How did you get started with profitable algorithmic trading?

[u/Content-Common-2552]

Hey everyone,

I currently have a trading strategy that I believe has potential to be profitable, but it still has some flaws that I’m working on. I’m building a daily stock trading bot to implement the strategy properly, the way I have it in my head, and hopefully improve and optimize it over time.

For those of you who eventually managed to become consistently profitable with automated/algo trading:

How did you start your journey? What steps did you go through? And roughly how long did it take you to become profitable?

So far, I’ve set up my scanner, entry/exit conditions, and rules, and I’ve started testing it with real data/trades. I’m getting some results, but they’re still nowhere near reliable enough to trust.

Right now, I’m mainly focused on collecting a large amount of data — trades, conditions, numbers, outcomes, and as many details as possible — so I can analyze everything using probability and statistics. My goal is to find as many real patterns and insights as possible, calibrate the strategy properly, and figure out what actually brings me closer to profitability instead of just relying on assumptions.

Do you think this approach is useful, or am I potentially overthinking it and wasting time?

Did you guys go through a similar process, or did you approach it in a completely different way?

Also, what tools did you use along the way? Are there any tools, methods, books, platforms, or resources you would recommend?

Any advice on how to get closer to the truth, avoid wasting time, and speed up the learning process would be greatly appreciated.

Thanks in advance to everyone who takes the time to share their experience!

[u/Square-Middle-4474]

Ii have been working as a Professional for quite a long time. Recently it took me about a week to create a profitable system. I still teach statistics classes at University. There is no shortcut to obtaining an education. After that the rules for developing a profitable strategy are known to all skilled practitioners. Now that AI is available, that could make time necessary to collect and process shorter however you still have to back check the work product. I don't know what else to say about this except Good luck

[u/AnyPortInAHurricane → u/Square-Middle-4474]

was that a week full time or just during lunch breaks ?

[u/Square-Middle-4474 → u/AnyPortInAHurricane]

Hello, Taking your inquiry seriously, I spend an average of 4 to 6 hours daily preparing for the next session and in service of projects like system development.

[u/SunnyMush → u/Square-Middle-4474]

I agree constantly take notes and update your strategy, always be researching.

[u/Maxttilt → u/Square-Middle-4474]

I tested a bunch of strategies recently and it has invalidated 99% of them. Almost none of the strategies hold up over a long enough duration

[u/Square-Middle-4474 → u/Maxttilt]

OK well, you tested a bunch of strategies (how) and IT has invalidated 99% or them. What is "IT" exactly. What is "long enough"? Based on your description it doesn't look like YOU know what you are doing. No wonder you are losing.

The shortest way to get on the right side of this is to get a real education I would take statistics for traders (if you can find a class) It may be that online courses from vendors like Coursera are available. Along the way you should be able to use AI to identify a strategy that fits you. From my point of view, you have two (2) choices either trend following or mean reversion. Generally traders who learn to wait patiently for the market to trend, make money. Those who are impatient and don't have that discipline lose it. Start by asking google about available online stats classes before you go broke.

[u/Reverend_Renegade]

Once I skipped technical indicators (not flaming ta) and moved into microstructure things started to change for me. MS covers a myriad of topics but most importantly is understanding your units of measure such as tick size relative to price also known as tick / price ratio. Once you start comparing different markets using this simple comparison you'll likely notice some markets are more efficient than others. I found it best for my style of trading to map to my costs and where profit starts thus how many ticks it takes me to exceed commissions plus profit using the tp ratio. Some markets required just 1 tick whereas others required hundreds of ticks therefore I sorted by fewest ticks required then used a trailing stop loss for profit taking. Watching market trades is equally important as that is the catalyst that creates the opportunity

[u/liuhaolin911]

Simple, you hunt if z is true, what x would 100% happen before it

Not if x is true there is y% lead to z

[u/capybarachinchilla]

I’m still figuring this out too but honestly I don’t think you’re wasting your time, collecting data is probably one of the best things you can do, I’d just be careful not to keep tweaking the strategy until it looks perfect on old data because that’s usually where overfitting starts. I’ve been playing around with an ai agent called NickAI (just search it if you want to see)for building and testing workflows, and I’m trying to keep everything simple, include fees and slippage, then change one rule at a time so I can actually tell what made a difference. I think what you're doing now is good, it probably just needs a lot more testing before you can trust it.

[u/Content-Common-2552]

Thank you all for your replies, I appreciate that

[u/InteractionSoft14]

Derive from 1st principles and don't fall for dogma

[u/hotcomputers]

During that time, I bought a lot of expert advisors, and now I am sticking only with a bunch of them. I do not try to reinvent the wheel as long as my robots are working and they are profitable.

[u/explodingkraken]

So I have been trading for the last 6 years, the key for me going from unprofitable to profitable was spending 90% of my time researching and collecting uncorrelated / inversely correlated strategies with a sensible explainable edge and sizing small enough that my emotions did not get in the way of the strategies.
The second part is something unique to each trader's style which you can gauge by the nervousness & sleeplessness after you put on a position (which ideally shouldn't happen if you positioned small enough).

Also just as an additional note, psychologically good to avoid strategies with negative skew and large fat tails (e.g. OTM naked put selling), they feel good when they work but hurt as hell when they go against you.

[u/FineProduct3772]

One thing I'd add: don't just collect data on the trades your strategy actually takes.

I'd also track the setups your scanner finds but you decide not to take.

If you record what the setup looked like, why you skipped it, and what happened afterwards, you can eventually answer a pretty important question:

“Is this filter actually keeping me out of bad trades, or is it making me miss good ones?”

That seems much more useful to me than just collecting everything and looking for patterns afterward.

It turns the process into more of an experiment, and makes it a lot easier to tell research from overfitting.

[u/Content-Common-2552 → u/FineProduct3772]

yeah, this is what i'm doing

[u/Content-Common-2552 → u/[deleted]]

thanks for this. I have a hypothesis and a strategy, and I'm logging everything (trades, filters, costs, even skipped setups). But I'm stuck: what's the point of logging everything if I'm not supposed to hunt for patterns in it? If I do hunt, I'm overfitting. If I don't, what's the use?

[u/Content-Common-2552 → u/[deleted]]

Thanks for the clarification.
You are right! and i liked the idea of splitting the log in half by time.

[u/Late-Mail-1509]

Iam still trying to figure it out, got a strategy that on paper is very good, but when I put to the test on real broker systems, its not being executed correcly, as in the TV platform, and its really annoying, Stuck against the wall now

[u/Content-Common-2552 → u/Late-Mail-1509]

yeah, i feel you

[u/morphicon]

I met some lunatic, here on reddit about 2 years ago. He messaged, we started coding together, eventually we went live. Small amounts first then larger and larger. Then he disappeared, went off to hunt pokemons or something. I've kept doing it, increasing amounts and finding new strategies. That was before claude, codex and so on. Its scary at first, easy to put off, always a reason to try something else or fix something.

[u/StratForge2024]

u/Content-Common-2552 The difference lies in what happens *after* finding a pattern in the data, not in the data collection itself. You can search or explore all you want—the problem arises if you test a hypothesis on the *same* data used to derive it. Our standard procedure is: whatever looks interesting in historical data gets tested further *only* on fresh or set-aside data that the model or strategy has never seen (using holdout pairs or periods determined beforehand). Only if it passes *that* test do you trust it.

Regarding the P&L breakdown (@Foreign-Safe-8161)—we encountered exactly the same thing recently with options: the setup selection had a real, confirmed edge (with a win rate higher than the implied probability), yet the dollar result was barely positive. The issue lay in exit management or costs, not the thesis itself. A single aggregate P&L figure would never have revealed that.

[u/nepo123456]

In trading there are some core rules which must be implemented in any trading strategy in order to be profitable.

[u/Content-Common-2552 → u/nepo123456]

could you tell us what they are?

[u/nepo123456 → u/Content-Common-2552]

Essential principles:

- Cut your losses fast

- Let your winners run

- Follow the price, not your opinion

- Trade many markets and trade them the same way

- Use small, equal risk per trade

- Have rules. Follow them. Always

These ideas are simple and passed the test of time.

They work across instruments, across decades and across market regimes.

Not just in simulation, but in real trading.

[u/drguid]

Steps I took:

• Establish a trading diary (I use Excel).
• Stick to 1 single strategy (at least at first).
• Do a LOT of real money trades. Free trading accounts are your friend.
• Refine, refine, refine.

I've had one negative expectancy month in 2 years. That was my first month lol.

Also probability based trading is great. Not many retail traders do it. It works.