Last week I wrote about 971 trades at 1.5% win rate. Not a bad stretch — the whole
system was wrong.
While the HFT engine sits on probation, something else has been running quietly in
parallel: the Options Wheel. I want to talk about it this week because it's been
making money in the same period that HFT lost $24,500.
What the Wheel does
Sell put spreads. 30-45 DTE, collect 1-3% premium per cycle. Roll or close at 50%
max profit. That's the whole strategy.
No signal, no momentum filter, no thesis about where the market goes. Theta just
works against the option buyer every day whether I'm watching or not. It runs on a
Monday cron job. Maybe 5 minutes to manage. Same decision every week.
The comparison
Starting capital: $72,600. Target per cycle: $500-800, around 0.7-1%. No blown
spreads in month one.
That's roughly $700/month at 1% conservative return. Over the same period, HFT ran
971 trades for a total loss of $24,500 — about $25 per trade on average.
One trade every two weeks against 971. The one with fewer trades is the one making
money.
Why this surprised me
I built the HFT system to be smart. Tight stops, multiple symbols, a momentum filter
that was supposed to prevent bad entries. The problem: stops at -0.15% on 10-second
bars are just paying the spread repeatedly. The momentum filter had been silently
broken for hundreds of trades. At -$25 average I told myself it was noise.
It wasn't noise. It was the system designed so tightly that it couldn't survive
normal market movement.
The Wheel doesn't try to be smart. Time decay is just always working. The risk is
defined by the spread width — there's no scenario where a put spread blows up the
account the way 971 HFT trades can. I spent maybe 2 hours building it.
I'm not sure what the lesson is exactly, beyond: complexity isn't the same as edge.
The Wheel has less going on and more going for it.
What's next
HFT needs one week of positive P&L to clear probation. That data should exist around
late February.
The Wheel keeps running. By mid-March I should have two full cycles logged. If the
return profile holds, I'll think about sizing up.
Week 6.
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