september done.
modest month as expected.
volume returned post-labor day.
september final numbers #
starting (sep 1): $434,800
ending (sep 30): $441,660
september gain: +$6,860 (+1.58%)
trades: 28
wins: 21
losses: 7
win rate: 75%
Figure 1: September weekly performance demonstrating post-labor day recovery. Week 1 labor day skeleton crew (+$820, 75% wr, 4 trades), Week 2 momentum confirmed (+$2,840, 78% wr, 9 trades), Week 3 consistency maintained (+$1,420, 71% wr, 7 trades), Week 4 strong finish (+$1,780, 75% wr, 8 trades). Month ended +$6,860 (+1.58%). Volume returned averaging 3.7M contracts vs August 2.7M (+37%).
weekly breakdown #
Figure 2: Volume and slippage correlation throughout September. Labor Day week 1 low volume (2.6M avg) with elevated slippage (2.7 ticks). Weeks 2-4 volume recovered and sustained (3.7-3.9M avg) with improved execution (1.9-2.1 ticks). September avg 3.7M contracts vs August 2.7M (+37% improvement). Slippage avg 2.0 ticks vs August 2.8 ticks (-29% improvement). Summer conditions officially over.
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 → build → consistency → strong finish.
classic september recovery.
comparing to previous months 2024 #
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
june: +$8,320 (+1.97%) - modest
july: +$2,720 (+0.63%) - modest
august: +$900 (+0.21%) - survival
september: +$6,860 (+1.58%) - modest
pattern consistent: 2 strong, 7 modest/flat.
sustainable pace.
ytd 2024 progress #
Figure 3: Year-to-date 2024 monthly progression through September. Pattern shows 2 notable months (Jan +7.4%, Apr +5.9%) carried year. Seven modest/flat months (Feb +0.36%, Mar +0.28%, May +0.83%, Jun +1.97%, Jul +0.63%, Aug +0.21%, Sep +1.58%) demonstrate realistic algo trading variance. YTD total +$75,660 (+20.7%). Annual target 15-18% exceeded by 2.7%. Remaining 3 months (Oct-Dec) need flat/negative to finish 18-21% range. Green zone = target range 15-18%.
january: +$27,200 (+7.4%)
february: +$1,400 (+0.36%)
march: +$1,100 (+0.28%)
april: +$23,460 (+5.9%)
may: +$3,500 (+0.83%)
june: +$8,320 (+1.97%)
july: +$2,720 (+0.63%)
august: +$900 (+0.21%)
september: +$6,860 (+1.58%)
ytd total: +$75,660 (+20.7%)
starting balance (jan 1): $366,200
current balance (sep 30): $441,660
annual target exceeded #
ytd: +20.7% in 9 months
annual target: +15-18%
exceeded by 2.7%.
remaining 3 months (oct-dec):
can be:
- 2 flat months (+0% to +0.5%)
- 1 losing month (-2% to -3%)
still finish 18-21% annual.
zero pressure.
circuit breaker performance #
september:
not triggered once.
not close.
max drawdown: -$680 (0.15%)
max losing streak: 1 loss
filters prevented reaching threshold.
risk management stats #
position sizing: $1,500 all trades (consistent)
circuit breaker: not triggered (preventive filters worked)
max drawdown: -$680 (0.15%)
filters: 61% acceptance avg
variance:
- week 1 labor day: 31%
- weeks 2-4: 58-64%
regime confidence avg: 0.77
variance:
- week 1: 0.71
- week 4 peak: 0.82
filters adapted correctly to volume return.
market conditions #
september reality:
avg volume: 3.7M contracts
vs august: 2.7M contracts (+37%)
avg VIX: 16.4 (optimal)
avg correlation: 0.52 (low)
avg regime stability: 0.77
summer officially over.
volume sustained post-labor day.
conditions returned to spring levels.
slippage tracking detail #
september avg: 2.0 ticks
august avg: 2.8 ticks
improvement: -0.8 ticks (-29%)
weekly progression:
week 1 (low vol): 2.7 ticks
week 2 (building): 2.0 ticks
week 3 (stable): 2.1 ticks
week 4 (optimal): 1.9 ticks
volume directly correlates to execution quality.
chicago colo + normal volume = optimal.
comparing to expectations #
late august forecast: modest month (+1% to +2%), volume return post-labor day.
actual: +$6,860 (+1.58%)
within projected range.
volume return confirmed.
expectations met.
lessons from september #
1. labor day pattern real
week 1 always slow.
weeks 2-4 build momentum.
predictable seasonality.
2. volume is everything
august -29% volume = struggle.
september +37% volume = thrive.
edge requires liquidity.
3. patient positioning pays
didn’t force trades week 1.
captured weeks 2-4 momentum.
discipline rewarded.
4. adaptive filters essential
31% acceptance week 1 preserved capital.
64% acceptance weeks 2-4 captured opportunities.
system responding correctly.
5. modest months compound
+1.58% × 12 months = 19% annual.
sustainable pace.
comparing to 2023 #
september 2023:
- disaster month ($28k loss)
- no circuit breaker
- emotional trading
- small position sizes
- breaking point
september 2024:
- modest gain (+$6,860)
- circuit breaker active (not needed)
- disciplined execution
- full position size
- confidence
1 year transformation.
therapy reflection (9/27) #
dr. r: “september wrapping up. +$6.9k. thoughts?”
me: “exactly what september should be. labor day slow, weeks 2-4 built momentum. volume returned. edge restored.”
dr. r: “you’re not comparing to april notable.”
me: “nope. april was outlier perfect conditions. september was normal. both acceptable.”
dr. r: “and personally?”
me: “10 months with A. marriage thought weekly now. no proposal yet but persistent.”
dr. r: “significant growth from planning exits to thinking marriage.”
exactly.
living with A. through september #
10 months milestone.
trading variance:
september +1.6% didn’t affect relationship.
if september was -1%, wouldn’t matter.
relationship stability enables trading stability.
places list: 24
last addition: hotel rooftop pool (almost caught).
sex life still incredible.
routine locked.
thinking long-term naturally.
october preview #
expectations:
volume should maintain 3.5M+ avg.
VIX likely 16-20 range.
realistic outcomes:
modest month (+1% to +2%) - possible.
flat month (+0% to +1%) - likely.
losing month (-1% to -2%) - acceptable.
ytd cushion = zero pressure.
all outcomes keep annual 18-21%.
what success looks like september #
september success:
volume returned post-labor day.
discipline during week 1 slow start.
captured weeks 2-4 momentum.
slippage improved to 2.0 ticks.
filters adapted correctly (31% → 64%).
not strong but sustainable.
tonight (september 30, 11:48pm) #
september done.
+$6,860 (+1.58%).
75% win rate.
28 trades, 3.7M avg volume.
slippage 2.0 ticks vs august 2.8.
filters 61% acceptance vs august 39%.
ytd +$75,660 (+20.7%).
annual target exceeded.
october begins tomorrow.
realistic expectations.
execute system.
accept variance.
11:48pm monday. september wrap. +$6,860 (1.58%). 75% win rate across 28 trades. weekly pattern: +$820 labor day, +$2,840 peak, +$1,420 consistency, +$1,780 strong finish. volume recovered 3.7M avg (+37% vs august). slippage improved 2.8 → 2.0 ticks. ytd +$75,660 (20.7%) exceeded target. october begins with realistic expectations.
-AK