went live with momentum strategy monday.
ran it alongside mean reversion all week.
first week results in.
strategy recap #
mean reversion (existing): trade in ranging markets, high win rate, small consistent wins
momentum (new): trade in trending markets, lower win rate, bigger wins
both strategies. different market regimes.
week 3 results #
mean reversion: 4 trades, 3 wins, 1 loss
- wins: +$385, +$340, +$295
- loss: -$315
- net: +$705
momentum: 2 trades, 2 wins, 0 losses
- wins: +$480, +$520
- net: +$1,000
combined week 3: +$1,705 (6 trades, 5 wins, 1 loss)
momentum outperformed mean reversion this week.
momentum position sizing #
started at 0.5% risk (half of mean reversion 1.25%).
reasoning: new strategy, lower confidence, reduce risk while validating.
both momentum trades hit profit targets at 3x ATR.
larger wins because trend following captures bigger moves.
regime detection working #
monday: ranging regime → mean reversion trade (+$385)
tuesday: trending regime → momentum trade (+$480)
wednesday: ranging regime → mean reversion trade (+$340)
thursday: trending regime → momentum trade (+$520)
friday: ranging regime → mean reversion trade (-$315)
system correctly identified regimes 5/5 days.
correlation between strategies #
tracked correlation between mean reversion and momentum.
correlation: 0.18
almost uncorrelated. exactly what i wanted.
when one loses, other can still win (different market conditions).
august updated #
goal: +$4,000 (beat in week 2)
week 1: +$2,065 week 2: +$1,805 week 3: +$1,705 total: +$5,575
account: $351,145 → $356,720 (+$5,575, +1.59%)
crushing august goal.
next steps #
momentum strategy:
- continue 0.5% risk for 2 more weeks (collect 20+ trades)
- if win rate stays >70%, increase to 1.0% risk
- if profit factor stays >2.0, make permanent
mean reversion:
- no changes
- keep doing what works
personal update #
A. been staying over more. most weekends now. sometimes weeknights.
she cooks dinner, i handle breakfast. works well.
this is new for me. never had girlfriend stay over regularly.
i like it. life is good.
4:08am wednesday. momentum strategy live first week. +$1,000 from momentum, +$705 from mean reversion. uncorrelated. working well.
-AK