may done.
flat month after strong april.
variance accepted.
may final numbers #
starting (may 1): $419,360
ending (may 31): $422,860
may gain: +$3,500 (+0.83%)
trades: 30
wins: 19
losses: 11
win rate: 63%
Figure 1: May weekly performance showing variance after strong April. Week 1 flat start (+$80, 44% wr), Week 2 recovery (+$1,100, 67% wr), Week 3 FIRST LOSING WEEK 2024 (-$1,000, 25% wr - circuit breaker triggered), Week 4 recovery (+$3,320, 73% wr). Month ended +$3,500 (+0.83%). Demonstrates realistic algo trading variance.
weekly breakdown #
Figure 2: VIX correlation with trading performance throughout May. Week 1-2 high VIX (avg 21.8) with aggressive filtering = modest gains. Week 3 VIX spike to 28.4 = losing week, circuit breaker activated. Week 4 VIX normalized to 17.2 = strong recovery. Strategy thrives in VIX 14-19 range (shaded green zone). Performance directly correlated to volatility regime.
week 1 (flat start): +$80, 44% win rate, 9 trades
week 2 (survival mode): +$1,100, 67% win rate, 6 trades
week 3 (circuit breaker): -$1,000, 25% win rate, 4 trades
week 4 (recovery): +$3,320, 73% win rate, 11 trades
3 of 4 weeks positive.
1 losing week = normal variance.
comparing to april #
april 2024:
- pnl: +$23,460 (+5.9%)
- trades: 53
- win rate: 74%
- conditions: ideal (VIX 14-19)
may 2024:
- pnl: +$3,500 (+0.83%)
- trades: 30
- win rate: 63%
- conditions: challenging (VIX 17-28)
difference: -$19,960 (-5.07%)
massive variance but both acceptable.
ytd 2024 progress #
Figure 3: Year-to-date 2024 monthly progression. January impressive (+$27,200, 7.4%), February flat (+$1,400, 0.36%), March testing (+$1,100, 0.28%), April impressive (+$23,460, 5.9%), May normal (+$3,500, 0.83%). YTD total +$56,660 (+15.4%). Pattern shows 2 standout months, 3 flat/normal months = sustainable algo trading. Annual target 15-18% already achieved in 5 months.
january: +$27,200 (+7.4%) - notable
february: +$1,400 (+0.36%) - flat
march: +$1,100 (+0.28%) - testing
april: +$23,460 (+5.9%) - strong
may: +$3,500 (+0.83%) - normal
ytd total: +$56,660 (+15.4%)
starting balance (jan 1): $366,200
current balance (may 31): $422,860
annual target achieved #
ytd: +15.4% in 5 months
annual target: +15-18%
already hit low end of target.
rest of year (7 months) can be:
- 4-5 flat months (+0% to +1%)
- 2-3 modest months (+1% to +2%)
- 1-2 losing months (-1% to -3%)
still finish 15-18% annual.
no pressure.
circuit breaker performance #
week 3 losses:
monday: -$880 (2 trades)
tuesday: -$540 (1 trade)
total: -$1,420 (3 consecutive losses)
circuit breaker triggered.
paused: wednesday-thursday
resumed: friday (+$420)
prevented potential spiral.
comparing to sept 2023:
sept: no circuit breaker = $28k disaster
may: with circuit breaker = $1,420 contained
20x better outcome.
risk management stats #
position sizing:
- weeks 1-3: $900-1,200 (reduced for high vol)
- week 4: $1,500 (full size restored)
circuit breaker: triggered once (worked perfectly)
max drawdown: -$1,420 (0.3%)
filters: 40% acceptance rate (aggressive during high vol)
regime confidence avg: 0.67 (lower due to volatility)
market conditions #
VIX range: 17-28 (high volatility)
avg VIX: 21.4 (above optimal 14-19)
correlation: 0.68 avg (high)
regime stability: 0.58 avg (choppy)
my strategy needs:
VIX: 14-19 (stable low-medium vol)
correlation: <0.6 (diversification)
regime stability: >0.75 (confidence)
may didn’t provide ideal conditions.
slippage tracking #
april avg: 1.7 ticks
may avg: 2.0 ticks
slippage worse in higher vol.
week 3 (VIX 28): 2.6 ticks
week 4 (VIX 17): 1.8 ticks
directly correlated to volatility.
lessons from may #
1. variance is normal
april notable won’t repeat monthly.
may flat = healthy correction.
2. circuit breakers save accounts
prevented $28k-style disaster.
$1,420 loss contained.
3. conditions dictate results
VIX >22 = struggle.
VIX 14-19 = thrive.
can’t force wins in wrong environment.
4. aggressive filtering works
week 2: 6 trades, 67% wr, +$1,100.
quality > quantity in high vol.
5. discipline compounds
no revenge trading week 3.
calm return week 4.
psychological growth evident.
comparing to 2023 #
may 2023:
- still learning
- losing money
- testing strategies
- emotional trading
may 2024:
- strategies validated
- modest gain
- circuit breaker followed
- disciplined execution
1 year transformation.
therapy reflection (5/23) #
dr. r: “may flat after april standout. how do you feel?”
me: “fine. expected variance.”
dr. r: “what about the losing week?”
me: “circuit breaker worked. paused, reviewed, returned calmly. lost $1,400 instead of potential $28k.”
dr. r: “you’re accepting reality instead of fighting it.”
me: “yeah. can’t control market. can control response. may flat is normal. april impressive was outlier.”
dr. r: “that’s mature trading psychology. most traders can’t accept losing weeks.”
exactly.
living with A. through variance #
may trading volatile.
A’s response:
week 1 struggles: supportive.
week 3 losses: “good you’re following rules.”
week 4 recovery: “you seem calmer.”
stable relationship = stable psychology.
living together 6.5 months.
works.
june preview #
expectations:
may showed normal variance.
june likely similar:
- modest month (+1% to +2%) - possible
- flat month (+0% to +1%) - likely
- losing month (-1% to -3%) - acceptable
ytd 15.4% = already at target.
june can be anything.
no pressure.
what success looks like #
may success:
survived high vol month.
circuit breaker prevented disaster.
ended positive despite losing week.
discipline maintained.
that’s sustainable algo trading.
tonight (may 31, 11:18pm) #
may done.
+$3,500 (+0.83%).
63% win rate.
april impressive followed by may normal.
variance accepted.
circuit breaker worked.
discipline maintained.
ytd +15.4%.
june begins tomorrow.
realistic expectations.
execute system.
accept variance.
11:18pm may 31. may wrap. +$3,500 (0.83%). 63% win rate across 30 trades. first losing week 2024 (week 3), circuit breaker triggered and followed. april +5.9%, may +0.83% = normal variance. ytd +$56,660 (15.4%) hit annual target. sustainable trading demonstrated. june begins with realistic expectations.
-AK