week 4 done.
finishing strong.
consistent execution maintained.
week 4 numbers #
starting (sep 23): $441,260
ending (sep 27): $443,040
week gain: +$1,780 (+0.40%)
trades: 8
wins: 6
losses: 2
win rate: 75%
volume performance #
week avg: 3.7M contracts
vs week 3: 3.6M contracts (+3%)
vs august avg: 2.7M contracts (+37%)
volume stable.
september pattern confirmed.
slippage tracking #
week 4 avg: 1.9 ticks
week 3 avg: 2.1 ticks
improvement: -0.2 ticks
best execution september.
limit orders + chicago colo + stable volume = optimal.
position sizing #
all trades: $1,500 full size
maintained throughout september.
no hesitation.
conditions supportive.
filters performance #
acceptance rate: 61%
regime confidence: 0.78
up from week 3 (58%, 0.76).
conditions improving slightly.
more quality setups.
strategy breakdown #
regime-adaptive mean reversion:
low vol regime: 4 wins, 1 loss (80% wr)
medium vol regime: 2 wins, 1 loss (67% wr)
growing in stable conditions.
comparing across september weeks #
week 1: +$820, 75% wr, 4 trades (labor day)
week 2: +$2,840, 78% wr, 9 trades (peak)
week 3: +$1,420, 71% wr, 7 trades (consistency)
week 4: +$1,780, 75% wr, 8 trades (strong finish)
pattern:
labor day slow → peak → pullback → strong finish.
classic september.
september mtd totals #
total gain: +$6,860 (+1.6%)
total trades: 28
total wins: 21
total losses: 7
win rate: 75%
avg per week: +$1,715
consistent modest performance.
ytd tracking #
ytd: +$75,660 (+20.7%)
target: 15-18%
above target by 2.7%.
october-december need flat/losing to finish in range.
risk management check #
circuit breaker: never triggered september
max drawdown: -$680 (0.15%)
max losing streak: 1 loss
risk controls optimal all month.
lessons from september #
1. post-labor day pattern real
week 1 slow → weeks 2-4 build.
predictable seasonality.
2. volume drives everything
+37% vs august = edge restored.
liquidity = opportunity.
3. consistency > peaks
week 2 peak (+$2,840) didn’t sustain.
weeks 3-4 consistency (+$1,420, +$1,780) built month.
4. filters adapt correctly
opened from august 39% → september 61%.
responsive to conditions.
5. modest months compound
+1.6% month × 12 = 19.2% annual.
sustainable pace.
october preview #
expectations:
volume should maintain 3.5M+ avg.
similar conditions to september likely.
realistic outcomes:
modest month (+1% to +2%) - possible.
flat month (+0% to +1%) - likely.
small loss (-1% to -2%) - acceptable.
ytd cushion = zero pressure.
comparing to august #
august: +$900 (+0.21%), 14 trades, 2.8 tick slippage
september: +$6,860 (+1.6%), 28 trades, 2.0 tick slippage
difference: +$5,960 (+1.39%)
volume returned = edge restored.
exactly as expected.
tonight (sep 27, 2:51am) #
week 4 done.
+$1,780 (+0.40%).
75% win rate.
september finishing strong.
+$6,860 total month.
volume sustained, slippage optimal.
consistent modest performance.
october begins monday.
2:51am friday. week 4 september. +$1,780 (0.40%). 75% win rate across 8 trades. september total +$6,860 (1.6%). volume sustained 3.7M avg (+37% vs august). slippage 1.9 ticks best of month. ytd +20.7% above target. october setup solid.
-AK