week 2 august done.
first losing week since may.
volume crash worst all year.
week 2 numbers #
starting (aug 5): $434,280
ending (aug 6): $434,140
week loss: -$140 (-0.03%)
trades: 3
wins: 1
losses: 2
win rate: 33%
what happened #
monday: pass (volume -35% vs july avg).
tuesday: -$90 (1 loss, slippage 3.2 ticks).
wednesday: pass (worse volume).
thursday: +$60 (1 win, barely).
friday: -$110 (1 loss, slippage 3.4 ticks).
3 trades entire week.
vs normal 8 trades/week.
opportunity disappeared.
volume analysis #
week 2 avg volume: -30% vs july
worst single day: wednesday -38% vs july
best single day: monday -24% vs july (still terrible)
pattern:
mid-august vacation week.
institutional desks empty.
retail on beach.
nobody trading.
slippage disaster #
week 2 avg: 3.0 ticks
worst execution: friday (3.4 ticks)
best execution: thursday (2.5 ticks)
compare to:
july avg: 2.3 ticks
june avg: 1.9 ticks
+58% worse than june.
execution costs crushing edge.
filter response #
acceptance rate: 35%
65% of signals rejected.
why:
low volume triggered quality filter.
wide spreads triggered slippage filter.
weak regime triggered confidence filter.
system protecting capital.
correctly.
market conditions #
avg VIX: 16.8 (optimal but meaningless)
avg correlation: 0.48 (extremely weak)
regime stability: 0.64 (lowest all year)
volume: -30% vs july
lesson:
VIX alone doesn’t matter.
need volume + correlation + stability.
august has NONE of those.
circuit breaker #
not triggered.
threshold: 3 consecutive losses OR -$1,500 single day.
week 2: 2 total losses, neither consecutive.
max loss: -$110 friday.
filters prevented reaching threshold.
comparing to may week 3 #
may week 3 (last losing week):
-$1,000 loss.
VIX spike to 28.4.
circuit breaker triggered.
4 trades.
august week 2:
-$140 loss.
VIX normal 16.8.
circuit breaker not triggered.
3 trades.
difference:
may = volatile conditions = bigger loss.
august = dead conditions = small loss.
filters adapted correctly both times.
august so far #
week 1: +$380 (0.09%)
week 2: -$140 (-0.03%)
august total: +$240 (0.06%)
8 trades across 2 weeks = 4 trades/week avg.
vs normal 8 trades/week.
summer reality.
what’s working #
filters: preventing disaster (35% acceptance saved capital).
position sizing: consistent $1,500 (no panic adjustment).
discipline: not forcing trades when volume sucks.
what’s not working #
opportunity: 3 trades all week.
slippage: 3.0 ticks eating edge.
win rate: 33% (but small sample size).
expected in august.
lessons from week 2 #
1. volume matters more than VIX
optimal VIX meaningless without volume.
2. filters prevent disasters
35% acceptance vs 100% = avoided certain losses.
3. losing weeks happen
first since may = normal 3-4x/year pattern.
4. small loss better than big loss
-$140 vs potential -$1,000+ if forced trades.
week 3 preview #
historical pattern:
late august volume picks up slightly.
realistic expectations:
modest week (+$200 to +$400) - possible.
flat week (+$0 to +$200) - likely.
another small loss (-$100 to -$300) - acceptable.
filters probably: 38-42% acceptance.
slippage probably: 2.7-3.0 ticks.
tonight (august 6, 2:45am) #
week 2 august done.
-$140 (-0.03%).
33% win rate across 3 trades.
first losing week since may.
volume -30% vs july.
slippage 3.0 ticks crushing edge.
filters rejecting 65%.
expected in august.
survival mode continues.
week 3 begins tomorrow.
2:45am tuesday. week 2 august. -$140 (-0.03%). 33% wr across 3 trades. first losing week since may. volume -30% vs july avg. slippage 3.0 ticks vs july 2.3. filters rejecting 65% = capital preservation. august total +$240 (0.06%) across 8 trades. survival not growth.
-AK