week 2 done.
second consecutive losing week.
variance normalizing hard.
week 2 numbers #
starting (dec 9): $445,280
ending (dec 13): $443,520
week gain: -$1,760 (-0.40%)
trades: 7
wins: 2
losses: 5
win rate: 29%
pattern:
week 1: 50% wr, small loss.
week 2: 29% wr, larger loss.
mean reversion from november 92% wr.
daily breakdown #
monday (dec 9): -$420, 2 trades, 0% wr
both stopped out.
regime unstable.
tuesday (dec 10): +$280, 1 trade, 100% wr
single clean setup.
wednesday (dec 11): -$680, 2 trades, 0% wr
worst day this week.
VIX spiked to 18.2.
thursday (dec 12): +$340, 1 trade, 100% wr
volatility normalized.
friday (dec 13): -$1,280, 1 trade, 0% wr
largest single loss december.
stopped out correctly at -$1,280.
5 losses, 2 wins.
rough week.
circuit breaker analysis #
friday close call:
single loss: -$1,280
threshold: -$1,500 single day
came within $220 of trigger.
stopped out correctly.
didn’t let it spiral to -$1,500+.
discipline held.
december cumulative #
week 1: -$820 (-0.18%)
week 2: -$1,760 (-0.40%)
december total: -$2,580 (-0.58%)
starting balance (dec 1): $446,100
current balance (dec 13): $443,520
ytd: +$77,320 (+21.1%)
still well above 15-18% target.
market conditions week 2 #
volume: 2.9M contracts avg (-24% vs nov)
holiday decline accelerating.
VIX: 16.8 avg (elevated from week 1)
wednesday spike to 18.2 triggered stops.
correlation: 0.64 (higher than normal)
regime confidence: 0.63 (lowest since august)
conditions deteriorating into holidays.
comparing to november #
november:
+$1,320 (+0.30%)
92% win rate (12 wins, 1 loss)
extreme positive variance
december (2 weeks):
-$2,580 (-0.58%)
36% win rate (5 wins, 8 losses)
variance normalizing hard
classic mean reversion.
lessons week 2 #
1. variance comes in clusters
week 1 + week 2 = rough stretch.
happens 2-3 times per year.
expected, not emergency.
2. circuit breaker philosophy working
friday -$1,280 stopped correctly.
didn’t let it become -$2,000+.
preventive discipline = capital preserved.
3. holiday conditions real
volume -24% accelerating decline.
VIX elevated + low volume = bad combo.
christmas weeks will be worse.
4. stop fighting variance
5 losses this week.
all stopped correctly.
no revenge trading.
accept and move on.
win rate progression 2024 #
jan-apr: 76% avg (notable months)
may-aug: 68% avg (normal months)
sep-nov: 74% avg (solid months)
dec (2 weeks): 36% (rough patch)
annual avg through dec 13: 71%
sustainable long-term target: 65-75%.
december pulling avg down = healthy variance.
slippage week 2 #
avg: 2.4 ticks
vs week 1: 2.1 ticks (+14% worse)
vs november: 1.9 ticks (+26% worse)
low volume = wider spreads.
chicago colo helping but can’t overcome liquidity drought.
crypto rebalance impact #
started exiting altcoins:
closed 3 smaller positions monday-wednesday.
moved capital to cash.
impact this week:
reduced crypto allocation from 30% to 28%.
target 25% by dec 15.
crypto performance this week:
BTC: +2.1%
altcoins sold: +0.8% avg
exited at decent levels, no regrets.
week 3 preview #
expectations:
volume declining further (christmas shopping).
likely pausing trading dec 24-26.
realistic outcomes:
flat week (+0% to +0.5%) - possible.
small loss (-0.5% to -1%) - likely.
december will be losing month.
acceptable.
tonight (december 10, 11:48pm) #
week 2 done.
-$1,760 (-0.40%).
29% win rate.
5 losses, 2 wins.
variance continuing.
december 2 weeks: -$2,580 (-0.58%).
ytd still +21.1%.
mean reversion from november 92% wr.
expected.
acceptable.
11:48pm tuesday. week 2 december. -$1,760 (0.40%). 29% win rate across 7 trades. friday -$1,280 single loss came within $220 of circuit breaker but stopped correctly. december cumulative -$2,580 (0.58%) after 2 weeks. volume -24% vs november. VIX elevated 16.8 avg. ytd +$77,320 (21.1%) still above target. variance normalizing hard from november outlier.
-AK