Strategy research

Guys, I collected two years of order data from a bond algotrader - over 111k buy/sell records. Of the 61k sells with reported P&L, 87% were positive. June and July each had roughly 8,000 order records.Most of those were in a falling market. I’ve put an anonymized sample on Kaggle. It includes order books, market trades, his orders, and bond metadata. I’m looking for people interested in figuring out his strategy. If you want to research it with me, DM me for the Kaggle link. Just don’t expect to throw an LLM at it and have it solve the strategy - that’s not that easy (trust me, I’ve tried a lot!) and it’ll require substantial manual input. If we click, we can dig into the full dataset together.

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u/Comprehensive_Fee805 OP 1 3 days ago

Rules says "Avoid asking users to “PM for details” or any similar solicitation" but I don't really want to make this dataset fully public. Hope mods are excuse me for that.
u/Public_Radish_6235 1 3 days ago

Mods probably won't make an exception just because it's free, but at least you're upfront about why the data's not going full public. Two years of order records is a wild dataset, surprised you only posted a sample.
u/Comprehensive_Fee805 OP 1 3 days ago

Let mods decide then. If they would found that appropriate, they can remove this post. Im personally think that data I'm providing is pretty hard to get, so I don't want to share something so rare uncontrollably.
u/liuhaolin911 1 3 days ago

Don't trust anything with over 55% win rate
u/Comprehensive_Fee805 OP 1 3 days ago

I'm pretty sure those winrates are legit. I mined this data myself. The trick here its not huge wins, those are barely covering the commissions, but those are consistant.
u/Haunting_Map1269 1 3 days ago

Reverse engineering a strategy for your own gain is a losing proposition. You won't be able to maintain the edge when factors begin to decay because you won't know why the factors were written into existence in the first place. Use the dataset as inspiration and build something of your own.
u/Comprehensive_Fee805 OP 1 3 days ago

Whatever this guy were doing, he is already doing this for years on differerent market conditions. He is trading right now with same results. Unfotunately I was not able to find out exact set of rules for his strat and those I had found were not really helpfull (I didn't see any meaningfull profits on backtests) so I guess I already tried to be inspired and make up something on my own.
u/QuanTradin 1 3 days ago

87% of sells closing green in bonds reads like someone collecting the spread with lots of small wins. the 13% decides everything. I'd sort those losers by size before trying to reverse engineer entries, and split his P&L into spread captured vs actual direction.
u/Comprehensive_Fee805 OP 1 3 days ago

You right but I found you can't just "collect the spread". There is an issue when you post a buy order and market would move down. It would leave you to decide - would you panic sell and loose a guranteed amount or you would wait for rebound while potentionally loosing even more. It does not happen to that guy