolio construction and backtesting review rather than directional market speculation. === SENTIMENT === NEUTRAL === TRADE IDEAS === SPY - LONG | confidence: 0.85 | sentiment: +0.30 Speaker: u/equiltonio Thesis: 1. THE FACT: The author's tactical equity sleeve holds SPY when it is above its 200-day moving average (Faber rule). 2. THE BRIDGE: This classic trend-following rule aims to capture equity market upside while avoiding major bear market drawdowns by switching to bonds. 3. THE VERDICT: Maintain a long position in SPY as long as it remains above its 200-day moving average. 4. RISKS: Whipsaw markets where the price oscillates around the 200dma, generating false signals and trading fees. Timeframe: medium-term Key Points: - Uses Faber 200dma rule for equities. - Captures long-term market uptrends. - Switches to IEF during downtrends. - Limits severe portfolio drawdowns. GLD - LONG | confidence: 0.90 | sentiment: +0.50 Speaker: u/equiltonio Thesis: 1. THE FACT: The author explicitly includes Gold as a "permanent diversifier" in their equal-risk blended portfolio. 2. THE BRIDGE: Gold provides historically uncorrelated returns to equities and crypto, smoothing out the equity curve of a leveraged systematic book. 3. THE VERDICT: Hold Gold (GLD) as a permanent, passive diversifier within a broader systematic portfolio. 4. RISKS: Prolonged periods of gold stagnation or high opportunity costs compared to yielding assets. Timeframe: long-term Key Points: - Acts as a permanent portfolio diversifier. - Blended on an equal-risk basis.

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Summary

The author presents a 4-sleeve systematic trading strategy (Trend, Tactical Equity, Gold, Crypto Carry) using 2x leverage and asks for feedback on its viability.
The post details realistic cost modeling, including a 5% borrowing rate that significantly impacts the strategy's CAGR, prompting the author to question if it's worth running live.
Quality assessment: Well-researched systematic strategy discussion. It is a portfolio construction and backtesting review rather than directional market speculation.

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Comments 21

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I've been active in developing trading algorithms and strategies for over 7 months now. I started it when I was looking for a dissertation project idea, which led me to develop my initial strategy using machine learning, feature engineering, regime detection, and my own unique approach to the architecture to allow my strategy to trade well on US liquid stocks. Long story short, it was achieving 2-3 Sharpe, did great on paper trading, but my modeling of more realistic costs made me learn the harsh way + I discovered the data and features themselves barely had any edge with a low Information Coefficient (IC).

Following that, I looked into Crypto funding carry strategies, which essentially is the main highlight of my main system, a 4-sleeve systematic book, blended equal-risk, and using 2× Leverage comprised of:                                                                                                                                    

1) Trend: long/short 3-6-12-month momentum across 9 liquid ETFs (inverse-vol weighted, vol-targeted). 

2) Tactical equity: holds SPY above its 200-day average (Faber 200dma rule) or IEF otherwise.

3) Gold as a permanent diversifier.                                                                                                                                                                   

4) Crypto funding carry: long-spot/short-perp on 8 majors won't go too much into detail on this one.

Cost Rundown is as follows:

perp 1.5 + spot 4.0 bps/turn for the Crypto strategy. Derived and tested from a selected UK venue.

Trend turnover: 5bps per unit of

Tactical switch: 5bps between SPY and IEF

I also accounted for the borrowing rate on the platform, which is around 5%. Although it's not reflected in the stats below, it essentaily lead to -4 to 5% for the full window CAGR and around -2% post 2019

Full stats are below. My question is whether this is worth pursuing, improving upon (although I'm unsure of where at this moment), or if some specific avenues or strategies are more suitable for my expertise, or if there is something I'm overlooking.

PS: Crypto carry edge did not start until 2019, so the strategy was only using the 3 other components beforehand. OOS and the recent window are probably the most important/informative.

Paper trading is underway, but only 40 days in.

https://preview.redd.it/i0flb0iedlhh1.png?width=850&amp;format=png&amp;auto=webp&amp;s=e6beab2ba09acae5348b78c97af2a12ee2c892f7

https://preview.redd.it/po0upeehdlhh1.png?width=1049&amp;format=png&amp;auto=webp&amp;s=5964c15354ef63d380217bc294f209152d699974

https://preview.redd.it/jja7g52kdlhh1.png?width=1071&amp;format=png&amp;auto=webp&amp;s=4afa7679e2f8d6ecf3a07c25a7545ce299fa3dac

https://preview.redd.it/0yxirsxmdlhh1.png?width=1047&amp;format=png&amp;auto=webp&amp;s=649cbfdd9fe877b28ef1266f6484fa712ecb7cfc

https://preview.redd.it/d4lizzaydlhh1.png?width=1221&amp;format=png&amp;auto=webp&amp;s=4ca9c91b56691d0061b6f548caf174b247d89d7b

https://preview.redd.it/0byb9va2elhh1.png?width=1221&amp;format=png&amp;auto=webp&amp;s=2721e435c9f3429e053b73cc66eee59b9bdc3491

Ignore my artistic front-end choices

Ideas

u/equiltonio Reddit r/algotrading

The author's tactical equity sleeve holds SPY when it is above its 200-day moving average (Faber rule). This classic trend-following rule aims to capture equity market upside while avoiding major bear market drawdowns by switching to bonds. Maintain a long position in SPY as long as it remains above its 200-day moving average. Whipsaw markets where the price oscillates around the 200dma, generating false signals and trading fees.

u/equiltonio Reddit r/algotrading

The author explicitly includes Gold as a "permanent diversifier" in their equal-risk blended portfolio. Gold provides historically uncorrelated returns to equities and crypto, smoothing out the equity curve of a leveraged systematic book. Hold Gold (GLD) as a permanent, passive diversifier within a broader systematic portfolio. Prolonged periods of gold stagnation or high opportunity costs compared to yielding assets.

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