If you are making these amounts of profit without Sharpe ratios this high, then you are overleveraged. The volatility numbers are just to illustrate how much leverage the Kelly criterion would recommend. They do not impact the expected returns.

I’m completely new to algorithmic trading, so I decided to spend the past few days developing a strategy for learning purposes to see how it would play out, and have been pleasantly surprised by the results after running a lot of backtesting over multiple time frames after factoring in commissions and slippage. My question now is how would I be able to apply this strategy to an automated trading bot? Ideally, to trade on a 50-150K account through a futures prop firm such as TopStep? (This strategy is specialized for trading MES1! and MNQ1! tickers) Any help would be appreciated.

For any of you who have been down this road - for your database and your historical IV and greeks for options, what time do you take the data from?