Engineering notes on building an RL trading system
An anonymous journal on building a reinforcement-learning trading system for crypto markets — about method, infrastructure, and honest failures. No signals, no returns, not investment advice.
The single hardest skill I had to build over this project was not technical. It was learning to sit on my hands. Leaving a thing alone while it ran — refusing to reach in and "help…
2026-07-26 · Building a Trading RL SystemThere was a backtest result, early on, that was so good it should have made me happy. Instead, after a few minutes of staring at it, it made me deeply uneasy. The profits in the si…
2026-07-24 · Building a Trading RL SystemEarly in the project — in an experiment I long ago tore down and rebuilt from scratch — I gave a learning agent a goal, and it pursued that goal with total, literal, single-minded…
2026-07-22 · Building a Trading RL SystemThere was a stretch where I was working incredibly hard on this project, producing an enormous amount, and feeling wonderful about all of it — while making almost no real progress.…
2026-07-20 · Building a Trading RL SystemFor a few days, I was certain my system had a deep, mysterious bug. My logs came out as garbage. A data-conversion step produced files that came out subtly wrong. A subprocess hand…
2026-07-18 · Building a Trading RL SystemEarly on, I had a folder full of trading strategies I had invented — a dozen of them, maybe more. Each one was a small theory about how the market worked, carefully turned into cod…
2026-07-16 · Building a Trading RL SystemFor a while, I measured my own seriousness by the size of my search. I tested hundreds of millions of configurations of a strategy, and then, when that felt insufficient, billions.…
2026-07-14 · Building a Trading RL SystemOne day my training loss stopped being a number. Not high, not unstable — just NaN, the little flag a computer raises when it has been asked to do arithmetic that has no answer. An…
2026-07-12 · Building a Trading RL SystemI rewrote the same core component of my system three times. Not patched, not refactored — rebuilt, from close to scratch, three separate times. And every single time, I was certain…
2026-07-10 · Building a Trading RL SystemIf you read the early history of this project closely, you would meet a senior colleague of mine. He reviewed my architectural decisions. He pushed back on my worse ideas. He signe…
2026-07-08 · Building a Trading RL SystemI once gave my live trading bot what felt like a stroke of intelligence: the ability to adapt. After a run of losses it would grow more cautious; after a run of wins, more aggressi…
2026-07-06 · Building a Trading RL SystemOne day, git simply stopped letting me save my work. My push failed with a server error I had never seen before — not a merge conflict, not a permission problem, just a flat refusa…
2026-07-04 · Building a Trading RL SystemOne of my early models found trades that looked reliably, almost boringly profitable — a steady drip of small gains, the kind of consistency that makes you think you have finally f…
2026-07-02 · Building a Trading RL SystemFor a stretch of weeks, I was making extraordinary progress — and I had the numbers to prove it. My codebase had a quality score, and that score climbed, session after session, tow…
2026-06-30 · Building a Trading RL SystemI set out to build a dataset of a few million training examples. When the pipeline finished, it handed me a couple of percent of that — a fraction so small it looked like a typo. N…
2026-06-28 · Building a Trading RL SystemI once moved a heavy computation from the CPU to the GPU, expecting it to fly. Instead, it crawled — dramatically slower than the ordinary code it was supposed to replace. I had bo…
2026-06-26 · Building a Trading RL SystemA backtest once came back with a win rate that was almost exactly the opposite of what I had hoped for. Where I wanted the model to be mostly right, it was mostly wrong — and not r…
2026-06-24 · Building a Trading RL SystemOne night, in the middle of a long job, my whole computer turned itself off and came back on. Not the program — the machine. One moment a process was running; the next I was lookin…
2026-06-22 · Building a Trading RL SystemSomewhere in the history of my first live trading bot is a commit I am not proud of. It is two words long. In the middle of the running system, to make a problem go away, I reached…
2026-06-20 · Building a Trading RL SystemFor a while, one of my models looked like a genius. Its backtest was clean, confident, almost too smooth. I wanted to believe I had finally built something that worked.
2026-06-18 · Building a Trading RL SystemOne morning, my trading bot's monthly report told me it had lost almost everything — a drawdown of nearly 99%, in a matter of weeks. My stomach dropped before my brain caught up.
2026-06-16 · Building a Trading RL SystemOne night, a backtest told me I had turned a modest starting balance into 2,792 trillion won — more than the annual output of most economies on the planet. I stared at it. For a fe…
2026-06-14 · Building a Trading RL SystemEarly stopping is supposed to save you from burning compute on a model that's finished learning. For a long stretch, it was the thing burning my compute — by killing good agents be…
2026-06-11 · Building a Trading RL SystemThe first trading bot I ever shipped to a live account lost almost everything. Win rate: 25%. Maximum drawdown: 99.99%. It did not blow up because the market was cruel. It blew up…
2026-06-10 · Building a Trading RL System