week 1 august done.
summer slowest month confirmed.
volume brutal.
week 1 numbers #
starting (aug 1): $433,900
ending (aug 3): $434,280
week gain: +$380 (+0.09%)
trades: 5
wins: 3
losses: 2
win rate: 60%
market conditions #
avg volume: -32% vs july
avg VIX: 15.8 (optimal but irrelevant)
correlation: 0.52 (low)
regime stability: 0.68 (weak)
august reality:
everyone on vacation.
volume disappeared.
slippage worse than july.
slippage nightmare #
avg slippage: 2.9 ticks
july avg: 2.3 ticks
june avg: 1.9 ticks
+53% worse than june.
low volume = wide spreads.
execution costs eating edge.
chicago colo helping but not enough to overcome liquidity drought.
filter response #
acceptance rate: 38%
62% of signals rejected.
why:
low volume triggers quality filter.
wide spreads trigger slippage filter.
weak correlation triggers regime filter.
system adapting correctly.
protecting capital vs forcing trades.
comparing to expectations #
july wrap forecast: flat to small gain likely.
week 1 actual: +$380 (+0.09%)
exactly as expected.
august = survival not growth.
circuit breaker #
not triggered.
not close.
but:
5 total trades vs july avg 7.8 trades/week.
filters doing job.
weekly trades breakdown #
monday: pass (low volume).
tuesday: +$240 (2 wins).
wednesday: -$160 (1 loss).
thursday: +$300 (1 win).
friday: pass (worse volume all week).
2 of 5 days = no trades.
normal august behavior.
slippage detail #
best execution: tuesday trade 1 (1.8 ticks)
worst execution: thursday (3.4 ticks)
avg: 2.9 ticks
cost impact:
5 trades × 2.9 ticks avg = 14.5 ticks total slippage.
@ $12.50/tick ES = $181 slippage cost.
net gain after slippage: $380
gross gain pre-slippage: ~$561
slippage ate 32% of gross.
summer reality.
comparing to previous augusts #
august 2023:
still learning.
losing money.
didn’t understand seasonal patterns.
august 2024:
filters adapted.
capital preserved.
+$380 modest but positive.
progress.
regime analysis #
optimal VIX (15.8) but:
low volume changed dynamics.
correlation weak (0.52).
regime confidence low (0.68).
lesson:
VIX alone insufficient.
need volume + correlation + stability.
august has VIX but lacks other 3.
what’s working #
filters: preventing bad trades (62% rejection rate).
position sizing: $1,500 consistent (no adjustment needed).
discipline: not forcing trades in bad conditions.
chicago colo: without it, slippage would be 4+ ticks.
what’s challenging #
liquidity: worst all year.
slippage: eating 30%+ of gross gains.
opportunity: 38% acceptance = fewer trades.
expected in august.
week 2 preview #
expectations:
more of same.
volume likely stays low through mid-august.
realistic targets:
flat week (+$0 to +$500) - likely.
small loss (-$200 to -$500) - possible.
acceptance rate: probably 35-40%.
slippage: probably 2.5-3.0 ticks.
month projection (early) #
4 weeks remaining.
if each week similar to week 1:
4 weeks × $380 avg = $1,520 total.
realistic range:
flat month (+$0 to +$500).
small gain (+$500 to +$1,500).
acceptable outcomes.
ytd +18.5% already above target.
no pressure.
tonight (august 3, 10:15pm) #
week 1 august done.
+$380 (+0.09%).
60% win rate across 5 trades.
summer slowest month confirmed.
filters rejecting 62%.
slippage 2.9 ticks eating edge.
volume -32% vs july.
exactly what august should be.
survival mode activated.
week 2 begins monday.
10:15pm saturday. week 1 august. +$380 (0.09%). 60% wr across 5 trades. avg slippage 2.9 ticks vs july 2.3 (volume -32%). filters rejecting 62% of signals = capital preservation. august = slowest summer month, survival not growth. 2 of 5 days zero trades. acceptable start.
-AK