february done.
reality check month.
january impressive performance won’t repeat.
february final numbers #
starting (feb 1): $393,400
ending (feb 29): $394,800
february gain: +$1,400 (+0.36%)
trades: 37
wins: 21
losses: 16
win rate: 57%
Figure 1: February daily volatility showing choppy conditions. Peaked at $396,780 on Feb 7 after clearing Sept recovery, then struggled through weeks 2-3 with strategy breakdown. Ended month barely positive at $394,800. Market regime shift visible in price action.
weekly breakdown #
Figure 2: Win rate declining through February from 62% week 1 to 50% week 3 as mean reversion strategies failed in whipsaw markets. Week 4 modest recovery to 54% with tighter risk management. Net gains volatile - only week 3 showed losses but overall month choppy.
week 1 (feb 1-7): +$3,380, 62% win rate (13 trades)
week 2 (feb 8-14): +$1,240, 55% win rate (11 trades)
week 3 (feb 20-21): -$1,380, 50% win rate (4 trades)
week 4 (feb 26-28): +$1,560, 56% win rate (9 trades)
gross total: +$4,800
net after fees/slippage: +$1,400
strategy performance breakdown #
Figure 3: Market regime shift evident in strategy performance. Mean reversion win rate dropped from 81% in January to 56% in February. Momentum strategy also declined from 68% to 45% win rate. Trade count reduced as tighter filters applied - mean reversion down from 42 to 28 trades, momentum from 19 to 9 trades.
mean reversion (28 trades):
- 16 wins, 12 losses (57%)
- january: 81% win rate
- decline: -24 percentage points
- gross: +$2,340
momentum (9 trades):
- 4 wins, 5 losses (44%)
- january: 68% win rate
- decline: -24 percentage points
- gross: -$940
momentum shut down after week 2.
not working in current regime.
comparing january to february #
january 2024 (strong):
- +$27,200 (+7.4%)
- 76% win rate
- 68 trades
- strategies crushing it
february 2024 (reality):
- +$1,400 (+0.36%)
- 57% win rate
- 37 trades
- strategies struggling
january = outlier.
one of maybe 2x per year notable months.
february = normal.
modest gain in choppy conditions = acceptable.
year to date 2024 #
starting balance (jan 1): $366,200
current balance (feb 29): $394,800
ytd gain: +$28,600 (+7.8%)
ytd months: 2
what went wrong february #
1. market regime shift
january: range-bound, low vol
february: whipsaw, higher vol
mean reversion calibrated for ranges.
failed in trending/choppy environment.
2. parameter mismatch
strategies optimized on 2023 data.
february market different.
need recalibration.
3. correlation spike
everything moving together.
no diversification.
all positions correlated.
4. vol expansion
VIX: 13-15 (jan) → 18-22 (feb)
wider stops = more losses.
risk management adjustments #
position sizing progression:
january: 0.5% per trade
early feb: 0.4% per trade
late feb: 0.3% per trade
worked:
smaller losses preserved capital.
february could’ve been -5% without adjustments.
circuit breaker triggered 2x:
stopped trading after 3 losses.
prevented spiraling.
system working even when strategies aren’t.
therapy friday (2/23) #
dr. r: “february rough after january high. how are you processing?”
me: “frustrated but not panicking.”
dr. r: “what’s different from september disaster?”
me: “september i abandoned system. now i’m following circuit breaker, reducing size, not revenge trading.”
dr. r: “you’re accepting reality instead of fighting it.”
me: “yeah. january was standout. can’t expect that monthly. february showing normal performance.”
dr. r: “that’s mature trading psychology. most traders can’t accept losing months.”
me: “still sucks though.”
dr. r: “allowed to suck and still be healthy.”
exactly.
living with A. - stress management #
february trading stress high.
circuit breakers triggered.
strategies failing.
came home frustrated multiple times.
A’s approach:
didn’t try to fix it.
didn’t ask too many questions.
just present.
tuesday 2/27:
rough day.
came home quiet.
A.: “food?”
me: “yeah.”
made dinner.
didn’t force conversation.
after dinner:
A.: “want to talk or want silence?”
me: “silence works.”
sat together on couch.
her coding, me reviewing backtests.
comfortable silence.
that’s the shit that works.
march strategy overhaul planned #
weekend feb 24-25:
ran extensive analysis.
findings:
- mean reversion needs different parameters for high vol
- momentum strategy broken entirely
- need vol regime filter
- possibly add short-term scalping for choppy markets
march plan:
week 1: parameter optimization on recent data
week 2-3: paper trade new parameters
week 4: small size live test ($100/trade)
april: full size if validated
not abandoning algo trading.
adapting to new regime.
realistic performance expectations #
january taught me:
7% months happen but rare.
maybe 2x per year.
cannot plan for that.
february taught me:
flat months happen.
sometimes strategies don’t work.
that’s normal.
sustainable annual target: 15-18%
requires:
- 8-9 winning months (+1% to +3%)
- 2-3 flat months (-0.5% to +0.5%)
- 1-2 losing months (-1% to -3%)
february = flat month.
acceptable.
comparing to 2023 #
february 2023:
still learning.
losing money.
testing strategies on small size.
february 2024:
strategies proven but regime-dependent.
one year experience.
capital preserved through drawdown.
growth.
tonight (feb 29, 10:58pm) #
february done.
+$1,400 (+0.36%).
57% win rate.
barely positive but preserved capital.
january notable month won’t repeat.
february reality check accepted.
march strategy overhaul begins.
this is sustainable algo trading:
some months crush.
some months struggle.
preserve capital through both.
10:58pm feb 29. february wrap. +$1,400 (0.36%). 57% win rate across 37 trades. mean reversion dropped from 81% to 57% win rate. january notable performance (+7.4%) not sustainable. february flat month = normal. ytd +$28,600 (7.8%) needs correction through flat/losing months. march strategy overhaul planned.
-AK