week 4 august done.
best week of month.
volume stabilizing.
week 4 numbers #
starting (aug 19): $434,380
ending (aug 22): $434,800
week gain: +$420 (+0.11%)
trades: 2
wins: 2
losses: 0
win rate: 100%
what improved #
volume trend:
week 1: -32% vs july
week 2: -30% vs july
week 3: -28% vs july
week 4: -25% vs july
slowly returning.
slippage improvement:
week 4 avg: 2.6 ticks
vs week 1-2 avg: 2.95 ticks
execution getting better.
august total so far #
week 1: +$380
week 2: -$140
week 3: +$240
week 4: +$420
august total: +$900 (+0.21%)
4 weeks, 14 trades.
why only 2 trades #
monday: pass (volume improving but not there yet).
tuesday: +$240 (1 win, clean execution 2.5 ticks).
wednesday: pass (correlation spike to 0.72).
thursday: pass (regime confidence dipped 0.64).
friday: +$180 (1 win, execution 2.7 ticks).
filters still selective.
but acceptance improving:
week 1: 38%
week 2: 35%
week 3: 41%
week 4: 43%
trend right direction.
market conditions #
avg volume: -25% vs july (best week august)
avg VIX: 15.8 (optimal)
correlation: 0.56 (acceptable, improving from 0.54)
regime stability: 0.71 (up from 0.69)
all metrics trending better.
slippage detail #
week 4 avg: 2.6 ticks
best execution: tuesday (2.5 ticks)
worst execution: friday (2.7 ticks)
compare to:
august avg: 2.8 ticks
july avg: 2.3 ticks
still elevated but improving.
filter analysis #
acceptance rate: 43%
why improved:
volume stabilized.
regime confidence rising.
correlation improving.
still rejecting 57%.
but trending toward normal.
circuit breaker #
not triggered all month.
august max loss: -$140 (week 2)
threshold: -$1,500 OR 3 consecutive losses
filters prevented reaching threshold.
comparing to expectations #
mid-august forecast: +$440 more in second half.
actual second half (weeks 3-4): +$660
beat estimate by $220.
volume improvement helped.
september preview #
historical pattern:
post-labor day volume returns.
if volume continues improving:
acceptance rate should reach 55-65%.
slippage should improve to 2.0-2.3 ticks.
opportunity should increase to 6-8 trades/week.
realistic september outcomes:
modest month (+1% to +2%) - likely.
flat month (+0% to +1%) - possible.
back to normal conditions.
august lessons confirmed #
1. filters saved capital
39% avg acceptance vs 100% = avoided disaster.
2. volume matters most
optimal VIX meaningless without volume.
3. patience pays
survived august positive = setup for september.
4. slippage tracks volume
-25% volume = +22% slippage.
correlation clear.
ytd update #
starting 2024: $366,200
ending august: $434,800
ytd gain: +$68,600
ytd return: +18.7%
annual target: 15-18%
exceeded by 0.7%.
remaining 4 months:
can be flat or slightly negative.
still finish in target range.
zero pressure.
tonight (august 22, 2:50am) #
week 4 august done.
+$420 (+0.11%).
100% win rate across 2 trades.
august total: +$900 (+0.21%).
14 trades entire month = 3.5/week avg.
slippage trending better (2.6 ticks).
volume improving (-25% vs july).
filters adapting (43% acceptance).
august survival confirmed.
september begins next week.
volume should continue recovering.
2:50am friday. week 4 august. +$420 (0.11%). 100% wr across 2 trades. august total +$900 (0.21%) across 14 trades. volume trend improving: week 1 (-32%) → week 4 (-25% vs july). slippage improving: 2.6 ticks week 4 vs 2.95 ticks weeks 1-2. acceptance rising: 43% week 4 vs 38% week 1. ytd +18.7% above target. september preview: volume returning.
-AK