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OP here. I pussied out on day 4. The nights were just too damn cold. I would usually end up walking the streets at night because I would get too cold staying in place. I probably managed less than an hour sleep the entire time.
I didn't end up killing myself because, while I do often have suicidal thoughts, mainly due to how disassisfied I am with my life and how much of an underachiever I am, in truth I don't really want to die. There are many things I'd like to do beforehand. Also, it really wouldn't be fair to do such a thing to my family, who are not the most mentally stable people to begin with.
So, realizing that I couldn't continue to bare the cold and that I actually did have a desire to live, the only option left was to return to society (I'm currently at my mom's house). I probably would have continued on much longer during a warmer part of the year. I believe a cabin or hut with a fireplace, or some other setup with a heating source would be necessary to maintain a decent quality of life during the winter.
I was also wholly unprepared both in knowledge and equipment. I even struggled to get a basic fire going using a lighter. I tried to imitate some of the things I saw from PrimitiveTechnology but failed miserably.
I would like to attempt something like this again in the future, except in a more remote location (I didn't even make it out of a city environment) and with more experience and preparedness. I'd like to gradually improve my skills and knowledge over time. Eventually, I think I may end up living similarly to Forest Anon, but I'm clearly not ready for that yet.
Right now, I have to figure out how to get my life back on track. I threw away all my stuff (computer, phone, clothes, furniture, everything), so I am starting from nothing. I'm thinking of becoming a wagie and getting my own apartment. It's not a great life but at least I will be independent.