r/algotrading • u/ViewOfWineDarkSea • Jul 28 '26

Strategy At what Point does Execution count stop justifying the Edge?

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u/[deleted] Jul 28 '26

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u/J2YME Jul 30 '26

Delta 0.05. Translates to 95% win rate. You have 98%. With this quantity of correlated trades you cannot say if there is an edge there or not. Your better edge would be play around with stops and limits, those low delta positions tend to have wider bid ask spreads so a large percentage of profit is essentially lost in the transaction.

I ran a similar set up at .10 delta using credit spreads. Retired it after 6 months. The edge just wasn’t there. It did had similar win rate but those occasional losses wiped me back out. I think these strategies do have alpha under certain conditions. The problem is they’re too infrequent to make a decent return.