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Chicago Heat Momentum

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On Kalshi's Chicago high-temperature market, this checks every 60 seconds. It cancels when already holding a position or an entry condition fails, and otherwise buys 40 YES contracts near the best bid when temperature is above 71, the reading is fresh, price sits between 0.15 and 0.5, spread is at least 0.02, and over 45 minutes remain. It sells all if the next-hour temp exceeds 72 with price above 0.66, if under 45 minutes remain, or if unrealized loss passes 3.

Kalshi·Jul 26 to Aug 22·Created 27d ago
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Describe an idea, review the backtest, and start from the same workspace.

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Net P&L
+$51
Return +50.9% on risk capital
Sharpe
0.31
Return Sharpe
Win rate
54.5%
30 trades
Max drawdown
-$20
Peak to trough

A few notes on these numbers

Methodology
Backtests replay supported historical market data, usually a 30-day Studio window, and evaluate strategy rules on the available cadence. Signals can fill no earlier than the next tradable step. Taker fills use top-of-book prices or available L2 depth, with Kalshi-style fees where modeled. Queue position, latency, and future liquidity are not fully modeled. Simulated P&L is net of modeled fees over the window.
Starting capital
Kalshi backtests use the strategy's configured max position as the risk-capital denominator. Return is computed from that configured capital, while total P&L is still shown in dollars.
Past performance
Backtested results are hypothetical. They are derived from historical data and do not reflect live execution risks like slippage beyond the orderbook, partial fills, API latency, or venue outages. Past performance does not guarantee future results.
Not financial advice
Nothing on this page is investment, legal, or tax advice. Prediction markets carry real risk of loss. Only trade with money you can afford to lose, and do your own research before deploying any strategy live.